698 research outputs found

    Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model

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    The default of Suntech Power made the year 2013 in China “the first year of default” of bond markets. People are also clearly aware of the default risk of corporate bonds and find that fair pricing for defaultable corporate bonds is very important. In this paper we first give the pricing model based on incomplete information, then empirically price the Chinese corporate bond “11 super JGBS” from Merton’s model, reduced-form model, and incomplete information model, respectively, and then compare the obtained prices with the real prices. Results show that all the three models can reflect the trend of bond prices, but the incomplete information model fits the real prices best. In addition, the default probability obtained from the incomplete information model can discriminate the credit quality of listed companies

    Multi-level Gated Bayesian Recurrent Neural Network for State Estimation

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    The optimality of Bayesian filtering relies on the completeness of prior models, while deep learning holds a distinct advantage in learning models from offline data. Nevertheless, the current fusion of these two methodologies remains largely ad hoc, lacking a theoretical foundation. This paper presents a novel solution, namely a multi-level gated Bayesian recurrent neural network specifically designed to state estimation under model mismatches. Firstly, we transform the non-Markov state-space model into an equivalent first-order Markov model with memory. It is a generalized transformation that overcomes the limitations of the first-order Markov property and enables recursive filtering. Secondly, by deriving a data-assisted joint state-memory-mismatch Bayesian filtering, we design a Bayesian multi-level gated framework that includes a memory update gate for capturing the temporal regularities in state evolution, a state prediction gate with the evolution mismatch compensation, and a state update gate with the observation mismatch compensation. The Gaussian approximation implementation of the filtering process within the gated framework is derived, taking into account the computational efficiency. Finally, the corresponding internal neural network structures and end-to-end training methods are designed. The Bayesian filtering theory enhances the interpretability of the proposed gated network, enabling the effective integration of offline data and prior models within functionally explicit gated units. In comprehensive experiments, including simulations and real-world datasets, the proposed gated network demonstrates superior estimation performance compared to benchmark filters and state-of-the-art deep learning filtering methods

    Facile Synthesis of Carbon-Coated Zn 2

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    Carbon-coated Zn2SnO4 nanomaterials have been synthesized by a facile hydrothermal method in which as-prepared Zn2SnO4 was used as the precursor and glucose as the carbon source. The structural, morphological, and electrochemical properties were investigated by means of X-ray (XRD), scanning electron microscopy (SEM), transmission electron microscopy (TEM), and electrochemical measurement. The first discharge/charge capacity of carbon-coated Zn2SnO4 was about 1248.8 mAh/g and 873.2 mAh/g at a current density of 200 mA/g in the voltage range of 0.05 V–3.0 V, respectively, corresponding to Coulombic efficiency of 69.92%. After 40 cycles, the capacity retained 400 mAh/g, which is much better than bare Zn2SnO4

    Decoding the dynamics of poleward shifting climate zones using aqua-planet model simulations

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    Growing evidence indicates that the atmospheric and oceanic circulation experiences a systematic poleward shift in a warming climate. However, the complexity of the climate system, including the coupling between the ocean and the atmosphere, natural climate variability and land-sea distribution, tends to obfuscate the causal mechanism underlying the circulation shift. Here, using an idealised coupled aqua-planet model, we explore the mechanism of the shifting circulation, by isolating the contributing factors from the direct CO2 forcing, the indirect ocean surface warming, and the wind-stress feedback from the ocean dynamics. We find that, in contrast to the direct CO2 forcing, ocean surface warming, in particular an enhanced subtropical ocean warming, plays an important role in driving the circulation shift. This enhanced subtropical ocean warming emerges from the background Ekman convergence of surface anomalous heat in the absence of the ocean dynamical change. It expands the tropical warm water zone, causes a poleward shift of the mid-latitude temperature gradient, hence forces a corresponding shift in the atmospheric circulation and the associated wind pattern. The shift in wind, in turn drives a shift in the ocean circulation. Our simulations, despite being idealised, capture the main features of the observed climate changes, for example, the enhanced subtropical ocean warming, poleward shift of the patterns of near-surface wind, sea level pressure, storm tracks, precipitation and large-scale ocean circulation, implying that increase in greenhouse gas concentrations not only raises the temperature, but can also systematically shift the climate zones poleward

    Learning List-wise Representation in Reinforcement Learning for Ads Allocation with Multiple Auxiliary Tasks

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    With the recent prevalence of reinforcement learning (RL), there have been tremendous interests in utilizing RL for ads allocation in recommendation platforms (e.g., e-commerce and news feed sites). For better performance, recent RL-based ads allocation agent makes decisions based on representations of list-wise item arrangement. This results in a high-dimensional state-action space, which makes it difficult to learn an efficient and generalizable list-wise representation. To address this problem, we propose a novel algorithm to learn a better representation by leveraging task-specific signals on Meituan food delivery platform. Specifically, we propose three different types of auxiliary tasks that are based on reconstruction, prediction, and contrastive learning respectively. We conduct extensive offline experiments on the effectiveness of these auxiliary tasks and test our method on real-world food delivery platform. The experimental results show that our method can learn better list-wise representations and achieve higher revenue for the platform.Comment: arXiv admin note: text overlap with arXiv:2109.04353, arXiv:2204.0037
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