Price–Dividend Ratios and Stock Price Predictability

A long‐standing puzzle to financial economists is the difficulty of outperforming the benchmark random walk model in out‐of‐sample contests. Using data from the USA over the period of 1872–2007, this paper re‐examines the out‐of‐sample predictability of real stock prices based on price–dividend (PD) ratios. The current research focuses on the significance of the time‐varying mean and nonlinear dynamics of PD ratios in the empirical analysis. Empirical results support the proposed nonlinear model of the PD ratio and the stationarity of the trend‐adjusted PD ratio. Furthermore, this paper rejects the non‐predictability hypothesis of stock prices statistically based on in‐ and out‐of‐sample tests and economically based on the criteria of expected real return per unit of risk. Copyright © 2011 John Wiley & Sons, Ltd.     

一种基于视频图像的挖掘机工作状态识别方法

为了实现违法用地现象的实时监测,对土地间的挖掘机等施工机械的工作状态识别是非常重要的.实际场景下,因随机噪声和光照变化的影响,给挖掘机工作状态识别带来极大的挑战.本文提出一种基于视频图像的挖掘机工作状态识别方法,首先,对同一品牌挖掘机工作装置的各种姿态建立混合local binary features (LBF)形状回归模型并进行离线训练;其次,利用上述模型预测输入视频帧中挖掘机工作装置的形状信息,构建挖掘机的工作状态特征描述子;最后,利用support vector machine (SVM)分类器自动判别挖掘机的工作状态—-工作状态或非工作状态.实验结果表明,该方法很好地克服了多姿态导致形状变化的影响,对挖掘机工作状态识别准确率达到了93.53%.     

Treed Avalanche Forecasting: Mitigating Avalanche Danger Utilizing Bayesian Additive Regression Trees

Little Cottonwood Canyon Highway is a dead‐end, two‐lane road leading to Utah's Alta and Snowbird ski resorts. It is the only road access to these resorts and is heavily traveled during the ski season. Professional avalanche forecasters monitor this road throughout the ski season in order to make road closure decisions in the face of avalanche danger. Forecasters at the Utah Department of Transportation (UDOT) avalanche guard station at Alta have maintained an extensive daily winter database on explanatory variables relating to avalanche prediction. Whether or not an avalanche crosses the road is modeled in this paper via Bayesian additive tree methods. Utilizing daily winter data from 1995 to 2011, results show that using Bayesian tree analysis outperforms traditional statistical methods in terms of realized misclassification costs that take into consideration asymmetric losses arising from two types of error. Closing the road when an avalanche does not occur is an error harmful to resort owners, and not closing the road when one does may result in injury or death. Copyright © 2016 John Wiley & Sons, Ltd.     

基于奇异谱分析的我国航空客运量集成预测模型

针对时间序列包含噪声以及单一模型可能存在预测表现不稳定的问题,本文提出了一个基于奇异谱分析(SSA)的集成预测模型,并将其运用于我国年度航空客运量的预测中.首先,采用SSA方法对原始时间序列进行分解和重构,得到一个剔除噪声的时间序列,然后将其作为单整自回归移动平均模型(ARIMA)、支持向量回归模型(SVR)、Holt-Winters方法(HW)等单一模型的输入并进行预测,接着再采用加权平均集成预测方法(WA)将三种单一模型的预测结果进行综合集成.通过与各单一模型、基于经验模态分解方法(EMD)的模型以及简单平均集成预测方法(SA)的预测结果进行对比发现,本文所建模型具有较高的预测精度和较稳定的预测表现.最后,采用本文的模型对我国2014-2016年年度航空客运量进行了预测.     

基于网络关注度的大宗商品市场预测研究

随着大宗商品市场化的加快和电子信息技术的快速发展,以互联网为载体的网络信息将方便快捷地传递到市场及市场参与者.本文从海量开源数据出发,利用搜索引擎平台,提取核心信息构建网络关注度指标,并提出了基于网络关注度的大宗商品价格预测模型.通过引入具有不同核函数的支持向量回归模型,分别建立了针对单个市场(原油、铜以及玉米)的网络关注度预测模型和综合考虑市场间联动性的多市场网络关注度预测模型.实证结果表明,网络关注度对于市场价格的变动有显著的格兰杰因果关系,引入网络关注度指标和相关市场信息能显著提高预测精度.     

Real‐Time Forecasts of Inflation: The Role of Financial Variables

We present a mixed‐frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real time is compared with that of standard VARs and of daily quotes of economic derivatives on euro area inflation. We find that the inclusion of daily variables helps to reduce forecast errors with respect to models that consider only monthly variables. The mixed‐frequency model also displays superior predictive performance with respect to forecasts solely based on economic derivatives. Copyright © 2012 John Wiley & Sons, Ltd.     

基于主成分回归分析的瓦斯含量预测

为了增加多元回归模型预测的精度,将主成分分析与多元回归分析相结合提出了PCA—MRA模型,并将该模型用于实际瓦斯含量预测。结果表明,PCA—MRA模型消除了输入变量之间的相关性,减少了输入变量值个数,提高了预测精度,便于实际推广和应用,为瓦斯含量预测提供一种新的途径。     

Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model

We investigate the optimal structure of dynamic regression models used in multivariate time series prediction and propose a scheme to form the lagged variable structure called Backward‐in‐Time Selection (BTS), which takes into account feedback and multicollinearity, often present in multivariate time series. We compare BTS to other known methods, also in conjunction with regularization techniques used for the estimation of model parameters, namely principal components, partial least squares and ridge regression estimation. The predictive efficiency of the different models is assessed by means of Monte Carlo simulations for different settings of feedback and multicollinearity. The results show that BTS has consistently good prediction performance, while other popular methods have varying and often inferior performance. The prediction performance of BTS was also found the best when tested on human electroencephalograms of an epileptic seizure, and for the prediction of returns of indices of world financial markets.Copyright © 2013 John Wiley & Sons, Ltd.     

基于过程数据的动态PLS建模

许多工业过程中获得的输入输出数据在时间、空间上是高度相关的,且含有测量噪声。针对此类数据,提出采用动态PLS方法,最大化输入和输出变量矩阵之间的协方差,保留大部分有用信息,去除测量噪声,把高维数据空间降维,建立较为精确的工业过程数学模型。提出对MIMO系统进行研究,推导了可直接用于控制的动态PLS模型数学公式。对一个工业过程实例进行仿真,分别应用动态PLS回归和线性回归MLR方法,得出的结果经分析验证了此算法的有效性。     

虚拟数控铣削表面粗糙度预测技术研究

分析了影响数控铣削加工表面粗糙度的主要因素,利用多元回归分析建立了基于球头铣刀的表面粗糙度关于其影响因素的数学模型.经显著性检验,该模型预测精度高,泛化能力强.该模型为虚拟数控铣削表面粗糙度预测的建模提供了理论依据.开发了基于DELPHI的可视化交互式的仿真系统,实现了虚拟数控铣床的表面粗糙度的在线预测.有助于理解表面粗糙度随铣削参数改变的规律,也为铣削参数优化提供理论依据.