基于SVR的隐含风险中性概率密度函数提取

利用支持向量回归机（SVR）,通过求解线性算子方程,提出了一种全新的非参数类恢复隐含风险中性概率密度函数的方法.首先,介绍了支持向量回归机应用于函数逼近的基本原理,当仅知算子方程右边函数的一些函数值而不知其函数形式时,描述了基于支持向量回归机的线性算子方程求解方法.然后,给出了基于支持向量回归机的隐含风险中性概率密度函数求解原理及交叉核函数的构建方法.最后,通过实证研究,验证了该方法的有效性.研究结果表明,所提方法克服了传统参数类方法对期权执行价格有严格限制的缺陷,同时对数据量的要求也比其他非参数类方法少,是一种很有前景的还原隐含风险中性概率方法与手段.     

Factors influencing the presence of sustainability initiatives in the strategic planning of Spanish universities

Sustainability issues in higher educational institutions have attracted increasing levels of attention from both the public and policy-makers in recent decades. Many studies have called for a more integration of sustainability into mainstream university operations and curricula. Nevertheless, the interest in sustainability issues has been more recent in the specific case of Spain. On this basis, the aim of this paper is to examine the main factors (size of universities, chairs related to sustainability, political orientation and sustainability disclosure) that might explain the presence of sustainability initiatives in Spanish universities. To accomplish this task, data were collected using a systematic content analysis of the published strategic plans of Spanish universities during the last decade. Two main findings were identified: first, the four variables chosen were not related to the presence or absence of sustainability initiatives in the strategic plans of Spanish universities, excepting the partial influence exerted by the size and political orientation. Second, there was a scarce presence of sustainability initiatives in the strategic plans of Spanish universities analysed.     

银行间债券回购利率与Shibor之差的实证分析

银行间债券回购利率和上海银行间同业拆放利率(Shibor)是当前货币市场具有指导意义的两种短期利率,分别反映了银行闻债券市场和银行间同业拆借市场的短期融资成本.这两种利率的差额过大会引起市场投机者在两个市场阃进行投机套利活动,从而直接影响到银行间市场的安全运行.因此,对银行间债券回购利率与Shibor之差进行实证分析,从而得出其正常数值区间、关注数值区间以及密切关注数值区间等三个监测指标,可为央行对银行间本币市场进行量化的风险监测提供借鉴.     

非参数估计下的股指期货升贴水波动研究

文章选取了2016—2017年沪深300指数和其股指期货主力合约的日收盘价数据,建立了股指期货升贴水的非参数估计模型,通过研究得出股指期货的升贴水服从正态分布,并和股指收益率一样有着明显的"厚尾"现象。随着时间的推进,股指期货的上市的确起到了稳定市场的作用,股指期货升贴水套利的理论年化收益率显著高于同期市场"无风险收益率"金融产品的收益。在市场突发情况引起的股指剧烈波动时,择机合理地利用股指期货进行对冲、套利还是有利于降低资产波动风险的。     

1957年至2008年海河流域气温变化趋势和突变分析

气温变化是气候变化背景下科学研究的热点问题。海河流域作为中国的粮食主产区,其气温的变化研究对于指导农业生产生活具有重要的意义。本文采用成熟的Mann_Kendall非参数检验方法对海河流域1957年-2008年的年平均气温、最高气温和最低气温的变化趋势进行了显著性检验,并采用滑动t-检验法对气温的突变期进行了分析,结果表明:海河流域年平均气温、最高气温、最低气温全部呈上升趋势,并且全区平均气温上升显著,东北部地区的最高和最低气温的上升趋势也全部通过显著性检验;各月平均气温中,1月、2月、3月、4月、9月气温上升显著。最低气温增温显著,邢台、蔚县和霸州等形成多个骤升中心,其中邢台最低气温最大变幅达0.78℃/10a;流域内大部分地区气温发生突变的年限多在1971年-1974年,1986年-1988年,1993年-1994年和1996年-1999年。气温突变主要发生在20世纪70年代和90年代,并且2月、3月份发生突变的范围最广。     

葡萄酒质量评价的模型分析与优化

针对葡萄酒评价的问题做出了合理分析,通过偏最小二乘回归方法建立起葡萄酒与葡萄理化指标之间的关系,对葡萄理化指标的数据进行相关性分析和正太检验(非参数检验),通过偏最小二乘回归方程呈现出葡萄与葡萄酒有关的因素对其质量的影响,基于此方程论证了：在实际生活中,不能简单根据酿酒葡萄与葡萄酒的理化指标评价葡萄酒的质量。并给出了其它影响葡萄酒质量的因素。     

Contingent Valuation and Semiparametric Methods: A Case Study of the National Museum of Sculpture in Valladolid, Spain

Research on cultural economics is very interested in the economic valuation of non-market goods, particularly in the field ofcultural heritage where contingent valuation techniques are currently being used with both parametric and non-parametric statistical methods to estimate the willingness to pay for cultural goods. In the literature analysed, the number of studies using semiparametric methods, however, is very limited. Our analysis is intended to help fill this gap by offering a parametric, non-parametric and semiparametric economic valuation of the National Museum of Sculpture (Museo Nacional de Escultura), located in Valladolid,Spain. In addition, we also gain insight on a controversial issue affecting most European museums, particularly those located in Latin countries: the role voluntary donations might play in the funding of public museums.