Asymmetric responses of international stock markets to trading volume

The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold GARCH model with trading volume as a threshold variable, we find strong evidence supporting this hypothesis in five international market return series. Asymmetric causality tests lend further support to our trading volume threshold model and conclusions. Specifically, an increase in volume is positively associated, while decreasing volume is negatively associated, with the major price index in four of the five markets. The volatility of each series also displays an asymmetric reaction, four of the markets display higher volatility following increases in trading volume. Using posterior odds ratio, the proposed threshold model is strongly favored in three of the five markets, compared to a US news double threshold GARCH model and a symmetric GARCH model. We also find significant nonlinear asymmetric return spillover effects from the US market.     

Learning to See: Making Sense of the Mathematics of Change in Middle School

In this article, we will describe the results of a study of 6th grade students learning about the mathematics of change. The students in this study worked with software environments for the computer and the graphing calculator that included a simulation of a moving elevator, linked to a graph of its velocity vs. time. We will describe how the students and their teacher negotiated the mathematical meanings of these representations, in interaction with the software and other representational tools available in the classroom. The class developed ways of selectively attending to specific features of stacks of centimeter cubes, hand-drawn graphs, and graphs (labeled velocity vs. time) on the computer screen. In addition, the class became adept at imagining the motions that corresponded to various velocity vs. time graphs. In this article, we describe this development as a process of learning to see mathematical representations of motion. The main question this article addresses is: How do students learn to see mathematical representations in ways that are consistent with the discipline of mathematics? This revised version was published online in July 2006 with corrections to the Cover Date.     

蓝光相变光盘的多层膜结构设计

为了使光盘获得优良的记录／读出性能并能够长期稳定地使用，必须优化设计相变光盘的多层膜结构。采用自行设计的模拟分析相变光盘读出过程设计软件，从光学角度出发模拟计算了蓝光(405nm)相变光盘的膜层结构，研究了多层膜系的反射率和反射率对比度等光学参量与各层膜厚度和槽深的关系。研究得出的最佳多层膜结构为：下介电层／记录层／上介电层／反射层的厚度对于台记录为100nm／10nm／25nm，／60nm，而对于槽记录则为140nm／15nm／30nm，／60nm，槽深为50nm。模拟计算结果对于将来高密度蓝光相变光盘的制备具有一定的指导意义。     

UPWIND FINITE VOLUME SCHEMES FOR SEMICONDUCTOR DEVICE

The mathematical model of semiconductor devices is described by the initial boundary value problem of a system of three nonlinear partial differential equations. One equation in elliptic form is for the electrostatic potential; two equations of convection-dominated diffusion type are for the electron and hole concentrations. Finite volume element procedure are put forward for the electrostatic potential, while upwind     

证券价格按几何布朗运动变化的微观解释

金融市场研究中经常不加解释地假设证券价格按几何布朗运动变化 .本文通过假定投资者要求来自证券的期望收益率与证券价格无关 ,在理想市场的前提条件下 ,对证券价格运动将遵循有漂移率的几何布朗运动给予严格的证明 .     

沪深股市回报率、波动率和交易量关系的实证研究

本文首先对回报率与交易量之间的关系进行了研究,发现并不存在非对称的数量关系,但存在双向的葛兰杰因果关系;同时将交易量对波动率的解释能力进行了研究,发现在沪市交易量对波动率具有解释力,而在深市交易量对波动率没有解释力。     

The change of the superstructure of semicrystalline polymers during deformation: results from small-angle scattering with synchrotron radiation

The change of the superstructure of different polyethylenes during uniaxial deformation is investigated. The method used is small-angle scattering with synchrotron radiation. For branched polyethylene (Lupolen 1840D) the whole deformation range is analyzed. Beginning with superstructure of the lamellar cluster type, the superstructure partly disappears on a time scale of a few minutes and the fibrillar structure is built up. The degree of destruction and rebuilding depends on the drawing temperature. For very high molecular weight polyethylene (GUR) a reversible change of the superstructure at higher deformation ratios and at different temperatures is observed. The superstructure of (ethylene—hexene) copolymers (TIPELIN) at high draw ratios depends on the drawing temperature and is almost independent of the side group content. Interfibrillar microcracks parallel to the draw direction are produced in samples with a low side group content for draw ratios λ ≥ 1.5.     

Sparse-grid finite-volume multigrid for 3D-problems

We introduce a multigrid algorithm for the solution of a second order elliptic equation in three dimensions. For the approximation of the solution we use a partially ordered hierarchy of finite-volume discretisations. We show that there is a relation with semicoarsening and approximation by more-dimensional Haar wavelets. By taking a proper subset of all possible meshes in the hierarchy, a sparse grid finite-volume discretisation can be constructed.The multigrid algorithm consists of a simple damped point-Jacobi relaxation as the smoothing procedure, while the coarse grid correction is made by interpolation from several coarser grid levels.The combination of sparse grids and multigrid with semi-coarsening leads to a relatively small number of degrees of freedom,N, to obtain an accurate approximation, together with anO(N) method for the solution. The algorithm is symmetric with respect to the three coordinate directions and it is fit for combination with adaptive techniques.To analyse the convergence of the multigrid algorithm we develop the necessary Fourier analysis tools. All techniques, designed for 3D-problems, can also be applied for the 2D case, and — for simplicity — we apply the tools to study the convergence behaviour for the anisotropic Poisson equation for this 2D case.     

Discrete duality finite volume schemes for Leray−Lions−type elliptic problems on general 2D meshes

Discrete duality finite volume schemes on general meshes, introduced by Hermeline and Domelevo and Omnès for the Laplace equation, are proposed for nonlinear diffusion problems in 2D with nonhomogeneous Dirichlet boundary condition. This approach allows the discretization of non linear fluxes in such a way that the discrete operator inherits the key properties of the continuous one. Furthermore, it is well adapted to very general meshes including the case of nonconformal locally refined meshes. We show that the approximate solution exists and is unique, which is not obvious since the scheme is nonlinear. We prove that, for general W^?1,p′(Ω) source term and W^1‐(1/p),p(?Ω) boundary data, the approximate solution and its discrete gradient converge strongly towards the exact solution and its gradient, respectively, in appropriate Lebesgue spaces. Finally, error estimates are given in the case where the solution is assumed to be in W^2,p(Ω). Numerical examples are given, including those on locally refined meshes. © 2006 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

Solution of the hyperbolic mild‐slope equation using the finite volume method

A finite volume solver for the 2D depth‐integrated harmonic hyperbolic formulation of the mild‐slope equation for wave propagation is presented and discussed. The solver is implemented on unstructured triangular meshes and the solution methodology is based upon a Godunov‐type second‐order finite volume scheme, whereby the numerical fluxes are computed using Roe's flux function. The eigensystem of the mild‐slope equations is derived and used for the construction of Roe's matrix. A formulation that updates the unknown variables in time implicitly is presented, which produces a more accurate and reliable scheme than hitherto available. Boundary conditions for different types of boundaries are also derived. The agreement of the computed results with analytical results for a range of wave propagation/transformation problems is very good, and the model is found to be virtually paraxiality‐free. Copyright © 2003 John Wiley & Sons, Ltd.