This paper investigates the optimization of data sampling and target labeling techniques to enhance algorithmic trading strategies in cryptocurrency markets,focusing on Bitcoin(BTC)and Ethereum(ETH).Traditional data s...This paper investigates the optimization of data sampling and target labeling techniques to enhance algorithmic trading strategies in cryptocurrency markets,focusing on Bitcoin(BTC)and Ethereum(ETH).Traditional data sampling methods,such as time bars,often fail to capture the nuances of the continuously active and highly volatile cryptocurrency market and force traders to wait for arbitrary points in time.To address this,we propose an alternative approach using information-driven sampling methods,including the CUSUM filter,range bars,volume bars,and dollar bars,and evaluate their performance using tick-level data from January 2018 to June 2023.Additionally,we introduce the Triple Barrier method for target labeling,which offers a solution tailored for algorithmic trading as opposed to the widely used next-bar prediction.We empirically assess the effectiveness of these data sampling and labeling methods to craft profitable trading strategies.The results demonstrate that the innovative combination of CUSUM-filtered data with Triple Barrier labeling outperforms traditional time bars and next-bar prediction,achieving consistently positive trading performance even after accounting for transaction costs.Moreover,our system enables making trading decisions at any point in time on the basis of market conditions,providing an advantage over traditional methods that rely on fixed time intervals.Furthermore,the paper contributes to the ongoing debate on the applicability of Transformer models to time series classification in the context of algorithmic trading by evaluating various Transformer architectures—including the vanilla Transformer encoder,FEDformer,and Autoformer—alongside other deep learning architectures and classical machine learning models,revealing insights into their relative performance.展开更多
The vibroimpact systems with bilateral barriers are often encountered in practice.However,the dynamics of the vibroimpact system with bilateral barriers is full of challenges.Few closed-form solutions were obtained.In...The vibroimpact systems with bilateral barriers are often encountered in practice.However,the dynamics of the vibroimpact system with bilateral barriers is full of challenges.Few closed-form solutions were obtained.In this paper,we propose a novel method for random vibration analysis of single-degree-of-freedom(SDOF)vibroim-pact systems with bilateral barriers under Gaussian white noise excitations.A periodic approximate transformation is employed to convert the equations of the motion to a con-tinuous form.The probabilistic description of the system is subsequently defined through the corresponding Fokker-Planck-Kolmogorov(FPK)equation.The closed-form station-ary probability density function(PDF)of the response is obtained by solving the reduced FPK equation and using the proposed iterative method of weighted residue together with the concepts of the circulatory probability flow and the potential probability flow.Finally,the versatility of the proposed approach is demonstrated by its application to two typical examples.Note that the solution obtained by using the proposed method can be used as the benchmark to examine the accuracy of approximate solutions obtained by other methods.展开更多
Effects of cooling methods on stability and methane conversion rate using dielectric-barrier discharges （DBD） were systematically investigated in this article. The results showed that the methane conversion rate was...Effects of cooling methods on stability and methane conversion rate using dielectric-barrier discharges （DBD） were systematically investigated in this article. The results showed that the methane conversion rate was as high as 44.43% in a pure methane system at a flow rate of 100 mL·min^-1 and an input power of 234.2 W with air cooling. A dark greenish and soft film-like carbon was deposited on the outer surface of quartz tube when the outer electrode was watercooled, which decreased the methane conversion. With air cooling of inner electrode the selectivity of C2 hydrocarbons was higher than that with other cooling methods, while the C3 hydrocarbons had higher selectivity with flowing water cooling. Cooling the inner electrode could restrain the carbon deposition, but would decrease the methane conversion rate. The stability of both reaction and plasma operation can be improved through cooling the reactor. From thermodynamic analysis, it was found that the effective collisions frequency among the reactant molecules and free electrons （e^-） increased with temperature, which in turn led to a higher methane conversion rate and a change in the distribution of products.展开更多
As a kind of weak-path dependent options, barrier options are an important kind of exotic options. Because the pricing formula for pricing barrier options with discrete observations cannot avoid computing a high dimen...As a kind of weak-path dependent options, barrier options are an important kind of exotic options. Because the pricing formula for pricing barrier options with discrete observations cannot avoid computing a high dimensional integral, numerical calculation is time-consuming. In the current studies, some scholars just obtained theoretical derivation, or gave some simulation calculations. Others impose underlying assets on some strong assumptions, for example, a lot of calculations are based on the Black-Scholes model. This thesis considers Merton jump diffusion model as the basic model to derive the pricing formula of discrete double barrier option;numerical calculation method is used to approximate the continuous convolution by calculating discrete convolution. Then we compare the results of theoretical calculation with simulation results by Monte Carlo method, to verify their efficiency and accuracy. By comparing the results of degeneration constant parameter model with the results of previous models we verified the calculation method is correct indirectly. Compared with the Monte Carlo simulation method, the numerical results are stable. Even if we assume the simulation results are accurate, the time consumed by the numerical method to achieve the same accuracy is much less than the Monte Carlo simulation method.展开更多
In the ANSICHT project that was jointly carried out by DBE TECHNOLOGY Gmb H,BGR,and GRS g Gmb H,two generic geological site models were used to develop a first draft of a methodology to demonstrate the safety of a hig...In the ANSICHT project that was jointly carried out by DBE TECHNOLOGY Gmb H,BGR,and GRS g Gmb H,two generic geological site models were used to develop a first draft of a methodology to demonstrate the safety of a high-level waste(HLW) repository in argillaceous formations in Germany,taking into account the regulatory requirements.The main results of the project are characterised by the developed repository concepts adapted to the geological conditions.The specific quantifications of the integrity criteria and their exemplary application with calculational proofs were used to demonstrate the integrity of the host rocks.The development of site-specific FEP(features,events,and processes) cataloges provided a complete system description for evaluation of the repository evolution.The developed work flow of the demonstration concept illustrated the complete sequence of the safety proof in a transparent way.It shows that various steps have to be performed,possibly iteratively,to provide a successful safety proof.The results form a useful tool in the pending search for a HLW repository site,especially when providing a basis for comparing safety analyses of different sites in Germany.展开更多
This paper presents a novel wideband fast multipole boundary element approach to 3D half-space/planesymmetric acoustic wave problems.The half-space fundamental solution is employed in the boundary integral equations s...This paper presents a novel wideband fast multipole boundary element approach to 3D half-space/planesymmetric acoustic wave problems.The half-space fundamental solution is employed in the boundary integral equations so that the tree structure required in the fast multipole algorithm is constructed for the boundary elements in the real domain only.Moreover,a set of symmetric relations between the multipole expansion coefficients of the real and image domains are derived,and the half-space fundamental solution is modified for the purpose of applying such relations to avoid calculating,translating and saving the multipole/local expansion coefficients of the image domain.The wideband adaptive multilevel fast multipole algorithm associated with the iterative solver GMRES is employed so that the present method is accurate and efficient for both lowand high-frequency acoustic wave problems.As for exterior acoustic problems,the Burton-Miller method is adopted to tackle the fictitious eigenfrequency problem involved in the conventional boundary integral equation method.Details on the implementation of the present method are described,and numerical examples are given to demonstrate its accuracy and efficiency.展开更多
基金support of the University of Warsaw under’New Ideas 3B’competition in POB Ⅲ implemented under the’Excellence Initiative-Research University’Programme.
文摘This paper investigates the optimization of data sampling and target labeling techniques to enhance algorithmic trading strategies in cryptocurrency markets,focusing on Bitcoin(BTC)and Ethereum(ETH).Traditional data sampling methods,such as time bars,often fail to capture the nuances of the continuously active and highly volatile cryptocurrency market and force traders to wait for arbitrary points in time.To address this,we propose an alternative approach using information-driven sampling methods,including the CUSUM filter,range bars,volume bars,and dollar bars,and evaluate their performance using tick-level data from January 2018 to June 2023.Additionally,we introduce the Triple Barrier method for target labeling,which offers a solution tailored for algorithmic trading as opposed to the widely used next-bar prediction.We empirically assess the effectiveness of these data sampling and labeling methods to craft profitable trading strategies.The results demonstrate that the innovative combination of CUSUM-filtered data with Triple Barrier labeling outperforms traditional time bars and next-bar prediction,achieving consistently positive trading performance even after accounting for transaction costs.Moreover,our system enables making trading decisions at any point in time on the basis of market conditions,providing an advantage over traditional methods that rely on fixed time intervals.Furthermore,the paper contributes to the ongoing debate on the applicability of Transformer models to time series classification in the context of algorithmic trading by evaluating various Transformer architectures—including the vanilla Transformer encoder,FEDformer,and Autoformer—alongside other deep learning architectures and classical machine learning models,revealing insights into their relative performance.
基金Project supported by the National Natural Science Foundation of China(Nos.11672111,11332008,11572215,and 11602089)the Program for New Century Excellent Talents in Fujian Province University+1 种基金the Natural Science Foundation of Fujian Province of China(No.2019J01049)the Promotion Program for Young and Middle-Aged Teacher in Science and Technology Research of Huaqiao University(Nos.ZQNYX307 and ZQNYX505)
文摘The vibroimpact systems with bilateral barriers are often encountered in practice.However,the dynamics of the vibroimpact system with bilateral barriers is full of challenges.Few closed-form solutions were obtained.In this paper,we propose a novel method for random vibration analysis of single-degree-of-freedom(SDOF)vibroim-pact systems with bilateral barriers under Gaussian white noise excitations.A periodic approximate transformation is employed to convert the equations of the motion to a con-tinuous form.The probabilistic description of the system is subsequently defined through the corresponding Fokker-Planck-Kolmogorov(FPK)equation.The closed-form station-ary probability density function(PDF)of the response is obtained by solving the reduced FPK equation and using the proposed iterative method of weighted residue together with the concepts of the circulatory probability flow and the potential probability flow.Finally,the versatility of the proposed approach is demonstrated by its application to two typical examples.Note that the solution obtained by using the proposed method can be used as the benchmark to examine the accuracy of approximate solutions obtained by other methods.
基金National Natural Science Foundation of China(No.20606023)National Key Natural Science Foundation of China(No.20490203)
文摘Effects of cooling methods on stability and methane conversion rate using dielectric-barrier discharges （DBD） were systematically investigated in this article. The results showed that the methane conversion rate was as high as 44.43% in a pure methane system at a flow rate of 100 mL·min^-1 and an input power of 234.2 W with air cooling. A dark greenish and soft film-like carbon was deposited on the outer surface of quartz tube when the outer electrode was watercooled, which decreased the methane conversion. With air cooling of inner electrode the selectivity of C2 hydrocarbons was higher than that with other cooling methods, while the C3 hydrocarbons had higher selectivity with flowing water cooling. Cooling the inner electrode could restrain the carbon deposition, but would decrease the methane conversion rate. The stability of both reaction and plasma operation can be improved through cooling the reactor. From thermodynamic analysis, it was found that the effective collisions frequency among the reactant molecules and free electrons （e^-） increased with temperature, which in turn led to a higher methane conversion rate and a change in the distribution of products.
文摘As a kind of weak-path dependent options, barrier options are an important kind of exotic options. Because the pricing formula for pricing barrier options with discrete observations cannot avoid computing a high dimensional integral, numerical calculation is time-consuming. In the current studies, some scholars just obtained theoretical derivation, or gave some simulation calculations. Others impose underlying assets on some strong assumptions, for example, a lot of calculations are based on the Black-Scholes model. This thesis considers Merton jump diffusion model as the basic model to derive the pricing formula of discrete double barrier option;numerical calculation method is used to approximate the continuous convolution by calculating discrete convolution. Then we compare the results of theoretical calculation with simulation results by Monte Carlo method, to verify their efficiency and accuracy. By comparing the results of degeneration constant parameter model with the results of previous models we verified the calculation method is correct indirectly. Compared with the Monte Carlo simulation method, the numerical results are stable. Even if we assume the simulation results are accurate, the time consumed by the numerical method to achieve the same accuracy is much less than the Monte Carlo simulation method.
基金the Federal Ministry for Economic Affairs and Energy(BMWi=Bundesministerium für Wirtschaft und Energie)represented by the Project Management Agency Karlsruhe(Karlsruhe Institute of Technology,KIT)for funding the research work performed in this project
文摘In the ANSICHT project that was jointly carried out by DBE TECHNOLOGY Gmb H,BGR,and GRS g Gmb H,two generic geological site models were used to develop a first draft of a methodology to demonstrate the safety of a high-level waste(HLW) repository in argillaceous formations in Germany,taking into account the regulatory requirements.The main results of the project are characterised by the developed repository concepts adapted to the geological conditions.The specific quantifications of the integrity criteria and their exemplary application with calculational proofs were used to demonstrate the integrity of the host rocks.The development of site-specific FEP(features,events,and processes) cataloges provided a complete system description for evaluation of the repository evolution.The developed work flow of the demonstration concept illustrated the complete sequence of the safety proof in a transparent way.It shows that various steps have to be performed,possibly iteratively,to provide a successful safety proof.The results form a useful tool in the pending search for a HLW repository site,especially when providing a basis for comparing safety analyses of different sites in Germany.
基金supported by the National Natural Science Foundation of China (11172291)the National Science Foundation for Post-doctoral Scientists of China (2012M510162)the Fundamental Research Funds for the Central Universities (KB2090050024)
文摘This paper presents a novel wideband fast multipole boundary element approach to 3D half-space/planesymmetric acoustic wave problems.The half-space fundamental solution is employed in the boundary integral equations so that the tree structure required in the fast multipole algorithm is constructed for the boundary elements in the real domain only.Moreover,a set of symmetric relations between the multipole expansion coefficients of the real and image domains are derived,and the half-space fundamental solution is modified for the purpose of applying such relations to avoid calculating,translating and saving the multipole/local expansion coefficients of the image domain.The wideband adaptive multilevel fast multipole algorithm associated with the iterative solver GMRES is employed so that the present method is accurate and efficient for both lowand high-frequency acoustic wave problems.As for exterior acoustic problems,the Burton-Miller method is adopted to tackle the fictitious eigenfrequency problem involved in the conventional boundary integral equation method.Details on the implementation of the present method are described,and numerical examples are given to demonstrate its accuracy and efficiency.
