A combined model based on principal components analysis (PCA) and generalized regression neural network (GRNN) was adopted to forecast electricity price in day-ahead electricity market. PCA was applied to mine the mai...A combined model based on principal components analysis (PCA) and generalized regression neural network (GRNN) was adopted to forecast electricity price in day-ahead electricity market. PCA was applied to mine the main influence on day-ahead price, avoiding the strong correlation between the input factors that might influence electricity price, such as the load of the forecasting hour, other history loads and prices, weather and temperature; then GRNN was employed to forecast electricity price according to the main information extracted by PCA. To prove the efficiency of the combined model, a case from PJM (Pennsylvania-New Jersey-Maryland) day-ahead electricity market was evaluated. Compared to back-propagation (BP) neural network and standard GRNN, the combined method reduces the mean absolute percentage error about 3%.展开更多
Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR p...Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.展开更多
The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distributi...The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.展开更多
A growing consumer price is creating instability in the macroeconomic environment and hinders the consumption level of especially the poor society.This paper then explored the major causes of such increasing consumer ...A growing consumer price is creating instability in the macroeconomic environment and hinders the consumption level of especially the poor society.This paper then explored the major causes of such increasing consumer prices using Ethiopian cases.Using data from the National Bank of Ethiopia from 1982/1983 to 2019/2020,it condensed the information of monetary sector,external sector and fiscal sector variables to a small set to estimate the causes of Ethiopian consumer price hiking using the ARDL model.The factors determining consumer price differ from food to non-food.The most important factors determining food price are price expectation and fiscal factors.On the other hand,the main determinant of non-food consumer prices is the fiscal factor.The author also found evidence of fiscal factors and price expectation effects on general consumer prices.Therefore,to contain the rise in consumer prices,it needs to exercise conservative fiscal stances,which require minimizing deficit financing,reducing the import tax rate and reducing domestic indirect tax rates such as excise tax and value added tax on basic consumer goods and services.Moreover,sound government policies are essential to address inflation anticipations(providing information for society about the future of inflation)to change public opinion.展开更多
Impacts of the minimum purchase price policy for grain on the planting area of rice in Hubei Province were analyzed based on a mixed linear model.After the indicator system containing the minimum purchase price policy...Impacts of the minimum purchase price policy for grain on the planting area of rice in Hubei Province were analyzed based on a mixed linear model.After the indicator system containing the minimum purchase price policy and other factors influencing the planting area of rice was constructed,principal component analysis of the system was conducted,and then a mixed linear model where the planting area of rice was as the dependent variable was established.The results show that after the exclusion of the interference from other factors,the minimum purchase price policy for grain had a positive impact on the planting area of rice in Hubei Province.That is,the minimum purchase price policy significantly stimulated the growth of rice planting area in Hubei Province.展开更多
基金Project(70671039) supported by the National Natural Science Foundation of China
文摘A combined model based on principal components analysis (PCA) and generalized regression neural network (GRNN) was adopted to forecast electricity price in day-ahead electricity market. PCA was applied to mine the main influence on day-ahead price, avoiding the strong correlation between the input factors that might influence electricity price, such as the load of the forecasting hour, other history loads and prices, weather and temperature; then GRNN was employed to forecast electricity price according to the main information extracted by PCA. To prove the efficiency of the combined model, a case from PJM (Pennsylvania-New Jersey-Maryland) day-ahead electricity market was evaluated. Compared to back-propagation (BP) neural network and standard GRNN, the combined method reduces the mean absolute percentage error about 3%.
基金The National Natural Science Foundation of China (No.70671025)
文摘Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.
文摘The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.
文摘A growing consumer price is creating instability in the macroeconomic environment and hinders the consumption level of especially the poor society.This paper then explored the major causes of such increasing consumer prices using Ethiopian cases.Using data from the National Bank of Ethiopia from 1982/1983 to 2019/2020,it condensed the information of monetary sector,external sector and fiscal sector variables to a small set to estimate the causes of Ethiopian consumer price hiking using the ARDL model.The factors determining consumer price differ from food to non-food.The most important factors determining food price are price expectation and fiscal factors.On the other hand,the main determinant of non-food consumer prices is the fiscal factor.The author also found evidence of fiscal factors and price expectation effects on general consumer prices.Therefore,to contain the rise in consumer prices,it needs to exercise conservative fiscal stances,which require minimizing deficit financing,reducing the import tax rate and reducing domestic indirect tax rates such as excise tax and value added tax on basic consumer goods and services.Moreover,sound government policies are essential to address inflation anticipations(providing information for society about the future of inflation)to change public opinion.
基金Supported by the Humanities and Social Sciences Foundation for Young Scholars of Ministry of Education of China(11y3jc630197)
文摘Impacts of the minimum purchase price policy for grain on the planting area of rice in Hubei Province were analyzed based on a mixed linear model.After the indicator system containing the minimum purchase price policy and other factors influencing the planting area of rice was constructed,principal component analysis of the system was conducted,and then a mixed linear model where the planting area of rice was as the dependent variable was established.The results show that after the exclusion of the interference from other factors,the minimum purchase price policy for grain had a positive impact on the planting area of rice in Hubei Province.That is,the minimum purchase price policy significantly stimulated the growth of rice planting area in Hubei Province.
