Forecasting using high‐frequency data: a comparison of asymmetric financial duration models

The first purpose of this paper is to assess the short‐run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM‐ACD) model is better than the Asymmetric Autoregressive Conditional Duration (AACD) model. However, the ACM‐ACD model is more complex in terms of the computational setting and is more sensitive to starting values. The second purpose is to examine the effects of market microstructure on the forecasting performance of the two models. The results indicate that the forecast performance of the models generally decreases as the liquidity of the stock increases, with the exception of the most liquid stocks. Furthermore, a simple filter of the raw data improves the performance of both models. Finally, the results suggest that both models capture the characteristics of the micro data very well with a minimum sample length of 20 days. Copyright © 2008 John Wiley & Sons, Ltd.     

化学通讯介导对中缅树鼩个体识别的影响

为了探究尿液、粪便及胸腺分泌物对中缅树鼩个体识别的影响,通过Y-迷宫对中缅树鼩尿液、粪便和胸腺分泌物三种气味源的选择频次进行了统计分析。结果表明:用三种气味源与对照作为刺激源时,中缅树鼩均显著选择尿液和胸腺分泌物(P0.05);在习惯性实验中中缅树鼩对同性尿液和胸腺分泌物的选择频次持续下降,对陌生个体尿液和胸腺分泌物的选择频次显著增加(P0.05);尿液、胸腺分泌物在雌雄中缅树鼩个体识别的影响表现出明显差异,中缅树鼩对尿液和胸腺分泌物的选择频次均显著多于对照组(P0.01),而且雄性胸腺分泌物较雌性更受关注(P0.05),但雌性尿液比雄性更受关注(P0.05)。以上所有结果说明,中缅树鼩的尿液和胸腺分泌物中包含个体信息并用以识别个体,这两种气味源中所包含的化学信号对中缅树鼩个体间的交流极为重要,而粪便可能仅为单纯的排泄生理。     

When are Direct Multi‐step and Iterative Forecasts Identical?

Although both direct multi‐step‐ahead forecasting and iterated one‐step‐ahead forecasting are two popular methods for predicting future values of a time series, it is not clear that the direct method is superior in practice, even though from a theoretical perspective it has lower mean squared error (MSE). A given model can be fitted according to either a multi‐step or a one‐step forecast error criterion, and we show here that discrepancies in performance between direct and iterative forecasting arise chiefly from the method of fitting, and is dictated by the nuances of the model's misspecification. We derive new formulas for quantifying iterative forecast MSE, and present a new approach for assessing asymptotic forecast MSE. Finally, the direct and iterative methods are compared on a retail series, which illustrates the strengths and weaknesses of each approach. Copyright © 2015 John Wiley & Sons, Ltd.     

Conditional volatility forecasting in a dynamic hedging model

This paper addresses several questions surrounding volatility forecasting and its use in the estimation of optimal hedging ratios. Specifically: Are there economic gains by nesting time‐series econometric models (GARCH) and dynamic programming models (therefore forecasting volatility several periods out) in the estimation of hedging ratios whilst accounting for volatility in the futures bid–ask spread? Are the forecasted hedging ratios (and wealth generated) from the nested bid–ask model statistically and economically different than standard approaches? Are there times when a trader following a basic model that does not forecast outperforms a trader using the nested bid–ask model? On all counts the results are encouraging—a trader that accounts for the bid–ask spread and forecasts volatility several periods in the nested model will incur lower transactions costs and gain significantly when the market suddenly and abruptly turns. Copyright © 2005 John Wiley & Sons, Ltd.     

A Double‐threshold GARCH Model for the French Franc/Deutschmark exchange rate

This paper combines and generalizes a number of recent time series models of daily exchange rate series by using a SETAR model which also allows the variance equation of a GARCH specification for the error terms to be drawn from more than one regime. An application of the model to the French Franc/Deutschmark exchange rate demonstrates that out‐of‐sample forecasts for the exchange rate volatility are also improved when the restriction that the data it is drawn from a single regime is removed. This result highlights the importance of considering both types of regime shift (i.e. thresholds in variance as well as in mean) when analysing financial time series. Copyright © 2000 John Wiley & Sons, Ltd.     

Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment

Output gap estimates at the current edge are subject to severe revisions. This study analyzes whether monetary aggregates can be used to improve the reliability of early output gap estimates as proposed by several theoretical models. A real‐time experiment shows that real M1 can improve output gap estimates for euro area data. For many periods the cyclical component of real M1 shows good results, while a forecasting strategy based on projecting GDP series seems to be more robust and provides superior results during the Great Recession. Broader monetary aggregates provide no superior information for output gap estimates. Copyright © 2015 John Wiley & Sons, Ltd.     

基于中心度的中国航空客流网络抗毁性分析

以中国航空客流为样本,运用复杂网络理论,构建中国航空客流网络,并论证其系统结构特性。从点度中心度、中间中心度和接近中心度角度确定网络的关键节点,采取基于3个中心度的蓄意攻击方式,根据网络整体效能和簇系数两项指标及其下降率的变化情况,对网络的抗毁性进行了实证分析。在可视化视角下,对比分析3种蓄意攻击方式下航空客流网络结构的变化情况。研究表明:目前中国航空客流网络面对3种蓄意攻击时,网络抗毁性较弱,结构呈现出不同的变化,为此应分别从3个中心度角度出发,着重确保网络关键节点的安全,增加更多的功能不同的关键节点,优化航线网络结构。     

以主体为中心的微博计算方法--微博计算微革命:从“信息”中心到以“人”为本

针对以微博为对象的分析挖掘,提出了“以人为本”的微博计算模型,即以微博主体为微博计算的主要对象,研究微博博主个性化表示模型,博主情绪感知算法、及微博内容分析等关键技术,综述了微博计算已有的研究进展.创新之处在于突破了纯粹内容分析的局限,更好地适应了微博计算的需求.     

Forecasting business failure in China using case‐based reasoning with hybrid case respresentation

Case‐based reasoning (CBR) is a very effective and easily understandable method for solving real‐world problems. Business failure prediction (BFP) is a forecasting tool that helps people make more precise decisions. CBR‐based BFP is a hot topic in today's global financial crisis. Case representation is critical when forecasting business failure with CBR. This research describes a pioneer investigation on hybrid case representation by employing principal component analysis (PCA), a feature extraction method, along with stepwise multivariate discriminant analysis (MDA), a feature selection approach. In this process, sample cases are represented with all available financial ratios, i.e., features. Next, the stepwise MDA is used to select optimal features to produce a reduced‐case representation. Finally, PCA is employed to extract the final information representing the sample cases. All data signified by hybrid case representation are recorded in a case library, and the k‐nearest‐neighbor algorithm is used to make the forecasting. Thus we constructed a hybrid CBR (HCBR) by integrating hybrid case representation into the forecasting tool. We empirically tested the performance of HCBR with data collected for short‐term BFP of Chinese listed companies. Empirical results indicated that HCBR can produce more promising prediction performance than MDA, logistic regression, classical CBR, and support vector machine. Copyright © 2009 John Wiley & Sons, Ltd.     

Bayesian Assessment of Dynamic Quantile Forecasts

Bayesian methods for assessing the accuracy of dynamic financial value‐at‐risk (VaR) forecasts have not been considered in the literature. Such methods are proposed in this paper. Specifically, Bayes factor analogues of popular frequentist tests for independence of violations from, and for correct coverage of a time series of, dynamic quantile forecasts are developed. To evaluate the relevant marginal likelihoods, analytic integration methods are utilized when possible; otherwise multivariate adaptive quadrature methods are employed to estimate the required quantities. The usual Bayesian interval estimate for a proportion is also examined in this context. The size and power properties of the proposed methods are examined via a simulation study, illustrating favourable comparisons both overall and with their frequentist counterparts. An empirical study employs the proposed methods, in comparison with standard tests, to assess the adequacy of a range of forecasting models for VaR in several financial market data series. Copyright © 2016 John Wiley & Sons, Ltd.