In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump ...In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.展开更多
The intensity of interannual variability(IIV)of the monsoon and monsoon–ENSO biennial relationship(MEBR)were examined and compared for both the Indian summer monsoon(ISM)and western North Pacific summer monsoon(WNPSM...The intensity of interannual variability(IIV)of the monsoon and monsoon–ENSO biennial relationship(MEBR)were examined and compared for both the Indian summer monsoon(ISM)and western North Pacific summer monsoon(WNPSM)during 1958–2018.Covariability of the IIV and MEBR were identified for the two monsoons.When the MEBR was strong(weak),the IIV of the monsoon was observed to be large(small).This rule applied to both the ISM and WNPSM.Out-ofphase relationships were found between the ISM and the WNPSM.When the IIV and MEBR of the ISM were strong(weak),those of the WNPSM tended to be weak(strong).During the period with a stronger(weaker)ENSO–Atlantic coupling after(before)the mid-1980 s,the IIV and MEBR of the WNPSM(ISM)were observed to be stronger.The increasing influences from the tropical Atlantic sea surface temperature(SST)may trigger the observed seesaw pattern of the ISM and WNPSM in terms of the IIV and MEBR multidecadal variability.The results imply that tropical Atlantic SST may need to be given more attention and consideration when predicting future monsoon variability of the ISM and WNPSM.展开更多
Using the complex variable function method and the technique of the conformal mapping, the fracture problem of a semi-infinite crack in a piezoelectric strip is studied under the anti-plane shear stress and the in-pla...Using the complex variable function method and the technique of the conformal mapping, the fracture problem of a semi-infinite crack in a piezoelectric strip is studied under the anti-plane shear stress and the in-plane electric load. The analytic solutions of the field intensity factors and the mechanical strain energy release rate are presented under the assumption that the surface of the crack is electrically impermeable. When the height of the strip tends to infinity, the analytic solutions of an infinitely large piezoelectric solid with a semi-infinite crack are obtained. Moreover, the present results can be reduced to the well-known solutions for a purely elastic material in the absence of the electric loading. In addition, numerical examples are given to show the influences of the loaded crack length, the height of the strip, and the applied mechanical/electric loads on the mechanical strain energy release rate.展开更多
Analysis of Pb+Pb data for net-charge fluctuations at LHC energies using the HYDJET++model is presented.The strongly intensive quantities D and Σ were used to remove the effects related to system volume fluctuations....Analysis of Pb+Pb data for net-charge fluctuations at LHC energies using the HYDJET++model is presented.The strongly intensive quantities D and Σ were used to remove the effects related to system volume fluctuations.We employed two versions of HYDJET++for the analysis.The first one is the standard or default version,whereas the second one is a modification that takes into account explicit event-by-event conservation of the electric net-charge of produced particles.The inclusion of the canonical net-charge conservation in the model allows for better description of the experimental data obtained by the ALICE and CMS Collaborations.A comparison with calculations from other models is also presented.展开更多
基金Projects(71271215,71221061) supported by the National Natural Science Foundation of ChinaProject(2011DFA10440) supported by the International Science&Technology Cooperation Program of ChinaProject(CX2012B067) supported by Hunan Provincial Innovation Foundation for Postgraduate,China
文摘In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.
基金supported by the National Natural Science Foundation of China grant number 41776031the National Key Research and Development Program of China grant number 2018YFC1506903+2 种基金the Guangdong Natural Science Foundation grant number 2015A030313796the program for scientific research start-up funds of Guangdong Ocean Universitythe Foundation for Returned Scholars of the Ministry of Education of China。
文摘The intensity of interannual variability(IIV)of the monsoon and monsoon–ENSO biennial relationship(MEBR)were examined and compared for both the Indian summer monsoon(ISM)and western North Pacific summer monsoon(WNPSM)during 1958–2018.Covariability of the IIV and MEBR were identified for the two monsoons.When the MEBR was strong(weak),the IIV of the monsoon was observed to be large(small).This rule applied to both the ISM and WNPSM.Out-ofphase relationships were found between the ISM and the WNPSM.When the IIV and MEBR of the ISM were strong(weak),those of the WNPSM tended to be weak(strong).During the period with a stronger(weaker)ENSO–Atlantic coupling after(before)the mid-1980 s,the IIV and MEBR of the WNPSM(ISM)were observed to be stronger.The increasing influences from the tropical Atlantic sea surface temperature(SST)may trigger the observed seesaw pattern of the ISM and WNPSM in terms of the IIV and MEBR multidecadal variability.The results imply that tropical Atlantic SST may need to be given more attention and consideration when predicting future monsoon variability of the ISM and WNPSM.
基金Project supported by the National Natural Science Foundation of China(Nos.10932001 and 11072015)the Scientific Research Key Program of Beijing Municipal Commission of Education (No.KZ201010005003)the Ph.D.Innovation Foundation of Beijing University of Aeronautics and Astronautics(No.300351)
文摘Using the complex variable function method and the technique of the conformal mapping, the fracture problem of a semi-infinite crack in a piezoelectric strip is studied under the anti-plane shear stress and the in-plane electric load. The analytic solutions of the field intensity factors and the mechanical strain energy release rate are presented under the assumption that the surface of the crack is electrically impermeable. When the height of the strip tends to infinity, the analytic solutions of an infinitely large piezoelectric solid with a semi-infinite crack are obtained. Moreover, the present results can be reduced to the well-known solutions for a purely elastic material in the absence of the electric loading. In addition, numerical examples are given to show the influences of the loaded crack length, the height of the strip, and the applied mechanical/electric loads on the mechanical strain energy release rate.
文摘Analysis of Pb+Pb data for net-charge fluctuations at LHC energies using the HYDJET++model is presented.The strongly intensive quantities D and Σ were used to remove the effects related to system volume fluctuations.We employed two versions of HYDJET++for the analysis.The first one is the standard or default version,whereas the second one is a modification that takes into account explicit event-by-event conservation of the electric net-charge of produced particles.The inclusion of the canonical net-charge conservation in the model allows for better description of the experimental data obtained by the ALICE and CMS Collaborations.A comparison with calculations from other models is also presented.
