Editorial Probability and Statistics with Applications in ...
Transcript of Editorial Probability and Statistics with Applications in ...
EditorialProbability and Statistics with Applications inFinance and Economics
Sarah Brown1 and Wing Keung Wong2
1Department of Economics, University of Sheffield, 9 Mappin Street, Sheffield S1 4DT, UK2Department of Economics, Hong Kong Baptist University, WLB, Shaw Campus, Kowloon Tong, Hong Kong
Correspondence should be addressed to Wing Keung Wong; [email protected]
Received 21 December 2014; Accepted 21 December 2014
Copyright © 2015 S. Brown and W. K. Wong. This is an open access article distributed under the Creative Commons AttributionLicense, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properlycited.
Probability and statistics play a vital role in every field ofhuman activity. In particular, they are quantitative toolswidely used in the areas of economics and finance. Knowl-edge of modern probability and statistics is essential forthe development of economic and finance theories and forthe testing of their validity through robust analysis of real-world data. For example, probability and statistics couldhelp to shape effective monetary and fiscal policies and todevelop pricing models for financial assets such as equities,bonds, currencies, and derivative securities. The importanceof developing robust methods for such empirical analysis hasbecome particularly important following the recent globalfinancial crisis in 2008, which has placed economic andfinance theories under the spotlight.
In this connection, this special issue has been co-editedby the following guest editors Sarah Brown (University ofSheffield), Terence Chong (The Chinese University of HongKong), Pulak Ghosh (Indian Institute of Management), TaiZhong Hu (University of Science and Technology of China),Lu Lin (Shandong University), Wing-Keung Wong (HongKong Baptist University), and Zhijie Xiao (Boston College)brings together high quality papers that are relevant foracademics and practitioners alike from a range of disciplinesincluding economics, finance, and statistics.This special issueis devoted to advancements in the applications of probabilityand statistics in the areas of economics and finance bringingtogether practical, state-of-the-art applications of probability,and statistical techniques in economics and finance.We hopethat the papers published in this special edition will stimulatefurther research in this area.
The papers published in the special issue collectivelymake important contributions to a wide range of areasincluding contributions which enhance our understandingof financial and commodity markets as well as contributionsto statistical theory, which may open up important avenuesfor applied analysis in the future. To be specific, withrespect to finance applications, G. Hinterleitner et al. (2015)explore market structure at the opening of the trading dayand its influence on subsequent trading. Their experimentalframework compares a single continuous double auction andtwo complement markets with different call auction designsas opening mechanisms. Their findings indicate that a callauction not only improves market efficiency and liquidityat the beginning of the trading day when compared tothe stand-alone continuous double auction, but also causespositive spillover effects on subsequent trading. On the otherhand, G. M. Goerg (2014) presents a parametric, bijectivetransformation to generate heavy tail versions of arbitraryrandom variables. The Lambert W function is used to modeland remove heavy tails from continuous random variablesusing a data-transformation approach. Motivated by theobservation that financial data is frequently characterised bynegative skewness and excess kurtosis, the simulations andapplications to S&P 500 log-returns in this paper importantlydemonstrate the usefulness of the introduced methodology.Given that natural gas has become an extremely importantcommodity for the global economy, a commodity which ischaracterised by an increasingly risky and volatile market, J.Tang et al. (2015) focus on estimating the risk of natural gasportfolios using a GARCH-EVT-copula model. The findings
Hindawi Publishing Corporatione Scientific World JournalVolume 2015, Article ID 618785, 2 pageshttp://dx.doi.org/10.1155/2015/618785
2 The Scientific World Journal
indicate the importance of conducting further research ondependence structure in themarket for this critical commod-ity.
With respect to purely theoretical contributions, C.-W.Lin et al. (2014) demonstrate that, under suitable conditions,an almost sure central limit theorem for self-normalizedproducts of sums of partial sums holds under a fairly generalgrowth condition on the weight sequence, an importantstatistical result. Finally, C. Yin et al. (2014) focus on one ofthe key topics of actuarial science and finance, namely, theoptimal dividend problem. Specifically, they explore the opti-mal dividends problem for a company whose cash reservesfollow a general Levy process with certain positive jumpsand arbitrary negative jumps. In this interesting contribution,they present conditions under which the optimal dividendstrategy, among all admissible ones, takes the formof a barrierstrategy.
Sarah BrownWing Keung Wong
Submit your manuscripts athttp://www.hindawi.com
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
MathematicsJournal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Mathematical Problems in Engineering
Hindawi Publishing Corporationhttp://www.hindawi.com
Differential EquationsInternational Journal of
Volume 2014
Applied MathematicsJournal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Probability and StatisticsHindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Journal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Mathematical PhysicsAdvances in
Complex AnalysisJournal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
OptimizationJournal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
CombinatoricsHindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
International Journal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Operations ResearchAdvances in
Journal of
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Function Spaces
Abstract and Applied AnalysisHindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
International Journal of Mathematics and Mathematical Sciences
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
The Scientific World JournalHindawi Publishing Corporation http://www.hindawi.com Volume 2014
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Algebra
Discrete Dynamics in Nature and Society
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Decision SciencesAdvances in
Discrete MathematicsJournal of
Hindawi Publishing Corporationhttp://www.hindawi.com
Volume 2014 Hindawi Publishing Corporationhttp://www.hindawi.com Volume 2014
Stochastic AnalysisInternational Journal of