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A New Estimator of Covariance Matrix via Partial Iwasawa Coordinates

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Journal of Systems Science & Complexity 2017年第5期30卷 1173-1188页

作者： XU Kai school of Statistics and Management Shanghai University of Finance and EconomicsShanghai 200433China

This paper is concerned with tile proOlenl or improving hue ~lma^u~ u~ under Stein＇s loss. By the partial Iwasawa coordinates of covariance matrix, the corresponding risk can be split into three parts. One can use the information in the weighted matrix of weighted quadratic loss to improve one part of risk. However, this paper indirectly takes advantage of the information in the sample mean and reuses Iwasawa coordinates to improve the rest of risk. It is worth mentioning that the process above can be repeated. Finally, a Monte Carlo simulation study is carried out to verify the theoretical results.

关键词： Covariance matrix James-Stein estimator partial Iwasawa coordinates Stein's loss weighted quadratic loss

Preventing Recommendation Attack in Trust-Based Recommender Systems

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Journal of Computer Science & Technology 2011年第5期26卷 823-828页

作者：张富国 school of Information and Technology Jiangxi University of Finance and Economics Institute of Information Resource Management Jiangxi University of Finance and Economics Jiangxi Key Laboratory of Data and Knowledge Engineering Jiangxi University of Finance and Economics

Despite its success,similarity-based collaborative filtering suffers from some limitations,such as scalability,sparsity and recommendation *** work has shown incorporating trust mechanism into traditional collaborative filtering recommender systems can improve these *** argue that trust-based recommender systems are facing novel recommendation attack which is different from the profile injection attacks in traditional recommender *** the best of our knowledge,there has not any prior study on recommendation attack in a trust-based recommender *** analyze the attack problem,and find that ＂victim＂ nodes play a significant role in the ***,we propose a data provenance method to trace malicious users and identify the ＂victim＂ nodes as distrust users of recommender *** study of the defend method is done with the dataset crawled from Epinions website.

关键词： data lineage "victim" node attack trust propagation

The Ruin Probability in the Presence of Extended Regular Variation and Optimal Investment

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Acta Mathematicae Applicatae Sinica 2008年第4期24卷 649-654页

作者： Li Wei school of finance Renmin University of China Beijing 100872 China

Considering the classical model with risky investment, we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index. For claim sizes with common distribution of extended regular variation, starting from an integro-differential equation for the maximal survival probability, we find that the corresponding ruin probability as a function of the initial surplus is also extended regular variation.

关键词： Classical risk model extended regular variation optimal investment strategy ruin probability

Truncated series solutions to the(2+1)-dimensional perturbed Boussinesq equation by using the approximate symmetry method

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Chinese Physics B 2018年第10期27卷 123-129页

作者： Xiao-Yu Jiao school of Applied Mathematics Nanjing University of Finance and EconomicsNanjing 210046China

In this paper, the（2＋1）-dimensional perturbed Boussinesq equation is transformed into a series of two-dimensional（2 D） similarity reduction equations by using the approximate symmetry method. A step-by-step procedure is used to acquire Jacobi elliptic function solutions to these similarity equations, which generate the truncated series solutions to the original perturbed Boussinesq equation. Aside from some singular area, the series solutions are convergent when the perturbation parameter is diminished.

关键词： approximate symmetry method (2+1)-dimensional perturbed Boussinesq equation series solutions convergence of series solutions

Spatial impact of digital finance on carbon productivity

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Geoscience Frontiers 2024年第3期15卷 358-372页

作者： Huaping Sun Tingting Chen Christoph Nedopil Wang school of finance and Economics Jiangsu UniversityZhenjiangChina school of Economics and Management University of Science and Technology BeijingBeijingChina Fanhai International school of finance Fudan UniversityShanghaiChina

Low carbon productivity has been identified as a key direction for China’s future *** an important driving force for economic growth,the question of whether digital finance that is reliant on digital technology can support the development of a low-carbon urban economy remains *** on the carbon productivity measured by panel data from 201 cities for the period 2011-2020,this study applies the spatial Dubin model and threshold regression model to explore the impact of digital finance on carbon productivity,yielding the following key ***,the spatial distribution heterogeneity of carbon productivity in China’s eastern region is higher than that in the western region,and both productivity and digital finance are characterized by high(low)-high(low)dotted spatial ***,digital finance can significantly improve carbon productivity via two transmission channels:the human capital and marketization *** the same time,digital finance exerts a spatial spillover effect on carbon productivity,and rising local digital finance levels will increase carbon productivity in neighboring *** analysis indicates that the spillover effect of digital finance in urban agglomerations and eastern regions is more ***,fixed-asset investment has a positive nonlinear moderating effect on digital finance,thus improving carbon *** the per capita investment in fixed assets does not exceed 682.73 yuan,digital finance exerts only a limit pulling effect on carbon productivity;when it is higher than this value,the pulling effect is intensified.

关键词： Digital finance Carbon productivity Spatial spillover effect Fixed-asset investment Spatial heterogeneity

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 Department of finance Business School Nanjing University 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

Modeling the COVID-19 Pandemic Dynamics in Iran and China

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Computers, Materials & Continua 2021年第5期67卷 2111-2122页

作者： Jin Zhao Zubair Ahmad Zahra Almaspoor school of finance Shanghai Lixin University of Accounting and FinanceShanghaiChina Department of Statistics Yazd UniversityYazdIran

The epidemic outbreak COVID-19 was rst detected in the Wuhan city of China and then spread *** is of great interest to the researchers for its high rate of infection spread and its signicant number of fatalities.A detailed scientic analysis of this phenomenon is yet to ***,it is of interest of governments and other responsible institutions to have the right facts and gures to take every possible necessary action such as an arrangement of the appropriate quarantine activities,estimation of the required number of places in hospitals,assessment of the level of personal protection,and calculating the rate of isolation of infected persons,among *** this article,we compare the COVID-19 pandemic dynamics between the two most affected Asian countries Iran and China's *** provide a convenient method of data comparison that can be helpful for both governmental and private organizations to arrange the appropriate quarantine ***,a statistical model is suggested to provide the best characterization of the COVID-19 daily deaths data of Iran and *** analyzing daily death events,we observed that the proposed model provides a better description of the COVID-19 events,and therefore,can be used as a good candidate model for predicting them.

关键词： Coronavirus COVID-19 pandemic China Iran mathematical modeling statistical met

An Improvement to Multiple Criteria ABC Inventory Classification Using Shannon Entropy

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Journal of Systems Science & Complexity 2017年第4期30卷 857-865页

作者： ZHENG Shanshan FU Yelin LAI Kin Keung LIANG Liang school of Public Affairs University of Science and Technology of China Department of Industrial and Manufacturing Systems Engineering University of Hong Kong school of finance Jiangxi University of Finance and Economics International Business school Shaanxi Normal University school of Management Hefei University of Technology

This paper extends the Ng-model [Ng, 2007] for multiple criteria ABC inventory classification based upon Shannon entropy. The proposed approach determines the common weights associated with all criteria importance rankings, and provides a comprehensive scoring scheme by aggregating all rankings of the criteria importance. A numerical illustration is presented to compare the model with previous studies.

关键词： Inventory multiple criteria analysis Shannon entropy.

Modeling the Spatial-temporal Characteristics of Mutual Funds’Herd Behavior

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Journal of Systems Science and Systems Engineering 2021年第6期30卷 748-778页

作者： Rong Guan Hongjia Chen Shan Lu school of Statistics and Mathematics Central University of Finance and EconomicsBeijing 100081China

Herd behavior in financial markets often leads to unjustified macroscopic ***,despite existing studies on modeling herd behavior,how it varies across individual agents and over time remains *** show that herd behavior in mutual fund companies can be understood from the functional networks representing interactions inferred from investment ***,in this paper,the spatial characteristics of herd behavior stand for the topology relationships of observations in *** analyze the collective dynamics of mutual fund investment from 2003 to 2019 in China using the language of network science and show that herding behavior accompanies this industry's development but dwindles after the 2015 Chinese market *** integrating community detection analysis,we found an increased degree of coherence in the collective herding behavior of the system,even though the localization of herding behavior decreases for clusters of mutual fund companies when the systemic risk builds *** analysis showed that herding behavior impacts the payoff of individual fund companies differently across *** spatial-temporal changes of herding behavior between mutual funds presented in this paper shed light on the debate of individual versus systemic risk and,thus,could interest regulators and investors.

关键词： Mutual funds herding behavior complex network community detection