带两个形状参数的四次Bézier曲线的扩展

给出了一组含有两个形状参数α,β的四次多项式基函数,是四次Bernstein基函数的扩展,分析了这组基的性质;基于这组基定义了带两个形状参数的多项式曲线,所定义的曲线不仅保留了四次Bézier曲线一些实用的几何特征,而且具有形状的可调性,在控制多边形不变的情况下,改变参数α,β的取值,可以生成不同的逼近控制多边形的曲线;通过分析该曲线与四次Bézier曲线之间的关系,给出了α和β的几何意义,并利用Bézier曲线递归分割算法给出了这种曲线的几何作图法,同时还讨论了曲线间的拼接问题.     

修改NURBS曲线造型的新方法

提出了一种修改NURBS曲线造型形状的新方法.对于给定的NURBS曲线,利用遗传算法修改其一个或多个权因子,使曲线经过事先指定的点.实验结果表明算法具有一定的实用性.     

基于EM算法和小波多尺度边缘检测的活动轮廓模型初始化

本文研究了活动轮廓模型初始化的问题.利用EM算法和小波多尺度边缘检测的方法,获得了活动轮廓模型的外部能量函数和初始曲线,并对于具体的X射线图像给出了实验结果和该算法的有效性.     

局部形状可调整的三次有理B样条插值曲线

利用三次非均匀有理B样条,给出了一种构造局部插值曲线的方法,生成的插值曲线是C2连续的.曲线表示式中带有一个局部形状参数,随着一个局部形状参数值的增大,所给曲线将局部地接近插值点构成的控制多边形.基于三次非均匀有理B样条函数的局部单调性和一种保单调性的准则,给出了所给插值曲线的保单调性的条件.     

三次T-Bézier螺线的构造

根据道路轨道路径设计中回旋线的特性,构造了一条起始点曲率为零且曲率单调递增变化的三次T-Bézier螺线.由于该螺线是含有参数的三角多项式参数曲线,所以用其代替诸如回旋线等传统螺线作为道路轨道路径设计中的过度曲线拥有易于计算和便于形状调整的优势.最后,分别利用一对该螺线在两圆弧间构造了满足G^2连续的S型和C型过渡曲线,并给出了详细算法.     

基于函数值的线性有理插值样条的区域控制

将插值曲线约束于给定的区域之内是插值与逼近的一个重要内容.本文讨论了一种带形状参数的线性有理插值样条的区域控制问题.给出将插值曲线约束于给定的折线及抛物线之上、之下或之间的条件.数值实例表明本文给出的条件在曲线设计中是有效的.     

基于模糊聚类算法的客户细分研究

以客户关系为导向的服务经济时代,客户细分是企业判断具有相似特征的客户,并以此为基础有针对性的提供产品及服务的最为有效的手段.利用数据挖掘技术,将模糊聚类算法应用于客户细分中,以此寻找具有相似特征及价值的客户,并在电信行业中进行实证应用.     

带两个形状参数的同次Bézier曲线

构造了一种带两个形状参数的Bézier型曲线,并研究了该曲线的性质、形状参数对曲线的影响及曲线的拼接.所提出的曲线是多项式Bezier曲线的一种同次新扩展,不仅具有传统Bézier曲线的诸多性质,而且可通过修改两个形状参数的取值对其形状进行调节.由于所提出的曲线是一种带有形状参数且与传统Bézier曲线具有相似性质的同次多项式模型,因此比现有的一些带形状参数的Bézier型曲线更有优势.     

一类带有给定切线多边形的样条曲线

利用带有形状参数的基函数,构造与给定切线多边形相切的样条曲线,所构造的曲线是C2和C3连续的,且对切线多边形是保形的.曲线上的所有控制点可由多边形顶点直接计算产生,曲线具有局部修改性.最后,以实例说明算法是有效的.     

一类带参数的有理三次三角Hermite插值样条

给出一种带有参数的有理三次三角Hermite插值样条,具有标准三次Hermite插值样条相似的性质.利用参数的不同取值不但可以调控插值曲线的形状,而且比标准三次Hermite插值样条更好地逼近被插曲线.此外,选择合适的控制点,该种插值样条可以精确表示星形线和四叶玫瑰线等超越曲线.     

Stylized facts of price gaps in limit order books

Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly studied due to the less availability of ultrahigh frequency data. In the paper, we rebuild the LOB dynamics based on the order flow data of 26 A-share stocks traded on the Shenzhen Stock Exchange in 2003. Three key empirical statistical properties of price gaps are investigated. We find that the distribution of price gaps has a power-law tail for all stocks with an average tail exponent close to 3.2. Applying modern statistical methods, we confirm that the gap time series are long-range correlated and possess multifractal nature. These three features appear to be different in the measures across stocks, but they are similar for the buy and sell LOBs within each stock. Furthermore, we also unveil buy–sell asymmetry phenomena in the properties of price gaps on the buy and sell sides of the LOBs for individual stocks. These findings deepen our understanding of the dynamics of liquidity of common stocks and can be used to calibrate agent-based computational financial models.     

有保证权益连结寿险合约的定价

本文在考虑买卖标的股票需支付比例交易成本的条件下,根据效用最大化原理,将效用无差别定价方法应用到有保证权益连结寿险合约的定价上,给出了合约保留卖价的表达式,并做了数值模拟,计算结果表明本文的方法是合理的.     

Locality and bounding-box quality of two-dimensional space-filling curves

Space-filling curves can be used to organise points in the plane into bounding-box hierarchies (such as R-trees). We develop measures of the bounding-box quality of space-filling curves that express how effective different space-filling curves are for this purpose. We give general lower bounds on the bounding-box quality measures and on locality according to Gotsman and Lindenbaum for a large class of space-filling curves. We describe a generic algorithm to approximate these and similar quality measures for any given curve. Using our algorithm we find good approximations of the locality and the bounding-box quality of several known and new space-filling curves. Surprisingly, some curves with relatively bad locality by Gotsman and Lindenbaum's measure, have good bounding-box quality, while the curve with the best-known locality has relatively bad bounding-box quality.     

股本规模、涨跌幅限制与触限频率的实证研究

本文运用广义矩估计(GMM)方法,对沪深上市公司价格触限频率与股本规模之间的关系进行回归分析。结果表明:流通股本规模越小的公司,其价格触限频率更高,而中小企业板股票的价格触限频率高于主板股票近两个百分点。研究说明中小企业板的涨跌停幅度应大于主板幅度,以更好地体现价格限制制度的作用。     

基于复杂网络的中国股市房地产板块股票强相关性研究

为分析中国股市房地产板块股票的强相关特性,以101只股票为结点,以近17年股票对数回报的相关系数为加权边,建立复杂网络模型,通过对网络拓扑参数计算,发现该网络为无尺度网络,结点度分布P(s)~s-|s|δ,在不同相关系数阈值下,δ值介于0.8~1.6之间.网络平均集聚系数为0.53.文章也对网络中心性进行测量和子群划分,发现代码为000592和601588的结点在网络中具有很高的中介性,网络中大部分结点都受其影响较大.     

一个采购问题的未确知规划模型

利用未确知信息的数学理论,以采购问题为实例,建立了一个含未确知状态变量的采购问题的未确知规划模型,并求出了未确知期望最小这一意义下的最优解,最后对模型求解的算法进行了讨论。     

Retailer’s optimal pricing and lot-sizing policies for deteriorating items with partial backlogging

Pricing is a major strategy for a retailer to obtain its maximum profit. Therefore, in this paper, we establish an economic order quantity model for a retailer to determine its optimal selling price, replenishment number and replenishment schedule with partial backlogging. We first prove that the optimal replenishment schedule not only exists but also is unique, for any given selling price. Next, we show that the total profit is a concave function of p when the replenishment number and schedule are given. We then provide a simple algorithm to find the optimal selling price, replenishment number and replenishment timing for the proposed model. Finally, we use a couple of numerical examples to illustrate the algorithm.     

跳扩散模型下的复合期权定价

首先建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,利用测度变换的Girsanov定理,找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳扩散过程的欧式期权以及复合期权的定价公式.     

Determining optimal selling price and lot size with a varying rate of deterioration and exponential partial backlogging

In this paper, a deterministic inventory model for deteriorating items with price-dependent demand is developed. The demand and deterioration rates are continuous and differentiable function of price and time, respectively. In addition, we allow for shortages and the unsatisfied demand is partially backlogged at a negative exponential rate with the waiting time. Under these assumptions, for any given selling price, we first develop the criterion for the optimal solution for the replenishment schedule, and prove that the optimal replenishment policy not only exists but also is unique. If the criterion is not satisfied, the inventory system should not be operated. Next, we show that the total profit per unit time is a concave function of price when the replenishment schedule is given. We then provide a simple algorithm to find the optimal selling price and replenishment schedule for the proposed model. Finally, we use numerical examples to illustrate the algorithm.     

跳-扩散模型下的再装期权定价

本文建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,在风险中性的假设下找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳-扩散过程的欧式再装期权定价公式.