Variable Selection and Direction Estimation for Single-index Models via Distance Covariance

在本文中，我们提出了两种在单指标模型中同时进行变量选择和参数估计的方法：最大化带惩罚项的距离协方差法(PeDcov)和带阀值梯度正则化方法优化距离协方差法(DC-TGDR)。在最大化单指标和响应变量之间距离协方差的过程中，通过惩罚或正则化单指标方向参数，我们可以有效的筛选出重要变量，并排除无关变量。与文献中已有的方法相比，新提出的两种方法从充分降维的角度出发，避免了非参数联系函数的估计，且可以解决响应变量是离散变量时的方向参数估计问题。再者，新提出DC-TGDR方法鼓励变量成组选择，即它倾向于将高度相关的解释变量同时保留在或者剔除出模型。因为DC-TGDR方法具有正则化性质，当自变量的维数很高...In this paper, we propose two new methods, Penalized Distance covariance (PeDcov) method and maximizing Distance Covariance via Threshold Gradient Directed Regu- larization (DC-TGDR) method, to select significant covariates and estimate the single- index direction simultaneously for single-index models. When utilizing regularization methods to maximize the distance covariance between single index ...学位：经济学硕士院系专业：王亚南经济研究院_统计学学号：2772013115279

A new approach for the validation based on the probabilistic properties of the integer ambiguity estimation

2002-2003 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe

Option-implied Higher-order Co-moments: Extraction, Analysis and Trading Strategy

在多资产投资组合的分析框架中,除单资产的收益及波动率等高阶矩外,协偏度以及协峰度等高阶协矩亦是不可忽视的系统性风险度量。本文借鉴Bakshi等(2003)等文献的研究框架,利用台湾期权市场数据提取隐含高阶总矩、隐含协矩和隐含特质矩,探讨其各自对相关已实现矩的预测效果;并进一步构建协矩交易策略。结果表明:相较偏度及峰度,隐含波动率与实际波动率走势及统计特征均更为一致。协偏度、协峰度的波动相比协方差要剧烈得多。引入多市场信息的预测效果要优于单独采用某一市场信息的效果。协矩交易策略方面:历史矩与隐含矩信息在组合构建的差异主要体现在偏度与峰度等更高阶矩上。历史协方差与协偏度在市场趋稳时期表现相对较佳;隐含协矩的优势在于策略构建的稳健性更好。期权市场信息的有效反映取决于市场的成熟、演进及交易活跃度的提升。In multi-asset portfolio analysis framework, in addition to the single asset returns and volatility of such moments, the higher-order co-moments such as co-skewness and co-kurtosis are also systemic risk measure which cannot be ignored. In Bakshi etc. （2003） and other scholars＇ research framework, this paper extracts implied high-order total moments, implied co-moments and idiosyncratic moments with Taiwan options market data. This paper inspects their characteristic differences, discusses their respective prediction effect of related realized moments, and then builds co-moments trading strategies. The research results indicate that： In comparison of skewness and kurtosis, the tendency and statistical characteristics of the implied volatility and the actual volatility are more consistent. The fluctuation of co-skewness and co-kurtosis is much more severe than covariance. Co-moments trading strategies： The differences of historical moments and implied moments mainly reflecte in the higher-order co-moments such as co-skewness and co-kurtosis. The historical eovariance and coskewness strategies perform better in stabilization period. The advantage of implied co-moments is their robustness in trading strategies. The effective reflection of options market information depends on the market＇ s matures, evolution and ascension of trading activity.国家自然科学基金面上项目“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161)；国家自然科学基金面上项目“波动率微笑:隐含信息与动态建模”(71471155)资助

Propagated error analysis of digital elevation models generated by bi-cubic hermite interpolation methods

2013-2014 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe

A Study on the methods for pairs trading based on costationarity and its application

配对交易是一种自开发就一直被广泛运用的投资策略。配对交易的核心思想是股票价差的均值回复收敛，通过构建配对股票对的多空头寸，等待股票价差回复均值从而赚取收益。这种对冲机制能有效规避投资的系统性风险，使其在市场表现不好的时候仍能获得明显的正收益。国外市场对配对交易的研究较深，各种复杂的模型不断涌现，但是国内对配对交易的研究起步较晚。本文介绍了一种新颖的协平稳法应用于国内的股票市场，该方法允许协整系数随时间而有所变化，从而可以更好的捕捉协整系数，使得价差序列更接近于真实曲线，获得更好的收益。同时本文还对这种方法从两个方面进行了优化，一是通过聚类减少协平稳解的重复性，二是采用GARCH模型来估计动态的...Pairs trading is an investment strategy that has been widely used since its development. Pairs trading strategy earn the income by construct the long short positions in stocks pair to wait for stock spreads to converge. This hedge mechanism can effectively a-void the systemic risk of investment, so when the market downturn in the overall period it is still able to get a more stable income. Foreig...学位：应用统计硕士院系专业：经济学院_应用统计硕士学号：1542013115204