基于日内高、低价协整关系的统计套利研究

当前,统计套利设计多限制在配对交易上,策略实现过程依赖于配对产品的选择。本文将统计套利思想与金融产品日内高、低价之间的协整关系相结合,探索设计同一产品上的统计套利交易策略。本文使用指数加权估计(EWE)来刻画时变性,并结合向量误差修正模型(VECM)设计了一套交易策略。应用于日内黄金期货合约套利的实证分析结果表明:在适当的阈值下,该交易策略能够实现超过25%的年化收益率,对极端市场行为也有较快的时变反应。     

光学频率梳非线性传输及其在相位噪声探测中的应用

光纤传递链路中相位噪声探测是基于光纤的精确射频标准传递系统中重要组成部分。为解决光纤链路相位噪声探测中节点反射干扰的问题, 本文基于广义非线性薛定谔方程, 理论上研究了窄带光学频率梳在色散位移光纤中的非线性光学传播特性。在理论分析的基础上, 结合密集波分复用架构, 提出了一种基于锁模光学频率梳进行光纤传递射频信号的相位噪声探测新技术, 克服了节点反射干扰, 给出了初步实验验证。     

新疆理化所提出一种基于模拟的使非线性光学晶体材料相匹配区间蓝移的方案

非线性光学晶体是通过频率转换拓宽固态激光器输出波段的关键材料。随着激光微加工,激光通讯和现代科学仪器的持续发展,对紫外/深紫外非线性光学晶体的需求日益增加。但是,很多拥有宽的紫外透过范围和大的倍频效应的晶体因其双折射无法满足深紫外相匹配而无法输出深紫外激光。     

The effects of ultrasound frequency and power on the activation energy in Si-KOH reaction system

The activation energy is the minimum amount of energy required to initiate a reaction. It is one of the important indexes for appraising a reaction. The chemical reaction rate is closely related to the value of activation energy, and reducing activation energy is propitious to promoting a chemical reaction. In the present paper, the relationship between the activation energy in Si-KOH reaction system and the ultrasound frequency and power has been discussed for the first time. The range of ultrasound frequency and power is 40-100kHz （interval by 20kHz） and 10-50W （interval by 10W）, respectively. The experimental clata indicate that the activation energy decreases with the increasing ultrasound power. Comparing with the activation energy without ultrasound irradiation, the results in our paper indicate that ultrasound irradiation could reduce the activation energy in Si-KOH reaction system and increase the reaction rate.     

数字离子阱质谱仪低质量截止值的改进方法

本研究在实验室自制的线形数字离子阱质量分析器上,通过改变数码电源的频率扫描方式,在CID过程中,通过扫描数字束缚方波电源的频率和数字激发方波的频率实现母体解离。例如对于利血平母体离子,当将离子数字束缚方波频率从500 kHz扫描到560 kHz,可以测量到低质荷比的碎片离子,成功实现了串级质谱分析的低质量碎片离子的分析。通过与利血平三重四极质谱串级质谱分析实验结果的比较,发现可以在数字离子阱质谱仪上获得与三重四极质谱相同的串级质谱测量结果。结果表明,本方法可以用于低质量离子的测量,克服了传统离子阱质谱进行串级质谱分析的一个主要难点,显著提高数字离子阱质谱的性能。     

气相中Co+催化N2O与C2H6循环反应催化剂活性的理论研究

采用密度泛函理论UB3LYP方法对Co⁺在三重态及五重态势能面上催化N₂O与C₂H₆进行循环反应的两态反应机理进行了研究. 运用Harvery方法优化了两自旋态势能面5个最低能量交叉点（MECP）,计算了MECP处自旋-轨道耦合作用. 采用Landau-Zener公式计算了自旋翻转处的系间窜越几率,各MECP处均可发生有效系间窜越. 通过应用Kozuch提出的能量跨度模型,Co⁺催化N₂O与C₂H₆在298K下反应生成CH₃CHO时有最大的TOF值3.35×10^-21 s^-1.     

Theory Study of the Adsorption of Hydrocyanic Acid onto Small Silver Clusters

Density functional theory calculations have been performed to study the interaction of small silver clusters, Ag2 ~Ag9, with HCN. The adsorption of HCN on-top site of the silver cluster, among various possible sites, is energetically preferred. The adsorption energies of HCN on the silver clusters reach a local maximum at n = 4, which is only about 0.450 eV, indicating that the adsorbed HCN molecule is weakly perturbed. The adsorbed C–N and C–H stretching frequencies are blue- and red-shifted compared with the values of free HCN, respectively.     

一种模拟动边界绕流的锐利界面浸入边界法

When the structural wall moves over a fixed grid, the structure coverage will change, resulting in many dead and emerging elements. To avoid the influence of malformation and reconstruction of body-fitted grids on the calculation efficiency and accuracy of the fluid-structure interaction problems with coupled boundary movement on the fixed grid, an improved numerical method for describing the interaction between an immersed rigid body and fluid based on a sharp-interface is proposed. In this method, both the fluid and solid are regarded as pure fluid domains in the whole computational domain, and the solid boundary is divided into several Lagrangian grid points. The flow parameter or velocity is reconstructed by interpolation at the interface element, which is then directly used as the boundary condition of the flow field, thus reflecting the influence of the wall boundary conditions. The method constructs the calculation structure of “virtual point, force point and vertical foot point”, and the velocity of the virtual point is obtained by bilinear interpolation. Then, the velocity of the force point is calculated by forcing the solid boundary to meet the no-slip condition, and the equations of the coupling system based on the immersion boundary method are finally solved to realize the numerical simulation of the flow with a complex moving boundary. The numerical program for this immersed boundary method is established using C++, then the accuracy and reliability of the proposed method are validated by comparison with the literature and experimental results of the basic numerical example of flow around a cylinder. Furthermore, the effects of the structural shape and the angle of attack on the trailing vortex structure, the vortex shedding frequency, and the lift/ coefficient characteristics of the flow around the elliptical cylinder have been analyzed. The anti-symmetric S-type, “P+S” Ⅰ-type and “P+S” Ⅱ-type trailing vortex shedding modes, as well as the variation laws of the vortex structure size, vortex shedding frequency and lift-drag coefficients ratio with axis ratio and angle of attack, are captured. The critical angle of attack (25°) corresponding to the maximum lift-drag ratio is determined as 25°.     

NMR Parameters and Vibrational Investigation of 2-Dicyanovinyl-5-（4-ethoxyphenyl） thiophene by ab initio HF and DFT Calculations

Optimized geometry and harmonic vibrational frequency of 2-dicyanovinyl-5-(4- ethoxyphenyl)thiophene (C16H12N2OS) are calculated at the HF/6-31++G(d,p) and B3LYP/6- 311++G(d,p) levels. Mulliken charges in the ground state are also calculated. The research shows the presence of intermolecular interaction in the title compound. The scaled harmonic vibrational frequencies have been compared with experimental FT-IR spectra. A detailed interpretation of the infrared spectra of the title compound is reported. The theoretical spectrograms for IR spectra of the title compound have been constructed. The isotropic chemical shift computed by 13C and 1H NMR analyses also shows good agreement with the experimental observations.     

检测低通滤波器插入损耗的组合系统

文章介绍了用示波器和信号发器搭配成的检测低通滤波器插入损耗的组合系统。列举了该系统对典型低通滤波器插入损耗的检测结果。