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Hawkes跳扩散模型下具有随机相关的期权定价
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作者 吕建平 马勇 《高校应用数学学报(A辑)》 北大核心 2025年第3期266-280,共15页
在随机波动率模型基础上,假设资产价格的跳跃由具有自刺激性的Hawkes过程所驱动,无风险利率是随机的,且标的资产价格与其波动率是随机相关的.针对所构建的标的资产价格模型,求得了标准欧式期权价值的解析表达式.数值分析中,发现相比常... 在随机波动率模型基础上,假设资产价格的跳跃由具有自刺激性的Hawkes过程所驱动,无风险利率是随机的,且标的资产价格与其波动率是随机相关的.针对所构建的标的资产价格模型,求得了标准欧式期权价值的解析表达式.数值分析中,发现相比常利率模型和常跳跃强度模型,文中所提模型的期权价值更高,但当到期时间较短时,随机利率和随机跳强度对期权价值影响甚微;此外,文中的模型能生成形态丰富的隐含波动率曲面,因此具备同时拟合期权市场中普遍观察到的隐含波动率微笑和隐含波动率倾斜的能力. 展开更多
关键词 期权定价 hawkes过程 随机波动率 随机利率 随机相关
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Hawkes跳扩散模型下的最优投资策略
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作者 贾沐真 王伟 《宁波大学学报(理工版)》 2025年第6期97-104,共8页
旨在研究投资者在股票和货币市场账户之间的最优资产配置问题,为此假定股票价格服从Hawkes跳扩散模型,且跳跃幅度满足正态分布,以最大化终端财富效用为目标,运用随机动态规划方法构建相应的Hamilton-Jacobi-Bellman(HJB)方程,并利用Feyn... 旨在研究投资者在股票和货币市场账户之间的最优资产配置问题,为此假定股票价格服从Hawkes跳扩散模型,且跳跃幅度满足正态分布,以最大化终端财富效用为目标,运用随机动态规划方法构建相应的Hamilton-Jacobi-Bellman(HJB)方程,并利用Feynman-Kac公式获得值函数的隐式解,再基于Banach不动点定理严格证明了最优投资策略的收敛性,最后采用迭代收敛数值方法求解出最优投资策略的解析解。数值结果证实,Hawkes跳扩散模型的自激发性对最优投资策略存在显著影响。 展开更多
关键词 hawkes跳扩散 动态规划 最优投资 迭代收敛
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基于改进Harris Hawk优化算法的虚拟电厂优化调度研究
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作者 丁君 秦浩庭 +3 位作者 苏鹏 曾雪松 李竞轩 郝巍 《可再生能源》 北大核心 2025年第6期829-838,共10页
文章针对虚拟电厂的优化调度问题,提出了一种基于改进Harris Hawk优化算法的调度策略。该策略旨在提高包含光伏、风力发电、燃料电池以及热电联产单元的虚拟电厂的经济性和环境友好性,并引入电动汽车和储能系统分别作为灵活储备和旋转备... 文章针对虚拟电厂的优化调度问题,提出了一种基于改进Harris Hawk优化算法的调度策略。该策略旨在提高包含光伏、风力发电、燃料电池以及热电联产单元的虚拟电厂的经济性和环境友好性,并引入电动汽车和储能系统分别作为灵活储备和旋转备用,建立虚拟电厂灵活性聚合模型,通过改进的Harris Hawk优化算法调度方案。最后进行全面的日前调度和短期调度分析。结果表明,该策略能有效应对可再生能源的不确定性,实现对联络线功率的响应跟随。研究结果为虚拟电厂的协调优化调度提供了新的思路和方法。 展开更多
关键词 虚拟电厂 改进Harris hawk优化算法 灵活性聚合 日前和短期调度
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Fire Hawk Optimization-Enabled Deep Learning Scheme Based Hybrid Cloud Container Architecture for Migrating Interoperability Based Application
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作者 G Indumathi R Sarala 《China Communications》 2025年第5期285-304,共20页
Virtualization is an indispensable part of the cloud for the objective of deploying different virtual servers over the same physical layer.However,the increase in the number of applications executing on the repositori... Virtualization is an indispensable part of the cloud for the objective of deploying different virtual servers over the same physical layer.However,the increase in the number of applications executing on the repositories results in increased overload due to the adoption of cloud services.Moreover,the migration of applications on the cloud with optimized resource allocation is a herculean task even though it is employed for minimizing the dilemma of allocating resources.In this paper,a Fire Hawk Optimization enabled Deep Learning Scheme(FHOEDLS)is proposed for minimizing the overload and optimizing the resource allocation on the hybrid cloud container architecture for migrating interoperability based applications This FHOEDLS achieves the load prediction through the utilization of deep CNN-GRU-AM model for attaining resource allocation and better migration of applications.It specifically adopted the Fire Hawk Optimization Algorithm(FHOA)for optimizing the parameters that influence the factors that aid in better interoperable application migration with improved resource allocation and minimized overhead.It considered the factors of resource capacity,transmission cost,demand,and predicted load into account during the formulation of the objective function utilized for resource allocation and application migration.The cloud simulation of this FHOEDLS is achieved using a container,Virtual Machine(VM),and Physical Machine(PM).The results of this proposed FHOEDLS confirmed a better resource capability of 0.418 and a minimized load of 0.0061. 展开更多
关键词 CONTAINER deep learning fire hawk optimization algorithm hybrid cloud interoperable application migration
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An Improved Chaotic Quantum Multi-Objective Harris Hawks Optimization Algorithm for Emergency Centers Site Selection Decision Problem
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作者 Yuting Zhu Wenyu Zhang +3 位作者 Hainan Wang Junjie Hou Haining Wang Meng Wang 《Computers, Materials & Continua》 2025年第2期2177-2198,共22页
Addressing the complex issue of emergency resource distribution center site selection in uncertain environments, this study was conducted to comprehensively consider factors such as uncertainty parameters and the urge... Addressing the complex issue of emergency resource distribution center site selection in uncertain environments, this study was conducted to comprehensively consider factors such as uncertainty parameters and the urgency of demand at disaster-affected sites. Firstly, urgency cost, economic cost, and transportation distance cost were identified as key objectives. The study applied fuzzy theory integration to construct a triangular fuzzy multi-objective site selection decision model. Next, the defuzzification theory transformed the fuzzy decision model into a precise one. Subsequently, an improved Chaotic Quantum Multi-Objective Harris Hawks Optimization (CQ-MOHHO) algorithm was proposed to solve the model. The CQ-MOHHO algorithm was shown to rapidly produce high-quality Pareto front solutions and identify optimal site selection schemes for emergency resource distribution centers through case studies. This outcome verified the feasibility and efficacy of the site selection decision model and the CQ-MOHHO algorithm. To further assess CQ-MOHHO’s performance, Zitzler-Deb-Thiele (ZDT) test functions, commonly used in multi-objective optimization, were employed. Comparisons with Multi-Objective Harris Hawks Optimization (MOHHO), Non-dominated Sorting Genetic Algorithm II (NSGA-II), and Multi-Objective Grey Wolf Optimizer (MOGWO) using Generational Distance (GD), Hypervolume (HV), and Inverted Generational Distance (IGD) metrics showed that CQ-MOHHO achieved superior global search ability, faster convergence, and higher solution quality. The CQ-MOHHO algorithm efficiently achieved a balance between multiple objectives, providing decision-makers with satisfactory solutions and a valuable reference for researching and applying emergency site selection problems. 展开更多
关键词 Site selection triangular fuzzy theory chaotic quantum Harris hawks optimization multi-objective optimization
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Multi-Neighborhood Enhanced Harris Hawks Optimization for Efficient Allocation of Hybrid Renewable Energy System with Cost and Emission Reduction
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作者 Elaine Yi-Ling Wu 《Computer Modeling in Engineering & Sciences》 2025年第4期1185-1214,共30页
Hybrid renewable energy systems(HRES)offer cost-effectiveness,low-emission power solutions,and reduced dependence on fossil fuels.However,the renewable energy allocation problem remains challenging due to complex syst... Hybrid renewable energy systems(HRES)offer cost-effectiveness,low-emission power solutions,and reduced dependence on fossil fuels.However,the renewable energy allocation problem remains challenging due to complex system interactions and multiple operational constraints.This study develops a novel Multi-Neighborhood Enhanced Harris Hawks Optimization(MNEHHO)algorithm to address the allocation of HRES components.The proposed approach integrates key technical parameters,including charge-discharge efficiency,storage device configurations,and renewable energy fraction.We formulate a comprehensive mathematical model that simultaneously minimizes levelized energy costs and pollutant emissions while maintaining system reliability.The MNEHHO algorithm employs multiple neighborhood structures to enhance solution diversity and exploration capabilities.The model’s effectiveness is validated through case studies across four distinct institutional energy demand profiles.Results demonstrate that our approach successfully generates practically feasible HRES configurations while achieving significant reductions in costs and emissions compared to conventional methods.The enhanced search mechanisms of MNEHHO show superior performance in avoiding local optima and achieving consistent solutions.Experimental results demonstrate concrete improvements in solution quality(up to 46% improvement in objective value)and computational efficiency(average coefficient of variance of 24%-27%)across diverse institutional settings.This confirms the robustness and scalability of our method under various operational scenarios,providing a reliable framework for solving renewable energy allocation problems. 展开更多
关键词 Hybrid renewable energy system multi-neighborhood enhanced Harris hawks optimization costemission optimization renewable energy allocation problem reliability
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An Improved Harris Hawk Optimization Algorithm for Flexible Job Shop Scheduling Problem 被引量:1
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作者 Zhaolin Lv Yuexia Zhao +2 位作者 Hongyue Kang Zhenyu Gao Yuhang Qin 《Computers, Materials & Continua》 SCIE EI 2024年第2期2337-2360,共24页
Flexible job shop scheduling problem(FJSP)is the core decision-making problem of intelligent manufacturing production management.The Harris hawk optimization(HHO)algorithm,as a typical metaheuristic algorithm,has been... Flexible job shop scheduling problem(FJSP)is the core decision-making problem of intelligent manufacturing production management.The Harris hawk optimization(HHO)algorithm,as a typical metaheuristic algorithm,has been widely employed to solve scheduling problems.However,HHO suffers from premature convergence when solving NP-hard problems.Therefore,this paper proposes an improved HHO algorithm(GNHHO)to solve the FJSP.GNHHO introduces an elitism strategy,a chaotic mechanism,a nonlinear escaping energy update strategy,and a Gaussian random walk strategy to prevent premature convergence.A flexible job shop scheduling model is constructed,and the static and dynamic FJSP is investigated to minimize the makespan.This paper chooses a two-segment encoding mode based on the job and the machine of the FJSP.To verify the effectiveness of GNHHO,this study tests it in 23 benchmark functions,10 standard job shop scheduling problems(JSPs),and 5 standard FJSPs.Besides,this study collects data from an agricultural company and uses the GNHHO algorithm to optimize the company’s FJSP.The optimized scheduling scheme demonstrates significant improvements in makespan,with an advancement of 28.16%for static scheduling and 35.63%for dynamic scheduling.Moreover,it achieves an average increase of 21.50%in the on-time order delivery rate.The results demonstrate that the performance of the GNHHO algorithm in solving FJSP is superior to some existing algorithms. 展开更多
关键词 Flexible job shop scheduling improved Harris hawk optimization algorithm(GNHHO) premature convergence maximum completion time(makespan)
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Consequences of Rényi entropy on the thermal geometries and Hawking evaporation of topological dyonic dilaton black hole
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作者 Muhammad Yasir Xia Tiecheng +1 位作者 Muhammad Usman Shahid Chaudhary 《Communications in Theoretical Physics》 SCIE CAS CSCD 2024年第2期102-110,共9页
The thermodynamics of black holes(BHs)has had a profound impact on theoretical physics,providing insight into the nature of gravity,the quantum structure of spacetime and the fundamental laws governing the Universe.In... The thermodynamics of black holes(BHs)has had a profound impact on theoretical physics,providing insight into the nature of gravity,the quantum structure of spacetime and the fundamental laws governing the Universe.In this study,we investigate thermal geometries and Hawking evaporation of the recently proposed topological dyonic dilaton BH in anti-de Sitter(Ad S)space.We consider Rényi entropy and obtain the relations for pressure,heat capacity and Gibbs free energy and observe that the Rényi parameter and dilaton field play a vital role in the phase transition and stability of the BH.Moreover,we use Weinhold,Ruppeiner and Hendi Panahiyah Eslam Momennia models to evaluate the scalar curvature of the BH and find out that the divergence points of the scalar curvature coincides with the zero of specific heat.Finally,using Stefan–Boltzmann law,we determine that the BH without a dilaton field evaporates far more quickly compared to the dilaton BH in Ad S space. 展开更多
关键词 topological dyonic dilaton black hole phase transition thermal geometry hawking evaporation
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The Hawking Hubble Temperature as the Minimum Temperature, the Planck Temperature as the Maximum Temperature, and the CMB Temperature as Their Geometric Mean Temperature
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作者 Espen Gaarder Haug Eugene Terry Tatum 《Journal of Applied Mathematics and Physics》 2024年第10期3328-3348,共21页
Using a rigorous mathematical approach, we demonstrate how the Cosmic Microwave Background (CMB) temperature could simply be a form of geometric mean temperature between the minimum time-dependent Hawking Hubble tempe... Using a rigorous mathematical approach, we demonstrate how the Cosmic Microwave Background (CMB) temperature could simply be a form of geometric mean temperature between the minimum time-dependent Hawking Hubble temperature and the maximum Planck temperature of the expanding universe over the course of cosmic time. This mathematical discovery suggests a re-consideration of Rh=ctcosmological models, including black hole cosmological models, even if it possibly could also be consistent with the Λ-CDM model. Most importantly, this paper contributes to the growing literature in the past year asserting a tightly constrained mathematical relationship between the CMB temperature, the Hubble constant, and other global parameters of the Hubble sphere. Our approach suggests a solid theoretical framework for predicting and understanding the CMB temperature rather than solely observing it.1. 展开更多
关键词 hawking Temperature Planck Temperature CMB Temperature Geometric Mean Compton Wavelength Hubble Sphere Cosmological Models
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Bayesian Classifier Based on Robust Kernel Density Estimation and Harris Hawks Optimisation
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作者 Bi Iritie A-D Boli Chenghao Wei 《International Journal of Internet and Distributed Systems》 2024年第1期1-23,共23页
In real-world applications, datasets frequently contain outliers, which can hinder the generalization ability of machine learning models. Bayesian classifiers, a popular supervised learning method, rely on accurate pr... In real-world applications, datasets frequently contain outliers, which can hinder the generalization ability of machine learning models. Bayesian classifiers, a popular supervised learning method, rely on accurate probability density estimation for classifying continuous datasets. However, achieving precise density estimation with datasets containing outliers poses a significant challenge. This paper introduces a Bayesian classifier that utilizes optimized robust kernel density estimation to address this issue. Our proposed method enhances the accuracy of probability density distribution estimation by mitigating the impact of outliers on the training sample’s estimated distribution. Unlike the conventional kernel density estimator, our robust estimator can be seen as a weighted kernel mapping summary for each sample. This kernel mapping performs the inner product in the Hilbert space, allowing the kernel density estimation to be considered the average of the samples’ mapping in the Hilbert space using a reproducing kernel. M-estimation techniques are used to obtain accurate mean values and solve the weights. Meanwhile, complete cross-validation is used as the objective function to search for the optimal bandwidth, which impacts the estimator. The Harris Hawks Optimisation optimizes the objective function to improve the estimation accuracy. The experimental results show that it outperforms other optimization algorithms regarding convergence speed and objective function value during the bandwidth search. The optimal robust kernel density estimator achieves better fitness performance than the traditional kernel density estimator when the training data contains outliers. The Naïve Bayesian with optimal robust kernel density estimation improves the generalization in the classification with outliers. 展开更多
关键词 CLASSIFICATION Robust Kernel Density Estimation M-ESTIMATION Harris hawks Optimisation Algorithm Complete Cross-Validation
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An Improved Harris Hawk Optimization Algorithm
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作者 GuangYa Chong Yongliang YUAN 《Mechanical Engineering Science》 2024年第1期21-25,共5页
Aiming at the problems that the original Harris Hawk optimization algorithm is easy to fall into local optimum and slow in finding the optimum,this paper proposes an improved Harris Hawk optimization algorithm(GHHO).F... Aiming at the problems that the original Harris Hawk optimization algorithm is easy to fall into local optimum and slow in finding the optimum,this paper proposes an improved Harris Hawk optimization algorithm(GHHO).Firstly,we used a Gaussian chaotic mapping strategy to initialize the positions of individuals in the population,which enriches the initial individual species characteristics.Secondly,by optimizing the energy parameter and introducing the cosine strategy,the algorithm's ability to jump out of the local optimum is enhanced,which improves the performance of the algorithm.Finally,comparison experiments with other intelligent algorithms were conducted on 13 classical test function sets.The results show that GHHO has better performance in all aspects compared to other optimization algorithms.The improved algorithm is more suitable for generalization to real optimization problems. 展开更多
关键词 Harris hawk optimization algorithm chaotic mapping cosine strategy function optimization
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整体单级de-Sitter时空背景的Hawking辐射
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作者 韩亦文 《四川师范学院学报(自然科学版)》 2002年第2期149-151,158,共4页
利用被改进后的Damour Ruffini方法研究了整体单级de Sitter黑洞在标量场的Hawing温度与时空的视界方程 ,采用Tortoise坐标变换 ,给出了Klein Gordon方程在视界附近的渐近解 ,导出了Hawking温度 ,得到了热谱 .
关键词 整体单级de-Sitter时空 hawkING辐射 黑洞 视界方程 Tortoise价值 波动方程 hawkING温度 Damour-Ruffim方法
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基于Hawkes过程中美股市大幅波动互激效应的研究 被引量:9
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作者 汪冬华 张裕恒 《中国管理科学》 CSSCI CSCD 北大核心 2018年第7期32-39,共8页
近年来,由于中美经济联系日趋紧密,中美股票市场大幅波动的互激效应明显增强。本文考虑中美股市时差和法定节假日差异等因素,运用标值Hawkes过程对2006-2017年CSI300和S&P500大幅波动收益率数据进行建模,结果表明:(1)中美股市大幅... 近年来,由于中美经济联系日趋紧密,中美股票市场大幅波动的互激效应明显增强。本文考虑中美股市时差和法定节假日差异等因素,运用标值Hawkes过程对2006-2017年CSI300和S&P500大幅波动收益率数据进行建模,结果表明:(1)中美股市大幅波动互激效应存在不对称性,美股市场大幅波动对中国股市的互激效应更强;(2)中美股市大幅波动的幅度对互激效应不存在显著影响;(3)中美股票市场对于大幅波动互激效应的消化速度存在差异,中国股票市场消化美股大幅波动互激效应的速度较快。本研究对金融市场监管者和投资者均有一定意义。 展开更多
关键词 hawkes过程 大幅波动 互激效应
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Hawkes过程分支比估计——一种简单的非参数方法 被引量:5
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作者 吴奔 张波 《统计研究》 CSSCI 北大核心 2015年第3期92-99,共8页
Hawkes自激发过程是近年来被广泛用于金融建模的一个良好模型。本文提出了一种Hawkes自激发过程的分支比的简单估计方法,该方法是对Hardiman和Bouchaud提出的均值-方差估计量的改进。在继承均值-方差估计量形式简便的优点的同时,克服其... Hawkes自激发过程是近年来被广泛用于金融建模的一个良好模型。本文提出了一种Hawkes自激发过程的分支比的简单估计方法,该方法是对Hardiman和Bouchaud提出的均值-方差估计量的改进。在继承均值-方差估计量形式简便的优点的同时,克服其参数难以选择的缺陷,减小了估计的系统性偏差。模拟结果验证了改进的效果,同时我们将该估计方法用于我国股市内生性水平的分析之中。 展开更多
关键词 hawkes过程 分支比 内生性
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基于Hawkes过程的国际原油市场与中国股票市场大幅波动联动性研究 被引量:10
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作者 汪冬华 姚钰雯 王暖 《中国管理科学》 CSSCI CSCD 北大核心 2022年第8期36-43,共8页
考虑国际原油市场与中国股票市场之间的大幅波动存在联动性,本文采用二维标值Hawkes模型对2007年至2019年8月的布伦特原油期货和沪深300指数的日度数据中大幅波动的单市场延续和跨市场传染的传播特性进行建模。实证结果表明:(1)Hawkes... 考虑国际原油市场与中国股票市场之间的大幅波动存在联动性,本文采用二维标值Hawkes模型对2007年至2019年8月的布伦特原油期货和沪深300指数的日度数据中大幅波动的单市场延续和跨市场传染的传播特性进行建模。实证结果表明:(1)Hawkes过程可以较好地拟合国际原油和中国股市之间大幅波动的自激发和互激发效应,并捕捉资产收益率在时间和空间上的聚集性、持续性和溢出性;(2)原油市场和中国股市的大幅波动均存在较强的自激发效应;(3)原油市场和中国股市之间大幅波动的互激发效应具有统计意义上的显著性,但在实际影响方面相比于自激发效应更为微弱。本研究对股票市场建设、资产配置和风险防范均有一定意义。 展开更多
关键词 hawkes过程 极值理论 大幅波动 市场联动
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基于Hawkes因子模型的股价共同跳跃研究 被引量:8
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作者 刘志东 郑雪飞 《中国管理科学》 CSSCI CSCD 北大核心 2018年第7期18-31,共14页
本文首先比较了三种目前主流的共跳检验方法:基于LM检验的共跳检验、BLT共跳检验和FHLL共跳检验,结果表明,三种方法在识别共跳数量上差距明显,但三者结果的重合部分基本属于市场暴涨暴跌行情,说明共跳识别对市场剧烈波动的聚集性较为... 本文首先比较了三种目前主流的共跳检验方法:基于LM检验的共跳检验、BLT共跳检验和FHLL共跳检验,结果表明,三种方法在识别共跳数量上差距明显,但三者结果的重合部分基本属于市场暴涨暴跌行情,说明共跳识别对市场剧烈波动的聚集性较为敏感。基于跳跃、共跳存在的聚集性问题,本文将Hawkes过程引入跳跃和共跳的研究,构建了基于Hawkes过程的因子模型,结果显示,基于Hawkes因子模型的MJ统计量、CJ统计量和实证数据的拟合程度较好,表明因子模型能够更好地描述跳跃和共跳的聚集性。 展开更多
关键词 股票价格 hawkes过程 因子模型 系统性共跳 高频数据
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基于Hawkes过程的尾部风险溢酬分析 被引量:8
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作者 陈淼鑫 徐亮 《管理科学学报》 CSSCI CSCD 北大核心 2019年第6期97-112,共16页
基于Hawkes过程,利用台指期权和期货数据,估计尾部风险溢酬及其两个组成部分(正跳和负跳的尾部风险溢酬),并进一步探讨其对台指收益率预测力的差异,以及与投资者情绪之间的不同关系.实证结果发现:中国台湾市场上负跳(正跳)的尾部风险溢... 基于Hawkes过程,利用台指期权和期货数据,估计尾部风险溢酬及其两个组成部分(正跳和负跳的尾部风险溢酬),并进一步探讨其对台指收益率预测力的差异,以及与投资者情绪之间的不同关系.实证结果发现:中国台湾市场上负跳(正跳)的尾部风险溢酬均值为正(负),整体的尾部风险溢酬受负跳的影响更大.负跳(正跳)的尾部风险溢酬对未来1个月~6个月的台指收益率均有(没有)显著的预测力,但整体的尾部风险溢酬对未来收益率预测的效果并不稳定.投资者情绪对正跳(负跳)的尾部风险溢酬具有显著为正(负)的解释力,但对整体的尾部风险溢酬则不具有显著的解释力. 展开更多
关键词 尾部风险溢酬 hawkes过程 跳跃 投资者情绪
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动态球对称黑洞中Dirac粒子的Hawking辐射 被引量:1
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作者 曹江陵 杨波 《重庆大学学报(自然科学版)》 EI CAS CSCD 北大核心 2005年第7期133-136,共4页
在动态球对称黑洞时空中求解狄拉克方程,采用了Tortoise坐标变换将狄拉克方程变成Tortoise坐标下的形式,在视界面附近化成了标准的波动方程,得到在视界面附近狄拉克粒子的Hawking辐射温度,成功地导出了Hawking热谱公式.该谱由黑洞的度... 在动态球对称黑洞时空中求解狄拉克方程,采用了Tortoise坐标变换将狄拉克方程变成Tortoise坐标下的形式,在视界面附近化成了标准的波动方程,得到在视界面附近狄拉克粒子的Hawking辐射温度,成功地导出了Hawking热谱公式.该谱由黑洞的度规分量g00和g01决定. 展开更多
关键词 狄拉克方程 hawkING辐射 黑洞 TORTOISE坐标变换
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基于状态依赖Hawkes过程的我国股市限价指令簿事件激励效应研究 被引量:3
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作者 刘志东 赵致远 《中国管理科学》 CSSCI CSCD 北大核心 2022年第2期1-13,共13页
指令驱动市场中,交易者对委托指令的提交和撤销往往表现出非平稳性和集聚性特征。量化评价限价指令簿事件间的激励关系,是探究限价指令簿动态演化的基础,指导交易者行为决策的重要参照。本文利用我国股票逐单委托数据重建了实时演化的... 指令驱动市场中,交易者对委托指令的提交和撤销往往表现出非平稳性和集聚性特征。量化评价限价指令簿事件间的激励关系,是探究限价指令簿动态演化的基础,指导交易者行为决策的重要参照。本文利用我国股票逐单委托数据重建了实时演化的限价指令簿,基于状态依赖Hawkes过程分析了不同市场状态下各类限价指令簿事件的自激励和互激励效应。共采用三种不同设定的状态依赖Hawkes过程模型进行实证分析,并探讨了我国股市中交易者的行为特征。实证结果表明,总体上我国股市中限价指令簿事件的自激励效应强于互激励效应,且不同市场状态下存在显著差异。激进事件所产生的互激励效应更为强烈,通过激进程度划分事件类型更能反映事件冲击和交易者的信息学习行为。 展开更多
关键词 限价指令簿 状态依赖hawkes过程 委托指令 激励效应 市场状态
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变加速直线运动黑洞中Dirac粒子的Hawking辐射 被引量:1
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作者 杨波 《四川大学学报(自然科学版)》 CAS CSCD 北大核心 2007年第2期361-364,共4页
在加速直线运动时空中,采用新的Tortoise坐标变换将Dirac方程在黑洞视界面附近化成了典型的波动方程,得到在视界面附近带Dirac粒子的Hawking辐射温度,导出了Hawk-ing热辐射谱.
关键词 黑洞 DIRAC方程 hawkING辐射 Tortoise坐标
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