An instability criterion for activator-inhibitor systems in a two-dimensional ball

Let B be a two-dimensional ball with radius R. Let (u(x,y),ξ) be a nonconstant steady state of the shadow system

     

基于半参数可加自回归模型的黄金价格实证分析

大量实证研究表明,半参数自回归模型较传统的线性回归而言,能更好的拟合实际数据。本文构造了一类半参数可加自回归模型,基于条件最小二乘方法及核估计方法给出了估计模型参数和未知函数的迭代算法,讨论了估计量的渐近性质。通过数值模拟验证了估计的效果。并将模型应用于黄金价格数据的实证分析之中。实证分析结果表明,我们对现有模型的改进是必要的。     

Slopes of shadow prices and Lagrange multipliers

Many economic models and optimization problems generate (endogenous) shadow prices—alias dual variables or Lagrange multipliers. Frequently the “slopes” of resulting price curves—that is, multiplier derivatives—are of great interest. These objects relate to the Jacobian of the optimality conditions. That particular matrix often has block structure. So, we derive explicit formulas for the inverse of such matrices and, as a consequence, for the multiplier derivatives.     

两个或多个几何平均价格的最小或最大值期权的定价

两个或多个几何平均价格的最小或最大值期权是金融领域极具应用前景的新型复合期权.提出了一种新方法,简单而巧妙地得到了两个几何平均价格的最小值期权价格的解析公式.将该法直接推广,首次得到多个几何平均价格的最小和最大值期权的解析公式.首次给出的数值算例表明两个几何平均价格的最小值期权要比相应的最大值期权便宜,而它们都要比两资产的最大值期权便宜.若考虑红利率,则它们两者的价格都会减少.     

Generalizing the Disappearing Act: A Reply to István Aranyosi

In “The Reappearing Act” István Aranyosi postulates a new way of seeing to solve a puzzle posed in “The Disappearing Act;” an object that is exactly shaded can be seen simply by virtue of its contrast with its environment – just like a shadow. This object need not reflect, refract, absorb or block light. To undermine the motive for this heretical innovation, I generalize the puzzle to situations involving inexact shading. Aranyosi cannot extend his solution to these variations because he needs to conserve principles of camouflage. On the bright side, the solution to the puzzle that I propose in my book Seeing Dark Things does extend to these variations.     

VaR风险控制体系的建立与应用

目前VaR作为一种新的风险控制工具得到越来越广泛的应用,投资组合理论则一直沿用经典的σ2风险控制体系,虽说有人已经将VaR引入到了投资组合应用中来,但其风险控制尚未脱离对σ2的分解.将在引入股票相对价格的基础上构建了VaR风险控制体系,将投资风险VaRP分解为大盘指数风险VaRI和股票相对价格的风险VaRS之和,并给出了此风险控制体系在投资组合方面的基本应用方法.     

Inverse projected-fringe technique based on multi projectors

The inverse projected-fringe technique based on multi projectors is proposed. By an absolute phase measurement on the master object, different inverse fringes are generated, for projectors placed in different directions. During the inspection process, inverse fringes are projected simultaneously. If the test object and the master object are identical, an optimized sine fringe is obtained on the camera. Otherwise, every faulty area of the test object causes distortions of the fringe. The deformations can be evaluated quantitatively by simple Fourier transformation and phase unwrapping. Therefore, we can complete the inspection of complex and discontinuous objects with only one fringe image, and solve the problems of shadow and break to a large extent, and consequently realize the fast on-line inspection. The principle of this technique is expatiated, and we prove the validity of it on the example of a two-projector system. The analysis of error and prerequisites of application are also presented.     

网上分批拍卖中的保留价比较分析

本文以Onsale网上拍卖公司的拍卖方式为背景,研究了在给定拍卖时间长度与拍卖总供给量的条件下,将拍卖品分若干批拍卖这一问题.建立了其马尔可夫决策过程模型,分别在公开保留价与不公开保留价的两种情况下,研究了每批拍卖品数量的最优问题,并证明了网上拍卖中商家不公开保留价时获得的最大期望利润多于公开时的最大期望利润.     

Adaptive use of technical indicators for the prediction of intra-day stock prices

We examine the effectiveness of frequently used technical indicators for intra-day forecast by applying them on the tick data of various stock prices. We show that the optimal combination of a few indicators chosen for each stock by using evolutional computation provides us a good forecast on the level of the future price at several ticks ahead.     

Pareto Optimal Allocation and Price Equilibrium for a Duopoly with Negative Externality

A spatial competition model involving decisions made by consumers and firms is proposed. A regulating agent assigns the demand, taking into account the price, transport and externality cost, and minimizing the joint consumer cost to obtain a Pareto optimal allocation. Assuming the Pareto optimal allocation, firms fix prices in order to maximize the profit. An equilibrium problem is studied and some results are presented. The problem and results are illustrated with an example.