独立项目的久期预估与融资优化研究

项目投资与融资匹配程度,不仅关系到项目资金成本的大小,还体现对项目利率风险的对冲。基于债券久期的概念内涵,提出了项目久期与融资结构久期的概念及计算方法。以具体项目的投融资为案例进行研究,对案例公司已拟定的针对独立项目的债券融资方案进行投融资久期匹配、各期现金流匹配评价,并从市场利率曲线中发现融资成本优化空间,从投融资久期差及各期投融资现金流量差中找到优化融资的方案。以此提出结论：项目久期与融资结构久期的匹配是降低项目利率风险的重要手段;应综合融资结构久期与项目久期、现金流大小选择融资结构。     

随机期度与利率反向变动关系的初步研究

本文介绍了随机利率下相应的期度—随机期度的定义及其性质.对常见的随机利率模型Vasciek 模型和CIR模型,证明了随机期度与随机利率之间存在着反向的变动关系,从而辅证了随机期度定义的合理性.     

SARS疫情分析及对北京疫情走势的预测

在考虑每个SARS病人每日平均传染概率和他的直接传染的平均期限的基础上，建立了一个统计分析模型．分析表明，每个病人可以造成直接感染他人的期限平均在20天左右，这个值在不同地区和不同疫情阶段似乎变化不大．病人的平均每天感染率与社会状况有关，在疫情爆发期较大，在疫情控制期要小很多．北京后期如果控制在香港后期的感染率水平上，则有望在6月上中旬下降到日增几例．然后再经过约一个月，即7月上中旬达到日增0病例，而累积总病例数将达到3100多．但如果北京的新病例下降速度与广东类似的话，则要再多花至少一个月，才能达到上述的效果，且累积总病例数会达到3800左右．     

炭化过程对铁基费托合成催化剂强度和结构的影响

以模型费托合成Fe基催化剂为研究对象,在纯CO气氛中对催化剂进行不同时间的预处理,采用多种手段对预处理后催化剂的物理化学性质和抗磨损能力进行了表征。结果表明,在预处理初期,随着预处理时间的延长,催化剂的炭化程度显著提高,伴随着催化剂比表面积的降低和颗粒粒径的减小,而催化剂的抗磨损能力逐渐提高。当预处理时间超过72 h后,继续延长预处理时间,催化剂的炭化程度不再增加,而积炭程度逐渐增加,伴随着催化剂比表面积和颗粒粒径的增加,催化剂的质量也同时增加,并导致催化剂的抗磨损能力逐渐降低。     

Scaling and memory in the non-Poisson process of limit order cancelation

The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations, defined as the waiting times between consecutive order cancelations of 22 liquid stocks traded on the Shenzhen Stock Exchange of China in year 2003. Three types of cancelations are considered, including cancelation of any limit orders, of buy limit orders and of sell limit orders. We find that the distributions of the inter-cancelation durations of individual stocks can be well modeled by Weibulls for each type of cancelation, and the distributions of rescaled durations of each type of cancelations exhibit a scaling behavior for different stocks. Complex intra-day patterns are also unveiled in the inter-cancelation durations. The detrended fluctuation analysis (DFA) and the multifractal DFA show that the inter-cancelation durations possess long-term memory and multifractal nature, which are not influenced by the intra-day patterns. No clear crossover phenomenon is observed in the detrended fluctuation functions with respect to the time scale. These findings indicate that the cancelation of limit orders is a non-Poisson process, which has potential worth in the construction of order-driven market models.     

Global dynamics of a Cholera model with age-of-immunity structure and reinfection

To understand V.Cholera transmission dynamics, in this paper, a mathematical model for the dynamics of cholera with reinfection is formulated that incorporates the duration time of the recovery individuals (age-of-immunity). The basic reproduction number $\Re_0$ for the model is identified and the threshold property of $\Re_0$ is established. By applying the persistence theory for infinite-dimensional systems, we show that the disease is uniformly persistent if the reproductive number $ \Re_0>1$. By constructing a suitable Lyapunov function, the global stability of the infection-free equilibrium in the system is obtained for $\Re_0<1$; the unique endemic equilibrium of the system is globally asymptotically stable for $\Re_0>1$.     

Stock interest rate risk and inflation shocks

In this paper we proceed to estimate a measure of the flow-through capability of the firms listed on the Spanish Stock Exchange. The flow-through capability is defined as the ability of firms to transmit inflation shocks to the prices of the products and services sold by the company. According to a strand of the literature, this flow-through capability can to some extent explain the so called “stock duration paradox”, which is the difference between the theoretical stock duration derived from the DDM model and its empirical estimates. The line of reasoning suggests that if a company can pass on inflation shocks to the prices of its own outputs and then to profits and dividends, nominal interest rate changes due to variations in the expected inflation will have a limited impact on stock prices. So in this paper we first estimate the flow-through capability for different industries and find great differences among them. Then we analyse the link between flow-through capability and stock duration and find a significant negative relationship between them, as claimed by part of the literature.     

高频数据交易量久期与价格变化的动态行为研究

本文基于Log-ACD模型和一类非参数模型,研究了股票价格持续上升时期和价格持续下降时期,交易量久期与价格变化的动态关系。研究表明在不同的市场格局下,价格变化对交易量的影响会有显著区别。另一方面我们发现阈值的选取会影响交易量久期的统计性质,阈值变大时交易量久期的长记忆性会变弱。本文在理论上也有所创新,采用了本文前两位作者提出的新的方法估计Log-ACD模型的参数,该方法在误差服从厚尾分布时具有良好的统计性质。利用新的估计构造了Wald检验统计量,检验价格变化的方向对预期交易量久期是否有显著影响。     

碳纤维阴极的电子发射机制

 建立了金属阴极和碳纤维阴极的电子发射机制模型,发射后的阴极和碳纤维阴极的微观照片证实了模型的正确性。实验结果与分析表明：一种优化的阴极应该具备多种电子发射机制,整个阴极的电子发射更均匀,碳纤维阴极的电子发射不仅具有尖端的场发射,而且伴随着侧向的表面闪络(随纹)。此外和金属阴极相比较,处理后碳纤维阴极具有较慢的等离子体膨胀速度(≤1 cm/μs)并使该实验用微波源具有较宽的微波脉冲输出(≥200 ns)。     

象增强器用小型化大动态脉宽可变高压开关脉冲源

本文阐述了高压脉冲产生的新的机理,并用此思想制作了小型化、大动态脉宽可变的高性能高压开关脉冲源.