基于随机占优的股指期货市场有效性分析

2015年中金所出台严格监管措施后,股指期货成交低迷,异象频出。为验证严格监管措施对股指期货市场有效性的影响,本文利用随机占优DD测试法,为风险规避者和风险寻求者分别构建升序和降序占优模型。传统DD测试法用等间距划分的方式产生网格,且假设检验的两个判定阈值为相反数,这不符合金融数据的分布规律。因此,本文提出了对DD测试法的两处改进,利用“等频率划分法”产生网格,利用“非对称分位数法”产生阈值。实证方面,本文对三个股指期货及其现货的15分钟数据进行分析,发现在自股灾以来,上证50指数一阶占优于上证50股指期货,形成套利机会,且该套利策略的年化收益率、夏普比率和卡玛比率都非常优异。实证进一步显示,严格监管措施后占优数量达到最高峰,严格监管措施导致的股指期货功能受损比股灾更严重,而这一现象在中金所逐步放松监管措施后得以稍微缓解但没有根本改变。     

Pricing of American lookback spread options

We find the closed form formula for the price of the perpetual American lookback spread option, whose payoff is the difference of the running maximum and minimum prices of a single asset. We solve an optimal stopping problem related to both maximum and minimum. We show that the spread option is equivalent to some fixed strike options on some domains, find the exact form of the optimal stopping region, and obtain the solution of the resulting partial differential equations. The value function is not differentiable. However, we prove the verification theorem due to the monotonicity of the maximum and minimum processes.     

Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

A model for crack formation during active solid pyrolysis of a char-forming solid: crack patterns; surface area generation; volatile mass efflux

A model is developed for the formation and propagation of cracks in a material sample that is heated at its top surface, pyrolyses, and then thermally degrades to form char. In this work the sample is heated uniformly over its entire top surface by a hypothetical flame (a heat source). The pyrolysis mechanism is described by a one-step overall reaction that is dependent nonlinearly on the temperature (Arrhenius form). Stresses develop in response to the thermal degradation of the material by means of a shrinkage strain caused by local mass loss during pyrolysis. When the principal stress exceeds a prescribed threshold value, the material forms a local crack. Cracks are found to generally originate at the surface in response to heating, but occasionally they form in the bulk, away from ever-changing material boundaries. The resulting cracks evolve and form patterns whose characteristics are described. Quantities examined in detail are: the crack spacing in the pyrolysis zone; the crack length evolution; the formation and nature of crack loops which are defined as individual cracks that have joined to form loops that are disconnected from the remaining material; the formation of enhanced pyrolysis area; and the impact of all of the former quantities on mass flux. It is determined that the mass flux from the sample can be greatly enhanced over its nominal (non-cracking) counterpart. The mass efflux profile qualitatively resembles those observed in Cone Calorimeter tests.     

基于扩展度的复杂网络传播影响力评估算法

对网络中节点的传播影响力进行评估具有十分重要的意义, 有助于促进有益或抑制有害信息的传播. 目前, 多种中心性指标可用于对节点的传播影响力进行评估, 然而它们一般只有当传播率处于特定范围时才能取得理想的结果. 例如, 度值中心性指标在传播率较小时较为合适, 而半局部中心性和接近中心性指标则适用于稍大一些的传播率. 为了解决各种评估指标对传播率敏感的问题, 提出了一种基于扩展度的传播影响力评估算法. 算法利用邻居节点度值叠加的方式对节点度的覆盖范围进行了扩展, 使不同的扩展层次对应于不同的传播率, 并通过抽样测试确定了适合于特定传播率的层次数. 真实和模拟数据集上的实验结果表明, 通过扩展度算法得到的扩展度指标能在不同传播率下对节点的传播影响力进行有效评估, 其准确性能够达到或优于利用其他中心性指标进行评估的结果.     

Costas环在无线扩频定位系统中的应用技术研究

分析了扩频定位系统中载波恢复和数据解调数学模型，设计了环路中应用的Butterworth低通滤波器和产生正交两路信号的Hilbert变换滤波器，在Simulink中建立了Costas环仿真模型。结果表明：该Costas环能够准确地实现扩频定位系统的载波恢复和发送端数据解调输出，理论仿真和实际工程实验基本一致。     

陆基无线扩频定位系统中伪随机码设计

讨论了无线扩频定位系统的关键技术之一——扩频码的设计与实现。首先从实验的角度基于Logistic映射，分析了其所生成的混沌序列的部分相关特性及平衡性，给出了计算机仿真结果；最后从工程角度给出了易于实现的平衡Gold码的设计方法。     

New lower bounds for partial k‐parallelisms

Due to the applications in network coding, subspace codes and designs have received many attentions. Suppose that $k\mid n$ and $V\left(n,q\right)$ is an $n$‐dimensional space over the finite field ${\mathbb{F}}_q$. A $k$‐spread is a $(q^n?1)/(q^k?1)$‐set of $k$‐dimensional subspaces of $V\left(n,q\right)$ such that each nonzero vector is contained in exactly one element of it. A partial $k$‐parallelism in $V\left(n,q\right)$ is a set of pairwise disjoint $k$‐spreads. As the number of $k$‐dimensional subspaces in $V\left(n,q\right)$ is ${\left[\genfrac{}{}{0ex}{}{n}{k}\right]}_q$, there are at most ${\left[\genfrac{}{}{0ex}{}{n?1}{k?1}\right]}_q$ spreads in a partial $k$‐parallelism. By studying the independence numbers of Cayley graphs associated to a special type of partial $k$‐parallelisms in $V\left(n,q\right)$, we obtain new lower bounds for partial $k$‐parallelisms. In particular, we show that there exist at least $\frac{q^k?1}{q^n?1}{\left[\genfrac{}{}{0ex}{}{n?1}{k?1}\right]}_q$ pairwise disjoint $k$‐spreads in $V\left(n,q\right)$.     

基于多通道盲识别的自适应光学图像事后处理

为实时恢复天文或空间目标的湍流退化成像,提出一种适应大气湍流动态变化的多通道自适应光学图像恢复方法.以自适应光学校正后不同时刻的目标成像作为多个通道,建立求解系统点扩散函数的线性方程,根据解出的点扩散函数利用超拉普拉斯算法,求解待观测目标的估计值.结果表明:不同时刻的点扩散函数之间存在互质关系,满足多通道盲识别的理论要求.利用建立的线性方程求解出的点扩散函数与原点扩散函数的均方误差在10^-30~10^-27量级,采用超拉普拉斯算法恢复出的目标成像与原始目标之间的均方误差在10^-5~10^-4量级.本文研究为湍流退化图像的实时恢复提供了理论基础.     

Preserving the Rothschild–Stiglitz type of increasing risk with background risk

Background risk refers to a risk that is exogenous and is not subject to transformations by a decision-maker. In this paper, we extend the definition of the Rothschild–Stiglitz type of increasing risk to a background risk framework. We theoretically investigate a more general definition of increase in risk in the presence of background risk. The results suggest that an extended concept of expectation dependence plays a vital role.