基于价格持续时间的中国股市日内风险价值预测

基于高频数据度量日内交易活动的风险是目前日内金融数据与风险管理中极具挑战性的研究课题之一。本文从实时交易的角度,使用中国股市分笔交易数据,基于价格持续时间的自回归条件持续时间(ACD)模型,研究日内不规则交易数据的风险测度,利用日内不等间隔波动模型估计了日内交易的即时条件波动率,对日内不等间隔风险价值进行了预测和检验。实证结果发现日内不等间隔风险价值模型能够比较好的刻画日内交易风险,股票投资者和市场监管者可以基于该工具对日内风险做出合理的预测,达到止损避险和控制风险的目的。     

航空复杂产品项目活动时间混合分布估算模型的改进

航空复杂产品开发项目具有复杂性、随机性、多目标性的特点,并且产品本身小批量、多品种的生产模式使得无法大量积累历史数据。因此,航空复杂产品项目活动时间存在高度的不确定性。如何能够更加合理、准确的描述其项目活动时间,对优化航空复杂产品的研制过程、缩短研制周期以及降低研制成本具有重大的意义。本文在Hahn基于PERT所建立的Beta Rectangular混合分布模型的基础上,保留其期望值的表达式,对其方差表达式进行改进。按照Malcolm、José等人的思想,将最可能值m与Beta分布的众数相对应,并且考虑其对方差的影响。仅保留PERT的一个假设,使方差的推导更多地依照于Beta分布而不是较多的近似。仿真结果表明,改进后的混合分布模型不但更具柔性,而且可以更加科学准确地描述航空复杂产品调度中高度不确定的任务持续时间状况。     

High-power near diffraction-limited 1 064-nm Nd:YAG rod laser and second harmonic generation by intracavity-frequency-doubling

We present a near diffraction-limited 1 064-nm Nd:YAG rod laser with output power of 82.3 W(M~2≈1.38). The power fluctuation over two hours is better than±1.1%.Pulsed 1064-nm laser with an average power of 66.6 W and pulse width of 46 ns are achieved when the laser is Q-switched at a repetition rate of 10 kHz.The short pulse duration stems from the short cavity as well as the high-gain laser modules. Using intracavity-frequency-doubling,a 35.0-W near diffraction-limited 532-nm green laser(M~2≈1.32) is achieved with a pulse width of 43 ns.     

Anti-Stokes Frequency Shift and Evolution in Polarization-Maintaining Photonic Crystal Fiber with Two-Zero Dispersion Wavelengths

Using the tunable pump pulses with about lOO fs pulse duration and 1064 nm central wavelength; the polarization-, wavelength- and power-dependent anti-Stokes lines are generated and modulated simultaneously in a polarization-maintaining photonie crystal fiber （PM-PCF） with two zero-dispersion wavelengths. By accurately controlling the polarization directions, the wavelength and the power of the pump pulse in the fiber anomalous region close to the second zero-dispersion wavelength of the PM-PCF, the output anti-Stokes pulse spectra can be tuned between 563 nm and 603 nm, which is in good agreement with the theoretical simulation. The color conversion of the mode image from yellow to orange is also observed with the different polarization pump pulses. These results can be attributed to the combined interaction between the fiber birefringence （including linear- and nonlinear- birefringence） and dispersion, and are attributed to phase-matching parametric four-wave mixing.     

爆破地震信号的分形盒维数值分析

在岩石场地进行了单段深孔爆破试验,获得了具有该场地特征的爆破地震波传播规律。从理论上推导了爆破地震波振动强度衰减系数K和与分形盒维数D以及盒维数计算中-lg(k) lgNk的双对数拟合直线方程参数b的关系。采用了适用于爆破地震波曲线双尺度特征的矩形盒模型计算了爆破地震波的盒维数D。数据分析表明:在同一场地条件下,爆破地震波的盒维数比较稳定,且爆破地震波振动强度的场地衰减指数与D为两倍的关系;药量和距离对盒维数拟合直线方程参数b的影响明显,且其关系与场地衰减指数对爆破地震波峰值强度的作用相近。通过数据分析,获得了参数b与爆破地震波振动峰值A的关系式:b=0.689lgA+3.0669,其相关系数为0.93。     

备战7月22日中国日全食

今年是国际天文年,恰逢7月22日上午在我国发生一次罕见的日全食。这可能是近百年来出现的最壮观完美的一次日食,是1991年到2132年之间发生的日食中持续时间最长的一次。在大约5个小时内,日食带横着扫过东半球,其中,时间最长的位置在太平洋中,可达6分39秒,届时,我国处在全食带内大部分地区的约四亿居民都能看到大约5分钟的日全食景观。     

Quantitative measurement of skin tissue response during laser irradiation in photorejuvenation

Light dose plays an important role in the non-ablative photorejuvenation based on the theory of selective photothermolysis. However, present techniques for determining the light dose in clinical practice are still not accurate enough. We present a new system which monitors the skin tissue response during the laser irradiation in photorejuvenation by measuring the change of the total attenuation coefficient. We also investigate the relationship between the total attenuation coefficient and the energy density, pulse duration, and pulse repetition. In this procedure, the total attenuation coefficient decreases when the light dose increases and the reduction dependes on the light dose. These experimental results indicate that the new system would be a potential tool for accurate light dose determination.     

国外声学简讯

由于通常的超声换能器所产生的声脉冲持续时间较长,所以不宜用来测量小于100μm的材料厚度.最近,美国IBM研究实验室(IBM Research Laboratory)的谭姆(A·C·Tam)发展了一种产生和检测超短持续时间的声脉冲的方法,可以用来测量薄膜厚度.在厚度为12μm的不锈钢膜上测量的结果表明,精度可达1%.     

左截断右删失下Weibull分布参数估计及其应用

中国出口贸易关系持续性问题一直备受各界学者关注.基于生存分析方法研究左截断右删失数据下Weibull分布的参数估计,并对2003年至2015年中国大陆出口澳门农产品的贸易持续时间进行实证分析,模型拟合效果良好.结果表明中国大陆与澳门贸易失败的概率是逐年递减的,具有负时间依存性.未来应考虑如何跨越门槛值,以延长中国大陆出口贸易关系的持续时间.     

Experimental study on multiphoton ionization of Ar with high intensity short laser pulses

<正>We present high resolution photoelectron energy spectra from multiphoton ionization(MPI) of Ar subject to laser pulses with wavelength of 400 nm,pulse duration of 35 fs,and maximum intensity of 5×10~(13) W/cm~2.Ionizations into Ar~+ ~2P_(3/2) and ~2P_(1/2) channels are observed and distinct resonance structures are found in both ionization channels.The intensity dependence of the resonance structures is explained in terms of the mechanism of Freeman resonance,i.e.,transient resonances of alternating current (AC) Stark-shifted Rydberg states at specific intensities within the laser pulse.