The welfare properties of Agricultural Futures Market

本研究的目的是探讨农产品期货市场通过同时改变供给方和需求方预期进而影响市场预期所产生的福利效应。本研究构建了不存在期货交易的现货市场单均衡模型和存在期货交易的期货市场、现货市场一般均衡模型。在理性预期的框架下，本研究分别确定引进期货市场前后的现货价格行为方程，并以此计算相应的社会福利水平。结合数值技术对非线性模型求解的基础上，本研究从三个角度分析期货市场所产生的福利效应：狭义的福利效应（社会福利水平改变程度）、系统效应（市场均衡收敛效率改变程度）和方差效应（对现货市场价格波动改变程度）。本研究着重研究各个现货市场参数对期货市场福利效应发挥的影响，给出更为一般化的分析。 本研究的结论主要有： ...This dissertation aims at discussing the welfare properties of future market for agricultural products based on the assumptions that the expectation of suppliers and demanders are simultaneous affected after future market is introduced. A single equilibrium model of spot market in absence of future market and general equilibrium model between spot and future markets in presence of future market ar...学位：经济学博士院系专业：经济学院财政金融系_金融学(含保险学)学号：B20034200

The Noise to the Correlations Between Financial Returns

本文应用并扩展随机矩阵理论的检验方法,实证检验资产组合协方差矩阵的噪音干扰。实证发现,经验估计的协方差矩阵存在较高程度的噪音干扰。表现在,经验协方差矩阵的特征值较好地吻合随机矩阵的理论分布,77.53%的特征值落在随机矩阵的理论取值范围内,并具有随机矩阵的普适性质。在过滤噪音后,资产组合的风险估计偏误得到显著降低,最小方差组合在评价期的风险水平显著降低。The noise to the correlations between stocks returns are tested by using the RMT method.77.53% of the eigenvalues of the sample covariance matrix are found to fall within the RMT bounds and agree with the universal properties predicted by RMT-implying a large degree of noise.The noise content of the covariance matrix is filtered by applying Mean-value,and Zero-value schemes.With the filtered matrix,the ex post risk of the minimum variance portfolio is reduced significantly.国家社会科学基金资助项目(09CJY013;11CJY098); 教育部人文社会科学研究资助项目(08JC790038); 广东省哲学社会科学“十一五”规划青年基金资助项目(08YE-02); 广东高校优秀青年创新人才培育资助项目(WYM08084); 中央高校科研业务费资助项目(x2jmD2117980;x2jmD2118000

An Empirical Analysis of China Price Transmission Mechanism After 2008 Financial Crisis

本文采用扩展SOP模型的方法,分析金融危机发生以来我国rMPI、PPI、CgPI和CPI物价传导机制的特征。结果发现,生产环节的PPI对上游投入环节的rMPI和下游批发环节的CgPI传导不畅,生产厂商在价格传递链处于夹心地位;金融危机后,消费环节的CPI不能回馈传导上游的任何环节,居民的需求拉动能力和作用发挥不明显。The post-financial crisis price transmission mechanism between RMPI,PPI,CGPI,and CPI is investigated by using extended stage of processing model.The empirical evidence shows that,changes in RMPI transmit to PPI,not vice versa,and PPI response to the changes in CGPI.After the financial crisis,the changes in CPI do not feedback to any stage in the price chain,the consumer demand is not the key factor in driving prices.国家社会科学基金资助项目(09CJY013;11CJY098); 中央高校基本科研业务费专项资金资助项目(2014ZM0082;2014GD03

The Information Structure of the Covariances between Financial Returns

本文应用随机矩阵理论及方法解析资产组合协方差矩阵的信息结构。实证发现,我国股票组合的协方差矩阵存在市场因素、行业因素的信息结构。最大特征值携带着反映市场因素的信息,影响程度非常高,是股票资产间相关性的主导因素。最大特征值偏离rMT上界的倍数远远高于其他市场。偏离rMT上界的特征值,携带着反映行业因素的信息,影响同一行业或者主营业务相同的公司,但随着特征值与rMT上界靠近,信息特征减弱。We use the methods of random matrix theory(RMT)to investigate the information structure of the covariance matrix between stock returns.The largest eigenvalue are found to represent the market information.Chinese stock portfolio has a particularly high value of largest eigenvalue,which is about 175 times larger than the RMT upper bound.Market information is the dominate factor determining the correlations between stock returns.The other eigenvalues deviating from the RMT upper bound represent information affecting stocks belonging to similar or related industries.国家社会科学基金资助项目(09CJY013;11CJY098); 教育部人文社会科学研究资助项目(08JC790038); 广东省哲学社会科学“十一五”规划青年资助项目(08YE-02); 中央高校科研业务费资助项目(x2jmD2117980;x2jmD2118000

小槐花的化学成分研究

目的:系统研究中药小槐花中的化学成分。方法:利用大孔树脂,Sephadex LH-20,ODS及正相硅胶柱等色谱手段进行分离,通过多种波谱学数据分析进行化合物的结构鉴定。结果:从小槐花60%乙醇提取物中分离得到15个化合物,经结构鉴定分别为豆甾醇(1),β-谷甾醇(2),柠檬酚(3),黄槿酮A(4),异柠檬酚(5),kenusanone I(6),neophellamuretin(7),清酒缸酚(8),古柯三醇(9),黄槿酮D(10),山柰酚(11),8-prenylquercetin(12),leachianone G(13),5,7,4'-三羟基-二氢黄酮醇(14),4H-1-benzopyran-4-one,2-(3,4-dihydroxyphenyl)-2,3-dihydro-3,5,7-trihydroxy-8-(3-methyl-2-butenyl)-,(2R-trans)-(9CI)(15)。结论:除化合物8外,所有化合物均为从该种植物中首次分离得到

Pricing of arithematic asian option

亚式期权是一种路径依赖的新型期权，其到期收益函数依赖于事先约定的某一特定时间段内标的资产某种形式的平均。相对于标准期权而言，亚式期权在缓解价格操纵行为和控制风险管理成本方面有其明显的优势。目前在OTC市场上交易的大部分亚式期权都是标的算术平均亚式期权，但即使在标的资产遵循几何布朗运动的假设下，算术平均亚式期权仍然无法得到解析的价格公式，因为标的算术平均的分布函数是未知的。因此，对其定价更多的是采用近似方法。本文第一章介绍了亚式期权的概况和其在风险管理中的优势。第二章介绍了亚式期权定价研究中的市场结构、一般原理和若干重要的定价方法：PDE偏微分方程法；埃级沃斯级数展开近似定价；倒数分布近似定价；...Asian options are written on the average of the underlying asset over a pre-specified period. They are path-dependent due to the averaging and often classified as exotic options. Compared to standard European options, Asian options have some obvious advantages in reducing the risk of price manipulation near the maturity date and in saving hedging cost. The arithmetic Asian option is hard to price ...学位：理学硕士院系专业：数学系_应用数学学号：20002302

The Approximate Analytic Price Formulas of Asian Option with Discrete Arithemetic Averaging

对一般形式下的均值函数进行泰勒展开,分析标的算术平均与标的几何平均的差距,给出二者之间的近似关系式,进而对离散算术平均亚式期权进行近似定价。In this papers,we analyze the distance between the geometric average and arithmetic average by Taylor's expanding. By using their relationship, an approximating formula of the arithmetic asian option was derived