基于Fourier分析的中国股市波动周期研究

通过对沪深两市波动周期的实证分析 ,揭示了中国股市的周期性波动特征 ,并对两市波动的周期性进行了对比 ,为进一步研究我国资本市场的波动提供了依据 .     

基于小波变换的LMSV模型对人民币汇率波动的研究

将小波引入到LMSV模型波动长记忆性的估计与检验中,提出了基于小波变换的LMSV模型波动长记忆性的伪极大似然估计法和波动长记忆性的检验方法,并对各汇率波动序列长记忆效应的大小程度进行了验证．结果表明各汇率波动序列存在长记忆效应．人民币对美元的汇率波动序列受历史信息的影响程度最高．     

国际油价波动跳跃性特征的实证分析

根据国际油价波动中存在异常跳跃的情况,本文运用EGARCH-Jump模型对国际油价波动的跳跃性特征进行了实证分析。结果表明,加入跳跃因素的模型减缓了国际油价波动的持续性,同时杠杆效应消失,表明跳跃性因素是国际油价波动的影响因素之一,也证实了国际油价波动的跳跃性特征是国际石油市场产生杠杆效应的原因。但从长期来看,跳跃性因素对国际油价波动的扰动影响并不大,国际油价的波动仍主要受正常信息的影响。总体上,EGARCH-Jump模型比普通GARCH族模型能更好地捕捉国际油价波动的动态性特征。     

不同矩属性波动模型对中国股市波动率的预测精度分析

金融时间序列的波动性建模经历了从一阶矩到二阶矩直到高阶矩(包含三阶矩和四阶矩)的过程,而对于高阶矩波动模型是否有助于对未来市场的波动率预测这一问题,国内外学术界尚无文献讨论。以上证综指长达7年的每5分钟高频数据样本为例,通过构建具有不同矩属性的波动模型,计算了中国股票市场波动率的预测值,并利用具有bootstrap特性的SPA检验法,实证检验了不同矩属性波动模型的波动率预测精度差异。实证结果显示:就中国股市而言,四阶矩波动模型能够取得比二阶矩波动模型更优的波动率预测精度,而三阶矩波动模型并未表现出比二阶矩波动模型更强的预测能力;在高阶矩波动模型中包含杠杆效应项并不能提高模型的预测精度。最后提出了在金融风险管理、衍生产品定价等领域引入四阶矩波动模型的研究思路。     

基于带隐含波动率的混频条件自回归极差模型的股市波动率预测研究

极值理论表明价格极差是波动率的一个有效的估计量。同时,众多研究表明,基于期权价格的隐含波动率包含了市场前瞻性的信息。本文在经典的基于极差的条件自回归极差(CARR)模型基础上,充分考虑价格极差的长期动态性以及期权隐含波动率包含的信息,构建了带隐含波动率的混频CARR (CARR-MIDAS-IV)模型对极差波动率进行建模和预测。CARR-MIDAS-IV模型通过引入MIDAS结构能够捕获条件极差的长期趋势过程(长期记忆特征)。而且,CARRMIDAS-IV模型同时考虑了极值信息以及隐含波动率包含的关于未来波动率的信息(前瞻信息)对波动率建模和预测。采用恒生指数和标普500指数及其隐含波动率数据进行的实证研究表明,充分考虑条件极差的长记忆性(MIDAS结构)以及隐含波动率包含的信息对于极差波动率建模和预测具有重要作用。总体而言,本文构建的CARR-MIDAS-IV模型相比其他许多竞争模型具有更为优越的数据拟合效果以及波动率预测能力。特别地,CARR-MIDAS-IV模型对于中、高波动期波动率的预测具有较强的稳健性。     

结构性油价波动对中国股市的非对称性影响分析

本文分别检验了不同驱动因素所致的油价波动(结构性油价波动)对我国股市收益波动的非对称性影响,并探寻了油价波动对我国股市产生非对称性影响的来源。首先利用SVAR模型将油价波动分解为供给、需求和预防性购买三种驱动因素所致的油价波动,发现三种驱动因素所致的油价波动对我国股市收益的影响存在显著差异;GARCH非对称模型检验及其信息影响曲线结果显示供给和预防性购买因素所致的油价波动是对我国股市的产生非对称性影响的主要原因。在应对油价波动策略时,区分油价波动背后的驱动因素有助于政府机构采取行之有效的宏观调控。     

考虑非傅立叶效应的瞬态导热过程的波动响应分析

瞬态导热分析需要考虑非傅立叶效应.通过对抛物型及双曲型热传导方程,以及耦合热传导方程后的波动方程的数值求解,研究了非傅立叶效应下导热过程中的波动响应.结果表明,双曲型热传导过程具有明显的波动特性,所引起的波动响应前沿值成倍提高,且呈现显著的跃变行为,而波动峰值外的部位围绕着初始值小幅波动.     

货币政策对房价及其波动的动态影响——基于协整关系的面板GARCH模型

利用全国五大地区房价及相关数据,建立面板均值回归模型和面板GARCH模型,研究了货币政策对房价及其波动的影响.实证表明:在控制房价方面,信贷控制手段有效,但在购房者预期没有改变时,利率手段无效;在房价波动方面,所有地区的房价波动都受前期波动的的正向影响,不同地区的房价波动区别很大,珠三角和长三角房价波动最大,而环渤海地区的波动较小,中西部地区波动最小.最后,对实证结果进行经济分析并提出相应对策建议.     

随机波动模型的马尔可夫链—蒙特卡洛模拟方法——在沪市收益率序列上的应用

针对具有Markov区制转移的、波动均值状态相依的随机波动模型,基于贝叶斯分析,我们推导并给出了对区制转移随机波动模型的MCMC估计方法,其中对参数估计采用Gibbs抽样方法,对潜在对数波动和区制的状态变量估计采用"向前滤波、向后抽样"的多步移动方法;利用该模型,对我国上证综指周收益率进行了实证分析,发现对沪市波动性有较好的描述,捕捉了波动的时变性、聚类性和非线性特征,同时刻画了沪市的高低波动状态转换过程。     

基于C-STGARCH模型的大庆原油现货价格波动研究

引用Dueker等(2011)提出的同期门槛平滑转换广义自回归条件异方差(C-STGARCH)模型对我国大庆原油现货价格的波动状态进行了实证分析,以求对大庆原油现货价格的波动有一个新的、更深刻的量度.研究显示:第一,大庆原油现货价格的波动是不稳定的,并且存在显著的非对称和非线性现象;第二,CSTGARCH模型能很好地刻画大庆原油现货价格波动的这些现象,并且发现油价的波动以3.738%为门槛点存在高波动区和低波动区两种状态,低波动区的波动持续性比高波动区强,然而,对平滑转换持续性的影响方面,高波动区要略大于低波动区.     

波动率服从有限的马尔可夫过程的期权定价

通过对服从有限马儿可夫过程的标的资产价格波动率进行分析,得出了在未来时刻波动的预测模型,并给出了相应的期权定价方法。     

火炮炮口振动模型的统计与优化分析

本文通过对CCD测量设备测量火炮射击时炮口振动位移数据的分析，提出了描述火炮射击时他口的振动位移的数学模型用该模型拟合测量的振动位移数据表明，我们的模型具有良好的拟合度．利用模型还得到了火炮射击周期与系统阻尼比和系统固有频率之间的匹配关系最后给出连发射击时稳定射击时刻的计算     

The Optimal Shape of a Javelin

The problem of finding the optimal tapering of a free (nonsupported) javelin is described and solved. For the optimal javelin, the lowest mode of vibration has the highest possible frequency. With this tapering inner damping will lead to the cessation of the vibration at the fastest possible rate. The javelin is modeled as a beam of uniform material. The differential equations governing the vibration and the tapering of the beam are derived. These equations have a difficult singularity at the tips of the beam. A procedure using a similarity solution, as in [ 1 ], is used to solve this singular system, and the solution is found. The maximal frequency is found to be almost five times larger than the frequency of a cylindrical rod.     

Frequency–energy plots of steady-state solutions for forced and damped systems,and vibration isolation by nonlinear mode localization

We study the structure of the periodic steady-state solutions of forced and damped strongly nonlinear coupled oscillators in the frequency–energy domain by constructing forced and damped frequency – energy plots (FEPs). Specifically, we analyze the steady periodic responses of a two degree-of-freedom system consisting of a grounded forced linear damped oscillator weakly coupled to a strongly nonlinear attachment under condition of 1:1 resonance. By performing complexification/averaging analysis we develop analytical approximations for strongly nonlinear steady-state responses. As an application, we examine vibration isolation of a harmonically forced linear oscillator by transferring and confining the steady-state vibration energy to the weakly coupled strongly nonlinear attachment, thereby drastically reducing its steady-state response. By comparing the nonlinear steady-state response of the linear oscillator to its corresponding frequency response function in the absence of a nonlinear attachment we demonstrate the efficacy of drastic vibration reduction through steady-state nonlinear targeted energy transfer. Hence, our study has practical implications for the effective passive vibration isolation of forced oscillators.     

Shaking table tests of a plate-column structure with semi-active tuned mass damper

This paper presents selected results of experimental tests carried out on the three-storey plate-column structure, which is a physical model of a building. On the top floor the semi-active tuned mass damper (STMD) is installed. That device is a kind of harmonic oscillator with a variable stiffness characteristic. The tuning of STMD is possible in the frequency range from 0 to 5 Hz, which allows to counteract the resonant vibration of plate-column structure for the three basic frequencies. The model's vibration are kinematically excited by using the earthquake simulator. It is assumed that during an experimental tests the plate-column structure's vibration are only excited by horizontal component of base motion (dominant influence on building's vibration). The aim of the experimental analysis presented in this paper is to verify the effectiveness of the semi-active tuned mass damper in vibration's amplitude reduction of the main structure. The tested device is prototype of STMD, which uses a competitive constructional solution of stiffness parameter control. By reason of above, special attention is focused on the testing of vibration eliminator in two aspects: change of stiffness characteristic (the rate of change), and the accuracy of tuning to the resonant frequencies. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Transportation of dry fine powders by coordinated friction manipulation

The transportation of dry fine powders is an emerging technologic task, as in biotechnology, pharmaceutical or coatings industry particle sizes of processed powders are getting smaller and smaller. Fine powders are primarily defined by the fact that adhesive and cohesive forces outweigh the weight forces. This leads to mostly unwanted agglomeration (clumping) and adhesion to surfaces, what makes it more difficult to use conventional conveyor systems (e. g. pneumatic or vibratory conveyors) for transport. A rather new method for transporting these fine powders is based on ultrasonic vibrations, which are used to reduce friction and adhesion between powder and the substrate. One very effective set-up consists of a pipe, which vibrates harmoniously in axial direction at low frequency combined with a pulsed radial high frequency vibration. The high frequency vibration accelerates the particles perpendicular to the surface of the pipe, which in average leads to lower normal and thereby smaller friction force. With coordinated friction manipulation the powder acceleration can be varied so that the powder may be greatly accelerated and only slightly decelerated in each excitation period of the low frequency axial vibration of the pipe. The amount of powder flow is adjustable by vibration amplitudes, frequencies, and pulse rate, which makes the device versatile for comparable high volume and fine dosing using one setup. Within this contribution an experimental set-up consisting of a pipe, a solenoid actuator for axial vibration and a piezoelectric actuator for the radial high frequency vibration is described. An analytical model is shown, that simulates the powder velocity. Finally, simulation results are validated by experimental data for different driving parameters such as amplitude of low frequency vibration, pipe material and inclination angle. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

The effect of a high-frequency progressive vibration on the convective instability of a two-layer fluid

The influence of a high-frequency progressive vibration on the onset of thermal convection in a two-layer system of viscous immiscible fluids is investigated. The interface is deformable, the outer walls are rigid, and heat-transfer conditions of a general form are assigned on them. The starting equations are taken in the generalized Oberbeck–Boussinesq approximation. An averaging method is employed. It is shown that the averaged problem contains a vibrogenic external force and vibrogenic stresses that are proportional to the square of the amplitude of the vibration rate. A quasi-equilibrium solution that satisfies the closure condition is found, and its stability is investigated. It is established that, unlike the case of a single-layer fluid, the horizontal component of the vibration influences the onset of convection and have a destabilizing effect. The vertical component stabilizes the two-layer system by increasing the surface tension. The long-wavelength asymptotic is investigated. Calculations are performed for the silicone oil–Fluorinert and acetonitrile–n-hexane systems.     

A new Orthonormal Polynomial Series Expansion Method in vibration analysis of thin beams with non-uniform thickness

In this article, OPSEM (Orthonormal Polynomial Series Expansion Method) is developed as a new computational approach for the evaluation of thin beams of variable thickness transverse vibration. Capability of the OPSEM in assessing the free vibration frequencies and mode shapes of an Euler–Bernoulli beam with varying thickness is discussed. Multispan continuous beams with various classical boundary conditions are included. Contribution of BOPs (Basic Orthonormal Polynomials) in capturing the beam vibrations is also illustrated in numerical examples to give a quantitative measure of convergence rate. Furthermore, OPSEM is adopted for the forced vibration of a thin beam caused by a moving mass. Dynamics of beams supported by flexible elastic base like free to free beam on elastic foundation are also regarded. Verifications are made via eigenfunction expansion method and GMLSM (Generalized Moving Least Square Method). The very close observed agreement between the results of the two recently mentioned methods and that of OPSEM can be regarded as a guarantee of validity for the newly introduced technique. In comparison with eigenfunction expansion method, the simplicity and handiness of OPSEM in coping with different boundary conditions of the beam can be considered as its benefit for engineering practitioners.     

Optimal vibration control of flexible spacecraft during a minimum-time maneuver

This paper is concerned with the simultaneous maneuver and vibration control of a flexible spacecraft. The problem is solved by means of a perturbation approach whereby the slewing of the spacecraft regarded as rigid represents the zero-order problem and the control of vibration, as well as of perturbations from the rigid-body maneuver, represents the first-order problem. The zero-order control is to be carried out in minimum time, which implies bang-bang control. On the other hand, the first-order control is a time-dependent linear quadratic regulator including integral feedback and prescribed convergence rate.This research was sponsored by USAF/ASD and AFOSR Research Grant F33615-86-C-3233 monitored by Drs. A. K. Amos and V. B. Venkayya, whose support is greatly appreciated.     

Flow of polyethylene melts with steadystate and recurrent deformation

Results are presented of studies on melts of batches of polyethylene differing in overall molecular weight and branching. For high-density polyethylene, unlike the low-density material, the ratios between the tangential and normal stresses and between the constituents of the composite dynamic shear modulus are independent of temperature. A close agreement has been found between the total and net viscosity with cyclic vibration frequencies equal to the steady shear rate.