基于CARR模型的交易量与股价波动性动态关系的研究

股市交易量与股价变化的关系就一直是学术界与实务界所共同关心的主题。基于Chou(2005)提出的CARR模型对两者的动态关系问题进行了研究。首先分析了作为量价关系理论基础的混合分布假说理论在CARR模型中的适川性,进而基于混合分布假说理论对我国上证综合指数、深证成份指数以及随机抽取的十只个股进行了量价关系的实证检验。研究发现:混合分布假说理论同样适用于CARR模型,这证实了股价波动性的CARR效应的存在。实证的结果也证实了CARR模型无论是对于股票指数还是单只股票交易量都具有了良好的解释作用。因此,CARR模型与GARCH模型相比,在交易量与股价波动关系动态关系的研究领域可以得到更为稳健的结果。     

The Coordinate of the Singular Point of Generating Functions of Clusters in the High-Temperature Dynamics of Spin Lattice Systems with Axially Symmetric Interaction

We investigate generating functions for equipped trees composed of double bonds of two sorts on a hypercubic lattice of dimension d with built-in fragments. Rules for constructing these clusters are chosen to ensure the estimate for coefficients of power series in time for the longitudinal and transverse autocorrelation functions of the spin system with axially symmetric interaction. We derive a system of two equations for the tree-generating functions and an equation for the generating functions of chains leading from the root to a fragment in a tree using the Bethe approximation and under the condition that mainly bonds of one sort are taken into account. For the face-centered hypercubic lattice, we find the first terms of the 1/d expansion for the coordinate of the singular point of the generating function in both the anisotropic and the isotropic cases taking fragments in the forms of a triangle from four bonds and a four-fold bound pair into account. The obtained result is written in terms of ratios of lattice sums and is generalized to nuclear spin systems with dipole–dipole interaction. The theoretical value of the singular-point coordinate agrees well with the experimental value calculated from the tail of the absorption spectrum of the nuclear magnetic resonance in a barium fluoride monocrystal.     

A note on the efficiency of the conjugate gradient method for a class of time‐dependent problems

We discuss the efficiency of the conjugate gradient (CG) method for solving a sequence of linear systems; Auⁿ⁺¹ = uⁿ, where A is assumed to be sparse, symmetric, and positive definite. We show that under certain conditions the Krylov subspace, which is generated when solving the first linear system Au¹ = u⁰, contains the solutions {uⁿ} for subsequent time steps. The solutions of these equations can therefore be computed by a straightforward projection of the right‐hand side onto the already computed Krylov subspace. Our theoretical considerations are illustrated by numerical experiments that compare this method with the order‐optimal scheme obtained by applying the multigrid method as a preconditioner for the CG‐method at each time step. Copyright © 2007 John Wiley & Sons, Ltd.     

A MODIFIED GMRES METHOD FOR SOLVING LARGE NONSYMMETRIC LINEAR SYSTEMS

A modified GMRES method is proposed in this paper, the method replaces the approximation xm obtained by the GMRES method with a new approximation xm which is a linear combination of xm and the wasted basis vector vm 1. The residual norm of the new approximation satisfies a small one-dimensional minimization problem. Relationships between the residual norms of xm and xm are given. We show that the resulting m-step modified GMRES method is better than the original m-step GMRES method in theory and is consi...     

Non-classicality of photon added coherent and thermal radiations

Production and analysis of non-Gaussian radiation fields has evinced a lot of attention recently. Simplest way of generating such non-Gaussians is through adding (subtracting) photons to Gaussian fields. Interestingly, when photons are added to classical Gaussian fields, the resulting states exhibit non-classicality. Two important classical Gaussian radiation fields are coherent and thermal states. Here, we study the non-classical features of such states when photons are added to them. Non-classicality of these states shows up in the negativity of the Wigner function. We also work out the entanglement potential, a recently proposed measure of non-classicality for these states. Our analysis reveals that photon added coherent states are non-classical for all seed beam intensities; their non-classicality increases with the addition of more number of photons. Thermal state exhibits non-classicality at all temperatures, when a photon is added; lower the temperature, higher is their non-classicality.     

Cuccia定理的一个推广

For a finite group G,let S(G)be the set of minimal subgroups of odd order of G which are complemented in G.It is proved that if every minimal subgroup X of odd order of G which does not belong to S(G),C_G(X)is either subnormal or abnormal in G.Then G solvable.     

一类高阶线性微分方程解的增长性

研究了Aj（z）是整函数且σ（Aj）〈1，αj∈c＼{0}（j=0，1，…，k-1），若存在某个αs（s≠0），使argα，≠argαj（j≠s），αi/αj=cij（i，j≠s，cij〉0）时，方程f^（k）＋…＋As（z）e^αx^zf^（s）＋…＋A0（z）e^α0^zf=0解的级及超级问题。     

基于ANP的中国东西部技术创新能力比较

介绍了ANP(网络层次分析法)的基本理论,并运用ANP方法建立了区域技术创新能力的评价指标体系,确定了各指标的权值,对北京、上海、广东、重庆、四川、陕西6省市的区域技术创新能力进行了评价,并从知识创造、知识流动、企业的技术创新能力、技术创新环境、技术创新的经济绩效5个方面对它们进行了比较研究.为中国东西部科技政策、科技规划的制定提供了定量依据.     

基于神经网络中小城市空气污染指数预估器的设计

针对大气环境参数预测精确性和可靠性的要求提出一种基于 BP神经网络快速收敛算法 ,经仿真表明提出的这一算法切实可行 .     

PERIODIC BOUNDARY VALUE PROBLEMS FOR FIRST ORDER FUNCTIONAL DIFFERENTIAL EQUATIONS

In this paper, we investigate the periodic boundary value problems for nonlinear first order functional differential equations. By establishing a new comparison result, criteria on the existence of maximal and minimal solutions are obtained.