金融时间序列分析与建模

介绍了金融时间序列分析与建模的主要理论、方法,着重论述了近20多年发展起来的非平稳时间序列的建模方法及工具,指出进一步的研究方向.最后,对上证综合指数这一金融时间序列进行了实证分析.     

Universal Overconvergence of Polynomial Expansions of Harmonic Functions

For each compact subset K of ^N let (K) denote the space of functions that are harmonic on some neighbourhood of K. The space (K) is equipped with the topology of uniform convergence on K. Let Ω be an open subset of ^N such that 0Ω and ^N\Ω is connected. It is shown that there exists a series ∑H_n, where H_n is a homogeneous harmonic polynomial of degree n on ^N, such that (i) ∑H_n converges on some ball of centre 0 to a function that is continuous on Ω and harmonic on Ω, (ii) the partial sums of ∑H_n are dense in (K) for every compact subset K of ^N\Ω with connected complement. Some refinements are given and our results are compared with an analogous theorem concerning overconvergence of power series.     

Aliasing Effects and Sampling Theorems of Spherical Random Fields when Sampled on a Finite Grid

Aliasing effects are investigated for spherical random fields sampled on a finite grid. Using the spherical harmonics expansion, it is shown that for a band-limited spherical random field its trend and spectrum can be uniquely reconstructed from the sampled field if the sampling points are judiciously designed. Analytical expressions are also obtained for aliasing errors in the trend and the spectrum when the field is not band-limited.     

Synthesis of functional polymers—Vinylidene fluoride based fluorinated copolymers and terpolymers bearing bromoaromatic side‐group

The radical co‐ and terpolymerization of 4‐[(α,β,β‐trifluorovinyl)oxy]bromo benzene (TFVOBB) with 1,1‐difluoroethylene (or vinylidene fluoride, VDF, or VF₂), hexafluoropropene (HFP), perfluoromethyl vinyl ether (PMVE), and chlorotrifluroroethylene (CTFE) is presented. Although TFVOBB could be thermocyclodimerized, it could not homopolymerize under radical initiation. TFVOBB could be copolymerized in solution under a radical initiator with VDF or CTFE comonomers, while its copolymerization with HFP or PMVE were unsuccessful. The terpolymerization of TFVOBB with VDF and HFP, or VDF and PMVE, or VDF and CTFE also led to original fluorinated terpolymers bearing bromoaromatic side‐groups. The conditions of co‐ and terpolymerization were optimized in terms of the nature of the radical initiators, and of the nature of solvents (fluorinated or nonhalogenated). Various monomer concentrations in the co‐ and terpolymers were assessed by ¹⁹F and ¹H‐NMR spectroscopy. The thermal and physico chemical properties were also studied. © 2004 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 42: 5077–5097, 2004     

Influence of concentration on the activation energy for diffusion in polymer-solvent systems

The self-diffusion of benzene, toluene, and ethylbenzene in polystyrene have been analyzed using the Vrentas/Duda free-volume diffusion model. Diffusion coefficient predictions suggest an exponential concentration dependence of the activation energy required to overcome attractive forces, E. Without the use of any diffusion data approximating E as zero over the entire concentration range yields self-diffusion coefficient predictions which are in good agreement with experimental data. © 1992 John Wiley & Sons, Inc.     

青岛港货运吞吐量的时间序列模型

运用时间序列分析方法对时间序列建立ARMA,ARIMA模型.搜集了青岛港1999年1月～2003年5月的货运吞吐量数据,对进行分析,建立了青岛港货运吞吐量的模型.通过预留的部分数据对模型进行检验,并对模型的残差进行检验,得出模型比较合理.     

A continuous function space with a Faber basis

Let be compact with #S=∞ and let C(S) be the set of all real continuous functions on S. We ask for an algebraic polynomial sequence (P_n)_n=0^∞ with deg P_n=n such that every fC(S) has a unique representation f=∑_i=0^∞ α_iP_i and call such a basis Faber basis. In the special case of , 0<q<1, we prove the existence of such a basis. A special orthonormal Faber basis is given by the so-called little q-Legendre polynomials. Moreover, these polynomials state an example with A(S_q)≠U(S_q)=C(S_q), where A(S_q) is the so-called Wiener algebra and U(S_q) is the set of all fC(S_q) which are uniquely represented by its Fourier series.     

UNIFORM CONVERGENCE OF CESARO MEANS OF NEGATIVE ORDER OF DOUBLE TRIGONOMETRIC FOURIER SERIES

In this paper we prove that iff ∈ C([-π,π]2) and the function f is bounded partial p-variation for some p ∈ [1, ∞), then the double trigonometric Fourier series of a function f is uniformly (C;-α,-β) summable (α β＜ 1/p,α,β＞ 0) in the sense of Pringsheim. If α β≥ 1/p, then there exists a continuous function f0 of bounded partial double trigonometric Fourier series of fo diverge over cubes.     

Discrete Sturm–Liouville problems, Jacobi matrices and Lagrange interpolation series

The close relationship between discrete Sturm–Liouville problems belonging to the so-called limit-circle case, the indeterminate Hamburger moment problem and the search of self-adjoint extensions of the associated semi-infinite Jacobi matrix is well known. In this paper, all these important topics are also related with associated sampling expansions involving analytic Lagrange-type interpolation series.