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171.
The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold GARCH model with trading volume as a threshold variable, we find strong evidence supporting this hypothesis in five international market return series. Asymmetric causality tests lend further support to our trading volume threshold model and conclusions. Specifically, an increase in volume is positively associated, while decreasing volume is negatively associated, with the major price index in four of the five markets. The volatility of each series also displays an asymmetric reaction, four of the markets display higher volatility following increases in trading volume. Using posterior odds ratio, the proposed threshold model is strongly favored in three of the five markets, compared to a US news double threshold GARCH model and a symmetric GARCH model. We also find significant nonlinear asymmetric return spillover effects from the US market. 相似文献
172.
We study the four-directional traffic flow on a two-dimensional lattice. In the case of discrete densities, we assume equal number of vehicles in each lane. Except for the minimum density, the gridlock emerges swiftly. Two kinds of gridlock have been observed. The global gridlock dominates the system when the density is twice the minimum value. At higher densities, the system is pervaded by local gridlocks. We also analyze the time evolution of average speed. In the case of continuous densities, the vehicle numbers vary from lane to lane. The global gridlock is then destroyed by the fluctuations; while the local gridlock can still be observed. 相似文献
173.
In the present paper, a Lotka–Volterra type mutualism system with several delays is studied. Some new and interesting sufficient conditions are obtained for the global existence of positive periodic solutions of the mutualism system. Our method is based on Mawhin’s coincidence degree and novel estimation techniques for the a priori bounds of unknown solutions. Our results are different from the existing ones such as those in of Yang et al. [F. Yang, D. Jiang, A. Ying, Existence of positive solution of multidelays facultative mutualism system, J. Eng. Math. 3 (2002) 64–68] and Chen et al. [F. Chen, J. Shi, X. Chen, Periodicity in a Lotka–Volterra facultative mutualism system with several delays, J. Eng. Math. 21 (3) (2004) 403–409]. 相似文献
174.
Maria Mamalui Chien-Yueh Huang 《Physica E: Low-dimensional Systems and Nanostructures》2004,22(4):912-920
We present the theoretical study of the effect of external random field characterized by a Gaussian probability distribution function on the continuous phonon spectrum of one-dimensional (1D) chain, based on the Jacobian matrix method. The cumulative effect of the random field and simple isotopic defect is studied analytically and numerically. The Gaussian random field removes a square-root divergence appearing in the phonon spectrum of ideal 1D chain. The impurity phonon DOS shows strong dependence on the variance and the mean of the random field and exhibits very different behavior from the non-random case: the continuous spectrum is expanded and the δ-peak, describing discrete impurity vibrations in the non-random chain with the impurity, falls into a continuous zone. 相似文献
175.
176.
M F Anjos R C H Cheng C S M Currie 《The Journal of the Operational Research Society》2004,55(5):535-541
The paper describes a methodology that has been implemented in a major British airline to find the optimal price to charge for airline tickets under one-way pricing. An analytical model has been developed to describe the buying behaviour of customers for flights over the selling period. Using this model and a standard analytical method for constrained optimization, we can find an expression for the optimal price structure for a flight. The expected number of bookings made on each day of the selling period and in each fare class given these prices can then be easily calculated. A simulation model is used to find the confidence ranges on the numbers of bookings and these ranges can be used to regulate the sale of tickets. A procedure to update the price structure based on the remaining capacity has also been developed. 相似文献
177.
Binary Decision Diagrams (BDDs) are the state-of-the-art data structure for representation and manipulation of Boolean functions. In general, exact BDD minimization is NP-complete. For BDD-based technology, a small improvement in the number of nodes often simplifies the follow-up problem tremendously. This paper proposes an elitism-based evolutionary algorithm (EBEA) for BDD minimization. It can efficiently find the optimal orderings of variables for all LGSynth91 benchmark circuits with a known minimum size. Moreover, we develop a distributed model of EBEA, DEBEA, which obtains the best-ever variable orders for almost all benchmarks in the LGSynth91. Experimental results show that DEBEA is able to achieve super-linear performance compared to EBEA for some hard benchmarks. 相似文献
178.
By optimizing pump power ratio between 1st order backward pump and 2nd order forward pump on discrete Raman amplifier, we demonstrated over 2dB noise figure improvement without excessive non-linearity degradation. 相似文献
179.
180.