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A QUANTITATIVE MODEL FOR INTRADAY STOCK PRICE CHANGES BASED ON ORDER FLOWS
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作者 LIMeng HUI Xiaofeng +1 位作者 ENDO Misao KISHIMOTO Kazuo 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2014年第1期208-224,共17页
This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order a... This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order arrivals are independent Poisson random processes. The dynamic process of price formation is described by a birth-death process of the double M/M/1 server queue corresponding to the best bid/ask. The initial depths of the best bid and ask are defined as different constants depending on the last price change. Thus, the price changes in the model follow a first-order Markov process. As the initial depth of the best bid/ask is originally larger than that of the opposite side when the last price is down/up, the model may explain the negative autocorrelations of the price of the best bid/ask. The estimated parameters are based on the real tick-by-tick data of the Nikkei 225 futures listed in Osaka Stock Exchanges. The authors find the model accurately predicts the returns of Osaka Stock Exchange average. 展开更多
关键词 Intra-day price changes market microstructure order flow queuing theory.
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High-order discontinuous Galerkin method for applications to multicomponent and chemically reacting flows 被引量:2
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作者 Yu Lv Matthias Ihme 《Acta Mechanica Sinica》 SCIE EI CAS CSCD 2017年第3期486-499,共14页
This article focuses on the development of a discontinuous Galerkin (DG) method for simulations of multicomponent and chemically reacting flows. Compared to aerodynamic flow applications, in which DG methods have been... This article focuses on the development of a discontinuous Galerkin (DG) method for simulations of multicomponent and chemically reacting flows. Compared to aerodynamic flow applications, in which DG methods have been successfully employed, DG simulations of chemically reacting flows introduce challenges that arise from flow unsteadiness, combustion, heat release, compressibility effects, shocks, and variations in thermodynamic properties. To address these challenges, algorithms are developed, including an entropy-bounded DG method, an entropy-residual shock indicator, and a new formulation of artificial viscosity. The performance and capabilities of the resulting DG method are demonstrated in several relevant applications, including shock/bubble interaction, turbulent combustion, and detonation. It is concluded that the developed DG method shows promising performance in application to multicomponent reacting flows. The paper concludes with a discussion of further research needs to enable the application of DG methods to more complex reacting flows. 展开更多
关键词 Discontinuous Galerkin method High-order schemes Reacting flows Multicomponent flows
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Asymptotic solution of a wide moving jam to a class of higher-order viscous traffic flow models 被引量:1
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作者 Chunxiu WU 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI CSCD 2018年第5期609-622,共14页
The boundary-layer method is used to study a wide moving jam to a class of higher-order viscous models. The equations for characteristic parameters are derived to determine the asymptotic solution. The sufficient and ... The boundary-layer method is used to study a wide moving jam to a class of higher-order viscous models. The equations for characteristic parameters are derived to determine the asymptotic solution. The sufficient and essential conditions for the wide moving jam formation are discussed in detail, respectively, and then used to prove or disprove the existence of the wide moving jam solutions to many well-known higher-order models. It is shown that the numerical results agree with the analytical results. 展开更多
关键词 higher-order traffic flow model wide moving jam boundary-layer method weighted essentially nonoscillatory (WENO) scheme
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Effects of rotation and magnetic field on the nonlinear peristaltic flow of a second-order fluid in an asymmetric channel through a porous medium 被引量:1
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作者 A. M. Abd-Alla S. M. Abo-Dahab H. D. El-Shahrany 《Chinese Physics B》 SCIE EI CAS CSCD 2013年第7期303-313,共11页
In this paper, the effects of both rotation and magnetic field of the peristaltic transport of a second-order fluid through a porous medium in a channel are studied analytically and computed numerically. The material ... In this paper, the effects of both rotation and magnetic field of the peristaltic transport of a second-order fluid through a porous medium in a channel are studied analytically and computed numerically. The material is represented by the constitutive equations for a second-order fluid. Closed-form solutions under the consideration of long wavelength and low Reynolds number is presented. The analytical expressions for the pressure gradient, pressure rise, friction force, stream function, shear stress, and velocity are obtained in the physical domain. The effects of the non-dimensional wave amplitude, porosity, magnetic field, rotation, and the dimensionless time-mean flow in the wave frame are analyzed theoretically and computed numerically. Numerical results are given and illustrated graphically in each case considered. Comparison was made with the results obtained in the presence and absence of rotation, magnetic field, and porosity. The results indicate that the effects of the non-dimensional wave amplitude, porosity, magnetic field, rotation, and the dimensionless time-mean flow are very pronounced in the phenomena. 展开更多
关键词 peristaltic flow second-order fluid magnetic field porous medium
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A two-scale second-order moment two-phase turbulence model for simulating dense gas-particle flows 被引量:5
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作者 Zhuoxiong Zeng Lixing Zhou Jian Zhang 《Acta Mechanica Sinica》 SCIE EI CAS CSCD 2005年第5期425-429,共5页
A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concepts of particle large-scale fluctuation due to turbulence and particle small-scale flu... A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concepts of particle large-scale fluctuation due to turbulence and particle small-scale fluctuation due to collision and through a unified treatment of these two kinds of fluctuations. The proposed model is used to simulate gas-particle flows in a channel and in a downer. Simulation results are in agreement with the experimental results reported in references and are near the results obtained using the sin- gle-scale second-order moment two-phase turbulence model superposed with a particle collision model (USM-θ model) in most regions. 展开更多
关键词 Gas-particle flows .Second-order moment model . Two-scale fluctuation
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SQUEEZE FLOW OF A SECOND-ORDER FLUID BETWEEN TWO PARALLEL DISKS OR TWO SPHERES 被引量:1
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作者 徐春晖 黄文彬 徐泳 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2004年第9期1057-1064,共8页
The normal viscous force of squeeze flow between two arbitrary rigid spheres with an interstitial second-order fluid was studied for modeling wet granular materials using the discrete element method. Based on the Reyn... The normal viscous force of squeeze flow between two arbitrary rigid spheres with an interstitial second-order fluid was studied for modeling wet granular materials using the discrete element method. Based on the Reynolds' lubrication theory, the small parameter method was introduced to approximately analyze velocity field and stress distribution between the two disks. Then a similar procedure was carried out for analyzing the normal interaction between two nearly touching, arbitrary rigid spheres to obtain the pressure distribution and the resulting squeeze force. It has been proved that the solutions can be reduced to the case of a Newtonian fluid when the non-Newtonian terms are neglected. 展开更多
关键词 discrete element method second-order fluid squeeze flow normal viscous force small parameter method
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GENERAL SECOND ORDER FLUID FLOW IN A PIPE
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作者 何光渝 黄军旗 刘慈群 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 1995年第9期825-831,共7页
It is more satisfactory for fluid materials between viscous and elastic to introducethe fractional calculus approach into the constitutive relationship. This paper employsthe fractional calculus approach to study seco... It is more satisfactory for fluid materials between viscous and elastic to introducethe fractional calculus approach into the constitutive relationship. This paper employsthe fractional calculus approach to study second fluid flow in a paper. First, we derivethe analytical solution which the derivate order is half and then with the analyticalsolution we verify the reliability of Laplace numerical inversion based on Crumpalgouithm for the problem, and finally we analyze the characteristics of second orderfluid flow in a pipe by using Crump method. The results indicate that the more obviousthe viscoelastic properties of fluid is, the more sensitive the dependence of velocity andstress on fractional derivative order is. 展开更多
关键词 second order fluids. axial flow in a pipe integral transforrnation
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Differential Quadrature Method for Steady Flow of an Incompressible Second-Order Viscoelastic Fluid and Heat Transfer Model 被引量:1
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作者 A.S.J.AL-SAIF 朱正佑 《Journal of Shanghai University(English Edition)》 CAS 2005年第4期298-305,共8页
The two-dimensional steady flow of an incompressible second-order viscoelastic fluid between two parallel plates was studied in terms of vorticity, the stream function and temperature equations. The governing equation... The two-dimensional steady flow of an incompressible second-order viscoelastic fluid between two parallel plates was studied in terms of vorticity, the stream function and temperature equations. The governing equations were expanded with respect to a snmll parameter to get the zeroth- and first-order approximate equations. By using the differenl2al quadrature method with only a few grid points, the high-accurate numerical results were obtained. 展开更多
关键词 differential quadrature method(DQM) second-order viscoelastic fluid steady flow heat transfer.
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Solitary wave solutions to higher-order traffic flow model with large diffusion
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作者 菅肖霞 张鹏 +2 位作者 S.C.WONG 乔殿梁 崔岐柱 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2014年第2期167-176,共10页
This paper uses the Taylor expansion to seek an approximate Korteweg- de Vries equation (KdV) solution to a higher-order traffic flow model with sufficiently large diffusion. It demonstrates the validity of the appr... This paper uses the Taylor expansion to seek an approximate Korteweg- de Vries equation (KdV) solution to a higher-order traffic flow model with sufficiently large diffusion. It demonstrates the validity of the approximate KdV solution considering all the related parameters to ensure the physical boundedness and the stability of the solution. Moreover, when the viscosity coefficient depends on the density and velocity of the flow, the wave speed of the KdV solution is naturally related to either the first or the second characteristic field. The finite element method is extended to solve the model and examine the stability and accuracy of the approximate KdV solution. 展开更多
关键词 higher-order traffic flow model viscosity coefficient approximate Korteweg-de Vries equation (KdV) solution finite element scheme
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Non-intrusive reduced-order model for predicting transonic flow with varying geometries 被引量:7
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作者 Zhiwei SUN Chen WANG +4 位作者 Yu ZHENG Junqiang BAI Zheng LI Qiang XIA Qiujun FU 《Chinese Journal of Aeronautics》 SCIE EI CAS CSCD 2020年第2期508-519,共12页
A Non-Intrusive Reduced-Order Model(NIROM)based on Proper Orthogonal Decomposition(POD)has been proposed for predicting the flow fields of transonic airfoils with geometry parameters.To provide a better reduced-order ... A Non-Intrusive Reduced-Order Model(NIROM)based on Proper Orthogonal Decomposition(POD)has been proposed for predicting the flow fields of transonic airfoils with geometry parameters.To provide a better reduced-order subspace to approximate the real flow field,a domain decomposition method has been used to separate the hard-to-predict regions from the full field and POD has been adopted in the regions individually.An Artificial Neural Network(ANN)has replaced the Radial Basis Function(RBF)to interpolate the coefficients of the POD modes,aiming at improving the approximation accuracy of the NIROM for non-samples.When predicting the flow fields of transonic airfoils,the proposed NIROM has demonstrated a high performance. 展开更多
关键词 Artificial Neural Network Domain DECOMPOSITION Geometric parameters Non-Intrusive Reduced-order Model PROPER ORTHOGONAL DECOMPOSITION TRANSONIC flow
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Hall Effect on Peristaltic Flow of Third Order Fluid in a Porous Medium with Heat and Mass Transfer
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作者 Nabil T. M. Eldabe Ahmed Y. Ghaly +2 位作者 Sallam N. Sallam Khaled Elagamy Yasmeen M. Younis 《Journal of Applied Mathematics and Physics》 2015年第9期1138-1150,共13页
We investigated the influence of hall, heat and mass transfer on the peristaltic flow of MHD third order fluid under long-wavelength and low Reynolds number approximation. The governing equations are solved analytical... We investigated the influence of hall, heat and mass transfer on the peristaltic flow of MHD third order fluid under long-wavelength and low Reynolds number approximation. The governing equations are solved analytically with the appropriate boundary conditions by using perturbation technique. The formula of velocity with temperature and concentration is obtained analytically as a function of the physical parameters of the problem. 展开更多
关键词 Peristaltic flow THIRD order FLUID HALL Effect Heat Mass Transfer
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SECOND-ORDER MOMENT MODEL FOR DENSE TWO-PHASE TURBULENT FLOW OF BINGHAM FLUID WITH PARTICLES
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作者 曾卓雄 周力行 刘志和 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2006年第10期1373-1381,共9页
The USM-θ model of Bingham fluid for dense two-phase turbulent flow was developed, which combines the second-order moment model for two-phase turbulence with the particle kinetic theory for the inter-particle collisi... The USM-θ model of Bingham fluid for dense two-phase turbulent flow was developed, which combines the second-order moment model for two-phase turbulence with the particle kinetic theory for the inter-particle collision. In this model, phases interaction and the extra term of Bingham fluid yield stress are taken into account. An algorithm for USM-θ model in dense two-phase flow was proposed, in which the influence of particle volume fraction is accounted for. This model was used to simulate turbulent flow of Bingham fluid single-phase and dense liquid-particle two-phase in pipe. It is shown USM-θ model has better prediction result than the five-equation model, in which the particle-particle collision is modeled by the particle kinetic theory, while the turbulence of both phase is simulated by the two-equation turbulence model. The USM-θ model was then used to simulate the dense two-phase turbulent up flow of Bingham fluid with particles. With the increasing of the yield stress, the velocities of Bingham and particle decrease near the pipe centre. Comparing the two-phase flow of Bingham-particle with that of liquid-particle, it is found the source term of yield stress has significant effect on flow. 展开更多
关键词 Bingham fluid two-phase flow yield stress second-order moment model
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MHD Flow and Heat Transfer of a Generalized Burgers' Fluid Due to an Exponential Accelerating Plate with Effects of the Second Order Slip and Viscous Dissipation
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作者 张艳 赵豪杰 白羽 《Communications in Theoretical Physics》 SCIE CAS CSCD 2017年第6期697-703,共7页
In classical study on generalized viscoelastic fluid, the momentum equation was derived by considering the fractional constitutive model, while the energy equation was ignored its effect. This paper presents an invest... In classical study on generalized viscoelastic fluid, the momentum equation was derived by considering the fractional constitutive model, while the energy equation was ignored its effect. This paper presents an investigation for the magnetohydrodynamic(MHD) flow and heat transfer of an incompressible generalized Burgers' fluid due to an exponential accelerating plate with the effect of the second order velocity slip. The energy equation and momentum equation are coupled by the fractional Burgers' fluid constitutive model. Numerical solutions for velocity, temperature and shear stress are obtained using the modified implicit finite difference method combined with the G1-algorithm,whose validity is confirmed by the comparison with the analytical solution. Our results show that the influences of the fractional parameters α and β on the flow are opposite each other, which is just like the effects of the two parameters on the temperature. Moreover, the impact trends of the relaxation time λ_1 and retardation time λ_3 on the velocity are opposite each other. Increasing the boundary parameter will promote the temperature, but has little effect on the temperature boundary layer thickness. 展开更多
关键词 magnetohydrodynamic flow generalized Burgers’ fluid the second order velocity slip Riemann–Liouville fractional derivative
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High Order Central Schemes Applied to Relativistic Multi-Component Flow Models
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作者 Tayabia Ghaffar Muhammad Yousaf +1 位作者 Saira Sultan Shamsul Qamar 《Applied Mathematics》 2014年第8期1169-1186,共18页
The dynamics of inviscid multi-component relativistic fluids may be modeled by the relativistic Euler equations, augmented by one (or more) additional species equation(s). We use the high-resolution staggered central ... The dynamics of inviscid multi-component relativistic fluids may be modeled by the relativistic Euler equations, augmented by one (or more) additional species equation(s). We use the high-resolution staggered central schemes to solve these equations. The equilibrium states for each component are coupled in space and time to have a common temperature and velocity. The current schemes can handle strong shocks and the oscillations near the interfaces are negligible, which usually happens in the multi-component flows. The schemes also guarantee the exact mass conservation for each component, the exact conservation of total momentum, and energy in the whole particle system. The central schemes are robust, reliable, compact and easy to implement. Several one- and two-dimensional numerical test cases are included in this paper, which validate the application of these schemes to relativistic multi-component flows. 展开更多
关键词 MULTI-COMPONENT flowS RELATIVISTIC EULER Equations Central Schemes HIGHER order Accuracy
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Lattice Boltzmann simulations of high-order statistics in isotropic turbulent flows
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作者 Guodong JIN Shizhao WANG +1 位作者 Yun WANG Guowei HE 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI CSCD 2018年第1期21-30,共10页
The lattice Boltzmann method (LBM) is coupled with the multiple-relaxation- time (MRT) collision model and the three-dimensional 19-discrete-velocity (D3Q19) model to resolve intermittent behaviors on small scal... The lattice Boltzmann method (LBM) is coupled with the multiple-relaxation- time (MRT) collision model and the three-dimensional 19-discrete-velocity (D3Q19) model to resolve intermittent behaviors on small scales in isotropic turbulent flows. The high- order scaling exponents of the velocity structure functions, the probability distribution functions of Lagrangian accelerations, and the local energy dissipation rates are investi- gated. The self-similarity of the space-time velocity structure functions is explored using the extended self-similarity (ESS) method, which was originally developed for velocity spatial structure functions. The scaling exponents of spatial structure functions at up to ten orders are consistent with the experimental measurements and theoretical results, implying that the LBM can accurately resolve the intermittent behaviors. This valida~ tion provides a solid basis for using the LBM to study more complex processes that are sensitive to small scales in turbulent flows, such as the relative dispersion of pollutants and mesoscale structures of preferential concentration of heavy particles suspended in turbulent flows. 展开更多
关键词 mesoscopic modelling lattice Boltzmann method (LBM) isotropic turbulent flow structure function intermittency high-order statistics SELF-SIMILARITY
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2-机器FlowShop随机调度问题
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作者 贾春福 涂 生 《南开大学学报(自然科学版)》 CAS CSCD 1996年第2期37-44,109,共9页
本文讨论了2-机器FlowShop调度问题,在假定同一工件在不同机器上的加工时间为同分布的随机变量且加工时间在随机意义下可以排序时,给出了等待时间差的绝对值总和的期望最小的最优排序的若干性质。
关键词 调度 随机排序 排序
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利用到达定义集计算流依赖和def-order依赖
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作者 阎萍 蓝立毅 《电脑知识与技术》 2016年第12X期1-3,共3页
针对生成程序系统依赖图时语句顶点之间的流依赖和def-order依赖计算问题,给出了定义清晰的路径以及到达定义集的概念,描述了利用到达定义集进行计算的方法步骤,有助于确立语句之间的流依赖和def-order依赖关系。
关键词 C语言 到达定义集 流依赖 def-order依赖
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High-order implicit discontinuous Galerkin schemes for unsteady compressible Navier–Stokes equations 被引量:4
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作者 Jiang Zhenhua Yan Chao Yu Jian 《Chinese Journal of Aeronautics》 SCIE EI CAS CSCD 2014年第6期1384-1389,共6页
Efficient solution techniques for high-order temporal and spatial discontinuous Galerkin(DG) discretizations of the unsteady Navier–Stokes equations are developed. A fourth-order implicit Runge–Kutta(IRK) scheme... Efficient solution techniques for high-order temporal and spatial discontinuous Galerkin(DG) discretizations of the unsteady Navier–Stokes equations are developed. A fourth-order implicit Runge–Kutta(IRK) scheme is applied for the time integration and a multigrid preconditioned GMRES solver is extended to solve the nonlinear system arising from each IRK stage. Several modifications to the implicit solver have been considered to achieve the efficiency enhancement and meantime to reduce the memory requirement. A variety of time-accurate viscous flow simulations are performed to assess the resulting high-order implicit DG methods. The designed order of accuracy for temporal discretization scheme is validate and the present implicit solver shows the superior performance by allowing quite large time step to be used in solving time-implicit systems. Numerical results are in good agreement with the published data and demonstrate the potential advantages of the high-order scheme in gaining both the high accuracy and the high efficiency. 展开更多
关键词 Discontinuous Galerkin scheme GMRES solver High order Implicit Runge–Kutta method Unsteady flows
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Solitary wave solution to Aw-Rascle viscous model of traffic flow 被引量:1
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作者 吴春秀 张鹏 +2 位作者 S.C.WONG 乔殿梁 戴世强 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2013年第4期523-528,共6页
A traveling wave solution to the Aw-Rascle traffic flow model that includes the relaxation and diffusion terms is investigated. The model can be approximated by the well-known Kortweg-de Vries (KdV) equation. A nume... A traveling wave solution to the Aw-Rascle traffic flow model that includes the relaxation and diffusion terms is investigated. The model can be approximated by the well-known Kortweg-de Vries (KdV) equation. A numerical simulation is conducted by the first-order accurate Lax-Friedrichs scheme, which is known for its ability to capture the entropy solution to hyperbolic conservation laws. Periodic boundary conditions are applied to simulate a lengthy propagation, where the profile of the derived KdV solution is taken as the initial condition to observe the change of the profile. The simulation shows good agreement between the approximated KdV solution and the numerical solution. 展开更多
关键词 hyperbolic conservation law higher-order traffic flow model traveling wave solution conservative scheme
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SIMPLE LATTICE BOLTZMANN MODEL FOR TRAFFIC FLOWS 被引量:1
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作者 闫广武 胡守信 《Acta Mechanica Sinica》 SCIE EI CAS CSCD 2000年第1期70-74,共5页
A lattice Boltzmann model with 5-bit lattice for traffic flows is proposed. Using the Chapman-Enskog expansion and multi-scale technique, we obtain the higher-order moments of equilibrium distribution function. A simp... A lattice Boltzmann model with 5-bit lattice for traffic flows is proposed. Using the Chapman-Enskog expansion and multi-scale technique, we obtain the higher-order moments of equilibrium distribution function. A simple traffic light problem is simulated by using the present lattice Boltzmann model, and the result agrees well with analytical solution. 展开更多
关键词 lattice Boltzmann method traffic flows higher-order moment method
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