Subjective modelling of supply and demand—the minimum of Fisher information solution

Two of the present authors have put forward a projective geometry based model of rational trading that implies a model for subjective demand/supply profiles if one considers closing of a position as a random process. We would like to present the analysis of a subjectivity in such trading models. In our model, the trader gets the maximal profit intensity when the probability of transaction is ∼0.5853. We also present a comparison with the model based on the Maximum of Entropy Principle. To the best of our knowledge, this is one of the first analyses that show a concrete situation in which trader profit optimal value is in the class of price-negotiating algorithms (strategies) resulting in non-monotonic demand (supply) curves of the Rest of the World (a collective opponent). Our model suggests that there might be a new class of rational trader strategies that (almost) neglects the supply-demand profile of the market. This class emerges when one tries to minimize the information that strategies reveal.     

Research on the evolution model of an energy supply–demand network

A universal bipartite model is proposed based on an energy supply–demand network. The analytical expression of SPL distribution of the node weight, the “shifting coefficient” α$\alpha$ and the scaling exponent γ$\gamma$ are presented without edge weight growth by using the mean-field theory approach. The numerical results of SPL distribution of the node weight, the “shifting coefficient” α$\alpha$ and the scaling exponent γ$\gamma$ with edge weight growth are also presented. The production’s SPL distribution of the US coal enterprizes from 1991 to 2009 is obtained from the empirical analysis. The numerical results obtained from the model are in good agreement with the empirical results.     

人工神经网络在配煤过程状态建模中的应用研究

本文详细介绍了人工神经网络应用于状态建模的方法．对神经网络应用中的一些难点提出了切实可行且有效的解决措施，并举例作了应用示范．同时还介绍了神经网络方法应用于优化动力配煤的情况，并就神经网络方法在优化动力配煤中的进一步应用作了展望．     

Evolutionary model of the growth and size of firms

The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat’s law of proportionate effects as the result of the competition between products. Applying a preferential attachment mechanism for firms, the theory allows to establish the size distribution of products and firms. Also established are the growth rate and price distribution of consumer goods. Taking into account the characteristic property of human activities to occur in bursts, the model allows also an explanation of the size–variance relationship of the growth rate distribution of products and firms. Further the product life cycle, the learning (experience) curve and the market size in terms of the mean number of firms that can survive in a market are derived. The model also suggests the existence of an invariant of a market as the ratio of total profit to total revenue. The relationship between a neo-classic and an evolutionary view of a market is discussed. The comparison with empirical investigations suggests that the theory is able to describe the main stylized facts concerning the size and growth of firms.     

新阳炼焦煤结构的FTIR和XPS谱学表征

认知煤中主要元素的结构与赋存是获取煤结构参数的基础,对构建煤结构模型,研究煤的反应特性,合理利用煤炭资源具有重要意义。目前煤结构研究多是针对中低变质程度煤的,对炼焦煤结构研究较少,炼焦煤的结构模型尚未见报道。应用FTIR对新阳炼焦煤中羟基基团、脂肪结构、芳香结构、含氧官能团及杂原子结构进行谱学表征,通过XPS解析煤中氮和硫的赋存形式,掌握炼焦煤中主要元素的禀赋特征。结果表明： 新阳煤中与芳香环上的π电子形成的羟基π氢键是羟基的主要存在形式,多聚体是煤结构中缔合结构的具体表现;次甲基、甲基、亚甲基的含量依次增加,亚甲基和次甲基含量占煤中脂肪烃总量的82.05%,煤中烷基侧链较多;苯环二取代、苯环三取代是煤中芳香烃的主要结构,占芳香烃总量的86.74%;含氧官能团中,羟基和羰基是主要组成基团,羧基和醚基含量不足10%。新阳煤中硅的含量比较丰富,主要以Si-O-Si和Si-O-C的形态赋存。吡啶、吡咯和氮氧化物为氮的主要存在形式,绝大多数氮分布于煤分子结构单元的边缘;噻吩硫是煤中有机硫最主要的赋存形式,超过有机硫总量的60%,砜和亚砜的含量次之,硫醇和硫醚的赋存最少。     

Regime switches induced by supply-demand equilibrium: a model for power-price dynamics

Regime-switching models can be used to describe stochastic movements of electricity prices in deregulated markets. This paper shows that regime-switching dynamics arise quite naturally in an equilibrium context in which the functional form of the supply curve is described by a two-state Markov process. This mechanism is responsible for random switches between regimes and it allows one to describe the main features of the price-formation process. With the interplay between demand and supply, the proposed methodology can be used to capture shortages in electricity generation, forced outages, and peaks in electricity demand. As an example of application, a two-regime model specification is proposed, and it will be shown that the empirical analysis, performed by estimating using the model on the California power market, offers an interesting agreement with observed data.     

Network analysis and spatial agglomeration of China’s high-speed rail: A dual network approach

China has the largest high-speed railway(HSR) system in the world, and it has gradually reshaped the urban network.The HSR system can be represented as different types of networks in terms of the nodes and various relationships(i.e.,linkages) between them. In this paper, we first introduce a general dual network model, including a physical network(PN)and a logical network(LN) to provide a comparative analysis for China’s high-speed rail network via complex network theory. The PN represents a layout of stations and rail tracks, and forms the basis for operating all trains. The LN is a network composed of the origin and destination stations of each high-speed train and the train flows between them. China’s high-speed railway(CHSR) has different topological structures and link strengths for PN in comparison with the LN. In the study, the community detection is used to analyze China’s high-speed rail networks and several communities are found to be similar to the layout of planned urban agglomerations in China. Furthermore, the hierarchies of urban agglomerations are different from each other according to the strength of inter-regional interaction and intra-regional interaction, which are respectively related to location and spatial development strategies. Moreover, a case study of the Yangtze River Delta shows that the hub stations have different resource divisions and are major contributors to the gap between train departure and arrival flows.     

Models for the size distribution of businesses in a price driven market

A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers can only buy at the prices offered by the businesses. We show numerically and analytically that the size distribution scales like a power-law. A mean-field version of our model is also introduced and we determine for which value of the parameters the mean-field model agrees with the microscopic model. We discuss to what extent our simple model and its results compare with empirical data on company sizes in the US and debt sizes in Japan. Finally, possible extensions of the mean-field model are discussed, to cope with other empirical data. Received 10 January 2001 and Received in final form 12 March 2001     

基于神经网络的电站锅炉入炉煤粉含碳量在线测量研究

电站锅炉燃烧的煤种来源不稳定,经常与设计煤种偏差较大,造成锅炉出力不足、燃烧效率下降以及结焦等问题出现,影响锅炉燃烧的经济性和安全性。针对锅炉燃烧煤种的不稳定性,提出了一种基于静电法在线测量入炉煤粉含碳量的方法,研究静电信号与煤粉含碳量之间的关系。对煤粉颗粒静电测量过程中的几个影响因素进行了试验分析,并采集了足够具有代表性的数据,在此基础上建立了锅炉一次风管中入炉煤粉含碳量的BP神经网络模型。结果表明,所建立的模型预测效果较好,能较好预测进入锅炉燃烧的煤种。     

Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: An autonomous agent-based model

We have studied the performance of the Hurst's index associated with the currency exchange rate in Brazil and Chile. It is shown that this index maps the degree of government control in the exchange rate. A model of supply and demand based in an autonomous agent is proposed, that simulates a virtual market of sale and purchase, where buyer or seller are forced to negotiate through an intermediary. According to this model, the average of the price of daily transactions correspond to the theoretical balance proposed by the law of supply and demand. The influence of an added tendency factor is also analyzed.     

Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient

In this study, we first build two empirical cross-correlation matrices in the US stock market by two different methods, namely the Pearson’s correlation coefficient and the detrended cross-correlation coefficient (DCCA coefficient). Then, combining the two matrices with the method of random matrix theory (RMT), we mainly investigate the statistical properties of cross-correlations in the US stock market. We choose the daily closing prices of 462 constituent stocks of S&P 500 index as the research objects and select the sample data from January 3, 2005 to August 31, 2012. In the empirical analysis, we examine the statistical properties of cross-correlation coefficients, the distribution of eigenvalues, the distribution of eigenvector components, and the inverse participation ratio. From the two methods, we find some new results of the cross-correlations in the US stock market in our study, which are different from the conclusions reached by previous studies. The empirical cross-correlation matrices constructed by the DCCA coefficient show several interesting properties at different time scales in the US stock market, which are useful to the risk management and optimal portfolio selection, especially to the diversity of the asset portfolio. It will be an interesting and meaningful work to find the theoretical eigenvalue distribution of a completely random matrix R for the DCCA coefficient because it does not obey the Mar?enko–Pastur distribution.     

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows us to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other.     

旋流对煤粉燃烧NO排放影响的数值模拟

本文用基于HCN释放的简化Solomon模型的NO生成湍流反应的统一二阶矩代数模型(AUSM)和煤粉燃烧的双流体模型,对不同旋流数下煤粉燃烧器内两相流动,煤粉燃烧和NO生成进行了数值模拟。模拟结果和文献中实验结果符合很好。模拟结果指出,随着旋流数的增加,NO的排放先减少后增加,燃尽率先增加后减小,和气体燃烧中得到的规律类似。     

Buying on margin,selling short in an agent-based market model

Credit trading, or leverage trading, which includes buying on margin and selling short, plays an important role in financial markets, where agents tend to increase their leverages for increased profits. This paper presents an agent-based asset market model to study the effect of the permissive leverage level on traders’ wealth and overall market indicators. In this model, heterogeneous agents can assume fundamental value-converging expectations or trend-persistence expectations, and their effective demands of assets depend both on demand willingness and wealth constraints, where leverage can relieve the wealth constraints to some extent. The asset market price is determined by a market maker, who watches the market excess demand, and is influenced by noise factors. By simulations, we examine market results for different leverage ratios. At the individual level, we focus on how the leverage ratio influences agents’ wealth accumulation. At the market level, we focus on how the leverage ratio influences changes in the asset price, volatility, and trading volume. Qualitatively, our model provides some meaningful results supported by empirical facts. More importantly, we find a continuous phase transition as we increase the leverage threshold, which may provide a further prospective of credit trading.     

西北地区侏罗纪煤显微组分结构的Micro-FTIR研究

我国西北地区侏罗纪煤资源丰富,揭示该地区煤显微组分的微观化学结构特征是对其进行合理高效利用的必要前提。采用透射式显微傅里叶红外光谱技术(Micro-FTIR)对西北地区侏罗纪煤中主要显微组分——镜质体、丝质体、半丝质体的分子结构特征进行了分析。结果表明,相对于丝质体,镜质体和半丝质体的脂肪氢相对含量较高,而芳香氢、CO相对含量较低,半丝质体的脂肪氢相对含量高于丝质体的这一分子结构特点是导致西北地区侏罗纪煤虽富含惰质组却具有较高反应性的一个重要原因;相对于强还原型煤,弱还原型煤镜质体、半丝质体和丝质体皆具有较低的脂肪氢相对含量及较高的CO相对含量,成煤过程中不同强度的氧化作用是造成煤具有不同还原类型的原因之一。     

Are developed and emerging agricultural futures markets multifractal? A comparative perspective

Although there are many reports on the empirical evidence of the existence of multifractality in various financial or commodity markets in current literature, few can be found to compare the multifractal properties of emerging and developed economies, especially for agricultural futures markets in those countries (regions). We therefore chose China as the representative of the transition and emerging economies, and USA as the representative of developed ones. We attempt to find the answers to the following questions: (1) Are all those different markets multifractal? (2) What are the dynamical causes for multifractality in those markets (if any)? (3) Are the multifractality strengths in those markets of the transition and emerging economies weaker (or stronger) than those of the developed ones? To answer these questions, Multifractal Detrended Fluctuation Analysis (MF-DFA) are applied to study some of the representative agricultural futures markets in China and USA, namely, wheat, soy meal, soybean and corn. Our results suggest that all the markets of China and USA exhibit multifractal properties except US soybean market, which is much closer to mono-fractal comparing with China’s soybean market. To investigate the sources of multifractality, shuffling and phase randomization procedures are applied to destroy the temporal correlations and non-Gaussian distributions respectively. We found that multifractality can be mainly attributed to the non-Gaussian probability distribution and secondarily to the nonlinear temporal correlation mechanism for all the markets, except US soybean and soy meal, which derives from some other unknown factors. Furthermore, the average of τ(q) are applied to obtain the multifractal spectra of the two markets as a whole. The results show that the width of the multifractal spectrum of US agricultural futures markets is significantly narrower than that of China’s. Based on our findings, we proposed a hypothesis that the strength of multifractality in developed economies may be weaker than that in emerging and transition ones.     

基于射线理论的各向异性煤层地震响应

以VTI型煤层为研究对象,从介质中的地震波的射线方向、走时计算等多个方面展开讨论,分析VTI型煤层的试射法射线追踪技术,充分利用VC++的面向对象类框架泛型编程的特点和Fortran数值计算方面的优势,通过混合编程实现VTI型煤层中的地震波试射法射线追踪;通过各向同性煤层和VTI型煤层的射线追踪试算对比,论证对VTI型煤层进行各向异性射线追踪的必要性,同时验证本文VTI型煤层射线追踪方法的正确性.最后,通过计算时间成本比较,表明该方法计算速度较快,能满足地震正演模拟的要求.该方法适用于各向异性煤层的多波射线追踪.     

Hitting time distributions in financial markets

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.     

Statistical approach to partial equilibrium analysis

A statistical approach to market equilibrium and efficiency analysis is proposed in this paper. One factor that governs the exchange decisions of traders in a market, named willingness price, is highlighted and constitutes the whole theory. The supply and demand functions are formulated as the distributions of corresponding willing exchange over the willingness price. The laws of supply and demand can be derived directly from these distributions. The characteristics of excess demand function are analyzed and the necessary conditions for the existence and uniqueness of equilibrium point of the market are specified. The rationing rates of buyers and sellers are introduced to describe the ratio of realized exchange to willing exchange, and their dependence on the market price is studied in the cases of shortage and surplus. The realized market surplus, which is the criterion of market efficiency, can be written as a function of the distributions of willing exchange and the rationing rates. With this approach we can strictly prove that a market is efficient in the state of equilibrium.