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Cholesky GAS models for large time-varying covariance matrices

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Journal of Management Science and Engineering 2024年第1期9卷 115-142页

作者： Tingguo Zheng Shiqi Ye Department of Statistics and Data Science School of EconomicsXiamen UniversityXiamen361005China Wang Yanan Institute for Studies in economics Xiamen UniversityXiamen361005China Paula and Gregory Chow Institute for Studies in economics Xiamen UniversityXiamen361005China

This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices,called Cholesky generalized autoregressive score(GAS)models,which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are ***,two types of score-driven updates are considered:one is closer to the GARCH family,and the other is inspired by the stochastic volatility *** demonstrate that the models can be estimated equation-wise and are computationally feasible for high-dimensional ***,we design an equationwise dynamic model averaging or selection algorithm which simultaneously extracts model and parameter uncertainties,equipped with dynamically estimated model *** simulation results illustrate the superiority of the proposed ***,using a sizeable daily return dataset that includes 124 sectors in the Chinese stock market,two empirical studies with a small sample and a full sample are conducted to verify the advantages of our *** full sample analysis by a dynamic correlation network documents significant structural changes in the Chinese stock market before and after COVID-19.

关键词： Cholesky decomposition GAS Dynamic conditional correlations Dynamic model averaging

Embedding Tensors on 3-Hom-Lie Algebras

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Journal of Mathematical research with Applications 2024年第2期44卷 187-198页

作者： Wen TENG Jiulin JIN Yu ZHANG School of Mathematics and Statistics Guizhou University of Finance and Economics School of Science Guiyang University

In this paper, we introduce the notion of embedding tensors on 3-Hom-Lie algebras and show that embedding tensors induce naturally 3-Hom-Leibniz algebras. Moreover, the cohomology theory of embedding tensors on 3-Hom-Lie algebras is defined. As an application,we show that if two linear deformations of an embedding tensor on a 3-Hom-Lie algebra are equivalent, then their infinitesimals belong to the same cohomology class in the first cohomology group.

关键词： 3-Hom-Lie algebra embedding tensor representation cohomology deformation

Item-level Forecasting for E-commerce Demand with High-dimensional Data Using a Two-stage Feature Selection Algorithm

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Journal of Systems Science and Systems Engineering 2022年第2期31卷 247-264页

作者： Hongyan Dai Qin Xiao Nina Yan Xun Xu Tingting Tong Business School Central University of Finance and EconomicsBeijing 100081China Department of Management Operationsand MarketingCollege of Business AdministrationCalifornia State UniversityStanislausTurlockCA95382United States Institute of Supply Chain Analytics&International Business College Dongbei University of Finance and EconomicsDalian 116025China

With the rapid development of information technology and fast growth of Internet users,e-commerce nowadays is facing complex business environment and accumulating large-volume and highdimensional *** brings two challenges for demand ***,e-merchants need to find appropriate approaches to leverage the large amount of data and extract forecast features to capture various factors affecting the ***,they need to efficiently identify the most important features to improve the forecast accuracy and better understand the key drivers for demand *** solve these challenges,this study conducts a multi-dimensional feature engineering by constructing five feature categories including historical demand,price,page view,reviews,and competition for e-commerce demand forecasting on *** then propose a two-stage random forest-based feature selection algorithm to effectively identify the important features from the high-dimensional feature set and avoid *** test our proposed algorithm with a large-scale dataset from the largest e-commerce platform in *** numerical results from 21,111 items and 109 million sales observations show that our proposed random forest-based forecasting framework with a two-stage feature selection algorithm delivers 11.58%,5.81%and 3.68%forecast accuracy improvement,compared with the Autoregressive Integrated Moving Average(ARIMA),Random Forecast,and Random Forecast with one-stage feature selection approach,respectively,which are widely used in literature and *** study provides a useful tool for the practitioners to forecast demands and sheds lights on the B2C e-commerce operations management.

关键词： Forecasting e-commerce high-dimensional feature feature selection

Administrative Division Adjustment and Housing Price Comovement:Evidence from City-County Mergers in China

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China & World Economy 2022年第4期30卷 149-173页

作者： Sihan Zhang Ming-ang Zhang Weizeng Sun School of economics and Management Intelligence Accounting Research CenterBeijing Information Science and Technology UniversityChina School of Public finance and Taxation Central University of Finance and EconomicsChina School of economics Central University of Finance and EconomicsChina

Interregional housing price comovement is a stylized fact *** study explores how it is affected by administrative division *** exploit city-county mergers in China as a quasi-natural experiment to construct a difference-in-differences strategy for causal *** on monthly housing price data for districts(counties)in China from 2010 to 2019,we find that city-county mergers significantly improve correlations in housing prices between the merged county and the urban *** effect is more obvious in cities with a large economic gap between merged counties and urban districts,located in the central and western regions,and with lower administrative hierarchies(non-provincial-capital cities).The mechanism test shows that the impact of city-county mergers on housing price comovement results mainly from integrating housing demand rather than integrating housing supply,like the unified land supply policy that local government implements in the new administrative scope after *** results are helpful in understanding housing price comovement from the view of regional integration and provide clear policy implications for housing market regulation in China.

关键词： administrative division adjustment border effect city-county merger housing price comovement

Approximation Algorithms on k-Correlation Clustering

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Journal of the Operations research Society of China 2023年第4期11卷 911-924页

作者： Zhong-Zheng Tang Zhuo Diao School of Science Beijing University of Posts and TelecommunicationsBeijing100876China School of Statistics and Mathematics Central University of Finance and EconomicsBeijing100081China

In this paper,we consider the k-correlation clustering *** an edge-weighted graph G(V,E)where the edges are labeled either“+”(similar)or“−”(different)with nonnegative weights,we want to partition the nodes into at most k-clusters to maximize agreements—the total weights of“+”edges within clusters and“−”edges between *** problem is *** design an approximation algorithm with the approximation ratio{a,(2-k)a+k-1/k},where a is the weighted proportion of“+”edges in all *** a varies from 0 to 1,the approximation ratio varies from k-1/k to 1 and the minimum value is 1/2.

关键词： k-Correlation clusters Approximation algorithms Choosing the better of two solutions

A Novel Hybrid Model for Gasoline Prices Forecasting Based on Lasso and CNN

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Journal of Social Computing 2022年第3期3卷 206-218页

作者： Hu Yang Xinlu Tian Xin Jin Haijun Wang the School of Information Central University of Finance and EconomicsBeijing 100872China School of economics Beijing Wuzi UniversityBeijing 101149China

Gasoline is the lifeblood of the national *** forecasting of gasoline prices is difficult because of frequent price fluctuations,its complex nature,diverse influencing factors,and low accuracy of prediction *** studies mainly focus on forecasting gasoline prices in a single region by single time series analysis which ignores the daily price co-movement of different series from multiple *** price co-movement may contain useful information for price forecasting,this paper proposes the LassoCNN ensemble model that combines statistical models and deep neural networks to forecast gasoline *** this model,the Least Absolute Shrinkage and Selection Operator(Lasso)screens and chooses the correlated time series to enhance the performance of forecasting and avoid overfitting,while Convolutional Neural Network(CNN)takes the selected multiple series as its input and then forecasts the gasoline prices in a certain *** results of gasoline prices at the national level and regional levels by using the new method demonstrate that the new approach provides more accurate results for the predictions of gasoline prices than those results generated by alternative ***,the relevant series can enhance the performance of forecasting and help to gain better results.

关键词： gasoline prices forecasting Lasso-CNN multiple time series

State-owned Enterprises in China as Macroeconomic Stabilizers: Their Special Function in Times of Economic Policy Uncertainty

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China & World Economy 2023年第5期31卷 87-115页

作者： Mingyue Fang Rui Ruan College of economics and Management China Agricultural UniversityChina Center for China Fiscal Development Central University of Finance and EconomicsChina

China has many state-owned enterprises(SOEs)and they have accounted for a large proportion of China's GDP over the last four ***'s rapid growth contradicts literature that focuses on the inefficiency of *** study shows that,in periods of economic policy uncertainty(EPU),SOEs have performed a special function as"macroeconomic stabilizers."Using Chinese listed firm data from 2008 to 2019,we investigate five aspects of SOEs'unique functions as macroeconomic stabilizers:employment,investment,growth,financial operation,and *** EPU increased,SOEs had more employment,higher investment expenditure,lower performance volatility,more robust financial structures,and more stable expectations than private *** employ the US-China trade war as an exogenous shock on EPU to conduct a difference-in-difference-in-differences approach to mitigate the problem of potentially omitted *** findings of this study provide a new perspective to better explain the functions of SOEs in the 21st century.

关键词： China economic policy uncertainty employment investment state-owned enterprise

Multi-Period Telser's Safety-First Portfolio Selection Problem in a Defined Contribution Pension Plan

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Journal of Systems Science & Complexity 2023年第3期36卷 1189-1227页

作者： LI Fangbo WU Huiling YAO Haixiang School of Insurance Central University of Finance and EconomicsBeijing 102206China China Institute for Actuarial Science Central University of Finance and EconomicsBeijing 102206China School of finance Guangdong University of Foreign StudiesGuangzhou 510006China

This paper investigates a multi-period portfolio optimization problem for a defined contribution pension plan with Telser's safety-first *** plan members aim to maximize the expected terminal wealth subject to a constraint that the probability of the terminal wealth falling below a disaster level is less than a pre-determined number called risk control *** Tchebycheff inequality,Lagrange multiplier technique,the embedding method and Bellman's principle of optimality,the authors obtain the conditions under which the optimal strategy exists and derive the closed-form optimal strategy and value *** cases show that the obtained results in this paper can be reduced to those in the classical mean-variance ***,numerical analysis is provided to analyze the effects of the risk control level,the disaster level and the contribution proportion on the disaster probability and the value *** numerical analysis indicates that the disaster probability in this paper is less than that in the classical mean-variance model on the premise that the value functions are the same in two models.

关键词： Defined contribution pension plan dynamic programming portfolio selection optimization risk control Telser's safety-first criterion

Private banking development in China under two organizational structures:Economic analysis from an organizational innovation perspective

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Financial innovation 2023年第1期9卷 2779-2801页

作者： He Liu Yun Bai Zhiguang Huang Han Qiao Shouyang Wang School of Management Science and Engineering Central University of Finance and EconomicsBeijing 100081China Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijingChina School of economics and Management University of Chinese Academy of SciencesBeijingChina School of Entrepreneurship and Management ShanghaiTech UniversityShanghaiChina

This paper investigates optimal decisions for private banking development in China under two innovative organizational structures—the big retail mode(BRM)and the independent development mode(IDM).Under the BRM,the retail and private banking divisions form a cooperative relationship wherein the former transfers highnet-worth customers to the *** addition,retail banking receives a share of private banking *** investigate the optimal revenue-sharing ratio between the two divisions and the optimal effort by private banking to serve transferred customers within the cooperative *** analytical results show that as the private banking division becomes more developed,the optimal revenue-sharing ratio decreases,and the private banking division’s optimal effort to serve transferred customers decreases because it puts more effort into acquiring new *** the IDM,the two divisions form a competitive relationship since they compete to acquire customers *** investigate customer acquisition efforts in this interdivisional *** customer acquisition efforts by both divisions increase in potential assets and rates of *** paper contributes to the literature by(1)analyzing financial innovation by private banks from an organizational perspective;(2)providing an economic analysis for private banking development in China.

关键词： Competition Cooperation Innovative financial services Optimal banking decisions Organizational innovation Private banking