基于成交量分解模型的改进VWAP策略

传统VWAP(交易量加权平均价格)策略通过拆分大额委托订单,跟踪市场成交均价,达到最小化冲击成本的目的,而准确预测成交量日内分布是运用VWAP策略的关键。通过详细考察现有的改进VWAP策略中成交量预测模型的建模方式和预测结果,发现由于无法分离成交量日内周期结构,现有模型样本依赖性较大且难以适用于多数股票。因此,本文从个股与市场成交量变化趋势的关系角度出发,推导个股成交量与市场趋势的关系,通过构造个股成交量关于市场因素的因子载荷,将日内成交量分解为市场共同部分和个股特殊部分,预测成交量日内分布并构建动态VWAP策略。实证结果表明新的成交量分解模型可以有效分离个股的成交量日内周期结构,在此基础上构造的改进VWAP策略不仅具有较为广泛的适用性,且跟踪误差减少幅度比现阶段同类型的改进VWAP策略更大,能更好的降低市场冲击成本。     

Integrating volume morphing and visualization

In this paper, we introduce a new deformable volume rendering algorithm. By embedding deformation into the visualization loop, we render the deformed volume directly without going through the expensive and non-interactive volume reconstruction process. The volume deformation is done using a radial basis function that is piecewise linearly approximated by an adaptive space subdivision of the octree encoded target volume. The octree blocks in the target volume are reverse morphed and projected in a front-to-back order. A template based ray-block intersection method is used to speed up the rendering process. Our algorithm renders the morphing of a 256³ volume in seconds. While the resultant timings is slower than real time, it is much faster than existing volume morphing/rendering pipelines.     

中国股市价格-交易量动态因果关系研究

研究了中国股票市场交易量是否含有预测未来收益变动的有价值信息 .实证结果表明 :交易量和收益序列存在即期的正相关关系 ;过去交易量包含未来绝对收益变动的有价值信息 ;中国股票市场交易量和收益序列存在双向的线性因果关系 ,交易量不仅传递价格绝对变动量的信息 ,而且在很大程度上还传递价格变动方向的信息 .     

An enhanced finite volume method to model 2D linear elastic structures

This paper details the evaluation and enhancement of the vertex-centred finite volume method for the purpose of modelling linear elastic structures undergoing bending. A matrix-free edge-based finite volume procedure is discussed and compared with the traditional isoparametric finite element method via application to a number of test-cases. It is demonstrated that the standard finite volume approach exhibits similar disadvantages to the linear Q4 finite element formulation when modelling bending. An enhanced finite volume approach is proposed to circumvent this and a rigorous error analysis conducted. It is demonstrated that the developed finite volume method is superior to both standard finite volume and Q4 finite element methods, and provides a practical alternative to the analysis of bending-dominated solid mechanics problems.     

Algebraic volume density property of affine algebraic manifolds

We introduce the notion of algebraic volume density property for affine algebraic manifolds and prove some important basic facts about it, in particular that it implies the volume density property. The main results of the paper are producing two big classes of examples of Stein manifolds with volume density property. One class consists of certain affine modifications of ℂ ⁿ equipped with a canonical volume form, the other is the class of all Linear Algebraic Groups equipped with the left invariant volume form.     

Volume discount pricing strategy in the VMI supply chain with price sensitive demand

This paper develops a volume discount scheme to coordinate Vendor Managed Inventory (VMI) supply chains with multiple heterogeneous retailers, in which the supply chain is modelled as a Stackelberg game with price sensitive demand. The paper proposes a method to construct a volume discount price scheme and shows that, any volume discount can be represented as a piecewise constant function of demand. We provide the game formulations of VMI supply chains and develop algorithms to solve this type of game problems, including finding the optimal volume discount scheme. Through a numerical study comparing the results of applying a volume discount strategy with the profits from a single wholesale price strategy, we show that the volume discount pricing strategies can be used to improve profits for all participants in the VMI supply chain in comparison with single price strategies.     

基于灰色数学的洗胃液量的软测量

鉴于洗胃液量实时在线检测与求解的困难,提出利用灰色数学的累加生成方法,把液量作为主导变量,管路二处压力差的累积压力作为二次变量,根据二者之间的一一映射关系,仿真实验研究洗胃液量的软测量技术,给出了实验结果,为液量的工程检测提供了一种数学方法.     

On the Complexity of Sparse Elimination

Sparse elimination exploits the structure of a multivariate polynomial by considering its Newton polytope instead of its total degree. We concentrate on polynomial systems that generate zero-dimensional ideals. A monomial basis for the coordinate ring is defined from a mixed subdivision of the Minkowski sum of the Newton polytopes. We offer a new simple proof relying on the construction of a sparse resultant matrix, which leads to the computation of a multiplication map and all common zeros. The size of the monomial basis equals the mixed volume and its computation is equivalent to computing the mixed volume, so the latter is a measure of intrinsic complexity. On the other hand, our algorithms have worst-case complexity proportional to the volume of the Minkowski sum. In order to derive bounds in terms of the sparsity parameters, we establish new bounds on the Minkowski sum volume as a function of mixed volume. To this end, we prove a lower bound on mixed volume in terms of Euclidean volume which is of independent interest.     

Development and Analysis of Higher Order Finite Volume Methods over Rectangles for Elliptic Equations

Currently used finite volume methods are essentially low order methods. In this paper, we present a systematic way to derive higher order finite volume schemes from higher order mixed finite element methods. Mostly for convenience but sometimes from necessity, our procedure starts from the hybridization of the mixed method. It then approximates the inner product of vector functions by an appropriate, critical quadrature rule; this allows the elimination of the flux and Lagrange multiplier parameters so as to obtain equations in the scalar variable, which will define the finite volume method. Following this derivation with different mixed finite element spaces leads to a variety of finite volume schemes. In particular, we restrict ourselves to finite volume methods posed over rectangular partitions and begin by studying an efficient second-order finite volume method based on the Brezzi–Douglas–Fortin–Marini space of index two. Then, we present a general global analysis of the difference between the solution of the underlying mixed finite element method and its related finite volume method. Then, we derive finite volume methods of all orders from the Raviart–Thomas two-dimensional rectangular elements; we also find finite volume methods to associate with BDFM ₂ three-dimensional rectangles. In each case, we obtain optimal error estimates for both the scalar variable and the recovered flux.     

沪深300股指期货日内绝对收益率与成交量之间动态关系研究

均值为零的观测样本绝对收益率可以看作波动率的无偏估计量,因此本文选取连续20个交易日的日内高频数据来研究沪深300股指期货日内绝对收益率和成交量之间的动态关系。在检验了样本稳定性后,文章采用格兰杰检验方法检验了股指期货日内绝对收益率和成交量之间的因果关系,检验结果表明:所有样本的成交量均不是绝对收益率的格兰杰原因,而20个样本中的15个样本的绝对收益率是成交量的格兰杰原因。随后我们使用向量自回归模型分别对15个模型的系数做估计,并对模型估计结果做了脉冲响应分析。研究发现,在此高频抽样条件下,与以往研究不同,沪深300股指期货绝对收益率的变化会明显降低其观测期的成交量。因此,在股指期货日内成交量与绝对收益率的研究中,历史成交量与收益率都对当前成交量有着重要影响;而绝对收益率只受历史绝对收益率的影响。     

Volume functions of linear series

The volume of a Cartier divisor is an asymptotic invariant, which measures the rate of growth of sections of powers of the divisor. It extends to a continuous, homogeneous, and log-concave function on the whole Néron–Severi space, thus giving rise to a basic invariant of the underlying projective variety. Analogously, one can also define the volume function of a possibly non-complete multigraded linear series. In this paper we will address the question of characterizing the class of functions arising on the one hand as volume functions of multigraded linear series and on the other hand as volume functions of projective varieties. In the multigraded setting, inspired by the work of Lazarsfeld and Musta?? (Ann Inst Fourier (Grenoble) 56(6):1701–1734, 2006) on Okounkov bodies, we show that any continuous, homogeneous, and log-concave function appears as the volume function of a multigraded linear series. By contrast we show that there exists countably many functions which arise as the volume functions of projective varieties. We end the paper with an example, where the volume function of a projective variety is given by a transcendental formula, emphasizing the complicated nature of the volume in the classical case.     

二维非饱和土壤水分运动问题的半离散有限体积元模拟

本文利用基于重心对偶剖分的有限体积元法建立了二维非饱和土壤水分运动问题的数值逼近格式,讨论了离散有限体积元解的存在唯一性,并给出了最优误差估计的证明.最后给出数值算例,模拟结果表明,利用有限体积元格式来求解二维非饱和土壤水分运动问题是可靠的,且该格式具有稳定性和可实用性.     

Finite volume element approximation and analysis for a kind of semiconductor device simulation

In this paper, we present a finite volume element scheme for a kind of two dimensional semiconductor device simulation. A general framework is developed for finite volume element approximation of the semiconductor problems. We construct a fully discrete finite volume element scheme based on triangulations with a piecewise linear finite element space and a general type of control volume. Optimal-order convergence in H ¹-norm is derived.     

The parallel volume at large distances

In this paper we examine the asymptotic behavior of the parallel volume of planar non-convex bodies as the distance tends to infinity. We show that the difference between the parallel volume of the convex hull of a body and the parallel volume of the body itself tends to 0. This yields a new proof for the fact that a planar body can only have polynomial parallel volume if it is convex. Extensions to Minkowski spaces and random sets are also discussed.     

基于M-LSTM的股票指数日内交易量分布预测研究

针对现有预测建模方法难以高效提取日内交易量分布复杂变化规律,影响VWAP策略执行效果的问题,本文提出一种MEMD分解下基于LSTM-Attention的股市指数日内交易量分布预测方法M-LSTM。首先,运用MEMD方法将区间多维交易量时序同步分解为若干个独立的本征模态函数(IMF);其次,对各维度分解中高频IMF进行去噪与重构,构建基于LSTM-Attention神经网络的日内交易量分布预测模型,并深入分析股票指数不同走势阶段下模型预测的有效性;最后,分别采用M-LSTM、ARIMA以及SVR等主流方法,对上证指数等四个代表性指数的日内交易量分布进行预测。实验结果表明:M-LSTM预测误差更小,是一种更有效的股票指数日内交易量分布预测方法。     

The volume problem in calculus

<正>Everyone knows that the area of the base of solid is A,and the height is h,then the volume of it is V=A·h.It's an experience on math class in primer or middle school.Although you have an intuitive idea of what volume means,however,you can make this idea precise by using calculus to give an exact definition of volume.You will know what the concept of volume is in the calculus.     

Smooth volume integral conservation law and method for problems in Lagrangian coordinates

An integral conservation law is derived for smooth volume in Lagrangian coordinates (a comoving frame). A method for approximation of the integral smooth volume conservation law is discussed. An extension technique is suggested for development of smooth volume schemes. For hyperbolic systems, smooth volume upwind and Godunov schemes with monotonic reconstruction are derived. The schemes are applied to equations of gas dynamics and tested for three gas-dynamics shock tube problems. The solutions are monotonic and precise. This article was submitted by the author in English.     

货运量预测方法的比较

本在对货运量预测理论和程序描述的基础上，介绍并比较了常用预测方法的优缺点，重点研究了三层BP神经网络的基本原理，构思了BP神经网络中长期货运量预测模型，并进行了预测，最后根据预测结果，分析了其用于预测的优缺点。     

Finsler几何中体积形式与子流形

本文对一般的Finsler体积元讨论了Finsler子流形几何,证明了关于任意Finsler体积元, Minkowski空间中不存在闭定向的极小子流形,关键在于对任意的Finsler体积元,沈忠民的方法仍然有效．对于特殊Randers空间中的子流形,给出了其体积增长估计,从而得到了Randers空间可以极小浸入到特殊Randers空间的一个必要条件．     

Growing between barriers

Growth in living materials is the result of the changes in volume and mass during their development. If volume expansion occurs in a constrained case, some living materials change its growth behaviour. For example, when growth takes place in an environment with restrictions of volume, living materials will stop their volume expansion under compression due to the high amount of water that makes these bodies nearly incompressible. In case boundary conditions limit the growth of the body, the growth direction changes and gives the body another shape as expected. We present a modelling approach that takes volume and shape restrictions during growth into account. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)