Brent原油期货市场的协整性分析

本文利用单位根检验和协整关系检验验证了Brent原油期货市场的有效范围,发现其在5个月内是有效的。在市场有效范围内,对现货价格和期货价格建立了向量误差修正模型,具有良好的预测效果。同时发现该期货市场某时刻价格的影响可以持续2个月。     

基于混合模型的原油价格混沌预测方法

针对原油现货价格的非线性和时变性特征,提出一种小波变换结合Elman神经网络和广义自回归条件异方差(GARCH)模型的混沌预测方法。首先利用小波变换将原油现货价格序列分解和重构成概貌序列和细节序列。其次对概貌序列和原油期货价格序列进行相空间重构,建立Elman神经网络的混沌时间序列模型预测概貌序列的未来值;同时以细节序列为历史数据,构建GARCH模型预测细节序列的未来值;最后将概貌序列和细节序列的未来值求和作为最终的预测值。实验证明该方法能够提供更准确的预测结果。     

季节-谐波油价预测模型研究

油价预测是能源市场研究的一个重要领域.本文基于季节调整技术和周期性分析技术,提出了一个新的预测模型-季节-谐波模型,其思路是分解-组合.通过对五种油品(WTI原油、Brent原油、无铅汽油、柴油和取暖油)价格的实证分析,与其它五种方法(ARIMA模型、指数平滑、Winters方法、EGARCH模型和逐步自回归)相比,季节-谐波模型取得了最好的预测效果.     

中国玉米期货市场价格发现功能的实证分析

利用相关系数、协整检验、格兰杰因果检验以及GS模型等方法对大连期货交易所玉米期货市场的发现价格功能进行了实证分析.结果表明:玉米期货价格与现货价格之间存在协整关系,期货价格具有良好的发现价格功能;存在期货价格和现货价格的双向格兰杰引导关系;玉米期货市场的发现价格功能中期货价格起着决定性的作用.     

中国棉花期货市场价格发现功能研究

期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法，对中国棉花期货市场和现货市场的价格关系进行了实证研究。研究结果表明：棉花期货价格和现货价格之间存在显著的双向引导关系和长期均衡关系；期货市场和现货市场都扮演价格发现角色，且期货市场在价格发现中处于主导地位。     

上海燃料油期货市场价格发现功能的实证研究

本文利用协整检验、Granger因果检验、误差修正模型和Garbade-Silber模型对上海燃料油期货的价格发现功能进行了探讨,分析了期货与现货价格之间的相互关系,刻画了期货与现货市场在价格发现功能中作用的大小,并由此说明上海燃料油期货市场的效率。结果表明,燃料油的期货价格与现货价格之间存在协整关系,期货市场具有良好的价格发现功能,这对我国建设完整的石油期货市场具有指导意义。     

基于时变SJC-Copula对商品期货市场间风险传染的探究

分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.     

投机、期货市场与原油价格变动

从原油的金融资产属性出发,探讨了原油期货市场中的投机行为下价格泡沫的存在性,在实证中针对美国商品交易委员会报告中的不足进行修正,考察了多种因素对价格的影响.结果表明：投机是近一轮油价波动的原因,但却无法据此质疑原油期货市场的作用,原油期货市场仍在总量上对价格起到了稳定的负反馈作用.结论在肯定投机推高油价的同时,证明石油期货市场并非是价格波动的根源,相反具有调节作用,从而强调了石油期货市场监管的重要性.     

基于VAR模型的我国生猪饲料价格影响因素研究

本文以向量自回归(VAR)模型为基础,运用在此基础上的Johansen协整检验、格兰杰因果检验、方差分解和脉冲响应分析等技术,综合考察了中美玉米期货市场和国内生猪市场对我国生猪饲料产业的价格发现和引导功能。研究发现:芝加哥玉米期货价格、大连玉米期货价格、国内生猪价格和生猪饲料价格之间存在着长期均衡关系,并且对饲料价格分析的总方差中来自于芝加哥玉米期货价格、大连玉米期货价格、国内生猪价格的部分分别为15.28%、11.99%和41.95%,三者的总贡献率达到了69.22%,说明三者对生猪饲料价格具有良好的价格发现和引导功能,而三者当中国内生猪价格的影响最大。进一步的脉冲响应分析也证明国内生猪价格在影响力度和影响时效上都强于两个玉米期货价格。     

中国期货市场与现货市场的价格引导与价格发现

长期以来对期货市场与现货市场价格关系的实证研究都是基于时间序列方法的研究.为了克服时间序列方法存在着的不足,将使用面板数据方法,在面板单位根检验以及面板协整检验和协整估计的基础上,构建面板误差修正模型来分析期货价格和现货价格的均衡以及相互引导关系.进一步的,在误差修正模型的基础上我们采用信息份额方法(I-S模型)和共同因子贡献法(P-T模型)分析了期货市场和现货市场的价格发现功能.通过上述研究,发现总体上讲我国大宗商品的期货价格和现货价格之间存在着长期均衡,并且表现出了相互引导互为Granger因果的关系.利用I-S模型和P-T模型测算出来的期货市场对价格形成的贡献度分别为88.17%和79.44%,这说明当前我国的期货市场总体上讲是有效率的市场.     

Qualitative Analysis of Bifurcating Solutions in the Lengyel-Epstein Model

One of the most fundamental problems in theoretical biology is to explain the mechanisms by which patterns and forms are created in the＇living world. In his seminal paper ＂The Chemical Basis of Morphogenesis＂, Turing showed that a system of coupled reaction-diffusion equations can be used to describe patterns and forms in biological systems. However, the first experimental evidence to the Turing patterns was observed by De Kepper and her associates（1990） on the CIMA reaction in an open unstirred reactor, almost 40 years after Turing＇s prediction. Lengyel and Epstein characterized this famous experiment using a system of reaction-diffusion equations. The Lengyel-Epstein model is in the form as follows     

RECENT PROGRESS ON SPHERICAL HARMONIC APPROXIMATION MADE BY BNU RESEARCH GROUP ——In memory of Professor Sun Yongsheng

As early as in 1990, Professor Sun Yongsheng, suggested his students at Beijing Normal University to consider research problems on the unit sphere. Under his guidance and encouragement his students started the research on spherical harmonic analysis and approximation. In this paper, we incompletely introduce the main achievements in this area obtained by our group and relative researchers during recent 5 years （2001-2005）. The main topics are： convergence of Cesaro summability, a.e. and strong summability of Fourier-Laplace series; smoothness and K-functionals; Kolmogorov and linear widths.     

(0,1 ;0)-INTERPOLATION ON INFINITE INTERVAL (-∞, +∞)

In this paper, we study the explicit representation and convergence of (0, 1; 0)-interpolation on infinite interval, which means to determine a polynomial of degree ≤ 3n - 2 when the function values are prescribed at two set of points namely the zeros of Hn(x) and H′n(x) and the first derivatives at the zeros of H′n(x).     

A REPRESENTATION FORMULA RELATED TO SCHR(O)DINGER OPERATORS

Schr(o)dinger operator is a central subject in the mathematical study of quantum mechanics.Consider the Schrodinger operator H = -△ V on R, where △ = d2/dx2 and the potential function V is real valued. In Fourier analysis, it is well-known that a square integrable function admits an expansion with exponentials as eigenfunctions of -△. A natural conjecture is that an L2 function admits a similar expansion in terms of "eigenfunctions" of H, a perturbation of the Laplacian (see [7], Ch. Ⅺ and the notes), under certain condition on V.     

Journal of the Operations Research Society of China Special issue on Operations Research in Healthcare Management

正Guest Editors:Hong Chen,Shanghai Jiao Tong University,Shanghai,China Guohua Wan,Shanghai Jiao Tong University,Shanghai,China David Yao,Columbia University,New York,USA Scope:Healthcare delivery worldwide has been fraught with high cost,low efficiency and poor quality of patient care service.For the field of operations research(OR),healthcare offers some of the biggest challenges as well as best opportunities in     

ANALYSIS IN THEORY AND APPLICATIONS Vol. 30, 2014 CONTENTS

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Boundedness for commutators of multipliers on Hardy type spaces

In this paper, we study the commutators generalized by multipliers and a BMO function. Under some assumptions, we establish its boundedness properties from certain atomic Hardy space Hb^p（R^n） into the Lebesgue space L^p with p 〈 1.     

A unified approach to certain problems of best local approximation

In this paper we study best local quasi-rational approximation and best local approximation from finite dimensional subspaces of vectorial functions of several variables. Our approach extends and unifies several problems concerning best local multi-point approximation in different norms.     

An alternative mathematical algorithm for the photo- and videokeratoscope

Due to the resolution of current laser technology, the accuracy of corneal topography as measured by the videokeratoscope is no longer adequate to provide precise enough data for refractive surgery or for the fitting of customized contact lenses. We present an algorithm for recovering corneal topography that makes use of modern differential geometric techniques and numerical descent in Sobolev spaces. We believe this algorithm may be used with the photo- and videokeratoscope to increase the accuracy of the recovered corneal topography.