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跳跃信息、机器学习模型与已实现波动率预测
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作者 冯文君 张正军 王一鸣 《数据与计算发展前沿(中英文)》 2026年第1期45-63,共19页
【目的】探讨股价跳跃特征与机器学习模型在已实现波动率预测中的协同作用,分析不同预测方法在不同时间尺度上的表现。【方法】基于上证50指数成分股2019年至2024年的五分钟高频数据,采用阈值法逐点识别股价跳跃,并通过K-近邻算法(KNN)... 【目的】探讨股价跳跃特征与机器学习模型在已实现波动率预测中的协同作用,分析不同预测方法在不同时间尺度上的表现。【方法】基于上证50指数成分股2019年至2024年的五分钟高频数据,采用阈值法逐点识别股价跳跃,并通过K-近邻算法(KNN)提取跳跃频率、跳跃幅度等多维特征,构建包含丰富跳跃信息的特征体系。随后,使用扩展的异质自回归波动率(HAR)模型及10种机器学习算法,包括KNN、随机森林(RF)、梯度提升回归树(GBRT)、支持向量回归(SVR)等,对多周期已实现波动率进行预测,并系统评估机器学习方法与跳跃信息的结合效果。【结果】样本内预测显示,引入跳跃特征与采用机器学习模型均能提高预测精度,其中KNN与随机森林的表现最优。在样本外预测中,HAR-RV模型在日度预测中仍然最优,而在周度和月度预测中,跳跃信息和机器学习模型可提升预测效果,但当HAR模型已整合跳跃信息后,机器学习方法未能进一步改善预测性能。【结论】本研究扩展了波动率预测的特征空间,并系统评估了机器学习方法在波动率预测中的有效性。研究表明,多维跳跃特征能够提供额外信息,有助于提高中长期波动率预测精度。然而在HAR模型已纳入跳跃信息后,机器学习模型难以进一步提供增量价值。这一发现对金融市场风险管理和资产定价具有重要意义。 展开更多
关键词 已实现波动率 跳跃 预测 机器学习 高频数据
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协作多小区大规模MIMO系统中基于协方差的活跃设备检测
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作者 王子岳 刘亚锋 王兆瑞 《移动通信》 2025年第1期122-129,共8页
聚焦于多小区大规模多输入多输出(MIMO,Multiple-Input Multiple-Output)系统中基于协方差的活跃设备检测问题。在该系统中,活跃设备向多个基站传输其导频序列,基站根据接收到的信号协作地检测活跃设备。在单小区场景下,基于协方差的活... 聚焦于多小区大规模多输入多输出(MIMO,Multiple-Input Multiple-Output)系统中基于协方差的活跃设备检测问题。在该系统中,活跃设备向多个基站传输其导频序列,基站根据接收到的信号协作地检测活跃设备。在单小区场景下,基于协方差的活跃设备检测模型的尺度定律(Scaling Law)已在文献中得到广泛分析,旨在分析基于协方差的活跃设备检测模型在多小区大规模MIMO系统中的尺度定律。具体来说,在衰落信道的路径损耗指数γ>2的情况下,建立了多小区系统中的二次尺度定律。这一结果表明,在多小区大规模MIMO系统中,当天线数趋于无穷大时,每个小区能够正确检测出的活跃设备数量的最大值随导频序列的长度呈二次方增长,且随着小区数量呈对数减少。此外,除了分析由球面上均匀分布生成的导频序列的尺度定律,还建立了由有限字母表生成的导频序列的尺度定律,这类序列更易于生成和存储。最后,提出了两种高效的加速坐标下降(CD,Coordinate Descent)算法来求解活跃设备检测问题,它们都具有收敛性保证。第一种算法通过非精确坐标更新策略来降低CD算法的复杂度;第二种算法利用积极集选择策略避免了CD算法中不必要的计算。仿真结果表明,所提出的算法在计算效率和检测错误概率方面表现出色。 展开更多
关键词 加速坐标下降算法 协作活跃设备检测 大规模随机接入 多小区大规模多输入多输出 尺度定律分析 导频序列
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Financial Rogue Waves 被引量:16
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作者 闫振亚 《Communications in Theoretical Physics》 SCIE CAS CSCD 2010年第11期947-949,共3页
We analytically give the financial rogue waves in the nonlinear option pricing model due to Ivancevic,which is nonlinear wave alternative of the Black-Scholes model.These rogue wave solutions may be used to describe t... We analytically give the financial rogue waves in the nonlinear option pricing model due to Ivancevic,which is nonlinear wave alternative of the Black-Scholes model.These rogue wave solutions may be used to describe thepossible physical mechanisms for rogue wave phenomenon in financial markets and related fields. 展开更多
关键词 NLS equation nonlinear option pricing model financial rogue waves
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RITT-WU'S CHARACTERISTIC SET METHOD FOR ORDINARY DIFFERENCE POLYNOMIAL SYSTEMS WITH ARBITRARY ORDERING 被引量:7
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作者 高小山 袁春明 张桂林 《Acta Mathematica Scientia》 SCIE CSCD 2009年第4期1063-1080,共18页
In this paper, a Ritt-Wu's characteristic set method for ordinary difference systems is proposed, which is valid for any admissible ordering. New definition for irreducible chains and new zero decomposition algorithm... In this paper, a Ritt-Wu's characteristic set method for ordinary difference systems is proposed, which is valid for any admissible ordering. New definition for irreducible chains and new zero decomposition algorithms are also proposed. 展开更多
关键词 difference polynomial ascending chain characteristic set Ritt-Wu's zero decomposition theorem
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MATHEMATICAL RESULTS RELATED TO A TWO-DIMENSIONAL MAGNETOHYDRODYNAMIC EQUATIONS 被引量:8
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作者 酒全森 牛冬娟 《Acta Mathematica Scientia》 SCIE CSCD 2006年第4期744-756,共13页
The two-dimensional magneto-hydrodynamic (MHD) equations are considered in this article. Viscous approximations are used to obtain the local existence and uniqueness of the classical solution. When the viscous term ... The two-dimensional magneto-hydrodynamic (MHD) equations are considered in this article. Viscous approximations are used to obtain the local existence and uniqueness of the classical solution. When the viscous term vanishes, the convergence rates, a main problem in turbulence, are also discussed. Moreover, a blow-up criterion for our classical solution is established in terms of the magnetic fields. 展开更多
关键词 MHD equations classical solution convergence rate blow-up criterion
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THE HLDER CONTINUITY OF A CLASS OF 3-DIMENSION ULTRAPARABOLIC EQUATIONS 被引量:3
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作者 王文栋 张立群 《Acta Mathematica Scientia》 SCIE CSCD 2009年第3期527-538,共12页
We obtained the Cα continuity for weak solutions of a class of ultraparabolic equations with measurable coeffcients of the form δt u = δx(a(x, y, t)δx u) + b0(x, y, t)δxu + b(x, y, t)δyu, which general... We obtained the Cα continuity for weak solutions of a class of ultraparabolic equations with measurable coeffcients of the form δt u = δx(a(x, y, t)δx u) + b0(x, y, t)δxu + b(x, y, t)δyu, which generalized our recent results on KFP equations. 展开更多
关键词 hypoelliptic ultraparabolic equations Holder regularity
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TWO-DIMENSIONAL RIEMANN PROBLEMS:FROM SCALAR CONSERVATION LAWS TO COMPRESSIBLE EULER EQUATIONS 被引量:4
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作者 李杰权 盛万成 +1 位作者 张同 郑玉玺 《Acta Mathematica Scientia》 SCIE CSCD 2009年第4期777-802,共26页
In this paper we survey the authors' and related work on two-dimensional Riemann problems for hyperbolic conservation laws, mainly those related to the compressible Euler equations in gas dynamics. It contains four s... In this paper we survey the authors' and related work on two-dimensional Riemann problems for hyperbolic conservation laws, mainly those related to the compressible Euler equations in gas dynamics. It contains four sections: 1. Historical review. 2. Scalar conservation laws. 3. Euler equations. 4. Simplified models. 展开更多
关键词 two-dimensional Riemann problem compressible Euler equation reflection of shocks interaction of rarefaction waves delta-shocks
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THE WELL-POSEDNESS AND ASYMPTOTICS OF MULTI-DIMENSIONAL QUANTUM HYDRODYNAMICS 被引量:3
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作者 肖玲 李海梁 《Acta Mathematica Scientia》 SCIE CSCD 2009年第3期552-568,共17页
The multi-dimensional quantum hydrodynamic equations for charge transport in ultra-small electronic devices like semiconductors, where quantum effects (like particle tunnelling through potential barriers and built-up... The multi-dimensional quantum hydrodynamic equations for charge transport in ultra-small electronic devices like semiconductors, where quantum effects (like particle tunnelling through potential barriers and built-up in quantum wells) take place, is considered in the present paper, and the recent progress on well-posedness, stability analysis, and small scaling limits are reviewed. 展开更多
关键词 quantum hydrodynamics WELL-POSEDNESS longtime behavior small scale limit
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Chaos Control in a New Three-Dimensional Chaotic T System 被引量:5
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作者 CHEN Yong YAN Zhen-Ya 《Communications in Theoretical Physics》 SCIE CAS CSCD 2008年第4期951-954,共4页
In this paper, we study chaos control of the new 3D chaotic system. We use three feedback methods (the linear, speed, doubly-periodic function controller) to suppress the chaos to unstable equilibrium. As a result, ... In this paper, we study chaos control of the new 3D chaotic system. We use three feedback methods (the linear, speed, doubly-periodic function controller) to suppress the chaos to unstable equilibrium. As a result, some controllers are obtained. Moreover, numerical simulations are used to verify the effectiveness of the obtained controllers. 展开更多
关键词 chaos control chaotic T system feedback control Routh-Hurwitz theorem numerical simulation
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A Computational Approach to the New Type Solutions of Whitham-Broer-KaupEquation in Shallow Water 被引量:2
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作者 XIEFu-Ding GAOXiao-Shan 《Communications in Theoretical Physics》 SCIE CAS CSCD 2004年第2期179-182,共4页
Based on computerized symbolic computation,a new method and its algorithm are proposed for searching for exact travelling wave solutions of the nonlinear partial differential equations.Making use of our approach,we in... Based on computerized symbolic computation,a new method and its algorithm are proposed for searching for exact travelling wave solutions of the nonlinear partial differential equations.Making use of our approach,we investigate the Whitham-Broer-Kaup equation in shallow water and obtain new families of exact solutions,which include soliton-like solutions and periodic solutions.As its special cases,the solutions of classical long wave equations and modified Boussinesq equations can also be found. 展开更多
关键词 WBK equation coupled projective Riccati equations soliton-like wave solution symbolic computation
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GLOBAL STABILITY OF WAVE PATTERNS FOR COMPRESSIBLE NAVIER-STOKES SYSTEM WITH FREE BOUNDARY 被引量:3
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作者 秦晓红 王腾 王益 《Acta Mathematica Scientia》 SCIE CSCD 2016年第4期1192-1214,共23页
In this article, we investigate the global stability of the wave patterns with the superposition of viscous contact wave and rarefaction wave for the one-dimensional compressible Navier-Stokes equations with a free bo... In this article, we investigate the global stability of the wave patterns with the superposition of viscous contact wave and rarefaction wave for the one-dimensional compressible Navier-Stokes equations with a free boundary. It is shown that for the ideal polytropic gas, the superposition of the viscous contact wave with rarefaction wave is nonlinearly stable for the free boundary problem under the large initial perturbations for any γ 〉 1 with V being the adiabatic exponent provided that the wave strength is suitably small. 展开更多
关键词 Compressible Navier-Stokes system free boundary combination of viscous contact and rarefaction wave nonlinear stability
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INFINITELY MANY SOLUTIONS FOR AN ELLIPTIC PROBLEM INVOLVING CRITICAL NONLINEARITY 被引量:2
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作者 曹道民 严树森 《Acta Mathematica Scientia》 SCIE CSCD 2010年第6期2017-2032,共16页
We study the following elliptic problem:{-div(a(x)Du)=Q(x)|u|2-2u+λu x∈Ω,u=0 onδΩ Under certain assumptions on a and Q, we obtain existence of infinitely many solutions by variational method.
关键词 semilinear elliptic equations infinitely many solutions variational method
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ON THE CONVERGENCE RATE OF A CLASS OF REACTION HYPERBOLIC SYSTEMS FOR AXONAL TRANSPORT 被引量:1
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作者 曹文涛 黄飞敏 《Acta Mathematica Scientia》 SCIE CSCD 2015年第4期945-954,共10页
In this paper, we consider a class of reaction hyperbolic systems for axonal trans- port arising in neuroscience which can be regarded as hyperbolic systems with relaxation. We prove the BV entropy solutions of the hy... In this paper, we consider a class of reaction hyperbolic systems for axonal trans- port arising in neuroscience which can be regarded as hyperbolic systems with relaxation. We prove the BV entropy solutions of the hyperbolic systems converge toward to the unique entropy solution of the equilibrium equation at the optimal rate O(√δ) in L1 norm as the relaxation time δ tends to zero. 展开更多
关键词 axonal transport RELAXATION EQUILIBRIUM convergence rate
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INVERSE SCATTERING BY AN INHOMOGENEOUS PENETRABLE OBSTACLE IN A PIECEWISE HOMOGENEOUS MEDIUM 被引量:1
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作者 刘晓东 张波 《Acta Mathematica Scientia》 SCIE CSCD 2012年第4期1281-1297,共17页
This paper is concerned with the inverse problem of scattering of time-harmonic acoustic waves by an inhomogeneous penetrable obstacle in a piecewise homogeneous medium. The well-posedness of the direct problem is fir... This paper is concerned with the inverse problem of scattering of time-harmonic acoustic waves by an inhomogeneous penetrable obstacle in a piecewise homogeneous medium. The well-posedness of the direct problem is first established by using the integral equation method. We then proceed to establish two tools that play important roles for the inverse problem: one is a mixed reciprocity relation and the other is a priori estimates of the solution on some part of the interfaces between the layered media. For the inverse problem, we prove in this paper that both the penetrable interfaces and the possible inside inhomogeneity can be uniquely determined from a knowledge of the far field pattern for incident plane waves. 展开更多
关键词 UNIQUENESS piecewise homogeneous medium penetrable obstacle uniquecontinuation principle Holmgren's uniqueness theorem inverse scattering
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Prolongation Structure of Semi-discrete Nonlinear Evolution Equations 被引量:6
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作者 BAI Yong-Qiang WU Ke +1 位作者 GUO Han-Ying ZHAO Wei-Zhong 《Communications in Theoretical Physics》 SCIE CAS CSCD 2007年第4X期591-600,共10页
Based on noncommutative differential calculus, we present a theory of prolongation structure for semidiscrete non/inear evolution equations. As an illustrative example, a semi-discrete model of the non/inear SchrSding... Based on noncommutative differential calculus, we present a theory of prolongation structure for semidiscrete non/inear evolution equations. As an illustrative example, a semi-discrete model of the non/inear SchrSdinger equation is discussed in terms of this theory and the corresponding Lax pairs are also given. 展开更多
关键词 noncommutative differential calculus prolongation structure Lax pair
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Symmetry Groups and Exact Solutions of New(4+1)-Dimensional Fokas Equation 被引量:1
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作者 YANG Zheng-Zheng YAN Zhen-Ya 《Communications in Theoretical Physics》 SCIE CAS CSCD 2009年第5期876-880,共5页
In this paper, we investigate symmetries of the new (4+1)-dimensional Fokas equation, including point symmetries and the potential symmetries. We firstly employ the algorithmic procedure of computing the point symm... In this paper, we investigate symmetries of the new (4+1)-dimensional Fokas equation, including point symmetries and the potential symmetries. We firstly employ the algorithmic procedure of computing the point symmetries. And then we transform the Fokas equation into a potential system and gain the potential symmetries of Fokas equation. Finally, we use the obtained point symmetries wave solutions and other solutions of the Fokas equation. and some constructive methods to get some doubly periodic In particular, some solitary wave solutions are also given. 展开更多
关键词 Fokas equation point symmetry potential symmetry solitary wave solution reduced form
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China-U.S. Trade Balance from the National Income Perspective 被引量:1
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作者 Li Xinru Chen Xikang +1 位作者 Duan Yuwan Zhu Kunfu 《China Economist》 2019年第3期82-97,共16页
This paper calculates the China-U.S. trade balance from the national income perspective based on an input-output model that differentiates domestic and foreign-invested companies. The result shows that due to differen... This paper calculates the China-U.S. trade balance from the national income perspective based on an input-output model that differentiates domestic and foreign-invested companies. The result shows that due to different degrees of dependence of both countries on foreign production factors such as foreign capital for the manufacturing of export goods,only 87.7% of the domestic value-added created by China's exports to the U.S. in 2012 was China's national income, whereas 96.2% of value-added in U.S. exports to China was U.S.national income. In the comparison of total export volume and export value-added, the home country's national income created by exports can more realistically reflect a country's gains from trade. In 2012, China's trade surplus with the U.S. stood at 102.8 billion US dollars in national income terms, which is 61% and 22% smaller than the results in gross and value-added terms, respectively. The implication is that the traditional trade balance accounting method seriously exaggerates the China-U.S. trade imbalance. 展开更多
关键词 national INCOME China-U.S. TRADE BALANCE INPUT-OUTPUT model foreign direct INVESTMENT
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Application of Computer Algebra in Solving Chaffee-Infante Equation 被引量:1
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作者 XIE Fu-Ding LIU Xiao-Dan +1 位作者 SUN Xiao-Peng TANG Di 《Communications in Theoretical Physics》 SCIE CAS CSCD 2008年第4期825-828,共4页
In this paper, a series of two line-soliton solutions and double periodic solutions of Chaffee-Infante equation have been obtained by using a new transformation. Unlike the existing methods which are used to find mult... In this paper, a series of two line-soliton solutions and double periodic solutions of Chaffee-Infante equation have been obtained by using a new transformation. Unlike the existing methods which are used to find multiple soliton solutions of nonlinear partial differential equations, this approach is constructive and pure algebraic. The results found here are tested on computer and therefore their validity is ensured. 展开更多
关键词 Chaffee-Infante equation two line-soliton solution double periodic solution
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Solving the AKNS Hierarchy by Its Bilinear Form: Generalized Double Wronskian Solutions 被引量:2
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作者 YIN Fu-Mei SUN Ye-Peng +1 位作者 CAI Fu-Qing CHEN Deng-Yuan 《Communications in Theoretical Physics》 SCIE CAS CSCD 2008年第2期401-408,共8页
Through the Wronskian technique, a simple and direct proof is presented that the AKNS hierarchy in the bilinear form has generalized double Wronskian solutions. Moreover, by using a unified way, soliton solutions, rat... Through the Wronskian technique, a simple and direct proof is presented that the AKNS hierarchy in the bilinear form has generalized double Wronskian solutions. Moreover, by using a unified way, soliton solutions, rational solutions, Matveev solutions and complexitons in double Wronskian form for it are constructed. 展开更多
关键词 AKNS hierarchy Wronskian technique double Wronsikian solutions
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A minimum adequate set of multi-valued logic 被引量:1
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作者 Daizhan Cheng Jun-e Feng +1 位作者 Jianli Zhao Shihua Fu 《Control Theory and Technology》 EI CSCD 2021年第4期425-429,共5页
An adequate set of k-valued logic is provided,which contains only two operators.It is also proved that this adequate set is of minimum size。
关键词 k-valued logic Normal form Adequate set(ADS) Structure matrix of logical functions Semi-tensor product of matrices
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