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.     

Considerations on modelling the market for softwood lumber in the United States

The analysis in this paper looks at two important elements in modelling the market for timber in the United States. First, the issue of directional causality between price and quantity and its implications in a modelling effort is investigated. Second, the extent of the geographic market for timber is discussed and a method of detecting it is suggested. The method for detecting the extent of the geographical market is tractable and can be applied in a straightforward way. Both considerations are applied to the softwood lumber market in the United States.     

A recursive-faulting model of distributed damage in confined brittle materials

We develop a model of distributed damage in brittle materials deforming in triaxial compression based on the explicit construction of special microstructures obtained by recursive faulting. The model aims to predict the effective or macroscopic behavior of the material from its elastic and fracture properties; and to predict the microstructures underlying the microscopic behavior. The model accounts for the elasticity of the matrix, fault nucleation and the cohesive and frictional behavior of the faults. We analyze the resulting quasistatic boundary value problem and determine the relaxation of the potential energy, which describes the macroscopic material behavior averaged over all possible fine-scale structures. Finally, we present numerical calculations of the dynamic multi-axial compression experiments on sintered aluminum nitride of Chen and Ravichandran [1994. Dynamic compressive behavior of ceramics under lateral confinement. J. Phys. IV 4, 177-182; 1996a. Static and dynamic compressive behavior of aluminum nitride under moderate confinement. J. Am. Soc. Ceramics 79(3), 579-584; 1996b. An experimental technique for imposing dynamic multiaxial compression with mechanical confinement. Exp. Mech. 36(2), 155-158; 2000. Failure mode transition in ceramics under dynamic multiaxial compression. Int. J. Fracture 101, 141-159]. The model correctly predicts the general trends regarding the observed damage patterns; and the brittle-to-ductile transition resulting under increasing confinement.     

Analysis and modelling of overtone singing in the sygyt style

Overtone singing, also called biphonic singing, xöömij or chant diphonique in french; is a special singing style that exhibits two or more separate sounds - one “drone” sound of relatively low pitch and one or more high pitch melody sounds. The perceived pitches of the upper tones are multiples of the drone sound, i.e. taken from its overtone scale. Compared to voiced sounds of western style singers, the relative amplitude of the melody pitches is quite high, and the formant bandwidth of overtone sounds is small. This paper tries to answer the question of how these formant properties are achieved. Experimental investigations and numerical calculations prove the existence of two closely neighboured formants for the production of the melody sound in the sygyt style.     

半导体与超晶格的数学模型及其分析Ⅰ:模型

本文论及半导体与超晶格的数学模型方法的一些新近发展动态。介绍了半导体与超晶格的一些背景材料并给出了半导体宏观模型间的层次框架。超晶格中载流子传输的SHE扩散模型也被观察。     

Development of a finite-element analysis methodology for the propagation of delaminations in composite structures

Analysing the collapse of skin-stiffened structures requires capturing the critical phenomenon of skin-stiffener separation, which can be considered analogous to interlaminar cracking. This paper presents the development of a numerical approach for simulating the propagation of interlaminar cracks in composite structures. A degradation methodology was introduced in MSC.Marc, which involved the modelling of a structure with shell layers connected by user-defined multiple-point constraints (MPCs). User subroutines were written that employ the virtual crack closure technique (VCCT) to determine the onset of crack growth and modify the properties of the user-defined MPCs to simulate crack propagation. Methodologies for the release of failing MPCs are presented and are discussed with reference to the VCCT assumption of self-similar crack growth. The numerical results obtained by using the release methodologies are then compared with experimental data for a double-cantilever beam specimen. Based on this comparison, recommendations for the future development of the degradation model are made, especially with reference to developing an approach for the collapse analysis of fuselage-representative structures. Russian translation published in Mekhanika Kompozitnykh Materialov, Vol. 43, No. 1, pp. 15–42, January–February, 2007.     

Investigation of gas chromatographic interaction mechanism on permethylated cyclodextrins by molecular modelling

Summary The capillary gas chromatographic retention behavior of -pinene and tricyclene has been investigated on stationary phases of different polarities. On all but one of the columns employed, tricyclene eluted before -pinene; only permethylated -cyclodextrins dissolved in moderately polar polisiloxanes gave a reversed elution order. The intermolecular interactions which caused the unexpected retention behavior were investigated in detail, applying methods of computer simulation. To achieve this, we have developed a calculation algorithm on the basis of molecular mechanical optimizations and programmed it in a macro. This makes it possible to systematically investigate a given configuration space in which all the possible interactions can take place. It was shown that permethylated -cyclodextrin as host molecule for both guest molecules offers an optimum cavity size. As a result the number of energetically favorable contacts between host and guest molecules as well as the strength of the interactions in this stationary phase were larger. As a consequence the elution order, normally only influenced by the vapor pressure of the compounds at a given temperature, was changed. Nonspecific interactions played an especially important role for these kinds of substances.     

Structure-property modelling of complex formation of strontium with organic ligands in water

The method of substructural molecular fragments based on representation of the molecular graph by ensembles of fragments and involving calculations of those contributions to the given property is applied to the modelling of stability constants of the complexes of strontium(II) with organic ligands in water. Reliability of predictions of developed structure-property models was examined using three different test sets of structurally diverse ligands. The obtained models have been used for generation and screening of combinatorial library of virtual ligands. Some hypothetical efficient Sr(II) binders were suggested.