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Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes
Autoregressive conditional duration dispersion clustering finite sample correction generalized spectral derivative nonlinear time series parameter estimation uncertainty Wooldridge’s Device
2011/4/1
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Emergence of double scaling law in complex system
power-law Paretian behaviors exponentially increasing variable
2011/3/31
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic syst...
Optimal Stopping under Probability Distortion
optimal stopping probability distortion Choquet expectation probability distribution/qunatile function Skorokhod embedding problem S-shaped and reverse S-shaped function
2011/3/31
We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. ...
Information Theoretic Limits on Learning Stochastic Differential Equations
drift high dimensional vector interaction coefficients
2011/3/31
Consider the problem of learning the drift coefficient of a stochastic differential equation from a sample path. In this paper, we assume that the drift is parametrized by a high dimensional vector.
On the drawdown of completely asymmetric Levy processes
Spectrally one-sided L´ evy process reflected process, drawdown fluctuation theory excursion theory sextuple law
2011/3/31
The drawdown process $Y=\bar{X} - X$ of a completely asymmetric L\'{e}vy process $X$ is given by $X$ reflected at its running supremum $\bar{X}$.In this paper we explicitly express the law of the sext...
Exponential wealth distribution: a new approach from functional iteration theory
Exponential distribution statistical physics economic models
2011/3/31
Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explain...
A class of CTRWs: Compound fractional Poisson processes
The compound Poisson process Markovian and L\'evy semi-Markov extension
2011/3/31
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson ...
A Note on the Stability of the Least Squares Monte Carlo
option pricing optimal stopping American option Least Squares Monte Carlo Monte Carlo methods Ill-Conditioning
2011/3/23
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of th...
Approximating European Options by Rebate Barrier Options
European options Financial bubbles Local martingales Truncation approximation Convergence rate Barrier options
2011/3/23
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In ...
On the criticality of inferred models
inference techniques high dimensional data sets the model's susceptibility
2011/3/23
Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inferen...
民营资本参与科技风险投资的动因研究
民营资本 科技风险投资 动因
2012/9/26
合理把握企业民营资本参与科技风险投资的动因，对于政府鼓励民营资本参与科技创新活动，解决我国原创性研发资金不足等问题具有积极的意义。文章通过对企业案例的深入剖析，从企业层面总结出企业参与科技风险投资的4 方面动因模型：企业家的冒险和创新精神、塑造企业社会形象、增加企业内在价值、履行企业社会责任；同时指出企业民营资本投入的多少和企业对创新的关注程度是随着内外环境和企业发展的阶段发生变化的。
企业国际并购的四大要素分析——基于宁波慈星股份有限公司并购瑞士事坦格的调查
跨国并购 电脑横机 宁波慈星
2012/9/26
以宁波慈星股份有限公司并购瑞士事坦格集团为例，对我国民营企业开展国际并购的动机、能力、目标公司选择、公司匹配等四大要素进行了分析，并指出企业进行跨国并购主要是由于市场战略路线、品牌影响力提升、低价资产出现以及法律允许和放松管制等原因促成的；企业进行跨国并购需要具备决策、人力资源和技术等方面的能力；在选择目标公司时要统筹考虑企业的经营范围和战略目标、目标企业发展潜力及协同效应的发挥与客观环境优劣等因...