Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

Optical spectroscopy of Yb/Er codoped NaY(WO4)2 crystal

Erbium and ytterbium codoped double tungstates NaY(WO₄)₂ crystals were prepared by using Czochralski (CZ) pulling method. The absorption spectra in the region 290-2000 nm have been recorded at room temperature. The Judd-Ofelt theory was applied to the measured values of absorption line strengths to evaluate the spontaneous emission probabilities and stimulated emission cross sections of Er³⁺ ions in NaY(WO₄)₂ crystals. Intensive green and red lights were measured when the sample were pumped by a 974 nm laser diode (LD), especially, the intensities of green upconversion luminescence are very strong. The mechanism of energy transfer from Yb³⁺ to Er³⁺ ions was analyzed. Energy transfer and nonradiative relaxation played an important role in the upconversion process. Photoexcited luminescence experiments are also fulfilled to help analyzing the transit processes of the energy levels.     

An inverse radiative transfer problem of simultaneously estimating profiles of temperature and radiative parameters from boundary intensity and temperature measurements

A parallel-plane space filled with absorbing, emitting, isotropically scattering, gray medium is studied in this paper. The boundary intensity and boundary temperature profiles are calculated for the inverse analysis. For the simultaneous estimation of temperature, absorption and scattering coefficient profiles in the medium, the sum of residuals of boundary intensity and temperature after being weighted by a balance factor is minimized through using a Newton-type iteration algorithm and the least-squares method. To avoid over-updating for the parameters, the relative updating magnitude during the iteration process is constrained not to be >0.5. It is shown that the boundary intensity measurement alone is not enough to estimate simultaneously the temperature (source) and the radiative properties (both absorption and scattering coefficients) when the measurement data contain sensitive random errors. The boundary temperature measurement can serve as a necessary supplementation to the boundary intensity to make this kind of inverse radiative transfer problem resolvable. It was shown that a compensation relationship between absorption and scattering coefficients makes it difficult to fix them accurately. Parabolic profiles for the three parameters are used to validate the estimation method. When the optical thickness approaches 4.0, the results for the radiative properties are not acceptable, although the result for temperature profile is reasonable. This means the method needs further improvements.     

Uniform convergence of Galerkin‐multigrid methods for nonconforming finite elements for second‐order problems with less than full elliptic regularity

In this article we prove uniform convergence estimates for the recently developed Galerkin‐multigrid methods for nonconforming finite elements for second‐order problems with less than full elliptic regularity. These multigrid methods are defined in terms of the “Galerkin approach,” where quadratic forms over coarse grids are constructed using the quadratic form on the finest grid and iterated coarse‐to‐fine intergrid transfer operators. Previously, uniform estimates were obtained for problems with full elliptic regularity, whereas these estimates are derived with less than full elliptic regularity here. Applications to the nonconforming P₁, rotated Q₁, and Wilson finite elements are analyzed. The result applies to the mixed method based on finite elements that are equivalent to these nonconforming elements. © 2002 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 18: 203–217, 2002; DOI 10.1002/num.10004     

VO2-Based Infrared Microbolometer Array

V0₂-based thin film materials on silicon substrates are fabricated by ion beam sputtering and a post-annealing which is different from the conventional fabricating method. An infrared linear microbolometer array with 128 pixels is prepared using as-deposited vanadium dioxide thin films. Optical and electrical properties for V0₂-based microbolometer array are tested.     

标的资产服从几何分数布朗运动的期权定价

本文在M ogens B ladt和T ina H av iid R ydberg无市场假设,仅利用价格过程的实际概率的期权保险精算定价模型的基础上,得出了标的资产服从几何分数布朗运动的欧式期权定价公式,并说明了几何布朗运动是本文的一种特殊情况.     

Quantitative and high mass ToF-SIMS studies of siloxane segregation in hydrogel polymers using cryogenic sample handling techniques

This paper examines the capabilities of cryogenic sample handling to examine composition and structure of hydrogel materials where siloxane components are central to the analysis. XPS analysis of multicomponent polymers with cryogenic sample handling following exposure to aqueous environments has revealed the composition and kinetics of near surface reorganization for siloxane and fluorocarbon containing polymers. In this study we report results from a ToF-SIMS protocol for cryogenic sample handling applied to the analysis of surface changes upon hydration/dehydration of hydrogel polymers. Comparison of results from angle dependent XPS and ToF-SIMS are discussed for a range of commercial soft contact lens materials. Both methods detected changes in surface chemistry between the hydrated (frozen) and dehydrated surfaces. Analysis of the hydrated surfaces detected polymer components indicative of the commercial formulation as well as ice clusters. Analysis of the dehydrated materials detected changes in surface chemistry relative to the hydrated surface in addition to loss of water due to sample dehydration. A quantitative standard additions method for ToF-SIMS data was used to determine submonolayer amounts of PDMS impurities at the surface of the hydrogels. ToF-SIMS analysis of a series of seven poly (allyl methacrylate-g-dimethylsiloxane), AMA-g-DMS, graft copolymers in the hydrated state revealed high mass oligomeric ion distributions for systems with bulk PDMS content greater than 25 wt.%. This marks the first time that detection of high mass oligomeric ion distributions from hydrated (frozen) surfaces has been reported. Analysis of the dehydrated surface detected formation of high mass oligomeric ion distributions for systems with PDMS bulk content greater than 15 wt.%, but only detected these ion distributions in wet (frozen) samples when the bulk concentration was greater than 25 wt.%.     

~（23）Na~（39）K分子D~1∏→X~1∑~＋激光感生荧光光谱及强度研究

实验获得了Ａｒ＋激光５１４．５ｎｍ线诱导２３Ｎａ３９Ｋ分子产生的Ｄ１∏→Ｘ１∑＋跃迁荧光谱．通过测量激光感生荧光光谱强度随泵浦功率、热管炉温度及缓冲气压变化规律，详细研究了其跃迁机制．用最小二乘法拟合获得２３Ｎａ３９Ｋ分于Ｘ１∑＋态振动常数．理论计算了各跃迁谱支波长值及Ｆｒａｎｃｋ－Ｃｏｎｄｏｎ因子和光谱强度值，与实验观测值符合得相当好，充分表明本文对激光感生荧光光谱的归属以及对各支谱线振、转量子数的赋值是合理的．     

量子阱非对称法布里-珀罗腔调制器电折变模式蓝移

对于从实验中观察到的GaAs/GaAlAs多量子讲非对称法布里一哨罗腔调制器中电致折射率变化引起的模式蓝移现象,从理论上予以讨论.利用等效光程方法分析了电致折射引起的模式的移动特性,实验和理论符合较好.     

利用莫尔条纹的准正弦特性的三维轮廓术

分析了两个矩形光栅迭合产生的莫尔条纹的光强分布特性，通过选择适当的光栅参数，可得到一个近似的正弦分划板，并把它用于三维面形测量中，实验结果表明，这种方法简单，易于自动处理，有广泛的实用价值。