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1. Sparse Weighted Robust Support Vector Regression and Its Application in Index Tracking | |||
LIANG Rongmei | |||
Economics 18 September 2021 | |||
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Abstract:In recent years, support vector regression(SVR) is widely used in various fields because of its good generalization ability, especially in index tracking. Although many researchers have applied support vector and its sparse form to index tracking, The robustness and computational efficiency of the sparse model in high dimension have not been solved. Based on this consideration, this paper constructs a sparse adaptive support vector regression model which is robust in explanation variable and response variable directions. The model can be transformed into a constrained lad-lasso class problem, which is easy to calculation and analysis. At the same time, we show that under certain conditions, the model has a good ability to select variables and a very small bias. A large number of simulations support these theories, and this paper also makes an index tracking of Shanghai Stock Exchange 50. | |||
TO cite this article:LIANG Rongmei. Sparse Weighted Robust Support Vector Regression and Its Application in Index Tracking[OL].[18 September 2021] http://en.paper.edu.cn/en_releasepaper/content/4755388 |
2. Valuation of correlation options under a stochastic interest rate model with regime switching | |||
WANG Rong-Ming,FAN Kun | |||
Economics 18 November 2014 | |||
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Abstract:In this paper, we consider the valuation of a correlation option, a two-factor analog of a European call option,under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model. | |||
TO cite this article:WANG Rong-Ming,FAN Kun. Valuation of correlation options under a stochastic interest rate model with regime switching[OL].[18 November 2014] http://en.paper.edu.cn/en_releasepaper/content/4616774 |
3. Arbitrage-Free Interval and Dynamic Hedging in an Illiquid Market | |||
Zhaojun Yang,Jinqiang Yang | |||
Economics 04 May 2009 | |||
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Abstract:This paper provides two modified pricing PDEs for a general European option under liquidity risk, by which two modified hedges are derived. It is shown that the hedge errors of the two modified hedges approach zero as the trading time interval converges to zero inclusive of liquidity costs. An arbitrage-free interval is identified and in contrast to transaction costs, the liquidity cost is proved to be finite even if trading is continuous. Numerical results are presented on option pricing and the moments of hedge errors with both Black-Scholes hedge and one of the two modified hedges. The results indicate that under liquidity risk, the modified option hedge developed in this paper is much superior to the Black-Scholes hedge. The bigger the liquidity risk, the more significant the advantages. In fact, the modified hedge leads to not only a much less hedge error but also to a lower replication costs than the classical Black-Scholes hedge. | |||
TO cite this article:Zhaojun Yang,Jinqiang Yang. Arbitrage-Free Interval and Dynamic Hedging in an Illiquid Market[OL].[ 4 May 2009] http://en.paper.edu.cn/en_releasepaper/content/31917 |
4. International Structural Growth Model and Its Equilibrium | |||
LI Wu | |||
Economics 30 August 2007 | |||
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Abstract:In this paper an international structural growth model is presented to sever as a dynamic analytical tool for international economics. The model is constructed on the basis of behaviors of heterogeneous agents, i.e. households and firms, and comprises the technology adjustment process, exchange process, production process and price adjustment process etc. The model also allows decomposability of commodities. After the establishment of the model, equilibrium is defined and discussed. An equilibrium is defined as a path in which the price vector and technologies are time-invariant. The sufficient and necessary condition for the existence of equilibrium is deduced, that is, there exist equilibria if and only if the excrescent sector subset is empty and the feasible price vector set is nonempty. | |||
TO cite this article:LI Wu. International Structural Growth Model and Its Equilibrium[OL].[30 August 2007] http://en.paper.edu.cn/en_releasepaper/content/14770 |
5. Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests | |||
Xi-Yuan Qian,Fu-Tie Song,Wei-Xing Zhou | |||
Economics 20 July 2007 | |||
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Abstract:We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen. The method allows us to simultaneously consider non-stationarity and nonlinearity in financial time series. Our finding indicates that the Shanghai stock market exhibits nonlinear behavior with two regimes and has unit roots in both regimes. The important implications of the threshold effect in stock markets are also discussed. | |||
TO cite this article:Xi-Yuan Qian,Fu-Tie Song,Wei-Xing Zhou. Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests[OL].[20 July 2007] http://en.paper.edu.cn/en_releasepaper/content/14166 |
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