This paper proposes a modification to Minority Game (MG) by adding some agents who play majority game into MG. So it is referred to as Mix-game. Through simulations, this paper finds out that the fluctuations of local volatilities change a lot by adding some agents who play majority game into MG, but the stylized features of MG don’t change obviously except agents with memory length 1 and 2. This paper also uses mix-game to model Shanghai stock market and to do prediction about Shanghai index.

In this paper, we develop an equilibrium model for market liquidity and its impact on asset prices when constant participation in the market is costly. We show that, even when agents' trading needs are perfectly matched, costly participation prevents them from synchronizing their trades, which gives rise to the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, can lead to market crashes in absence of any aggregate shock. We also show that the lack of coordination among agents in the demand and the supply of liquidity generates negative externalities, and the loss in social welfare can out-weigh the savings on participation costs.

本文采用一种新的统计方法来检验中国股票市场的有效性，结果表明沪市和深市都尚未达到弱式有效，尽管它们的有效程度随着时间的推移有所改善。我们还发现，A股市场比B股市场有效性相对更高，但没有系统的证据显示沪深股市谁的有效性更高。与大部分研究中国股市有效性的文献不同，我们采用的检验方法适合高频金融数据的特点（如允许任意形式的波动群集的存在），因而结论更有说服力。这些实证结果，对于中国股市中股票收益的预测、资本资产定价和金融资源配置效率等问题的研究都具有重要的现实意义。

成立特定目的信托是资产证券化架构的一种非常重要的方式，在这种设计中，“证券化”是一种商业目的意义上的表述，其法律实质是一种信托关系，而证券化的资产亦即信托财产。SPT中信托财产的设立、证券化资产的法律地位任何、我国《信托法》规制下，证券化资产的地位的理论和现实等问题将在本文中加以剖析。

本文运用时间序列结构建模的方法分析了原始股发行（IPOs）市场的时间序列运动特征。研究的样本数据是1992年至2003的中国原始股发行情况的月度数据。模型主要变量包括月度原始股发行量、平均抑价率和上证100指数。实证结果显示三者之间存在显著的正相关性，但抑价率和发行量变动存在5到7个月的时滞。

This paper proposes a closed form solution for pricing an American put option on a non-dividend paying stock. An American put option grants its holder rights, but not obligation to sell a stock in a fixed price at any time up until maturity. In the past decades, there is no closed form solution for pricing American options although many people made great efforts. In this paper, an optimally early exercise strategy of an American put option on a non-dividend paying stock is set up. That is, an American put option should be early-exercised when the maximum option premium of early exercise is no less than the value of its European counterpart; otherwise, it should not be early-exercised. Based on this strategy, a series of lemmas is proposed and a closed form formula is drawn. Also, this paper shows that Merton (1973)’s formula does not do a good job for pricing perpetual American put options and shows the price of a perpetual American put option on a non-dividend paying stock is equal to the strike price.

摘要: 全球外汇市场中是否存在外汇套利，传统判断方式是识别三角套汇机会是否存在。本文将三角套汇识别推广到识别任意N种货币中是否存在套汇机会。N种货币之间的相互比价形成真实的汇率矩阵A，而汇率矩阵有一些特殊属性: 它的最大特征值lmax可以揭示是否存在套利机会，而对应特征向量 G=[g1, g2, . . gi, . . . gn]T则可以用来表示 “虚拟金本位制度”下各种货币的含金量。通过特征向量之间的对比我们可以构造出无套利（Arbitrage Free Benchmark）的基准汇率矩阵B，将真实汇率矩阵A同基准汇率矩阵B比较，可以得出价值评估矩阵C=A/B, 指明在各个外汇市场各种货币低估或高估的程度从而指出最优套汇路径。由于首次赋予了汇率矩阵的特征值和特征向量以经济学的含义，并建立了直观的套利曲面的概念，将抽象理论形象化。最后通过例子说明以上的理论及识别套利路径的方法。 关键字：外汇 汇率 套利 资产定价 JEL： F31, F37, G15

本文基于博弈论与信息经济学的框架，在Allen和Gale（1992）、Aggarwal和Wu（2002）工作的基础上，通过引入动态交易成本，理论上首次比较全面地分析了政府在防范股票市场操纵中的主要作用。首先，政府应该要求各有关主体加强真实信息的及时披露。其次，政府应该加强对交易的监控。当然，信息披露的程度和对交易监控的程度都有一个上限。最后，政府应该加强投资者教育。同时，从具体的实际情况出发并以我国市场上被操纵过股票的历史数据为样本，我们发现，高股权集中度、低换手率和低流通股本的股票容易被操纵，被操纵的时间越长则被操纵的程度越严重。

In this paper, we construct a new variance bound on any stochastic discount factor (SDF) of the form m = m(x), where x is a vector of random state variables. In contrast to the well known Hansen-Jagannathan bound that places a lower bound on the variance of m(x), our bound tightens it by a ratio of 1=½2x;m0 where ½x;m0 is the multiple correlation coefficient between x and the standard minimum variance SDF, m0. In many applications, the correlation is small, and hence our bound can be substantially tighter than Hansen-Jagannathan’s. For example, when x is the growth rate of consumption, based on Cochrane’s (2001) estimates of market volatility and ½x;m0 , the new bound is 25 times greater than the Hansen-Jagannathan bound, making it much more difficult to explain the equity-premium puzzle based on existing asset pricing models.

There are many factors that affect SMEs’ ability to borrow from bank. Based on facts and data about SMEs’ financing in Chengdu city, capital of Southwestern China’s Sichuan province, this paper is intended to investigate the factors affecting SMEs to borrow from bank by methods of empirical study. We find that whether SMEs can provide collateral or guarantee is a decisive factor, factors such as firm size, willingness to accept bank’s clauses, close relationship with bank play an important role. But in contrast to intuition, correlation analysis and regression result shows that SMEs’ financial variables such as income, net profit, asset-debt ratio and credit score is not obvious to affect their ability to get bank loan. Consistent with theory prediction and qualitative analysis, firm size is the most important factor to affect SMEs’ ability to borrow from bank. The regression results reflect information asymmetry between SMEs and banks, and that banks had taken a simple way to protect themselves.