Asymmetric responses of international stock markets to trading volume

The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold GARCH model with trading volume as a threshold variable, we find strong evidence supporting this hypothesis in five international market return series. Asymmetric causality tests lend further support to our trading volume threshold model and conclusions. Specifically, an increase in volume is positively associated, while decreasing volume is negatively associated, with the major price index in four of the five markets. The volatility of each series also displays an asymmetric reaction, four of the markets display higher volatility following increases in trading volume. Using posterior odds ratio, the proposed threshold model is strongly favored in three of the five markets, compared to a US news double threshold GARCH model and a symmetric GARCH model. We also find significant nonlinear asymmetric return spillover effects from the US market.     

Selection Principles and Sierpinski Sets

We show that a set of real numbers is a Sierpinski set if, and only if, it satisfies a selection property similar to the familiar Menger property.     

On existence and stability in the theory of swelling porous elastic soils

The aim of this paper is to introduce a new functional in thestudy of swelling porous elastic soils saturated by a fluid.This new functional is a useful tool; it allows us to provethe existence of solutions in the case of a compressible fluid.We also prove the stability of solutions and the exponentialdecay in the case of an incompressible fluid. We study as wellthe continuous dependence with respect to the initial time.     

Determining Modes for Continuous Data Assimilation in 2D Turbulence

We study the number of determining modes necessary for continuous data assimilation in the two-dimensional incompressible Navier–Stokes equations. Our focus is on how the spatial structure of the body forcing affects the rate of continuous data assimilation and the number of determining modes. We treat this problem analytically by proving a convergence result depending on the H ^–1 norm of f and computationally by considering a family of forcing functions with identical Grashof numbers that are supported on different annuli in Fourier space. The rate of continuous data assimilation and the number of determining modes is shown to depend strongly on the length scales present in the forcing.     

CONSTRUCTION OF SOME KIESSWETTER-LIKE FUNCTIONS-THE CONTINUOUS BUT NON-DIFFERENTIABLE FUNCTION DEFINED BY QUINARY DECIMAL

In this paper, we construct some continuous but non-differentiable functions defined by quinary decimal, that are Kiesswetter-like functions. We discuss their properties, then investigate the Hausdorff dimensions of graphs of these functions and give a detailed proof.     

SASEGASA: A New Generic Parallel Evolutionary Algorithm for Achieving Highest Quality Results

This paper presents a new generic Evolutionary Algorithm (EA) for retarding the unwanted effects of premature convergence. This is accomplished by a combination of interacting generic methods. These generalizations of a Genetic Algorithm (GA) are inspired by population genetics and take advantage of the interactions between genetic drift and migration. In this regard a new selection scheme is introduced, which is designed to directedly control genetic drift within the population by advantageous self-adaptive selection pressure steering. Additionally this new selection model enables a quite intuitive heuristics to detect premature convergence. Based upon this newly postulated basic principle the new selection mechanism is combined with the already proposed Segregative Genetic Algorithm (SEGA), an advanced Genetic Algorithm (GA) that introduces parallelism mainly to improve global solution quality. As a whole, a new generic evolutionary algorithm (SASEGASA) is introduced. The performance of the algorithm is evaluated on a set of characteristic benchmark problems. Computational results show that the new method is capable of producing highest quality solutions without any problem-specific additions.     

马科维兹资产组合选择模型的旋转算法

提出线性不等式组的一种旋转算法，并用其求解马科维兹资产组合选择模型，此算法每次迭代约需n^2次乘法和加法，其中n是模型中变量的数目，在微机上运行Delphi程序的实验结果表明，从上海和深圳股市1072支股票70期周末收盘价计算出20个最优投资组合仅需314次迭代和45s。     

Bush连续不可微函数的分形性质

本文对用递推关系确定的Bush连续不可微函数,找出了迭代函数系(IFS),从而得到它的级数表达式和所具有的自仿射分形的有关性质.最后还计算出函数图象的Hausdorff 维数的准确值.     

Conditional expectation of integrands and random sets

The conditional expectation of integrands and random sets is the main tool of stochastic optimization. This work wishes to make up for the lack of real synthesis about this subject. We improve the existing hypothesis and simplify the corresponding proofs. In the convex case we especially study the problem of the exchange of conditional expectation and subdifferential operators.     

α-FUZZY PAIRWISE RETRACT OF L-VALUED PAIRWISE STRATIFICATION SPACES

The notion of a fuzzy retract was introduced by Rodabaugh (1981). The notion of a fuzzy pairwise retract was introduced in 2001. Some weak forms and some strong forms of α-continuous mappings were introduced in 1988 and 1997. The authors extend some of these forms to the L-fuzzy bitopological setting and construct various α-fuzzy pairwise retracts. The concept of weakly induced spaces in the case L = [0,1] was introduced by Martin (1980). Liu and Luo (1987) generalized this notion to the case that L is an arbitrary F-lattice and introduced the notion of induced L-fts. Several results are obtained, especially, for L-valued pairwise stratification spaces.