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Grey-Box Methods in Forecasting Financial Markets 预测金融市场的灰盒方法
Pub Date : 2014-05-12 DOI: 10.2139/ssrn.2359057
J. Sørlie
We first present methods of data analysis in defining stochastic mathematical models suitable for use in forecasting financial markets. With the purpose of multi-period portfolio selection via model predictive control, we focus on input-output model structures. By capturing cause-and-effect dynamic behaviors these models exhibit improved fidelity in simulation. Second we present a probabilistic approach for augmenting the identified models with auxiliary speculative/subjective information derived from analyst and regulatory reports. The technique is an application of the Kalman filter and can be interpreted as a logical extension — to a multi-period framework — of the well-known single-period Black-Litterman approach from portfolio optimization.
我们首先提出了数据分析的方法,以定义适合用于预测金融市场的随机数学模型。以模型预测控制的多周期投资组合选择为目的,重点研究了输入-输出模型结构。通过捕获因果动态行为,这些模型在模拟中表现出更高的保真度。其次,我们提出了一种概率方法,用来自分析师和监管报告的辅助推测/主观信息来增强已确定的模型。该技术是卡尔曼滤波的一种应用,可以解释为投资组合优化中著名的单周期Black-Litterman方法的逻辑扩展-到多周期框架。
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引用次数: 0
The Accounting Properties of Economic Events (Part I: A Network Perspective) 经济事件的会计属性(第一部分:网络视角)
Pub Date : 2012-07-23 DOI: 10.2139/ssrn.2041156
K. R. Pertsemlidis
Accounting is studied in this paper as an evolving artificial language that enables economic agents to manipulate symbolically networks of economic events. Expenditures, expenses, revenues, and cash flows are classes of processes, called actions, which affect the reservoirs of agents’ economic interests, called accounts: physical assets, financial assets, financial liabilities, and earnings. While the independence of actions (causes) from accounts (effects) is widely adopted by accounting scholars, it is systematically violated in all accounting databases. While the structural coupling of physical actions (expenditures, expenses, and revenues) with financial actions (cash flows) is widely discussed by scholars, it remains obscured. Finally, this paper discloses the compositionality of accounting transactions, i.e., the hierarchical structure {flow, [action, (credited account, debited account)]}, which automates the syntactic/semantic control of accounting data and reduces auditing to only pragmatic relevance. These three properties constitute an accounting theory that explains all paradoxes of the current double-entry theory of financial statements and resolves the debates on the causes of the nonarticulation of accounting information that undermines the consensus on the Conceptual Framework. In Part II, this theory is mathematically formalized for making the recording, reporting, and econometrics of complex empirical facts efficient and effective.
本文将会计作为一种不断发展的人工语言进行研究,它使经济主体能够操纵经济事件的象征性网络。支出、费用、收入和现金流是过程的类别,称为行为,它们影响代理人的经济利益储存库,称为账户:实物资产、金融资产、金融负债和收益。虽然行为(因)独立于结果(果)被会计学者广泛采用,但在所有会计数据库中,这一原则都被系统地违反了。虽然物理行为(支出、费用和收入)与财务行为(现金流)的结构耦合被学者们广泛讨论,但它仍然模糊不清。最后,本文揭示了会计交易的组合性,即层次结构{flow, [action,(贷方账户,借方账户)]},它自动化了会计数据的语法/语义控制,并将审计减少到仅与语用相关。这三个属性构成了一个会计理论,它解释了当前财务报表复式记账理论的所有悖论,并解决了关于会计信息不清晰的原因的争论,这破坏了对概念框架的共识。在第二部分,这一理论是数学形式化的,使记录,报告和计量经济学复杂的经验事实的效率和效果。
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引用次数: 0
Six Matrix Adjustment Problems Solved by Some Fundamental Theorems on Biproportion 用双比例的几个基本定理解决了六个矩阵平差问题
Pub Date : 2011-03-16 DOI: 10.2139/ssrn.1692512
Louis de Mesnard
After defining biproportion (or RAS) rigorously, we recall two fundamental theorems: unicity of biproportion (any biproportional algorithm leads to the same solution than biproportion, which turns biproportion into a mathematical tool as indisputable than proportion), ineffectiveness of separability (premultiplying or post multiplying the initial matrix by a diagonal matrix does not change the biproportional solution) and its corollary (it is equivalent to do a separable modification of the initial matrix or to do a proportional change of each biproportional factors). We then apply these theorems to show immediately that: i) no difficulties are encountered when solving the biproportional program, particularly for the question of the exponential; ii) the equivalence between applying biproportion on coefficient matrices and on transaction matrices is obvious; iii) normalizing the initial values of the biproportional factors obviously do not change anything (even if it is not possible to normalize the final value of these factors unless normalization is scalar); iv) the gravity model is equivalent to biproportion; v) biproportion and entropy give the same result; vi) when ineffectiveness of separability do not hold, the results are different as for added information. To the total, these theorems avoid re-demonstrating most properties.
在严格定义了双比例(或RAS)之后,我们回顾了两个基本定理:双比例的唯一性(任何双比例算法都会导致与双比例相同的解,这使得双比例成为比比例无可争议的数学工具),可分性的无效性(初始矩阵与对角矩阵的预乘或后乘不会改变双比例解)及其推论(相当于对初始矩阵进行可分离修改或对每个双比例因子进行比例变化)。然后,我们应用这些定理立即证明:i)在求解双比例规划时没有遇到任何困难,特别是对于指数问题;Ii)在系数矩阵和事务矩阵上应用双比例的等价性是明显的;Iii)对双比例因子的初始值进行归一化显然不会改变任何东西(即使不可能对这些因子的最终值进行归一化,除非归一化是标量);Iv)重力模型等价于双比例;V)双比例和熵给出相同的结果;Vi)当可分性无效不成立时,添加信息的结果不同。总的来说,这些定理避免了重新证明大多数性质。
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引用次数: 3
Matriz De Insumo-Produto Para a Economia Turística Brasileira: Construção E Análise Das Relações Intersetoriais (Input-Output Matrix for the Brazilian Tourism Economy: Construction and Analysis of Intersectoral Relationships) 巴西旅游经济投入产出矩阵:部门间关系的构建和分析(巴西旅游经济投入产出矩阵:部门间关系的构建和分析)
Pub Date : 2009-10-09 DOI: 10.2139/SSRN.2410386
F. Filho, J. Guilhoto
Portuguese Abstract: Este trabalho teve como objetivo analisar as contribuicoes do turismo a economia brasileira, considerando-se a sua estrutura produtiva de 1999. Para isso, procurou-se caracterizar as relacoes intersetoriais, destacando-se os setores que compoem o segmento do turismo. Para realizacao deste trabalho, foi necessario desagregar a matriz de insumo-produto construida para o pais em setores que foram considerados turisticos e nao-turisticos. Na analise foram utilizados os indices de ligacoes de Hirschmann-Rasmussem, o campo de influencia e os indices puros de ligacoes. Os indices de ligacoes intersetoriais permitiram a identificacao dos setores-chave, considerando-se o modelo de insumo-produto aqui construido e o nivel de agregacao utilizado. Dentre os setores classificados como setores-chave, utilizando-se o conceito mais abrangente, seis foram inicialmente considerados como componentes do segmento do turismo: transporte aereo regular, transporte aereo nao-regular, agencias e organizadores de viagens, atividades auxiliares dos transportes aereos, estabelecimentos hoteleiros e outros tipos de alojamento temporario e restaurantes e outros estabelecimentos de servicos de alimentacao. Diante disso, ressalta-se a importância da implantacao de politicas e programas para promover o desenvolvimento do segmento turistico do Brasil, tendo em vista que o turismo contribui para o crescimento da economia nacional.English Abstract: This study aimed to analyze the tourism contributions to the Brazilian economy, considering the productive framework of 1999. For that, it was aimed to characterize the inter-sectors relations focusing on sectors that form the tourism segment. In order to perform this study, it was needed to share the input-output matrix constituted to the country into sectors which were considered touristy and non-touristy. In the analysis, it was used, the linkage index of Hirschmann-Rasmussem, the field of influence, the pure linkage. The linkages inter-sector indexes allowed the identification of key-sectors, considering the input-output model here developed and the level of aggregation used. Among the sectors classified as key-sectors, using the most extensive concept, six (06) were initially considered as compounds of the tourism segment: regular air transport, non-regular air transport, travel agents and agencies, supporting activities of air transport, hotels and other types of temporary accommodation, restaurants and other food establishments. In face of this, it is pointed out the importance of implementing policies and programs to promote the development of the sector of tourism in Brazil, considering that tourism contributes to the growth of the national economy.
摘要:本研究旨在分析旅游业对巴西经济的贡献,考虑到其1999年的生产结构。为此目的,我们试图描述部门间关系的特点,突出构成旅游部门的部门。为了进行这项工作,有必要将为国家建立的投入产出矩阵分解为被认为是旅游和非旅游部门的部门。在分析中使用了Hirschmann-Rasmussem结合指数、影响场和纯结合指数。考虑到这里建立的投入产出模型和使用的聚合水平,部门间联系指数允许确定关键部门。部门列为重点领域中,使用最广泛的概念,六最初被视为组件部分的旅游:航空运输,航空运输和旅游组织者不购买,机构,辅助活动的空中交通、酒店住宿和其他类型的暂时的,餐馆和其他服务机构的营养。因此,考虑到旅游业对国民经济增长的贡献,强调实施政策和计划以促进巴西旅游业发展的重要性。英文摘要:本研究旨在分析旅游业对巴西经济的贡献,考虑到1999年的生产框架。因此,它的目的是通过集中注意构成旅游部门的部门来描述部门间关系。为了进行这项研究,需要将该国的投入产出矩阵分成被认为是旅游和非旅游的部门。= =地理= =根据美国人口普查,这个县的面积为,其中土地面积为,其中土地面积为。考虑到这里所发展的投入产出模型和所使用的聚合水平,部门间指数的联系有助于确定关键部门。在行业分类的关键-sectors,使用最extensive概念,六(6)维initially认为旅游细分市场的化合物:普通非购买航空运输,航空运输,旅行社和机构,支持航空运输活动,酒店和其他类型的临时accommodation establishments,餐馆和其他食物。有鉴于此,它强调了执行促进巴西旅游业发展的政策和方案的重要性,因为旅游业有助于国民经济的增长。
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引用次数: 10
A Generalized Hypothetical Extraction Analysis 广义假设提取分析
Pub Date : 2009-01-29 DOI: 10.2139/ssrn.1350754
U. Temurshoev
We explicitly formulate (optimization) problems of finding a key sector and a key group of sectors within the framework of a hypothetical extraction method (HEM), and derive their solutions in terms of simple measures termed industries' factor worths. It is shown that the top k >= 2 sectors with the largest total contributions to some factor, in general, do not constitute the key group of k sectors, the issue which is totally ignored in the input-output linkage literature. The link to the fields of influence approach is discovered, which gives an alternative economic interpretation for the HEM problems in terms of sectors' input self-dependencies. Further, we examine how a change in an input coefficient affects the importance of an industry. The key group problem is applied to the Australian economy for factors of water use, CO2 emissions, and generation of profits and wages.
我们在假设的提取方法(HEM)框架内明确提出(优化)寻找关键部门和关键部门组的问题,并根据称为行业要素价值的简单度量推导出其解决方案。结果表明,对某一要素贡献总量最大的前k >= 2个部门一般不构成k个部门的关键群体,这一问题在投入产出联动文献中完全被忽略。发现了与影响领域的联系方法,这为部门投入自我依赖方面的HEM问题提供了另一种经济解释。进一步,我们研究了投入系数的变化如何影响行业的重要性。关键群体问题适用于澳大利亚经济的水的使用,二氧化碳排放的因素,并产生利润和工资。
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引用次数: 1
Individual Earnings, International Outsourcing and Technological Change 个人收入、国际外包与技术变革
Pub Date : 2008-04-01 DOI: 10.2139/ssrn.1313811
Chiara Broccolini, Alessia Lo Turco, A. Presbitero, S. Staffolani
The aim of this paper is to empirically evaluate the relative effects of international outsourcing of materials and services and of ICT capital deepening on wage inequality between blue and white collars in the Italian manufacturing industry during the period 1985-1999. We merge an administrative data set on workers' wages and individual characteristics with data on imported inputs from Italian input-output tables and other sector-level variables. Our results con firm that both material and service outsourcing widen the skilled/unskilled wage gap while ICT capital deepening positively affects real wages regardless of the worker's status. However, important differences emerge when the overall sample is split between traditional and innovative sectors.
本文的目的是实证评估材料和服务的国际外包和信息通信技术资本深化对1985-1999年期间意大利制造业蓝领和白领工资不平等的相对影响。我们将有关工人工资和个人特征的行政数据集与来自意大利投入产出表和其他部门层面变量的进口投入数据合并在一起。我们的研究结果证实,材料外包和服务外包都扩大了熟练/非熟练工资差距,而ICT资本深化对实际工资的影响是积极的,无论工人的地位如何。然而,当整个样本被划分为传统和创新部门时,重要的差异就出现了。
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引用次数: 4
Indirect Effects - A Formal Definition and Degrees of Dependency as an Alternative to Technical Coefficients 间接影响——作为技术系数替代的正式定义和依赖程度
Pub Date : 2005-05-23 DOI: 10.2139/ssrn.1691468
F. Coppens
The use of input-output analysis for the computation of secondary effects of final demand changes is well-known. These 'final demand effects' can be calculated using technical coefficients and the inverse of the Leontief matrix. This paper offers an alternative to the use of technical coefficients. Its goal is threefold. First of all degrees of dependency are defined and it is shown how they can be used to compute secondary effects. Their definition is based on an input-output table. Secondly the concept of secondary effects is extended to what is called indirect effects. These indirect effects are not only related to final demand but to total industry output. It is shown how these indirect effects can be calculated using technical coefficients or degrees of dependency. The method used is a variant of the so-called Hypothetical Extraction Methods. Double counting is avoided, as such the resulting multipliers are 'net multipliers'. It is formally demonstrated that technical coefficients and degrees of dependency give the same results when a recent input-output table is available. If this is not the case then the results are different. It is impossible to say which of the two estimates is better. Since technical coefficients are already broadly accepted, some examples are given to justify the use of degrees of dependency. Finally it is explained how the unavailability of an input-output table can be solved. Starting from the supply-use tables a 'quick and dirty method' to infer an input-output table is provided. This topic is justified by the fact that for Belgium input-output tables are only published for those years that are divisible by five, with a three year lag. A short empirical analysis, based on currently available data, shows that technical coefficients and degrees of dependency have comparable performance, with a slight advantage for the technical coefficients. This performance is measured relative to a 'right' result, being the indirect effects for the year 2000 computed using the now available input-output table for the year 2000. This result is called 'right' because it does not make any assumptions on stability of technical coefficients nor of degrees of dependency. The empirical analysis also compares the use of a recent supply-use table to the use of an old input-output table. Supply-use tables on average overestimate the 'right' result. They are however often closest to the 'right' result at the first level. Since these conclusions are based on limited data further analysis is required as more data becomes available.
使用投入产出分析来计算最终需求变化的二次效应是众所周知的。这些“最终需求效应”可以使用技术系数和Leontief矩阵的逆来计算。本文提供了一种替代技术系数的方法。它的目标有三个。首先定义了所有的依赖程度,并展示了如何使用它们来计算次要效应。它们的定义基于一个输入输出表。其次,次要效应的概念扩展到所谓的间接效应。这些间接影响不仅与最终需求有关,而且与工业总产出有关。它显示了如何使用技术系数或依赖程度来计算这些间接影响。所使用的方法是所谓的假设提取方法的一种变体。避免重复计算,因此产生的乘数是“净乘数”。正式证明了技术系数和依赖程度在最近的投入产出表可用时给出相同的结果。如果不是这样,那么结果就不同了。很难说这两种估计中哪一种更好。由于技术系数已被广泛接受,因此给出了一些例子来证明使用依赖程度是合理的。最后解释了如何解决输入输出表不可用的问题。从供应-使用表开始,提供了一种“快速而简单的方法”来推断输入-输出表。比利时的投入产出表只公布那些能被5整除的年份,滞后三年,这一事实证明了这个主题的合理性。基于现有数据的简短实证分析表明,技术系数和依赖程度具有相当的性能,技术系数略有优势。这种表现是相对于“正确”的结果来衡量的,即使用现有的2000年投入产出表计算2000年的间接影响。这个结果被称为“正确的”,因为它没有对技术系数的稳定性和依赖程度做任何假设。实证分析还比较了使用最近的供应-使用表和使用旧的投入-产出表。供应-使用表平均高估了“正确”的结果。然而,他们往往是最接近“正确”的结果在第一级。由于这些结论是基于有限的数据,因此需要在获得更多数据后进行进一步分析。
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引用次数: 88
Technology Coefficients in the Indian Economy: A Comparative Input-Output Analysis between Nominal and Real Coefficients 印度经济中的技术系数:名义系数与实际系数的投入产出比较分析
Pub Date : 1900-01-01 DOI: 10.2139/ssrn.2705329
A. Tandon, Shahid Ahmed
The use of constant price Input-Output (I-O) models is based on a widely accepted ex-ante notion without a strong empirical analysis. The present paper contributes by filling the research gap with regards to a comparison of nominal and real technology coefficients of India for the latest year 2007-08. In addition, the paper recognizes use of separate price indices for sectoral output and domestic supply. The deflation methodology makes use of specific deflators for inter-industry transactions.The results show structural changes for exports and imports in real terms, as compared with the corresponding nominal shares. Comparison of the nominal and real technology coefficients for individual sectors is revealing, particularly for the energy commodities. The paper validates the hypothesis that nominal and real I-O flows show significantly different production technologies with wide variations across sectors of the economy. Lower input coefficients, in real terms, can be resource saving for the downstream industries. At the same time, higher input coefficients indicate stronger backward linkages from the input providing upstream industries. This can have significant implications on energy requirements of the economy.
不变价格投入产出(I-O)模型的使用是基于一个被广泛接受的事前概念,而没有强有力的实证分析。本文通过比较2007-08年印度的名义和实际技术系数来填补研究空白。此外,该文件承认对部门产出和国内供应使用单独的价格指数。通货紧缩方法对行业间交易使用特定的通货紧缩指数。结果显示,与相应的名义份额相比,实际出口和进口的结构性变化。对个别行业的名义和实际技术系数进行比较可以揭示问题,特别是对能源大宗商品而言。本文验证了一个假设,即名义和实际I-O流动在经济部门之间表现出显著不同的生产技术和广泛的差异。按实际价值计算,较低的投入系数可以为下游行业节省资源。同时,投入系数越高,表明上游产业的投入提供的反向联系越强。这可能对经济的能源需求产生重大影响。
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引用次数: 1
期刊
ERN: Input-Output Models (Topic)
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