双曲分布及其在VaR模型分析中的应用

传统的计算V aR的R iskM etrics方法不能对市场风险分布的“厚尾”现象给出较为满意的刻画和计算方法.本文引入双曲分布及其算法并将双曲分布应用到V aR模型的计算之中,事实上通过对股票市场的实证研究表明,股票市场数据呈厚尾现象,用双曲分布对数据的拟合要比R iskM etrics方法假定的正态分布更符合金融市场数据的实际情况,故本文的结论与方法对金融风险管理和其他金融建模是有价值的.     

Electron spin resonance of diluted solid solutions of MnO2 in Y2O3

Electron spin resonance spectra of Mn²⁺ in diluted solid solutions of MnO₂ in Y₂O₃ have been studied at room temperature for Mn concentrations between 0.20 and 2.00 mol%. Isolated Mn²⁺ ions in sites with two different symmetries were observed, as well as Mn²⁺ ions coupled by the exchange interaction. The relative concentration of isolated to coupled Mn²⁺ ions decreases with increasing manganese concentration. The results are consistent with the assumption that the manganese ions occupy preferentially the C₂ symmetry sites. A theoretical calculation based on this model yields an effective range of the exchange interaction between Mn²⁺ ions of 0.53 nm, of the same order as that of Mn²⁺ ions in CaO.     

Portable and Automatic Mössbauer Analysis

A portable Mössbauer spectrometer, developed for extraterrestrial applications, opens up new industrial applications of MBS. But for industrial applications, an available tool for fast data analysis is also required, and it should be easy to handle. The analysis of Mössbauer spectra and their parameters is a barrier for the popularity of this wide-applicable spectroscopic technique in industry. Based on experience, the analysis of a Mössbauer spectrum is time-consuming and requires the dedication of a specialist. However, the analysis of Mössbauer spectra, from the fitting to the identification of the sample phases, can be faster using by genetic algorithms, fuzzy logic and artificial neural networks. Industrial applications are very specific ones and the data analysis can be performed using these algorithms. In combination with an automatic analysis, the Mössbauer spectrometer can be used as a probe instrument which covers the main industrial needs for an on-line monitoring of its products, processes and case studies. Some of these real industrial applications will be discussed.     

Monte Carlo study of interfacial silicon suboxide layers and oxidation kinetics

A simple simulation scheme that simultaneously describes the growth kinetics of SiO₂ films at the nanometer scale and the SiO_x/Si interface dynamics (its extent, and spatial/temporal evolution) is presented. The simulation successfully applies to experimental data in the region above and below 10 nm, reproduces the Deal and Grove linear-parabolic law and the oxide growth rate enhancement in the very thin film regime (the so-called anomalous region). According to the simulation, the oxidation is governed mainly by two processes: (a) the formation of a transition suboxide layer and (b) its subsequent drift towards the silicon bulk. We found that it is the superposition of these two processes that produces the crossover from the anomalous oxidation region behavior to the linear-parabolic law.     

Metastability in the Potts model on the Cayley tree

Metastability in the ferromagneticp-state Potts model defined on the Cayley tree is discussed. It is shown that the sign of the boundary fieldH _s determines the order of the transition as well as the stability of the low-temperature phase. Lowering the temperature withH _s >0, a system withp<2 (p>2) will display a second (first)-order transition to a metastable (stable) phase. ForH _s >0 a second (first)-order transition to a metastable (stable) phase occurs ifp>2 (p<2). In this case the system also has a residual entropy which is negative forp<2.     

Modification of the surface state of rough substrates by two different varnishes and influence on the reflected light

Modification of the visual appearance when a rough surface is covered by a varnish is mostly attributed to the levelling of the substrate surface, which depends on the molecular weight of the varnish. The topography of varnished surfaces, however, has never been measured directly. Surfaces of varnishes applied over glass substrates of varying roughness were studied, therefore, using mechanical profilometry. Two different varnishes made with a low and a high molecular weight resin were studied. Both varnishes lower the r.m.s. roughness of the substrates and filter the high spatial frequencies. These results are amplified for the varnish containing the low molecular weight resin. The light reflected by the varnished samples is modelled from these topographical data. Its angular distribution, calculated from the probability density of slopes is presented, taking into account separately the air/varnish and the varnish/substrate interfaces. These analyses are presented in a back-scattering configuration. They show that varnishing significantly reduces the angular width of the reflected light and that this effect is magnified for the low molecular weight resin. Modelling furthermore shows that the influence of the roughness of the varnish/substrate interface is negligible in the total reflected light.     

3D-TOFSIMS characterization of black spots in polymer light emitting diodes

The occurrence and formation of black spots areas in PolyLED devices has been studied by time-of-flight SIMS (TOFSIMS). The composition, shape and position of the black spots is visualised by three-dimensional (3D)-TOFSIMS depth-profiling. It has been established that the formation of non-emissive spots is due to the growth of aluminium oxide clusters at the AlBa/polymer interface. Electron injection in the black spots is lost by the resulting local increase of the resistivity of the cathode.     

2-fold and 3-fold mixing: why 3-dot-type counterexamples are impossible in one dimension

V.A. Rohlin asked in 1949 whether 2-fold mixing implies 3-fold mixing for a stationary process (ξ_i )_i2ℤ, and the question remains open today. In 1978, F. Ledrappier exhibited a counterexample to the 2-fold mixing implies 3-fold mixing problem, the socalled 3-dot system, but in the context of stationary random fields indexed by ℤ². In this work, we first present an attempt to adapt Ledrappier's construction to the onedimensional case, which finally leads to a stationary process which is 2-fold but not 3-fold mixing conditionally to the σ-algebra generated by some factor process. Then, using arguments coming from the theory of joinings, we will give some strong obstacles proving that Ledrappier's counterexample can not be fully adapted to one-dimensional stationary processes.     

The Henderson Approximation and the Mass Action Law of Guldberg and Waage

Using contemporary accounts, we describe the scope of the Henderson approximation, and its relationship to the mass action law of Guldberg & Waage. The Henderson approximation, apparently written in logarithmic form by Hasselbalch, has the same form as the mass action law, but has a completely different meaning and a much more restricted range of applicability. The Guldberg-Waage law is the fundamental mass action relationship valid for all chemical equilibria, whereas the Henderson approximation is useful only within a limited range of a sufficiently concentrated two-component buffer mixture.     

信用担保风险的模糊综合评审研究

信用担保机构是连接银行和企业的桥梁，对于改善企业融资环境和拓展银行业务具有重要意义，信用担保风险的评审是担保机构能否生存及有效运行的关键。信用风险的评审机制主观性强，对担保项目进行客观，公正的评审比较困难。本采用模糊数学中的综合判别方法，全面考虑风险评审所涵盖的各种风险指标及其重要度，建立了定性分析与定量分析方法相结合的信用担保风险综合评审模型，为担保机构提供了一种相对科学、客观的评审方法。