基于Copula的供应链金融质物组合价格风险测度研究

本文选取白银、铝和铜三种供应链金融质物作为研究对象,在分析三种质物收益率统计特征的基础上,引入Copula模型刻画供应链金融业务中质物收益率的“尖峰厚尾”特征以及质物收益率之间的非线性相关结构;采用Monte Carlo模拟方法测度考虑到极端情况下的质物组合价格风险值CVaR;利用时间平方根法则测度长周期视角下质物组合的价格风险。将CVaR与VaR测度结果进行对比,比较分析短期价格风险与长期价格风险,将Copula模型与传统风险测度方法下计算出的风险值进行对比,以期选取最优测度供应链金融质物组合长期价格风险模型。研究结果表明:从单一质物价格波动特征来看,三种单一质物的收益率均存在非正态分布和“尖峰厚尾”特征,具有一般金融资产收益率分布的特点。从模型的有效性来看,第一,CVaR比VaR能够更好地、全面地测度供应链金融质物组合的价格风险;第二,基于Copula模型的风险测度结果比传统集成风险测度结果的准确性高;第三,平方欧式距离法结果表明在五种Copula模型中,t-Copula是最优刻画供应链金融质物组合收益率间的相依关系的模型。从长短期风险测度结果来看,随着风险期限的增加,质物组合的价格风险值随之增大,以往研究中用短期风险测度往往会低估商业银行所面临的价格风险,不利于商业银行资金信贷的优化配置。得到的结论对我国商业银行开展供应链金融业务防范价格风险提供了量化支持。     

求解低秩矩阵填充的改进的交替最速下降法

矩阵填充是指利用矩阵的低秩特性而由部分观测元素恢复出原矩阵,在推荐系统、信号处理、医学成像、机器学习等领域有着广泛的应用。采用精确线搜索的交替最速下降法由于每次迭代计算量小因而对大规模问题的求解非常有效。本文在其基础上采用分离地精确线搜索,可使得每次迭代下降更多但计算量相同,从而可望进一步提高计算效率。本文分析了新算法的收敛性。数值结果也表明所提出的算法更加有效。     

带有乘右适当断面的右主投射半群(英文)

In this paper,the concept of right adequate transversals of rpp semigroups is introduced.We establish the structure of rpp semigroups with multiplicative right adequate transversals in terms of right normal bands and right adequate semigroups.In particular, some special cases are considered.     

不规则单斜地层中磁弹性剪切波的色散方程

在内夹磁弹性单斜地层中,下界面不规则变化时,研究水平偏振剪切波的传播,该地层夹在两个半无限磁弹性单斜介质之间,得到了闭式的色散方程.不计磁场及介质界面的不规则性,该色散方程与三层介质中经典方程相一致.图示了磁场和界面不规则深度对相速度的影响.     

高考解析几何综合题究竟应该怎样命题

如今,每一年的高考下来,全国就会出现近40份数学文理科试卷,综合研究这些试卷,基本上呈现标准化样式,各试题总体上符合考试大纲的要求或在课本教学范围之内,惟独圆锥曲线试题,形式五彩缤纷,标准、观点不一,褒贬有之,百家争鸣.     

高维空间L1范数约束的一类数据稀疏距离测度学习算法与应用

现有一类分类算法通常采用经典欧氏测度描述样本间相似关系,然而欧氏测度不能较好地反映一些数据集样本的内在分布结构,从而影响这些方法对数据的描述能力.提出一种用于改善一类分类器描述性能的高维空间一类数据距离测度学习算法,与已有距离测度学习算法相比,该算法只需提供目标类数据,通过引入样本先验分布正则化项和L1范数惩罚的距离测度稀疏性约束,能有效解决高维空间小样本情况下的一类数据距离测度学习问题,并通过采用分块协调下降算法高效的解决距离测度学习的优化问题.学习的距离测度能容易的嵌入到一类分类器中,仿真实验结果表明采用学习的距离测度能有效改善一类分类器的描述性能,特别能够改善SVDD的描述能力,从而使得一类分类器具有更强的推广能力.     

带裂纹层合板能量释放率分析

为了进一步了解裂纹尖端应力场的特性,本文对复合材料层合板的界面裂纹作了分析.文中强调了能量释放率分量存在的条件,并给出能量释放率分量和应力强度因子间的关系式.结合经典板理论的分析结果,根据外荷作用及某些几何参数和材料多数,导出了一般复合材料层合板的应力强度因子的封闭形式解.为了得到在一般荷载条件下能量释放率的分量,必须分别确定模型混合参数Ω,文中讨论了确定参数Ω的方法,最后,应用本文方法于几种不同种类的复合材料层合板,证明其结果可应用于工程实践.     

Piecewise analysis of oblique vibro-impacting systems

A great number of studies have shown the complex nonlinear dynamics of mechanical systems with repeated normal impacts. An oblique frictional impact introduces even more complicated dynamics such as stick-slip motions to those systems. Hence, the dynamics of oblique vibro-impacting systems with possible sliding motion is an open problem. Based on a hybrid analysis of vibro-impact dynamics, kinematics and complementary conditions, a piecewise analysis method is developed in the paper to describe the sliding motion during an oblique impact. Thereby, a parametrically excited planar pendulum between two parallel rigid walls is studied as an illustrative example. The example, together with the corresponding numerical results, shows that the sliding impacts occur in such a system with a set of properly selected parameters. The project supported by the National Natural Science Foundation of China (59905010) and by the Scientific Research Foundation for the Returned Overseas Chinese Scholars, Ministry of Education, China     

Principal parametric and three-to-one internal resonances of flexible beams undergoing a large linear motion

A set of nonlinear differential equations is established by using Kane‘s method for the planar oscillation of flexible beams undergoing a large linear motion. In the case of a simply supported slender beam under certain average acceleration of base, the second natural frequency of the beam may approximate the tripled first one so that the condition of 3 : 1 internal resonance of the beam holds true. The method of multiple scales is used to solve directly the nonlinear differential equations and to derive a set of nonlinear modulation equations for the principal parametric resonance of the first mode combined with 3 : 1 internal resonance between the first two modes. Then, the modulation equations are numerically solved to obtain the steady-state response and the stability condition of the beam. The abundant nonlinear dynamic behaviors, such as various types of local bifurcations and chaos that do not appear for linear models, can be observed in the case studies. For a Hopf bifurcation,the 4-dimensional modulation equations are reduced onto the central manifold and the type of Hopf bifurcation is determined. As usual, a limit cycle may undergo a series of period-doubling bifurcations and become a chaotic oscillation at last.     

紫外光和可见光对Fe3O4掺杂的TiO2催化降解有机物的影响

基于TiO2光催化剂的催化机理尚不明确, 因此发展一种具有不同波段的光催化材料对光催化机理的研究至关重要. 本文采用溶胶-凝胶方法合成了一个Fe3O4掺杂的金红石型TiO2复合物, 通过红外、粉末衍射以及扫描电镜对其结构进行了表征. 紫外-可见吸收光谱表明, 无论在可见光或者是紫外光的照射下, 它都表现出良好的光催化性能, 说明Fe3O4掺杂对改善TiO2的催化性能有一定影响.