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2017年计算金融和大数据专题会议（Special Session on Computational Finance and Big Data）
2017年 计算金融 大数据 专题会议
2017/8/30
Big Data became a trend in research circles not for just computer science but it varies regarding the nature of data. Business, accounting, sales, security, and more subjects that not related to compu...
Surprising Comparative Properties of Monetary Models: Results from a New Model Data Base
Monetary Models consumption investment
2015/8/3
In this paper we investigate the comparative properties of empirically-estimated monetary
models of the U.S. economy. We make use of a new database of models designed for such
investigations. We foc...
Report on the State of Available Data for the Study of International Trade and Foreign Direct Investment
Trade Foreign Direct Investment Price Globalization Policy Information Intellectual Property
2015/4/23
This report, prepared for the Committee on Economic Statistics of the American Economic Association, examines the state of available data for the study of international trade and foreign direct invest...
We use highly disaggregated data on trade in capital goods to study differences in the price of capital across countries. This strategy is motivated by the fact that most countries import the bulk of ...
The fertility transition in South Africa: A retrospective panel data analysis
South Africa fertility education marriage social norms
2014/12/26
Since 1960 South Africa has seen a steep fall in fertility levels and currently the total fertility rate is the lowest on the African continent. Given the high prevailing levels of fertility in Africa...
We show that world trade network datasets contain empirical evidence that the dynamics of innovation in the world economy follows indeed the concept of creative destruction, as proposed by J.A. Schump...
Functional Coefficient Models for Economic and Financial Data
Bandwidth selection Bootstrap Capital asset pricing model Dimensionality reduction Endogeneity Functional linear process Functional varying coefficient model Generalized likelihood ratio test Instrumental variables model Local linear estimation Locally stationary model Longitudinal data Misspecification test Piecewise stationary process Structural change model Threshold model Time-varying model Trending panel
2011/4/2
This paper gives a selective overview on the functional coefficient models with their particular applications in economics and finance. Functional coefficient models are very useful analytic tools to ...
Record statistics for biased random walks, with an application to financial data
asymmetric jump distributions finite variance mechanism
2011/3/30
We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed by Majumdar and Zif...
The individual income distribution in Argentina in the period 2000-2009. A unique source of non stationary data
income distribution Argentina 2000-2009 stationary data
2010/10/20
The economic crisis in Argentina around year 2002 provides a unique opportunity for Econophysics studies. The available data on individual income are analyzed to show that they correspond to non stati...
Prolific inventors: who are they and where do they locate? Evidence from a five countries US patenting data set
Prolific inventors a five countries US patenting data set
2014/6/24
The prolific (serial) inventors set up the core of the paper. Prolific inventors tend to have a high productivity in terms of inventions ( patents) having in general more economic value. The capacity ...
Ownership of Railway Stock in France and the United States, 1840-1940: The Mystery of Missing Data and Why That Matters
Ownership of Railway Stock The Mystery of Missing Data
2010/10/11
Alfred Neymarck and Olivier Moreau-Néret published data in the late nineteenth and early twentieth century indicating that France was a ―financial democracy‖ because ownership of stock and bonds, incl...
What Causes Business Cycles? Analysis of the Japanese Industrial Production Data
Business Cycles Industrial Production Data
2010/11/3
We explore what causes business cycles by analyzing the Japanese industrial production data. The methods are spectral analysis and fac-tor analysis. Using the random matrix theory, we show that two la...
GARCH modelling in continuous time for irregularly spaced time series data
GARCH modelling continuous time irregularly spaced time series data
2010/12/17
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' conce...
芬斯阙（Feenstra）、海 闻、胡永泰、姚顺利
在讨论国际数据的差异之前，先谈一谈数据来源是很重要的。全球的贸易统计数据主要来自联合国，而联合国的数据又依赖于各个成员国公布的贸易统计数据。这些报告中明显的数据差异表现为，A国说它向B国出口的商品与服务的价值与B国所说的它从A国进口的不一致。进口国与出口国公布的这些差异不仅仅是发展中国家才有的问题，在发达国家之间这种差异也非常普遍。例如，从19...
Panel Data Analysis—Advantages and Challenges
Panel data Longitudinal data Unobserved heterogeneity Random effects Fixed effects
2011/4/2
We explain the proliferation of panel data studies in terms of (i) data availability, (ii) the more heightened capacity for modeling the complexity of human behavior than a single cross-section or tim...