沪铜期货及其期权的量化定价实证研究

作为最大的铜消费市场,铜在我国占据着最重要地位。随着2018年9月沪铜期货期权正式登陆上海期货交易所,我国铜交易产品进一步与国际接轨。虽然拥有世界领先的铜交易市场,但我国学术领域尚缺乏采用量化方法对沪铜期货及其期权的深入实证研究。在大宗商品量化领域,Schwartz二因子模型^[1]被看作是量化期货定价的基准模型,本文通过实证分析发现经典二因子模型在中国市场应用时会产生“水土不服”,因此本文采用波动参数的思想,修正了Schwartz二因子模型在中国沪铜市场的“水土不服”。另外,根据早期文献对认购期货期权的量化定价模型^[2,3],本文明确了认沽期货期权的量化定价公式,并通过对沪铜期货期权定价模型的实证分析,发现目前沪铜期货期权存在套利空间。     

可变参数的联合中位值和极差控制图

最近设计了可变样本容量和抽样区间的联合中位值$(\wt{x})$和极差$(R)$控制图$^{[1]}$, 本文利用Costa的可变参数控制图的方法$^{[2]}$, 设计包括可变控制限的可变参数的联合$\wt{x}$和$R$图(CVP $\wt{x}$--$R$图). 计算了在可变参数下发信号前的平均时间, 并同联合常规$\wt{x}$--$R$图(CFSSI图)和可变样本容量和抽样区间的联合$\wt{x}$--$R$图(CVSSI图)作比较, 所设计的控制图能较快地发现过程平均值和方差的小变化, 提高CVSSI图的效率     

Mie-Grüneisen状态方程下多介质守恒型欧拉方程组的数值计算

针对Mie-Grüneisen状态方程下的多介质流场,将Euler方程中的部分复杂参数作为守恒量引入到新的方程中,使原方程结构得到简化.同时引入质量分数以表示流场中不同介质的变化,并对通量作近似处理,再利用MUSCL-TVD格式结合改进过的Euler方程进行求解,模拟Mie-Grüneisen状态方程下多介质相互作用的情况.结果表明,通过本方法既能使方程组满足守恒,又能较好地处理多种介质形成的间断面.     

A Modified Approach for Calculating Dressed Quark Propagator at Finite Chemical Potential

Based on the rainbow approximation of Dyson-Schwinger equation and the assumption that the full inverse quark propagator at finite chemical potential is analytic in the neighborhood of μ = 1, it is proved that the dressed quark propagator at finite chemical potential μ can be written as G0^-1 [μ] =iγ·p↑-A（p↑-^2） ＋B（p↑-^2） with p↑-μ= （p↑-p4 ＋iμ）. From the dressed quark propagator at finite chemical potential in Munczek model the bag constant of a baryon and the scalar quark condensate are evaluated. A comparison with previous results is given.     

应用ResNet和CatBoost检测重放语声*

针对短语声指令声频信息少、不适用句子级重放语声检测的问题以及近距离录声后用高质量重放设备重放的语声难以检测的问题,提出了一种适用于词级重放语声检测的模型。首先,利用短时傅里叶变换、低频平均能量计算和帧排序等方法选择声频帧,然后提取这些帧的伽马通频率倒谱系数。其次,用基于自注意机制的残差网络模型进一步提取伽马通频率倒谱系数中的信息,并转化为特征向量。最后,将提取后的特征向量用CatBoost分类,从而提高检测性能。在POCO数据集上的实验结果表明,提出的方法可以以87.54%的准确率和12.53%的等错误率检测重放语声,优于基线和现有的方法。该文提出的方法在ASVspoof2019 PA数据集上的等错误率与串联检测代价函数分别为4.92%和0.1418,证明该文方法也适用于多种设置的重放语声检测。     

Linear Chemical Potential Dependence of Two-Quark Condensate

By differentiating the inverse dressed quark propagator at finite chemical potential μ with respect to μ, the linear response of the dressed quark propagator to the chemical potential can be obtained. From this we extract a modelindependent formula for the linear chemical potential dependence of the in-medium two-quark condensate and show by two independent methods (explicit calculation and Lorentz covariance arguments) that the first-order contribution in μto the in-medium two-quark condensate vanishes identically. Therefore if one wants to study the in-medium two-quark condensate one should expand to at least the second order in the chemical potential μ.     

Revisiting Chiral Extrapolation by Studying a Lattice Quark Propagator

The quark propagator in the Landau gauge is studied on the lattice, including the quenched and the unquenched results. No obvious unquenched effects are found by comparing the quenched quark propagator with the dynamical one. For the quenched and unquenched configurations, the results with different quark masses have been computed. For the quark mass function, a nonlinear chiral extrapolating behavior is found in the infrared region for both the quenched and dynamical results.     

Synthesis,Crystal Structure and Biological Activity of 2-(3,4-Dichloroisothiazol-5-yl)-4-(trifluoromethyl)-4,5-dihydrothiazol-4-yl-3-methylbenzoate

The title compound diethyl 2-(3,4-dichloroisothiazol-5-yl)-4-(trifluoromethyl)-4,5-dihydrothiazol-4-yl-3-methylbenzoate(C15H9Cl2F3N2O2S2, Mr = 441.26) was prepared from methyl 3,4-dichloroisothiazole-5-carboxylate as the starting material by four steps of reaction. Its structure was characterized by IR, 1H-NMR, 13C-NMR, EA and single-crystal X-ray diffraction. The crystal of the title compound belongs to the monoclinic system, space group P21/c with a = 8.8437(18), b = 16.128(3), c = 12.305(3), β = 91.68(3)o, V = 1754.4(6) 3, Z = 4, Dc = 1.671 g/cm3, μ(Mo Ka) = 0.71073 mm-1, F(000) = 888, R = 0.0384 and w R = 0.0778. Weak π-π interactions occur between the isothiazole rings and phenyl rings of adjacent molecules to form a one-dimensional chain and stabilize the crystal structure. Bioassay indicates that the title compound has good activity against the fungi and TMV tested.     

抗氧化微量元素与心血管疾病的防治

综述了硒、锌、铜等微量元素与心血管疾病存在相关性的各项动物及临床干预试验。许多研究证明,通过参与抗氧化酶的构成及自身作用或协同作用,抗氧化微量元素能抵御脂质过氧化物的堆积,降低血小板的聚集性,从而与抗氧化维生素一起防止心血管疾病的发生。     

Al掺杂对尖晶石型Li[Mn(Al)]2O4结构的影响

采用共沉淀法按不同Al掺杂比例x[x=n(Al)∶n(Mn+Al)=0, 0.025, 0.050, 0.100, 0.150, 0.200]制得了Al(OH)3和Mn3O4混合物, 将其与LiNO3按一定比例混合, 在空气中于700 ℃烧结得Li[Mn(Al)]2O4样品. X射线衍射和Raman光谱结果表明, 在0≤x≤0.20范围内均得到了单相的尖晶石型样品, 随着x的增加, 晶胞参数减小, 晶格振动能量增加, Mn(Al)-O的结合增强, 结构稳定性增强.