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1.
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of employing the intrinsic entropy model as a substitute for estimating the volatility of stock market indices. Diverging from the widely used volatility models that take into account only the elements related to the traded prices, namely the open, high, low, and close prices of a trading day (OHLC), the intrinsic entropy model takes into account the traded volumes during the considered time frame as well. We adjust the intraday intrinsic entropy model that we introduced earlier for exchange-traded securities in order to connect daily OHLC prices with the ratio of the corresponding daily volume to the overall volume traded in the considered period. The intrinsic entropy model conceptualizes this ratio as entropic probability or market credence assigned to the corresponding price level. The intrinsic entropy is computed using historical daily data for traded market indices (S&P 500, Dow 30, NYSE Composite, NASDAQ Composite, Nikkei 225, and Hang Seng Index). We compare the results produced by the intrinsic entropy model with the volatility estimates obtained for the same data sets using widely employed industry volatility estimators. The intrinsic entropy model proves to consistently deliver reliable estimates for various time frames while showing peculiarly high values for the coefficient of variation, with the estimates falling in a significantly lower interval range compared with those provided by the other advanced volatility estimators. 相似文献
2.
本文以融资买入和融券卖出为研究对象,分析了投资者主动发起的融资融券交易对股票回报、流动性和波动性的影响,给出了中国股票市场融资融券发展现状。研究发现,融资买入(融券卖出)对当日股票回报有显著为正(负)的影响,交易表现与政策制定动机——融资反映投资者看涨情绪、融券反映投资者看跌情绪一致。此外,融资买入(融券卖出)增加了(降低)股票流动性;融资买入(融券卖出)降低(增加)了股票波动性;融资融券对股票交易特征的影响有随时间逐渐改善的趋势。最后,本文发现融资融券对股票回报、流动性和波动性产生的影响与股票所在板块有关,随着中小板和创业板股票所占比重的增加,调整和优化融资融券对股票市场的影响仍然是监管者未来主要任务之一。 相似文献
3.
《Operations Research Letters》2021,49(5):715-719
We study the predictive value of transaction activity in the bitcoin network for the realized volatility of bitcoin returns constructed by high-frequency data. As an alternative modeling approach to the popular linear heterogeneous autoregressive model, we provide out-of-sample forecasts for realized volatility of bitcoin returns employing machine learning algorithms, and in particular by Random Forests. Our findings reveal that on-blockchain transaction activity does improve the out-of-sample forecast accuracy at all the forecast horizons considered. 相似文献
4.
准确地预测金融市场的波动率对市场管理者和参与者而言都是至关重要的。本文在标准已实现GARCH模型基础上,将条件方差乘性分解为长期方差和短期方差两部分,分别构造包含杠杆函数的长期方差方程和短期方差方程,用以捕捉波动率的长记忆性和短期微观波动。运用上证综指和日经指数的日收盘价、已实现方差和已实现核波动此类高频数据进行实证分析,结果表明:与标准已实现GARCH模型相比,两指数的双因子已实现GARCH模型在样本内表现出更大的似然估计值;通过样本外误差函数分析和DM检验,双因子已实现GARCH模型也取得更好表现。 相似文献
5.
针对近年来养老金管理遇到的问题,基于模型不确定性,考虑随机环境和退休保障限制的DC型养老金最优投资策略具有重要意义.以养老金的最终价值相对于退休后年金担保的不变相对风险厌恶期望效用最大化为目标,利用随机动态规划的方法,求出鲁棒最优投资策略及相应的价值函数.最后,通过数值分析,得到各参数对最优投资策略的影响. 相似文献
6.
裂纹前端的断裂过程区是引起岩石非线性断裂及尺寸效应的主要原因。利用数字图像相关技术对砂岩开展了三点弯曲梁实验,获得观测区域高精度的全场位移和应变数据,根据断裂韧带区域水平位移和水平应变的分布特征,结合裂尖岩石颗粒变化的微观分析,提出采用裂纹尖端水平位移波动性和水平应变突变性所得到的波动系数和水平应变突变值,确定断裂过程区形状和临界尺寸的方法。结果表明:砂岩断裂过程区的形状为不规则的狭长带状区域,断裂过程区的临界长度为11~13mm,临界宽度为1.58~2.36mm。断裂过程区区域内形变在趋向裂尖时呈指数增加,但其单位区域内的形变增量呈波动状态。该方法能够更加准确判断岩石断裂过程区的范围,有助于分析岩石的非线性断裂特性。 相似文献
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8.
Greg Orosi 《商业与工业应用随机模型》2015,31(4):515-527
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. 相似文献
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10.
Stefania Corsaro Ioannis Kyriakou Daniele Marazzina Zelda Marino 《European Journal of Operational Research》2019,272(3):1082-1095
In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper. 相似文献