金融时间序列分析与建模

介绍了金融时间序列分析与建模的主要理论、方法,着重论述了近20多年发展起来的非平稳时间序列的建模方法及工具,指出进一步的研究方向.最后,对上证综合指数这一金融时间序列进行了实证分析.     

Towards Strong Duality in Integer Programming

We consider in this paper the Lagrangian dual method for solving general integer programming. New properties of Lagrangian duality are derived by a means of perturbation analysis. In particular, a necessary and sufficient condition for a primal optimal solution to be generated by the Lagrangian relaxation is obtained. The solution properties of Lagrangian relaxation problem are studied systematically. To overcome the difficulties caused by duality gap between the primal problem and the dual problem, we introduce an equivalent reformulation for the primal problem via applying a pth power to the constraints. We prove that this reformulation possesses an asymptotic strong duality property. Primal feasibility and primal optimality of the Lagrangian relaxation problems can be achieved in this reformulation when the parameter p is larger than a threshold value, thus ensuring the existence of an optimal primal-dual pair. We further show that duality gap for this partial pth power reformulation is a strictly decreasing function of p in the case of a single constraint. Dedicated to Professor Alex Rubinov on the occasion of his 65th birthday. Research supported by the Research Grants Council of Hong Kong under Grant CUHK 4214/01E, and the National Natural Science Foundation of China under Grants 79970107 and 10571116.     

A 24-GHz Patch Array with a Power Amplifier/Low-Noise Amplifier MMIC

This paper presents an active patch array designed at 24 GHz. It can be used as a front-end component for a phased array. A series resonant array structure is chosen which is compact and easy excite. With 5 elements, the array proved a 12-dB antenna gain. A power amplifier and a low noise amplifier are designed on a single GaAs chip (PALNA). Bias switch is used in the PALNA, which greatly reduces the switch loss in a transceiver and increases the efficiency. 20-dB small signal gain is achieved in both power amplifier and low noise amplifier. The active patch array is built by the combination of the patch array and PALNA. The measured active gain of this antenna is 35-dB for the PA mode and 31-dB for the LNA mode. This active patch array can obtain an EIRP of 34 dBm with a total radiated power of 22dBm and a maximum PAE of 32%. To check the noise performance, we applied sources at both normal temperature and 77K (liquid nitrogen) and extracted the noise figure (3.5 dB) of the active antenna by the Y factor method. The results proved that the active antenna is working efficiently as both a transmitting and receiving antenna.     

Sums of Two Exact Powers

An asymptotic formula is obtained for the number of representations of an element of a finite field as a weighted sum of two prescribed powers of primitive elements. This generalises previous work on sums of primitive elements, including that relating to some conjectures of Golomb.     

溅射功率对多层膜质量的影响

用磁控溅射技术制备薄膜，用X射线衍射研究在基片和靶间距离固定的情况下不同的溅射功率对薄膜结构的影响。结果表明：过低的溅射功率下淀积的薄膜有畸变的X射线衍射特征峰，特征峰强度小，半峰全宽大。而比较高溅射功率得到的薄膜有比较尖锐的X射线衍射特征峰，强度高和半峰全宽非常窄。研究表明，X射线衍射特征峰强度小和半峰全宽大的薄膜结构疏松，而强度高和半峰全宽非常窄的薄膜结构致密。     

Universal Overconvergence of Polynomial Expansions of Harmonic Functions

For each compact subset K of ^N let (K) denote the space of functions that are harmonic on some neighbourhood of K. The space (K) is equipped with the topology of uniform convergence on K. Let Ω be an open subset of ^N such that 0Ω and ^N\Ω is connected. It is shown that there exists a series ∑H_n, where H_n is a homogeneous harmonic polynomial of degree n on ^N, such that (i) ∑H_n converges on some ball of centre 0 to a function that is continuous on Ω and harmonic on Ω, (ii) the partial sums of ∑H_n are dense in (K) for every compact subset K of ^N\Ω with connected complement. Some refinements are given and our results are compared with an analogous theorem concerning overconvergence of power series.     

受激喇曼散射在掺铒光纤放大器中的影响

本文在分析了均匀掺杂分布式光纤放大器（d－EDFA）的基础上，提出了沿传输方向掺杂浓度单调下降（单变），和降升结合（两变）的两种渐变型分布式光纤放大器，并用传输方程研究了透明传输和最佳掺杂浓度下，受激喇曼散射对均匀、单变和两变型三种d－EDFA的各种特性的影响．     

Aliasing Effects and Sampling Theorems of Spherical Random Fields when Sampled on a Finite Grid

Aliasing effects are investigated for spherical random fields sampled on a finite grid. Using the spherical harmonics expansion, it is shown that for a band-limited spherical random field its trend and spectrum can be uniquely reconstructed from the sampled field if the sampling points are judiciously designed. Analytical expressions are also obtained for aliasing errors in the trend and the spectrum when the field is not band-limited.     

一类广义积分integral from n=0 to ∞(((sin(θ_x))/x)~ndx)的计算

利用三角函数幂公式、L′Hospital法则、分部积分公式,得到含有三角函数的第一类广义积分integral from n=0 to ∞(((sin(θ_x))/x)~ndx)的计算公式,其中n≥1且θ≠0.     

Collective mechanism for nuclear stopping and transverse flow in heavy-ion collisions

The role of filamentation instability of quark-gluon plasma, in explaining collective phenomena in relativistic heavy-ion collisions, has been analyzed. Using equations of SU(2) two fluid color hydrodynamics it is shown that this instability can significantly enhance nuclear stopping and might contribute to collective sideward flows.