本文运用非对称随机波动(Asymmetric Stochastic Volatility,ASV)模型,以1997年为分界线,对我国沪深两市A股市场的市场波动反应模式进行了研究。实证结果表明:我国股票市场对外界信息的反应模式不仅存在非对称性,而且这种非对称反应特...本文运用非对称随机波动(Asymmetric Stochastic Volatility,ASV)模型,以1997年为分界线,对我国沪深两市A股市场的市场波动反应模式进行了研究。实证结果表明:我国股票市场对外界信息的反应模式不仅存在非对称性,而且这种非对称反应特征还具有阶段性:即在股市发展前期(1993～1996)市场波动反应具有非对称反转效应(Reversions in the Asymmetric Behavior of the Volatility);在股市发展后期(1997～2006)市场波动反应具有杠杆效应(Leverage Effect)。并且非对称反应强度随着时间的推移逐渐减小。展开更多
This paper is concerned with the cooperative target tracking of multiple autonomous surface vehicles(ASVs)under switching interaction topologies.For the target to be tracked,only its position can be measured/received ...This paper is concerned with the cooperative target tracking of multiple autonomous surface vehicles(ASVs)under switching interaction topologies.For the target to be tracked,only its position can be measured/received by some of the ASVs,and its velocity is unavailable to all the ASVs.A distributed extended state observer taking into consideration switching topologies is designed to integrally estimate unknown target dynamics and neighboring ASVs'dynamics.Accordingly,a novel kinematic controller is designed,which takes full advantage of known information and avoids the approximation of some virtual control vectors.Moreover,a disturbance observer is presented to estimate unknown time-varying environmental disturbance.Furthermore,a distributed dynamic controller is designed to regulate the involved ASVs to cooperatively track the target.It enables each ASV to adjust its forces and moments according to the received information from its neighbors.The effectiveness of the derived results is demonstrated through cooperative target tracking performance analysis for a tracking system composed of five interacting ASVs.展开更多
文摘本文运用非对称随机波动(Asymmetric Stochastic Volatility,ASV)模型,以1997年为分界线,对我国沪深两市A股市场的市场波动反应模式进行了研究。实证结果表明:我国股票市场对外界信息的反应模式不仅存在非对称性,而且这种非对称反应特征还具有阶段性:即在股市发展前期(1993～1996)市场波动反应具有非对称反转效应(Reversions in the Asymmetric Behavior of the Volatility);在股市发展后期(1997～2006)市场波动反应具有杠杆效应(Leverage Effect)。并且非对称反应强度随着时间的推移逐渐减小。
基金supported in part by the National Science Foundation of China(61873335,61833011)the Project of Scie nce and Technology Commission of Shanghai Municipality,China(20ZR1420200,21SQBS01600,19510750300,21190780300)。
文摘This paper is concerned with the cooperative target tracking of multiple autonomous surface vehicles(ASVs)under switching interaction topologies.For the target to be tracked,only its position can be measured/received by some of the ASVs,and its velocity is unavailable to all the ASVs.A distributed extended state observer taking into consideration switching topologies is designed to integrally estimate unknown target dynamics and neighboring ASVs'dynamics.Accordingly,a novel kinematic controller is designed,which takes full advantage of known information and avoids the approximation of some virtual control vectors.Moreover,a disturbance observer is presented to estimate unknown time-varying environmental disturbance.Furthermore,a distributed dynamic controller is designed to regulate the involved ASVs to cooperatively track the target.It enables each ASV to adjust its forces and moments according to the received information from its neighbors.The effectiveness of the derived results is demonstrated through cooperative target tracking performance analysis for a tracking system composed of five interacting ASVs.
