The price impact asymmetry of institutional trading in the Chinese stock market

The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in the Chinese stock market in 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact asymmetry on the market condition. For most of the stocks, institutional sales have a larger price impact than institutional purchases, and a larger impact of institutional purchases exists only in a few stocks with primarily increasing tendencies. We further study the mean return of trades surrounding institutional transactions, and find that the asymmetric behavior also exists before and after institutional transactions. A new variable is proposed to investigate the order book structure, and it can partially explain the price impact of institutional transactions. A linear regression for the price impact of institutional transactions further confirms our finding that institutional sales primarily have a larger price impact than institutional purchases in the bearish year 2003.     

Visibility graph network analysis of gold price time series

Mapping time series into a visibility graph network, the characteristics of the gold price time series and return temporal series, and the mechanism underlying the gold price fluctuation have been explored from the perspective of complex network theory. The network degree distribution characters, which change from power law to exponent law when the series was shuffled from original sequence, and the average path length characters, which change from L∼lnN$L\sim lnN$ into lnL∼lnN$lnL\sim lnN$ as the sequence was shuffled, demonstrate that price series and return series are both long-rang dependent fractal series. The relations of Hurst exponent to the power-law exponent of degree distribution demonstrate that the logarithmic price series is a fractal Brownian series and the logarithmic return series is a fractal Gaussian series. Power-law exponents of degree distribution in a time window changing with window moving demonstrates that a logarithmic gold price series is a multifractal series. The Power-law average clustering coefficient demonstrates that the gold price visibility graph is a hierarchy network. The hierarchy character, in light of the correspondence of graph to price fluctuation, means that gold price fluctuation is a hierarchy structure, which appears to be in agreement with Elliot’s experiential Wave Theory on stock price fluctuation, and the local-rule growth theory of a hierarchy network means that the hierarchy structure of gold price fluctuation originates from persistent, short term factors, such as short term speculation.     

Coupled effects of market impact and asymmetric sensitivity in financial markets

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors’ global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors’ asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority–minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.     

Stock price fluctuations and the mimetic behaviors of traders

We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy stable region, the short memory of returns and the long memory of volatilities. The Hurst exponent of our model is asymptotically . An explanation is also given for the profile of the autocorrelation function, which is responsible for the value of the Hurst exponent.     

Modeling electricity spot and futures price dependence: A multifrequency approach

Electricity prices are known to exhibit multifractal properties. We accommodate this finding by investigating multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach for modeling spot and weekly futures price dynamics. By using a conditional copula function, the framework allows us to separately model the dependence structure, while enabling use of multifractal stochastic volatility models to characterize fluctuations in marginal returns. An empirical experiment is carried out using data from Nord Pool. A study of volatility forecasting performance for electricity spot prices reveals that multifractal techniques are a competitive alternative to GARCH models. We also demonstrate how the Copula-MSM model can be employed for finding optimal portfolios, which minimizes the Conditional Value-at-Risk.     

Controlling chaos using Takagi--Sugeno fuzzy model and adaptive adjustment

In this paper, an approach to the control of continuous-time chaotic systems is proposed using the Takagi--Sugeno (TS) fuzzy model and adaptive adjustment. Sufficient conditions are derived to guarantee chaos control from Lyapunov stability theory. The proposed approach offers a systematic design procedure for stabilizing a large class of chaotic systems in the literature about chaos research. The simulation results on R\"{o}ssler's system verify the effectiveness of the proposed methods.     

原油期货与现货价格联动性的复杂网络拓扑性质

选取2002年11月25日至2010年9月24日的国际原油期货价格和中国大庆原油现货价格作为样本数据,用于研究原油市场中期货价格和现货价格之间的联动变化规律. 将期货与现货价格的联动性关系转换为由{Y,O,N}组成的联动性符号序列,用符号序列映射为联动性的波动状态;该波动状态由5个符号组成的滑动窗来表示,由此构成177种联动性波动模态. 将该模态作为网络节点,模态之间的转换作为边,构建期货与现货价格加权联动性复杂网络. 对联动性复杂网络的点强度、强度分布、加权集聚系数、平均最短路径、介数集中性和小团体性等     

Controlling fractional order chaotic systems based on Takagi-Sugeno fuzzy model and adaptive adjustment mechanism

In this Letter, a kind of novel model, called the generalized Takagi-Sugeno (T-S) fuzzy model, is first developed by extending the conventional T-S fuzzy model. Then, a simple but efficient method to control fractional order chaotic systems is proposed using the generalized T-S fuzzy model and adaptive adjustment mechanism (AAM). Sufficient conditions are derived to guarantee chaos control from the stability criterion of linear fractional order systems. The proposed approach offers a systematic design procedure for stabilizing a large class of fractional order chaotic systems from the literature about chaos research. The effectiveness of the approach is tested on fractional order Rössler system and fractional order Lorenz system.     

某坦克炮长镜光学系统装调技术

为了解决坦克火控炮长视场稳定激光测距瞄准镜光学系统总装过程中稳像系统Z轴精度不高、校靶范围超差、装表范围超差、三轴平行性差的问题,提出炮瞄镜光学系统总装方法,通过采用光学自准直方法,将前置镜、高精度的平面反射镜工装、长焦距平行光管以及零位仪等设备调校建立瞄准轴零位基准,使三轴（瞄准轴、激光发射轴和激光接收轴）平行性的调校达标,并保证装表、校靶等有活动范围要求的光机部件的活动范围偏差合格,实现产品一次交检合格率由原来的60%提高到95%以上,产品的稳定性和可靠性得到提升,从而确保坦克火炮的首发命中率。     

光学元件狭缝柔性调节机构的设计与分析

设计了一种狭缝柔性结构的光学元件调节机构,使光学元件在具备较高调节精度的同时,保持较高的导向精度。采用弹性力学应力函数法分析了狭缝柔性结构的刚度,以径向刚度与轴向刚度的比值为目标函数,对狭缝柔性结构尺寸参数进行了优化,在不超过柔性结构材料屈服应力等约束条件下,刚度比最优值达到1 573.6,较大的刚度比值可以减小调节机构的耦合位移,从而提高机构的导向精度。该结构加工装配方便,可实现三自由度(θx-θy-Z)调节。对优化后的柔性结构进行仿真分析,结果表明:径向刚度与轴向刚度比值的仿真值为1 660.4,解析值与仿真值误差为5.23%,证明了刚度分析方法的有效性。优化后的结构,轴向调节行程为2.09 mm,绕x轴偏转角度调节行程为±16.6 mrad,绕y轴偏转角度调节行程可达到±14.4 mrad,满足光学元件调节的大行程要求。     

Device design of single-gated feedback field-effect transistors to achieve latch-up behaviors with high current gains

In this study, a device design of single-gated feedback field-effect transistors (FBFETs) is proposed to achieve latch-up behaviors with high current gains. The latch-up mechanism is examined by conducting an equivalent circuit analysis, and the band diagram, I–V characteristics, memory window, subthreshold swing, and on/off current ratio are investigated using a commercial device simulator. The proposed FBFETs exhibit memory windows wider than 3.0 V, subthreshold swings less than 0.1 mV/decade, the on/off current ratios of approximately 10¹⁰, and on-currents of approximately 10⁻⁵ A at room temperature. The superior device characteristics and controllable memory windows open the promising possibility of FBFETs as the next-generation electronic devices.     

Investors’ risk attitudes and stock price fluctuation asymmetry

Price rise/fall asymmetry, which indicates enduring but modest rises and sudden short-term falls, is a ubiquitous phenomenon in stock markets throughout the world. Instead of the widely used time series method, we adopt inverse statistics from turbulence to analyze this asymmetry. To explore its underlying mechanism, we build a multi-agent model with two kinds of investors, which are specifically referred to as fundamentalists and chartists. Inspired by Kahneman and Tversky’s claim regarding peoples’ asymmetric psychological responses to the equivalent levels of gains and losses, we assume that investors take different risk attitudes to gains and losses and adopt different trading strategies. The simulation results of the model developed herein are consistent with empirical work, which may support our conjecture that investors’ asymmetric risk attitudes might be one origin of rise/fall asymmetry.     

反馈调制型同轴虚阴极振荡器

 对反馈调制型同轴虚阴极振荡器进行了理论分析和数值模拟研究,结果表明:该器件通过增加同轴谐振腔结构并引入反馈可以对入射电子束形成明显的调制效果,从而使得器件具有高束波转化效率和频率单一稳定的特性;同时输出微波的频率被器件结构中的同轴谐振腔锁定,调节腔参数可以在一定范围内对输出微波频率进行调谐;在二极管电压约为600 kV,电子束功率26.2 GW条件下,可以得到平均功率3.6 GW的微波输出,转换效率达到13.7%,主频为5.5 GHz,模式为TM₀₂模。     

On interrelations of recurrences and connectivity trends between stock indices

Financial data has been extensively studied for correlations using Pearson’s cross-correlation coefficient ρ$\rho$ as the point of departure. We employ an estimator based on recurrence plots — the correlation of probability of recurrence (CPR$CPR$) — to analyze connections between nine stock indices spread worldwide. We suggest a slight modification of the CPR$CPR$ approach in order to get more robust results. We examine trends in CPR$CPR$ for an approximately 19-month window moved along the time series and compare them to trends in ρ$\rho$. Binning CPR$CPR$ into three levels of connectedness (strong, moderate, and weak), we extract the trends in number of connections in each bin over time. We also look at the behavior of CPR$CPR$ during the dot-com bubble by shifting the time series to align their peaks. CPR$CPR$ mainly uncovers that the markets move in and out of periods of strong connectivity erratically, instead of moving monotonically towards increasing global connectivity. This is in contrast to ρ$\rho$, which gives a picture of ever-increasing correlation. CPR$CPR$ also exhibits that time-shifted markets have high connectivity around the dot-com bubble of 2000. We use significance tests using twin surrogates to interpret all the measures estimated in the study.     

Control of pattern formation by time-delay feedback with global and local contributions

We consider the suppression of spatiotemporal chaos in the complex Ginzburg-Landau equation by a combined global and local time-delay feedback. Feedback terms are implemented as a control scheme, i.e., they are proportional to the difference between the time-delayed state of the system and its current state. We perform a linear stability analysis of uniform oscillations with respect to space-dependent perturbations and compare with numerical simulations. Similarly, for the fixed-point solution that corresponds to amplitude death in the spatially extended system, a linear stability analysis with respect to space-dependent perturbations is performed and complemented by numerical simulations.     

高空大气探测激光雷达的安装与调试

介绍了高空大气探测激光雷达的接收望远镜的光路及安装与调试的情况。对离轴抛物面主镜、凹抛物面副镜及转折平面镜的调校作了简要说明。给出了望远镜系统 60km附近的Rayleigh回波和 80～ 1 1 0km的钠层回波的结果。结果表明 ,回波的信噪比很高 ,如果使用更大的镜子的话 ,则会得到更好的结果     

Analysis and optimization of coupling to external cavities in feedback experiments with vertical-cavity surface-emitting lasers

The feedback strength is a crucial parameter for feedback experiments using semiconductor lasers. In this article, the coupling efficiency of the field of vertical-cavity surface-emitting lasers (VCSELs) to external cavities containing one collimating lens has been analyzed in detail using ABCD-matrix methods. It is found that for a given set of parameters there are two distinct, experimentally realizable positions of the collimating lens which allow for optimal coupling, if the cavity length is sufficiently small. The predictions are verified in experiments using single-transverse-mode VCSELs. The obtained coupling efficiencies exceed 70%.     

A jump diffusion model for spot electricity prices and market price of risk

We construct a jump-diffusion model with seasonality, mean-reversion, time-dependent jump intensity and heteroskedastic disturbance for electricity spot prices, while keeping the analytical tractability of futures prices. We find that the jump component plays a considerably larger role than the diffusion component in the variance of spot prices. Moreover, the jump intensity is much higher during summer and winter. We also explore the seasonal market price of risk (MPR) with different maturities, from one month to five months. Our results show that the diffusion risk and the jump risk are priced quite differently.     

Stock price dynamics and option valuations under volatility feedback effect

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.