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.     

TEMPERATURE FLUCTUATION MEASUREMENTS FOR TRANSITIONAL FLOW IN A SQUARE CHANNEL

The effect of a 6.35-mm-diameter cylindrical rod on the transitional flow in a 50.8-mm square channel has been investigated experimentally. A Chromel-Constanian thermocouple with 12,7-fim-diameter leads was used to measure the temperature fluctuations of slightly heated air (5°C) flowing in the channel, over the range of Reynolds number Re = 1,500-3,500. Without the rod, laminar-to-turbulent transition occurred at Re ≈ 2,500-3,500 in the empty square channel The rod destabilized the flow and advanced the onset of fluctuations profoundly. Within the wake of the rod, large fluctuations were detected. Temperature measurements also reviewed the existence of regular vortex shedding at Re = 1,500, and the development of the wake downstream of the rod. This study confirmed the feasibility of using a fine thermocouple for studying obstructed channel flow.     

CaWO4：Sm3+荧光粉的发光性质及其能量传递机理

采用沉淀法制备了不同Sm³⁺掺杂浓度的白钨矿结构CaWO₄荧光粉材料. 对CaWO₄:Sm³⁺ 材料的光致发光性质的研究结果表明, 在404 nm光照下样品可以实现色纯度较高的红光发射, 而短波紫外240 nm光照下除Sm³⁺的特征发射外还能观察到CaWO₄自激发发射, 能够获得较强的白光; 实验发现Sm³⁺掺杂浓度为2%时样品的发光强度最高; 通过对实验数据的分析确定了Sm³⁺之间的能量传递类型为电偶极-电偶极相互作用, 并计算了能量传递的临界距离大约为2.0 nm. 关键词： 光致发光 4：Sm³⁺')" href="#">CaWO₄：Sm³⁺ 荧光寿命 能量传递     

On the distribution of square-full numbers in arithmetic progressions

A positive integer n is called a square-full number if p ² divides n whenever p is a prime divisor of n. In this paper we study the distribution of square-full numbers in arithmetic progressions by using the properties of Riemann zeta functions and Dirichlet L-functions.     

反射天线设计的一个数学理论

本文讨论反射天线面设计中出现的一个偏微分方程, 这是一个完全非线性Monge-Ampère型方程. 我们先给出一个广义解的定义, 然后介绍如何得到广义解的存在性、唯一性和正则性, 最后我们给出求数值解的一个方法.     

Asymptotic Solutions for Australian Options with Low Volatility

Abstract

In this paper we derive asymptotic expansions for Australian options in the case of low volatility using the method of matched asymptotics. The expansion is performed on a volatility scaled parameter. We obtain a solution that is of up to the third order. In case that there is no drift in the underlying, the solution provided is in closed form, for a non-zero drift, all except one of the components of the solutions are in closed form. Additionally, we show that in some non-zero drift cases, the solution can be further simplified and in fact written in closed form as well. Numerical experiments show that the asymptotic solutions derived here are quite accurate for low volatility.     

Traveling Waves for Nonlocal and Non-monotone Delayed Reaction-difusion Equations

We study the existence of traveling wave solutions for a nonlocal and non-monotone delayed reaction-difusion equation.Based on the construction of two associated auxiliary reaction difusion equations with monotonicity and by using the traveling wavefronts of the auxiliary equations,the existence of the positive traveling wave solutions for c≥c is obtained.Also,the exponential asymptotic behavior in the negative infnity was established.Moreover,we apply our results to some reactiondifusion equations with spatio-temporal delay to obtain the existence of traveling waves.These results cover,complement and/or improve some existing ones in the literature.     

Option pricing when asset returns jump interruptedly

This paper proposes an extension of Merton's jump‐diffusion model to reflect the time inhomogeneity caused by changes of market states. The benefit is that it simultaneously captures two salient features in asset returns: heavy tailness and volatility clustering. On the basis of an empirical analysis where jumps are found to happen much more frequently in risky periods than in normal periods, we assume that the Poisson process for driving jumps is governed by a two‐state on‐off Markov chain. This makes jumps happen interruptedly and helps to generate different dynamics under these two states. We provide a full analysis for the proposed model and derive the recursive formulas for the conditional state probabilities of the underlying Markov chain. These analytical results lead to an algorithm that can be implemented to determine the prices of European options under normal and risky states. Numerical examples are given to demonstrate how time inhomogeneity influences return distributions, option prices, and volatility smiles. The contrasting patterns seen in different states indicate the insufficiency of using time‐homogeneous models and justify the use of the proposed model. Copyright © 2012 John Wiley & Sons, Ltd.