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31.
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. 相似文献
32.
Marion SCHEEPERS 《数学学报(英文版)》2007,23(7):1153-1162
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. 相似文献
33.
Han-xing Wang Xi Hu Qin Zhang 《应用数学学报(英文版)》2007,23(2):235-244
In this paper,we present a random graph model with spatial reuse for a mobile ad hoc network(MANET) based on the dynamic source routing protocol.Many important performance parameters of theMANET are obtained,such as the average flooding distance (AFD),the probability generating function of theflooding distance,and the probability of a flooding route to be symmetric.Compared with the random graphmodel without spatial reuse,this model is much more effective because it has a smaller value of AFD and alarger probability for finding a symmetric valid route. 相似文献
34.
混凝土动态劈裂拉伸试验的数值模拟 总被引:4,自引:0,他引:4
采用LS-DYNA有限元编码程序,对混凝土的动态劈裂拉伸试验进行了数值模拟,给出了混凝土试样在不同类型加载情况下应力分布之间的差异,证实了动态劈裂拉伸试验的有效性,提出了改进试验方法的若干结论. 相似文献
35.
C. Vaca‐Garcia G. Gozzelino W. G. Glasser M. E. Borredon 《Journal of Polymer Science.Polymer Physics》2003,41(3):281-288
The main transitions of cellulose fatty esters with different degrees of substitution (DSs) were investigated with dynamic mechanical thermal analysis. Two distinct main relaxations were observed in partially substituted cellulose esters (PSCEs). They were attributed to the glass‐transition temperature and to the chain local motion of the aliphatic substituents. The temperatures of both transitions decreased when DS or the number of carbon atoms (n) of the acyl substituent increased. Conversely, all the transitions of fully substituted cellulose esters occurred within a narrow temperature range, and they did not vary significantly with n. This phenomenon was explained by the formation of a crystalline phase of the fatty substituents. The presence of few residual OH groups in PSCEs was responsible for a large increase in the storage bending modulus, and it eliminated the effect of n on damping. © 2002 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 281–288, 2003 相似文献
36.
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. 相似文献
37.
Aji P. Mathew Gabriel Groeninckx G. H. Michler H. J. Radusch Sabu Thomas 《Journal of Polymer Science.Polymer Physics》2003,41(14):1680-1696
The effects of the blend ratio and initiating system on the viscoelastic properties of nanostructured natural rubber/polystyrene‐based interpenetrating polymer networks (IPNs) were investigated in the temperature range of ?80 to 150 °C. The studies were carried out at different frequencies (100, 50, 10, 1, and 0.1 Hz), and their effects on the damping and storage and loss moduli were analyzed. In all cases, tan δ and the storage and loss moduli showed two distinct transitions corresponding to natural rubber and polystyrene phases, which indicated that the system was not miscible on the molecular level. However, a slight inward shift was observed in the IPNs, with respect to the glass‐transition temperatures (Tg's) of the virgin polymers, showing a certain degree of miscibility or intermixing between the two phases. When the frequency increased from 0.1 to 100 Hz, the Tg values showed a positive shift in all cases. In a comparison of the three initiating systems (dicumyl peroxide, benzoyl peroxide, and azobisisobutyronitrile), the dicumyl peroxide system showed the highest modulus. The morphology of the IPNs was analyzed with transmission electron microscopy. The micrographs indicated that the system was nanostructured. An attempt was made to relate the viscoelastic behavior to the morphology of the IPNs. Various models, such as the series, parallel, Halpin–Tsai, Kerner, Coran, Takayanagi, and Davies models, were used to model the viscoelastic data. The area under the linear loss modulus curve was larger than that obtained by group contribution analysis; this showed that the damping was influenced by the phase morphology, dual‐phase continuity, and crosslinking of the phases. Finally, the homogeneity of the system was further evaluated with Cole–Cole analysis. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 1680–1696, 2003 相似文献
38.
In this paper, we exhibit a unified treatment of the mixed initial boundary value problem for second order (in time) parabolic linear differential equations in Banach spaces, whose boundary conditions are of a dynamical nature. Results regarding existence, uniqueness, continuous dependence (on initial data) and regularity of classical and strict solutions are established. Moreover, several examples are given as samples for possible applications.
39.
It has been shown that the kinetics of intramolecular processes and time-resolved spectra with allowance for the quantum beats of the resonant states of isomers or isolated subsystems of levels of one isomeric form can be described with the use of a molecular model interpreting the effect of beats as a nonradiative transition. We have obtained an expression for the nonradiative transition probability, which is directly proportional to the beat frequency and depends oscillatorily on time, thus modeling the effect of beats. The parameter of the molecular system model is the beat frequency directly related to the parameter characterizing the intramolecular interisomeric interactions (the corresponding nondiagonal element of the energy matrix) rather than the value of the nonradiative transition probability. The character of the change in the level populations and, accordingly, in the band intensities in the spectra in the proposed model is in good agreement with the experiment, including the fine structure of the time dependences — oscillations of the line intensities. In analyzing the temporal experiment with a high resolution, it is necessary to take into account the instrument function leading to quantitative and qualitative changes in the time dependences. The traditional model of nonradiative transitions with a constant probability value has a very limited range of applicability — very high beat frequencies compared to the probability of optical transitions. 相似文献
40.
马科维兹资产组合选择模型的旋转算法 总被引:2,自引:0,他引:2
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。 相似文献