A semantics-based model is proposed to enable weakened hedges, such as ＂more or less＂ and ＂roughly＂ in the context of linguistic multi-criteria decision making. First, the resemblance relations are defined based o...A semantics-based model is proposed to enable weakened hedges, such as ＂more or less＂ and ＂roughly＂ in the context of linguistic multi-criteria decision making. First, the resemblance relations are defined based on the semantics of terms on the domain. Then, the hedges can be represented after the upper and loose upper approximations of a linguistic term are derived. Accordingly, some compact formulae can be derived for the semantics of linguistic expressions with hedges. Parameters in these formulae are objectively determined according to the semantics of original terms. The proposed model presents a more natural way to express the decision information under uncertainties and its semantics is clear. The proposed model is clarified by solving the problem of evaluation and selection of sustainable innovative energy technologies. Computational results demonstrate that the model can deal with various uncertainties of the problem. Finally, the model is compared with existing techniques and extended to the case when the semantics of terms are represented by trapezoidal fuzzy numbers.展开更多
This paper investigates the evolutionary change in the OF(OF) of hedges in different moves of EMRAs(EMRAs).Two corpora are established for longitudinal study,with Corpus A consisting of EMRAs from 1990-1994 and Corpus...This paper investigates the evolutionary change in the OF(OF) of hedges in different moves of EMRAs(EMRAs).Two corpora are established for longitudinal study,with Corpus A consisting of EMRAs from 1990-1994 and Corpus B from 2005-2009.Generally,no significant change has been found in overall use of hedges.However,apart from move 6,7 and 10,we have found some interesting changes in the other moves.On the one hand,the OF of hedges in move 1,move 3,move 4 and move 5 shows a significant increase.On the other hand,the OF of hedges in move 2,8,9 and move 11 show a significant decrease.展开更多
The aim of the present research to explore the hedges used English business letters. Several samples have been chosen to make qualitative study in order to achieve the goal of answering the following question: what ar...The aim of the present research to explore the hedges used English business letters. Several samples have been chosen to make qualitative study in order to achieve the goal of answering the following question: what are the pragmatic functions of hedges being used in business letters? After analyzing the samples, the conclusion could be came that the employment of hedges in business letters has three pragmatic functions-giving the right amount of information, being polite and self-production.展开更多
Human language is fuzzy,which can be reflected by hedges.Prince has divided hedges into adaptor,rounder,plausibility shields,and attribution shields.In a dialogue,hedges can protect face of the speakers and relieve so...Human language is fuzzy,which can be reflected by hedges.Prince has divided hedges into adaptor,rounder,plausibility shields,and attribution shields.In a dialogue,hedges can protect face of the speakers and relieve some of the speaker’s responsibilities as well as make linguistic expressions more implicit,polite,and flexible.Based on this classification,the paper analyzes some typical hedges and their functions used in the dialogues of the novel Pride and Prejudice,so as to have a deeper understanding of the major characters and the theme of the novel.展开更多
Hedges refer to the speakers who deliberately make the language more vague or clear in order to achieve its target language form.The initial COVID-19 in 2020 is a global epidemic,and people who stay at home relying on...Hedges refer to the speakers who deliberately make the language more vague or clear in order to achieve its target language form.The initial COVID-19 in 2020 is a global epidemic,and people who stay at home relying on Internet media channels to obtain information.People are more likely to take news media as the prior measure to contact with the information.COVID-19 news is closely related to people’s daily life.COVID-19 news requires accuracy and high expression of language,and it is easy for readers to find out that reporters use a large number of hedges in COVID-19 news articles.This paper intends to conduct a self-built micro corpus so as to explore the use of hedges in COVID-19 news.Based on this research purpose,this article focuses on solving two problems:(1).The similarities and differences in the frequency and distribution of hedges in COVID-19 news;(2).The pragmatic and public opinion functions of hedges in the news of the COVID-19 epidemic.The result of the study indicated that a great number of hedges are used in the COVID-19 news.According to Prince’s classification of Hedges from the perspective of pragmatics,the distribution and frequency of different types of hedges are various.Reports sometimes manipulate the usage of hedges,change their heddging functions to protect the image of countries,enhance reader’s confidence and guide a favorable environment to society.展开更多
In recent years, numerous scholars have attached much importance to the pragmatic function of hedges and associated it with daily life. Scholars have conducted a lot of research on how hedges function in news broadcas...In recent years, numerous scholars have attached much importance to the pragmatic function of hedges and associated it with daily life. Scholars have conducted a lot of research on how hedges function in news broadcast, interview, trial, commercial negotiation, language teaching, entertainment, etc. However, there is still no research on its application in Public Speaking Contest （hereinafter referred to as PSC ）. PSC is usually regarded as a great annual event for students. In order to analyze the efficiency of hedges in PSC to help students to he skirted in the application of different hedges, this article wiU analyze characteristics of hedges by the comparison with the relevant concept like probability and vagueness; then some scholars＇ approach of classifieation will be introduced; lastly, it will analyze different function of hedges under the context of some articles in＂Filter Cup＂English Public Speaking Contest. Adaptors can make the expression more polite and tact; rounders can make speaker＇ s information more believable and show his sincere attitude for judges; plausibility shields can show thoughtful and clear-headed property; attribution shields can help to avoid the responsibility for a fault.展开更多
Hedges is widely employed in conference interpreting and can be used to unveil interpreters’role deviation.However,few empirical studies have been made to explore conference interpreters’role deviation through the u...Hedges is widely employed in conference interpreting and can be used to unveil interpreters’role deviation.However,few empirical studies have been made to explore conference interpreters’role deviation through the use of hedges.This piece of book review offers a comprehensive examination of the book on interpreters’role deviation in interpreting at Chinese government press conferences from conceptual,methodological and empirical aspects.With in-depth discussion on some critical aspects covered by the volume,the book review can help readers to gain a more nuanced understanding on the relationship between the use of hedges and interpreters’role deviation.展开更多
Hedges was first put forward by George Lakoff in 1972.He mainly researched the meaning criteria and fuzzy logic of hedges. Later other linguists have begun to talk about the social function of hedges, which makes this...Hedges was first put forward by George Lakoff in 1972.He mainly researched the meaning criteria and fuzzy logic of hedges. Later other linguists have begun to talk about the social function of hedges, which makes this research more comprehensive. The social function of hedges is relatively more practical for us. Only when we know it, can we use hedges in appropriate terms according to our gender, social status, profession and definite occasions.展开更多
As one kind of important discourse marker in daily life,hedge is often used by communicators and it is also one of pragmatic strategies and means.However,in terms of studies on hedges at home and abroad so far,they ha...As one kind of important discourse marker in daily life,hedge is often used by communicators and it is also one of pragmatic strategies and means.However,in terms of studies on hedges at home and abroad so far,they have been mainly done in the practical discourses of the fields of business negotiations,diplomatic language,etc.,and the studies on hedges in the film are few.As a typical life sitcom,The Big Bang Theory has been made lots of studies by researchers,which are mainly about humorous discourses or language translation in it.Therefore,this paper selects some episodes from The Big Bang Theory to discuss the usage of hedges as adaptation to the communication context,including the physical world,the social world,and the mental world so as to help people use hedges more accurately in daily life.展开更多
Hedging is a communication strategy frequently used by the spokespersons at the press conference.This thesis intends to find out the ideologies hidden behind those hedges under the guidance of Fairclough’s three-dime...Hedging is a communication strategy frequently used by the spokespersons at the press conference.This thesis intends to find out the ideologies hidden behind those hedges under the guidance of Fairclough’s three-dimensional model.As a research method of linguistics,critical discourse analysis(CDA)aims to reveal the the relationship among language,power and ideology hidden behind the language.This thesis adopts Prince’classification criteria of hedges to identify and count the different types of hedges in the research data selected from Chinese and American government websites.The analysis is conducted at the following three steps:description,interpretation and explanation.The first stage is to recognize and count the hedges in two languages,then to find their similarities and differences and the last step is to find possible reasons for those similarities and differences and the ideologies behind the hedges.Analysis results show that differences in culture values and diplomatic ideology contribute to the different ideologies.展开更多
The ways in which researchers present the results of their research and make claims about them are determined by the conventions of academic writing held by the scientific community.This article examines the use of he...The ways in which researchers present the results of their research and make claims about them are determined by the conventions of academic writing held by the scientific community.This article examines the use of hedges and boosters in the published articles of PhD students in a Moroccan university,and to what extent these students are conscious of their semantic and pragmatic meanings and use them adequately following established conventions.Textual analysis was implemented to study the use of these discourse markers in the published articles.We additionally carried out qualitative and quantitative research in the form of questionnaires and semi-structured interviews to gain a better understanding of hedge and booster use.While the students may use hedges in contexts in which the results are deemed uncertain and unsatisfactory,expressing conviction through boosters is a common practice.These results indicate a lack of appropriate adherence to academic conventions and that cultural influences and other contextual variables are in play.Thus,revising textbooks and methodologies in Moroccan universities based on scientific data and conventions is required.展开更多
This study examines the return connectedness between decentralized finance(DeFi)’s and the Association of Southeast Asian Nations(ASEAN)stock markets using the quantile vector autoregressive framework,which allows us...This study examines the return connectedness between decentralized finance(DeFi)’s and the Association of Southeast Asian Nations(ASEAN)stock markets using the quantile vector autoregressive framework,which allows us to investigate the connectedness at conditional quantiles.Our sample includes four major DeFi’s and six ASEAN stock markets,spanning from March 2018 to December 2022.The static results indicate a moderate level of return transmission between the system at mean and median quantile.This propagation increases substantially under extreme market conditions,establishing an asymmetric transmission across quantiles.Despite being a relatively new asset class,DeFi dominates the equity market and acts as the primary shock transmitter to the system in most instances.The dynamic analysis reveals that total system connectedness fluctuates over time and quantiles.The total system connectedness peaked during the COVID-19 and the Russia–Ukraine conflict period,indicating the impact of global events on system transmission.The optimal weight and hedge ratio estimated using the DCC-GARCH model indicate that DeFi is beneficial for portfolio construction and risk management.The rising trend in dynamic optimal weight and hedge ratio during the COVID-19 pandemic demonstrates that investors should decrease their investments in DeFi and increase hedging costs.Therefore,portfolio managers and investors should readjust their portfolio allocation in a timely manner according to different market states to build additional effective hedging and diversification strategies to avoid large losses and to reduce portfolio risk exposure.展开更多
Effective management of water resources,especially groundwater,is crucial and requires a precise understanding of aquifer characteristics,imposed stresses,and the groundwater balance.Simulation-optimization models pla...Effective management of water resources,especially groundwater,is crucial and requires a precise understanding of aquifer characteristics,imposed stresses,and the groundwater balance.Simulation-optimization models plays a vital role in guiding planners toword sustainable long-term aquifer exploita-tion.This study simulated monthly water table variations in the Kashan Plain over a ten-year period from 2008 to 2019 across 125 stress periods using the GMS model.The model was calibrated for both steady-state and transient conditions for the 2008–2016 period and validated for the 2016–2019 period.Results indicated a 4.4 m decline in groundwater levels over the 10-year study period.Given the plain's location in a arid climatic zone with limited effective precipitation for aquifer recharge,the study focused on ground-water extraction management.A modified two-point hedging policy was employed as a solution to mitigate critical groundwater depletion,reducing the annual drawdown rate from 0.44 m to 0.31 m and conserving 255 million cubic meters(mcm)of water annually.Although this approach slightly decreased reliability(i.e.the number of months meeting full water demands),it effectively minimized the risk of severe droughts and irreparable damages.This policy offers managers a dynamical and intelligent tool for regulating groundwater extraction,balancing aquifer sustainability with agricultural and urban water requirements.展开更多
In this study,we propose a Gram-Charlier expansion approach to investigate the impact of skewness and kurtosis on production and hedging decisions.Consistent with the existing literature,we find that skewness and kurt...In this study,we propose a Gram-Charlier expansion approach to investigate the impact of skewness and kurtosis on production and hedging decisions.Consistent with the existing literature,we find that skewness and kurtosis do not affect decisions regarding optimal production;however,they significantly influence optimal hedging decisions.We observe that positive skewness with platykurtic spot prices or negative skewness with leptokurtic spot prices often leads to over-hedging when the initial forward contract price exceeds its expected value.Conversely,under-hedging is expected when the initial forward contract price falls below its expected value.In other conditions,skewness can either promote or impede speculative future trading.Using the Gram-Charlier expansion of the spot price density function,we find that optimal future positions depend on forward prices,the hedgers’risk preference,and the spot price distribution.Simulations validate our findings on the impact of skewness and kurtosis on future hedging.Finally,we analyze of a cotton storage and forward contracting dataset to illustrate the application of our methodology and support our theoretical results.展开更多
This paper employs the PPO(Proximal Policy Optimization) algorithm to study the risk hedging problem of the Shanghai Stock Exchange(SSE) 50ETF options. First, the action and state spaces were designed based on the cha...This paper employs the PPO(Proximal Policy Optimization) algorithm to study the risk hedging problem of the Shanghai Stock Exchange(SSE) 50ETF options. First, the action and state spaces were designed based on the characteristics of the hedging task, and a reward function was developed according to the cost function of the options. Second, combining the concept of curriculum learning, the agent was guided to adopt a simulated-to-real learning approach for dynamic hedging tasks, reducing the learning difficulty and addressing the issue of insufficient option data. A dynamic hedging strategy for 50ETF options was constructed. Finally, numerical experiments demonstrate the superiority of the designed algorithm over traditional hedging strategies in terms of hedging effectiveness.展开更多
This paper examines the dependence,systemic risk spillover,return and volatility spillover,and portfolio implications across various timescales between the Green Bond(GB)and U.S.S&P 500 Stock(SP),Vanguard Total Wo...This paper examines the dependence,systemic risk spillover,return and volatility spillover,and portfolio implications across various timescales between the Green Bond(GB)and U.S.S&P 500 Stock(SP),Vanguard Total World Stock Index Fund(VT),Bitcoin(BTC),Ethereum(ETH),Ripple,OIL,and GOLD markets.The sample period is August 07,2015–October 6,2023,covering periods of instability during the COVID-19 pandemic and the Russia–Ukraine conflict.Using the wavelet–copula–conditional value-atrisk and wavelet-multivariate asymmetric-GARCH framework,our main results show that the systemic risk and return,volatility spillovers,and diversification opportunities are portfolio-specific and timescale-dependent.Specifically,there is a negative long-term correlation for the pairs GB-SP and GB-OIL,whereas the pair GB–GOLD pair is positively correlated in the short term.GB can mitigate the risk of other markets.In terms of the portfolio implications,GB weakly hedges BTC and ETH during normal and turbulent periods but has a strong ability to hedge VT in the short term and SP in the mid and long term.Regarding hedging effectiveness,the role of GB for GOLD and VT is noted.展开更多
基金The National Natural Science Foundation of China(No.61273209)the Scientific Research Foundation of Graduate School of Southeast University(No.YBJJ1528)the Scientific Innovation Research of College Graduates in Jiangsu Province(No.KYLX15-0191)
文摘A semantics-based model is proposed to enable weakened hedges, such as ＂more or less＂ and ＂roughly＂ in the context of linguistic multi-criteria decision making. First, the resemblance relations are defined based on the semantics of terms on the domain. Then, the hedges can be represented after the upper and loose upper approximations of a linguistic term are derived. Accordingly, some compact formulae can be derived for the semantics of linguistic expressions with hedges. Parameters in these formulae are objectively determined according to the semantics of original terms. The proposed model presents a more natural way to express the decision information under uncertainties and its semantics is clear. The proposed model is clarified by solving the problem of evaluation and selection of sustainable innovative energy technologies. Computational results demonstrate that the model can deal with various uncertainties of the problem. Finally, the model is compared with existing techniques and extended to the case when the semantics of terms are represented by trapezoidal fuzzy numbers.
文摘This paper investigates the evolutionary change in the OF(OF) of hedges in different moves of EMRAs(EMRAs).Two corpora are established for longitudinal study,with Corpus A consisting of EMRAs from 1990-1994 and Corpus B from 2005-2009.Generally,no significant change has been found in overall use of hedges.However,apart from move 6,7 and 10,we have found some interesting changes in the other moves.On the one hand,the OF of hedges in move 1,move 3,move 4 and move 5 shows a significant increase.On the other hand,the OF of hedges in move 2,8,9 and move 11 show a significant decrease.
文摘The aim of the present research to explore the hedges used English business letters. Several samples have been chosen to make qualitative study in order to achieve the goal of answering the following question: what are the pragmatic functions of hedges being used in business letters? After analyzing the samples, the conclusion could be came that the employment of hedges in business letters has three pragmatic functions-giving the right amount of information, being polite and self-production.
文摘Human language is fuzzy,which can be reflected by hedges.Prince has divided hedges into adaptor,rounder,plausibility shields,and attribution shields.In a dialogue,hedges can protect face of the speakers and relieve some of the speaker’s responsibilities as well as make linguistic expressions more implicit,polite,and flexible.Based on this classification,the paper analyzes some typical hedges and their functions used in the dialogues of the novel Pride and Prejudice,so as to have a deeper understanding of the major characters and the theme of the novel.
文摘Hedges refer to the speakers who deliberately make the language more vague or clear in order to achieve its target language form.The initial COVID-19 in 2020 is a global epidemic,and people who stay at home relying on Internet media channels to obtain information.People are more likely to take news media as the prior measure to contact with the information.COVID-19 news is closely related to people’s daily life.COVID-19 news requires accuracy and high expression of language,and it is easy for readers to find out that reporters use a large number of hedges in COVID-19 news articles.This paper intends to conduct a self-built micro corpus so as to explore the use of hedges in COVID-19 news.Based on this research purpose,this article focuses on solving two problems:(1).The similarities and differences in the frequency and distribution of hedges in COVID-19 news;(2).The pragmatic and public opinion functions of hedges in the news of the COVID-19 epidemic.The result of the study indicated that a great number of hedges are used in the COVID-19 news.According to Prince’s classification of Hedges from the perspective of pragmatics,the distribution and frequency of different types of hedges are various.Reports sometimes manipulate the usage of hedges,change their heddging functions to protect the image of countries,enhance reader’s confidence and guide a favorable environment to society.
文摘In recent years, numerous scholars have attached much importance to the pragmatic function of hedges and associated it with daily life. Scholars have conducted a lot of research on how hedges function in news broadcast, interview, trial, commercial negotiation, language teaching, entertainment, etc. However, there is still no research on its application in Public Speaking Contest （hereinafter referred to as PSC ）. PSC is usually regarded as a great annual event for students. In order to analyze the efficiency of hedges in PSC to help students to he skirted in the application of different hedges, this article wiU analyze characteristics of hedges by the comparison with the relevant concept like probability and vagueness; then some scholars＇ approach of classifieation will be introduced; lastly, it will analyze different function of hedges under the context of some articles in＂Filter Cup＂English Public Speaking Contest. Adaptors can make the expression more polite and tact; rounders can make speaker＇ s information more believable and show his sincere attitude for judges; plausibility shields can show thoughtful and clear-headed property; attribution shields can help to avoid the responsibility for a fault.
文摘Hedges is widely employed in conference interpreting and can be used to unveil interpreters’role deviation.However,few empirical studies have been made to explore conference interpreters’role deviation through the use of hedges.This piece of book review offers a comprehensive examination of the book on interpreters’role deviation in interpreting at Chinese government press conferences from conceptual,methodological and empirical aspects.With in-depth discussion on some critical aspects covered by the volume,the book review can help readers to gain a more nuanced understanding on the relationship between the use of hedges and interpreters’role deviation.
文摘Hedges was first put forward by George Lakoff in 1972.He mainly researched the meaning criteria and fuzzy logic of hedges. Later other linguists have begun to talk about the social function of hedges, which makes this research more comprehensive. The social function of hedges is relatively more practical for us. Only when we know it, can we use hedges in appropriate terms according to our gender, social status, profession and definite occasions.
文摘As one kind of important discourse marker in daily life,hedge is often used by communicators and it is also one of pragmatic strategies and means.However,in terms of studies on hedges at home and abroad so far,they have been mainly done in the practical discourses of the fields of business negotiations,diplomatic language,etc.,and the studies on hedges in the film are few.As a typical life sitcom,The Big Bang Theory has been made lots of studies by researchers,which are mainly about humorous discourses or language translation in it.Therefore,this paper selects some episodes from The Big Bang Theory to discuss the usage of hedges as adaptation to the communication context,including the physical world,the social world,and the mental world so as to help people use hedges more accurately in daily life.
文摘Hedging is a communication strategy frequently used by the spokespersons at the press conference.This thesis intends to find out the ideologies hidden behind those hedges under the guidance of Fairclough’s three-dimensional model.As a research method of linguistics,critical discourse analysis(CDA)aims to reveal the the relationship among language,power and ideology hidden behind the language.This thesis adopts Prince’classification criteria of hedges to identify and count the different types of hedges in the research data selected from Chinese and American government websites.The analysis is conducted at the following three steps:description,interpretation and explanation.The first stage is to recognize and count the hedges in two languages,then to find their similarities and differences and the last step is to find possible reasons for those similarities and differences and the ideologies behind the hedges.Analysis results show that differences in culture values and diplomatic ideology contribute to the different ideologies.
文摘The ways in which researchers present the results of their research and make claims about them are determined by the conventions of academic writing held by the scientific community.This article examines the use of hedges and boosters in the published articles of PhD students in a Moroccan university,and to what extent these students are conscious of their semantic and pragmatic meanings and use them adequately following established conventions.Textual analysis was implemented to study the use of these discourse markers in the published articles.We additionally carried out qualitative and quantitative research in the form of questionnaires and semi-structured interviews to gain a better understanding of hedge and booster use.While the students may use hedges in contexts in which the results are deemed uncertain and unsatisfactory,expressing conviction through boosters is a common practice.These results indicate a lack of appropriate adherence to academic conventions and that cultural influences and other contextual variables are in play.Thus,revising textbooks and methodologies in Moroccan universities based on scientific data and conventions is required.
文摘This study examines the return connectedness between decentralized finance(DeFi)’s and the Association of Southeast Asian Nations(ASEAN)stock markets using the quantile vector autoregressive framework,which allows us to investigate the connectedness at conditional quantiles.Our sample includes four major DeFi’s and six ASEAN stock markets,spanning from March 2018 to December 2022.The static results indicate a moderate level of return transmission between the system at mean and median quantile.This propagation increases substantially under extreme market conditions,establishing an asymmetric transmission across quantiles.Despite being a relatively new asset class,DeFi dominates the equity market and acts as the primary shock transmitter to the system in most instances.The dynamic analysis reveals that total system connectedness fluctuates over time and quantiles.The total system connectedness peaked during the COVID-19 and the Russia–Ukraine conflict period,indicating the impact of global events on system transmission.The optimal weight and hedge ratio estimated using the DCC-GARCH model indicate that DeFi is beneficial for portfolio construction and risk management.The rising trend in dynamic optimal weight and hedge ratio during the COVID-19 pandemic demonstrates that investors should decrease their investments in DeFi and increase hedging costs.Therefore,portfolio managers and investors should readjust their portfolio allocation in a timely manner according to different market states to build additional effective hedging and diversification strategies to avoid large losses and to reduce portfolio risk exposure.
文摘Effective management of water resources,especially groundwater,is crucial and requires a precise understanding of aquifer characteristics,imposed stresses,and the groundwater balance.Simulation-optimization models plays a vital role in guiding planners toword sustainable long-term aquifer exploita-tion.This study simulated monthly water table variations in the Kashan Plain over a ten-year period from 2008 to 2019 across 125 stress periods using the GMS model.The model was calibrated for both steady-state and transient conditions for the 2008–2016 period and validated for the 2016–2019 period.Results indicated a 4.4 m decline in groundwater levels over the 10-year study period.Given the plain's location in a arid climatic zone with limited effective precipitation for aquifer recharge,the study focused on ground-water extraction management.A modified two-point hedging policy was employed as a solution to mitigate critical groundwater depletion,reducing the annual drawdown rate from 0.44 m to 0.31 m and conserving 255 million cubic meters(mcm)of water annually.Although this approach slightly decreased reliability(i.e.the number of months meeting full water demands),it effectively minimized the risk of severe droughts and irreparable damages.This policy offers managers a dynamical and intelligent tool for regulating groundwater extraction,balancing aquifer sustainability with agricultural and urban water requirements.
文摘In this study,we propose a Gram-Charlier expansion approach to investigate the impact of skewness and kurtosis on production and hedging decisions.Consistent with the existing literature,we find that skewness and kurtosis do not affect decisions regarding optimal production;however,they significantly influence optimal hedging decisions.We observe that positive skewness with platykurtic spot prices or negative skewness with leptokurtic spot prices often leads to over-hedging when the initial forward contract price exceeds its expected value.Conversely,under-hedging is expected when the initial forward contract price falls below its expected value.In other conditions,skewness can either promote or impede speculative future trading.Using the Gram-Charlier expansion of the spot price density function,we find that optimal future positions depend on forward prices,the hedgers’risk preference,and the spot price distribution.Simulations validate our findings on the impact of skewness and kurtosis on future hedging.Finally,we analyze of a cotton storage and forward contracting dataset to illustrate the application of our methodology and support our theoretical results.
基金supported by the Foundation of Key Laboratory of System Control and Information Processing,Ministry of Education,China,Scip20240111Aeronautical Science Foundation of China,Grant 2024Z071108001the Foundation of Key Laboratory of Traffic Information and Safety of Anhui Higher Education Institutes,Anhui Sanlian University,KLAHEI18018.
文摘This paper employs the PPO(Proximal Policy Optimization) algorithm to study the risk hedging problem of the Shanghai Stock Exchange(SSE) 50ETF options. First, the action and state spaces were designed based on the characteristics of the hedging task, and a reward function was developed according to the cost function of the options. Second, combining the concept of curriculum learning, the agent was guided to adopt a simulated-to-real learning approach for dynamic hedging tasks, reducing the learning difficulty and addressing the issue of insufficient option data. A dynamic hedging strategy for 50ETF options was constructed. Finally, numerical experiments demonstrate the superiority of the designed algorithm over traditional hedging strategies in terms of hedging effectiveness.
文摘This paper examines the dependence,systemic risk spillover,return and volatility spillover,and portfolio implications across various timescales between the Green Bond(GB)and U.S.S&P 500 Stock(SP),Vanguard Total World Stock Index Fund(VT),Bitcoin(BTC),Ethereum(ETH),Ripple,OIL,and GOLD markets.The sample period is August 07,2015–October 6,2023,covering periods of instability during the COVID-19 pandemic and the Russia–Ukraine conflict.Using the wavelet–copula–conditional value-atrisk and wavelet-multivariate asymmetric-GARCH framework,our main results show that the systemic risk and return,volatility spillovers,and diversification opportunities are portfolio-specific and timescale-dependent.Specifically,there is a negative long-term correlation for the pairs GB-SP and GB-OIL,whereas the pair GB–GOLD pair is positively correlated in the short term.GB can mitigate the risk of other markets.In terms of the portfolio implications,GB weakly hedges BTC and ETH during normal and turbulent periods but has a strong ability to hedge VT in the short term and SP in the mid and long term.Regarding hedging effectiveness,the role of GB for GOLD and VT is noted.
