Signed graphs for portfolio analysis in risk management

We introduce the notion of structural balance for signed graphsin the context of portfolio analysis. A portfolio of securitiescan be represented as a signed graph with the nodes denotingthe securities and the edges representing the correlation betweenthe securities. With signed graphs, the characteristics of aportfolio from a risk management perspective can be uncoveredfor analysis purposes. It is shown that a portfolio characterizedby a signed graph of positive and negative edges that is structurallybalanced is characteristically more predictable. Investors whoundertake a portfolio position with all positively correlatedsecurities do so with the intention to speculate on the upside(or downside). If the portfolio consists of negative edges andis balanced, then it is likely that the position has a hedgingdisposition within it. On the other hand, an unbalanced signedgraph is representative of an investment portfolio which ischaracteristically unpredictable.     

Localization effects and measure source terms in numerical schemes for balance laws

This paper investigates the behavior of numerical schemes for nonlinear conservation laws with source terms. We concentrate on two significant examples: relaxation approximations and genuinely nonhomogeneous scalar laws. The main tool in our analysis is the extensive use of weak limits and nonconservative products which allow us to describe accurately the operations achieved in practice when using Riemann-based numerical schemes. Some illustrative and relevant computational results are provided.

     

Scale Invariance Properties in the Simulated Annealing Algorithm

The Boltzmann distribution used in the steady-state analysis of the simulated annealing algorithm gives rise to several scale invariant properties. Scale invariance is first presented in the context of parallel independent processors and then extended to an abstract form based on lumping states together to form new aggregate states. These lumped or aggregate states possess all of the mathematical characteristics, forms and relationships of states (solutions) in the original problem in both first and second moments. These scale invariance properties therefore permit new ways of relating objective function values, conditional expectation values, stationary probabilities, rates of change of stationary probabilities and conditional variances. Such properties therefore provide potential applications in analysis, statistical inference and optimization. Directions for future research that take advantage of scale invariance are also discussed.     

Interface-related effects on confined excitons in GaAs/AlxGa1−xAs single quantum wells

Confined excitons in non-abrupt GaAs/Al_xGa_1−xAs single quantum wells are studied. The graded interfaces are described taking into account fluctuations in their thickness a and positioning with respect to the abrupt interface picture. Numerical results for confined (0,0),(1,1) and (0,2) excitons in GaAs/Al_0.3Ga_0.7As quantum wells show that while the interfacial fluctuations produce small changes (<0.5 meV) in the exciton binding energies, the confined exciton energies can be red- or blue-shifted as much as 25 meV for wells with mean width of 50 Å and 2 ML wide interfaces.     

中国证券市场股指波动的条件异方差特性分析

股指的波动具有持续性、集聚性 ,如何进行判别 ?本文用 Garch模型理论探讨沪深股指的这种条件异方差特征 ,进一步分析波动是否影响股指未来变化 ,以及股市对利好、利空的消息是否存在不对称的反映。同时 ,比较不同类型的股指的共性及差异 ,并对上述现象作了解释和说明。     

Frequency dependence of ionic conductivity and dielectric relaxation studies in Na3H(SO4)2 single crystal

Electrical impedance measurements of Na₃H(SO₄)₂ were performed as a function of both temperature and frequency. The electrical conductivity and dielectric relaxation have been evaluated. The temperature dependence of electrical conductivity reveals that the sample crystals transformed to the fast ionic state in the high temperature phase. The dynamical disordering of hydrogen and sodium atoms and the orientation of SO₄ tetrahedra results in fast ionic conductivity. In addition to the proton conduction, the possibility of a Na⁺ contribution to the conductivity in the high temperature phase is proposed. The frequency dependence of AC conductivity is proportional to ω^s. The value of the exponent, s, lies between 0.85 and 0.46 in the room temperature phase, whereas it remains almost constant, 0.6, in the high-temperature phase. The dielectric dispersion is examined using the modulus formalism. An Arrhenius-type behavior is observed when the crystal undergoes the structural phase transition.     

ON THE ROLES OF COMPLEMENTARY AND ADMISSIBLE BOUNDARY CONSTRAINTS IN FOURIER SOLUTIONS TO THE BOUNDARY VALUE PROBLEMS OF COMPLETELY COUPLED r TH ORDER PDES

A heretofore unavailable double Fourier series based approach, for obtaining non-separable solution to a system of completely coupled linear r th order partial differential equations with constant coefficients and subjected to general (completely coupled) boundary conditions, has been presented. The method has been successfully implemented to solve a class of hitherto unsolved boundary-value problems, pertaining to free and forced vibrations of arbitrarily laminated anisotropic doubly curved thin panels of rectangular planform, with arbitrarily prescribed (both symmetric and asymmetric with respect to the panel centerlines) admissible boundary conditions and subjected to general transverse loading.Existing solutions such as those due to Navier or Levy are based on the well-known method of separation of variables. Such solutions represent particular solutions whenever the method of separation of variables work, and when these particular solution functions fortuitously satisfy the boundary conditions. For derivation of the complementary solution, the complementary boundary constraints are introduced through boundary discontinuities of some of the particular solution functions and their partial derivatives. Such discontinuities form sets of measure zero.Various cases of lamination, geometry and dynamic response (forced and free vibrations) of a class of thin anisotropic laminated shells (curved panels) have been shown to follow from the above. Six sets of boundary conditions are used to illustrate the present method for the derivation of complementary solutions. Navier-type solutions whenever available form special cases of the present general solution.     

ANALYSIS OF A PIEZOELECTRIC MULTIMORPH IN EXTENSIONAL AND FLEXURAL MOTIONS

Impedance and admittance matrices are presented for the analysis of the beam-type piezoelectric multimorph (PM). Each piezoelectric layer is polarized in the thickness direction. The stacking sequence can be arbitrary, and both the extensional and flexural motions are considered. The variational principle is used for deriving the lumped conjugate parameters: two mechanical ports for the extensional motion, four mechanical ports for the flexural motion, and m electrical ports for the m piezoelectric layers. The resonance and antiresonance frequencies are then easily calculated from the admittance matrices. For the case of all the piezoelectric layers either in series or parallel connection, them +6 ports reduce to the seven ports, and its impedance and admittance matrices are presented. The present methods are applied to the cantilevered PM and their electromechanical behavior is studied. The tip trajectory of the cantilevered piezomotor is also investigated using the presented matrices. It is found that the present methods are very effective in analyzing the multilayer piezoelectric transducers.