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Saddlepoint approximations for studentized compound Poisson sums with no moment conditions in audit sampling

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Science China Mathematics 2010年第12期53卷 3131-3138页

作者： ZHOU GuoLiang 1 & ZHOU Wang 2, 1 institute of Accounting and finance, Shanghai university of finance and Economics, Shanghai 20043., China 2 Department of Statistics and Applied Probability, National university of Singapore, Singapore 117546, Singapore 1. institute of Accounting and finance Shanghai University of Finance and Economics Shanghai 200433 China2. Department of Statistics and Applied Probability National University of Singapore Singapore 117546 Singapore

Saddlepoint approximations for the studentized compound Poisson sums with no moment conditions in audit sampling are derived. This result not only provides a very accurate approximation for studentized compound Poisson sums, but also can be applied much more widely in statistical inference of the error amount in an audit population of accounts to check the validity of financial statements of a firm. Some numerical illustrations and comparison with the normal approximation method are presented.

关键词： saddlepoint approximation Laplace approximation self-normalized compound Poisson sum stu- dentized compound Poisson sum

全面注册制下跟投制度完善研究——基于新股定价、后市表现及解禁效应的视角

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证券市场导报 2024年第9期 14-23页

作者：西部证券—中央财经大学课题组李锋宋顺林西部证券股份有限公司陕西西安710004 中央财经大学会计学院北京100081

本文以注册制改革为背景,深入探究跟投制度对新股定价、新股后市表现的影响以及跟投制度的解禁效应。研究发现:(1)跟投制度会显著降低新股定价,跟投比例越高,新股上市首日收益率和IPO抑价率越高;(2)跟投制度能显著提高IPO公司上市后业绩... 详细信息

本文以注册制改革为背景,深入探究跟投制度对新股定价、新股后市表现的影响以及跟投制度的解禁效应。研究发现:(1)跟投制度会显著降低新股定价,跟投比例越高,新股上市首日收益率和IPO抑价率越高;(2)跟投制度能显著提高IPO公司上市后业绩,跟投比例越高,新股后市表现越好;(3.跟投比例越高,越可能吸引有博彩倾向的散户投资者,形成投机泡沫,而随着解禁期到来,可交易股票供给增加,投机泡沫破裂,累积异常收益率、异常波动率和异常交易量都将降低。本研究为全面注册制背景下进一步优化跟投制度提供了经验证据。

关键词：跟投制度新股定价后市表现解禁效应

Jackknifed random weighting for Cox proportional hazards model

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Science China Mathematics 2012年第4期55卷 775-786页

作者： LI Xiao 1 ,WU YaoHua 2,& TU DongSheng 1 1 Cancer Research institute,Queen’s university,Kingston,Ontario K 7L 3.6,Canada 2 Department of finance and Statistics,university of Science and Technology of China,Hefei 23.026,China 1. Cancer Research institute Queen’s University Kingston Ontario K7L 3N6 Canada2. Department of Finance and Statistics University of Science and Technology of China Hefei 230026 China

The Cox proportional hazards model is the most used statistical model in the analysis of survival time ***,a random weighting method was proposed to approximate the distribution of the maximum partial likelihood estimate for the regression coefficient in the Cox *** method was shown not as sensitive to heavy censoring as the bootstrap method in simulation studies but it may not be second-order accurate as was shown for the bootstrap *** this paper,we propose an alternative random weighting method based on one-step linear jackknife pseudo values and prove the second accuracy of the proposed *** Carlo simulations are also performed to evaluate the proposed method for fixed sample sizes.

关键词： Cox proportional hazards model jackknife random weighting second-order accuracy simulations survival data

RMB Exchange Market Pressure and Central Bank Exchange Market Intervention

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China & World Economy 2009年第3期17卷 75-92页

作者： Xiaohui Liu Jing Zhang Lecturer,Chinese finance Research institute,Southwestern university of finance and Economics,Chengdu,China. Lecturer,finance Department,Southwestern university of finance and Economics,Chengdu,China. Lecturer Chinese Finance Research Institute Southwestern University of Finance and Economics Chengdu China.

The present paper uses the model-dependent and the modeL independent approach to measure the RMB exchange market pressure （EMP） and the central bank＇s intervention using monthly data from January 1999 to June 2008. It is determined that the RMB has been under great appreciation pressure over the past decade. However, the pressure has been weakening since 2005. The two approaches provide significantly different results in terms of the estimated RMB EMP indices and the estimated central bank＇s interventions. The differences may lead to different predietions of potential currency crises. According to the estimation of the RMB EMP, and based on the model-independent approach, the paper shows that China has been under threat of an appreciation currency crisis since 2008. Therefore, China should adopt a moreflexible exchange rate regime to prevent a potential crisis.

关键词： exchange market intervention exchange market pressure model-dependent approach model-independent approach

A local probability exponential inequality for the large deviation of an empirical process indexed by an unbounded class of functions and its application

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Science China Mathematics 2004年第6期47卷 821-830页

作者： ZHANG DixinDepartment of finance, Business School, Nanjing university, Nanjing 210093. China 1. Department of finance Business School Nanjing University 210093 Nanjing China

A local probability exponential inequality for the tail of large deviation of an empirical process over an unbounded class of functions is proposed and studied. A new method of truncating the original probability space and a new symmetrization method are given. Using these methods, the local probability exponential inequalities for the tails of large deviations of empirical processes with non-i.i.d. independent samples over unbounded class of functions are established. Some applications of the inequalities are discussed. As an additional result of this paper, under the conditions of Kolmogorov theorem, the strong convergence results of Kolmogorov on sums of non-i.i.d. independent random variables are extended to the cases of empirical processes indexed by unbounded classes of functions, the local probability exponential inequalities and the laws of the logarithm for the empirical processes are obtained.

关键词： empirical process large deviation unbounded class of functions local probability exponential inequality

Asymptotics of discounted aggregate claims for renewal risk model with risky investment

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Applied Mathematics(A Journal of Chinese Universities) 2010年第2期25卷 209-216页

作者： JIANG Tao School of finance, Zhejiang Gongshang university, Hangzhou 3.0018, China School of finance Zhejiang Gongshang University Hangzhou China

Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references.

关键词： Discounted aggregate claims ruin probability within finite horizon renewal risk model risky investment subexponential class.

Entropy correction of charged black hole via fermions tunneling beyond semi-classical approximation

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Science China(Physics,Mechanics & Astronomy) 2010年第1期53卷 116-121页

作者： ZENG XiaoXiong 1 , LI Ling 2 & HU XinYun 3.1 Journal of Sichuan university of Arts and Science, Dazhou 63.000, China 2 Department of Maths and finance-Economics, Sichuan university of Arts and Science, Dazhou 63.000, China 3.Library of Sichuan university of Arts and Science, Dazhou 63.000, China 1. Journal of Sichuan university of Arts and Science Dazhou 635000 China2. Department of Maths and Finance-Economics Sichuan University of Arts and Science Dazhou 635000 China3. Library of Sichuan University of Arts and Science Dazhou 635000 China

Motivated by the idea of tunneling beyond semi-classical approximation of Majhi et al., we discuss entropy correction of Dirac particles tunneling from the Reissner-Nordstrm black hole with a global monopole. To get the corrections correctly, we regard the proportionality constants of quantum correction terms to the semi-classical term of action as the inverse of the square of the Planck Length but not that of the Planck Mass. Our study shows that corrections to the Bekenstein-Hawking entropy, namely the logarithmic term and the inverse area term, may be reproduced as the quantum effect is considered.

关键词： fermions tunneling black hole entropy correction

Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails

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Science China Mathematics 2005年第3期48卷 300-306页

作者： JIANG Tao & CHEN Yiqing School of finance. Nanjing university of finance and Economics, Nanjing 210003. China School of Economics and Management, Guangdong university of Technology, Guangzhou 510090, China 1. School of finance Nanjing University of Finance and Economics 210003 Nanjing China 2. School of Economics and Management Guangdong University of Technology 510090 Guangzhou China

Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model.

关键词： geometric sums, heavy-tailed distribution, ladder height, the equilibrium renewal model, the ruin probability.

Checking for normality in linear mixed models

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Science China Mathematics 2012年第4期55卷 787-804页

作者： WU Ping 1,,ZHU LiXing 2,3.& FANG Yun 4 1 School of finance and Statistics,East China Normal university,Shanghai 200241,China 2 School of Statistics and Mathematics,Yunnan university of finance and Economics,Yunnan 650221,China 3.The Department of Mathematics,Hong Kong Baptist university,Hong Kong 999077,China 4 Mathematics and Science College,Shanghai Normal university,Shanghai 20023.,China 1. School of finance and Statistics East China Normal University Shanghai 200241 China2. School of Statistics and Mathematics Yunnan University of Finance and Economics Yunnan 650221 China3. The Department of Mathematics Hong Kong Baptist University Hong Kong 999077 China4. Mathematics and Science College Shanghai Normal University Shanghai 200234 China

Linear mixed models are popularly used to fit continuous longitudinal data, and the random effects are commonly assumed to have normal distribution. However, this assumption needs to be tested so that further analysis can be proceeded well. In this paper, we consider the Baringhaus-Henze-Epps-Pulley （BHEP） tests, which are based on an empirical characteristic function. Differing from their case, we consider the normality checking for the random effects which are unobservable and the test should be based on their predictors. The test is consistent against global alternatives, and is sensitive to the local alternatives converging to the null at a certain rate arbitrarily close to 1/V~ where n is sample size. ^-hlrthermore, to overcome the problem that the limiting null distribution of the test is not tractable, we suggest a new method： use a conditional Monte Carlo test （CMCT） to approximate the null distribution, and then to simulate p-values. The test is compared with existing methods, the power is examined, and several examples are applied to illustrate the usefulness of our test in the analysis of longitudinal data.

关键词： linear mixed models estimated best linear unbiased predictors BHEP tests conditional MonteCarlo test