基于时变Copula模型的 基金收益率相依关系的应用研究

基于时变Copula模型,获得预测方差,确定单个基金收益率序列的边缘分布.利用常见的静态Copula和时变Copula模型对基金收益率序列间两两相依关系进行建模并进行对比分析.应用研究表明,基于MCMC方法的时变Copula模型能更有效地度量基金收益率序列的风险.     

Expected reliability of communication protocols

We consider the problem of sending a message from a sender $s$ to a receiver $r$ through an unreliable network by specifying in a protocol what each vertex is supposed to do if it receives the message from one of its neighbors. A protocol for routing a message in such a graph is finite if it never floods $r$ with an infinite number of copies of the message. The expected reliability of a given protocol is the probability that a message sent from $s$ reaches $r$ when the edges of the network fail independently with probability $1?p$.We discuss, for given networks, the properties of finite protocols with maximum expected reliability in the case when $p$ is close to 0 or 1, and we describe networks for which no one protocol is optimal for all values of $p$. In general, finding an optimal protocol for a given network and fixed probability is challenging and many open problems remain.     

一类改进最大熵方法的可调参数分析

在结构可靠性分析中,引入含可调参数的转换函数能对传统的最大熵方法进行改进,获得更高的失效概率预测精度。但是,此可调参数的最佳取值很难确定。针对这一问题,引入概率守恒方程,从功能函数转换前后所得概率密度函数出发,建立其最大熵值的变化关系,给出转换前后最大熵值之差的理论形式。通过对三种典型单调非线性转换函数开展算例研究,发现功能函数转换前后的最大熵值之差与转换函数的最佳可调参数值有关。改变可调参数值驱使最大熵值之差变化的同时,改进最大熵方法能遍历到更好的失效概率估计值。     

Stochastic modeling of quality of systems operating in a heterogeneous environment

We consider systems that are subject to an external mixed Poisson shock process. Each shock can result in a failure of a system with a given probability and is survived with the complementary probability. Each shock additionally decreases the quality function that describes the performance of a system, thus forming the corresponding stochastic process. Expectations (unconditional and conditional on survival) and relevant variability characteristics for the stochastic quality function are derived. Some monotonicity properties of the conditional quality function are investigated and the future values of this function are derived.     

An interview with Sam C. Saunders

Sam C. Saunders, the son of Elizabeth Cundiff and Winston E. Saunders, was born in Richland, OR, on February 24, 1931. The family moved to La Grande, OR, in 1944, where Sam completed high school and two years at Eastern Oregon College. He then received the BSc degree in Mathematics from the University of Oregon, Eugene, OR, in 1952, and he attended the University of Washington, Seattle, WA, receiving a PhD degree under Z. W. Birnbaum. After graduating, he accepted employment at the Boeing Company in its Mathematical Services Unit and, in 1972, a position as a Full Professor at Washington State University, Pullman, WA, from which he retired in 1996.     

Computational analysis for the determination of deleterious nsSNPs in human MTHFD1 gene

Single nucleotide polymorphisms (SNPs) are the most common genetic polymorphisms and play a major role in many inherited diseases. Methylenetetrahydrofolate dehydrogenase 1 (MTHFD1) is one of the enzymes involved in folate metabolism. In the present study, the functional and structural consequences of nsSNPs of human MTHFD1 gene was analyzed using various computational tools like SIFT, PolyPhen2, PANTHER, PROVEAN, SNAP2, nsSNPAnalyzer, PhD-SNP, SNPs&GO, I-Mutant, MuPro, ConSurf, InterPro, NCBI Conserved Domain Search tool, ModPred, SPARKS-X, RAMPAGE, FT Site and PyMol. Out of 327 nsSNPs form human MTHFD1 gene, total 45 SNPs were predicted as functionally most significant SNPs, among which 17 were highly conserved and functional, 17 were highly conserved and structural residues. Among 45 most significant SNPs, 15 were predicted to be involved in post translational modifications. The p.Gly165Arg may interfere in homodimer interface formation. The p.Asn439Lys and p.Asp445Asn may interfere in binding interactions of MTHFD1 protein with cesium cation and potassium. The two SNPs (p.Asp562Gly and p.Gly637Cys) might interfere in interactions of MTHFD1 with ligand.     

基于时变SJC-Copula对商品期货市场间风险传染的探究

分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.     

数学模型在高校领军人才评审中的应用

教育评估的可靠性决定了评估结果的可信性,影响着教育评估的声誉和发展.结合高校领军人才评审探讨了数学可靠性模型在教育评估中的应用,通过建立数学可靠性模型,计算评审系统的可靠性,并结合可靠性计算结果分析了影响评审系统可靠性的因素.     

碳税政策下时变需求依赖库存与价格的供应链协调模型

研究由一个供应商和一个零售组成的二级供应链系统在碳税政策下的协调问题.对于市场需求率为时变函数且依赖于当前库存水平和销售价格的情形,建立分散式和集中式供应链决策模型.比较两种模型得出供应商和零售商合作能够提高供应链的整体利润但是也会产生更多的碳排放.分别利用批发价格契约和两部收费契约协调分散式决策模型得出供应链协调的条件.最后通过数值算例验证理论结果并分析碳税单价对供应链在两部收费契约下实现协调的影响.