Predictability and model selection in the context of ARCH models

Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models in terms of standardized prediction errors. Copyright © 2005 John Wiley & Sons, Ltd.     

Non-Parametric Regression Methods

The nature of the financial time series is complex, continuous interchange of stochastic and deterministic regimes. Therefore, it is difficult to forecast with parametric techniques. Instead of parametric models, we propose three techniques and compare with each other. Neural networks and support vector regression (SVR) are two universally approximators. They are data-driven non parametric models. ARCH/GARCH models are also investigated. Our assumption is that the future value of Istanbul Stock Exchange 100 index daily return depends on the financial indicators although there is no known parametric model to explain this relationship. This relationship comes from the technical analysis. Comparison shows that the multi layer perceptron networks overperform the SVR and time series model (GARCH).     

应用加权列联表分析预测汛期（4─9月）洪涝趋势

本文根据汉寿县１９６０─１９８８年洪涝灾害资料，应用加权列联表分析法，与前期气候因子建立洪涝趋势预测模式。最后对１９８９─１９９０年洪涝试报，取得了满意的效果。     

燃煤循环流化床燃烧脱硫的模型预测

燃煤循环流化床燃烧脱硫的模型预测池涌，岑可法，倪明江Ｐ·Ｂａｓｕ（浙江大学能源系杭州３１００２７）关键词：循环流化床，燃烧，脱硫，模型预测一、引言循环流化床锅炉在过去十几年中得到了广泛的应用，但与此同时由于循环流化床内流体动力特性的高度复杂使得数学模...     

Stability of Markovian structure observed in high frequency foreign exchange data

Contrary to the common sense in economics and financial engineering, price fluctuations at very fine level of motion exhibit various evidences against the efficient market hypothesis. We attempt to investigate this issue by studying extensive amount of foreign currency exchange data for over five years at the finest level of resolution. We specifically focus on the proposed stability in binomial conditional probabilities originally found in much smaller examples of financial time series. In order to handle very large data, we have written an efficient program in C that automatically generates those conditional probabilities. It is found that the stability is maintained for extremely large time duration that covers almost the entire period. Based on the length of conditions for which the conditional probabilities are distinguishable each other, we identify the length of memory being less than 3 movements.     

BP人工神经网络用于除草剂活性预测

采用AMI方法研究了10种新型的磺酰脲类除草剂的电子结构，并以原子的Mulliken净电荷和除草剂在不同浓度(100，10mg／L)下对油菜、稗草两种作物的根、茎部位的抑制率为训练样本集。构造并训练得到具有活性预测能力的BP神经网络．结果表明，该BP网络不仅能对训练样本很好拟合。亦能对未知化合物的活性作出很好的预测．     

A Framework for Monitoring Progress and Planning Teaching Towards the Effective Use of Computer Algebra Systems

This article suggests a framework to organise a cluster of variables that are associated with students' effective use of computer algebra systems (CAS) in mathematics learning. Based on a review of the literature and from the authors' own teaching experience, the framework identifies the main characteristics of students' interactions with CAS technology and how these may be used to monitor students' developing use of CAS; from this, the framework may be used to plan teaching in order to gain greater benefit from the availability of CAS. Four case studies describing students' development over a semester are reported. These demonstrate a variety of combinations of technical competencies and personal attributes. They indicate the importance of both the technical and personal aspects but suggest that negative attitudes rather than technical difficulties can limit the effective use of CAS. Finally practical suggestions are given for teaching strategies which may promote effective use of CAS.This revised version was published online in September 2005 with corrections to the Cover Date.     

Zur Synthese und Struktur von K3N

Synthesis and Structure of K₃N Two phases in the binary system K/N have been obtained via co‐deposition of potassium and nitrogen onto polished sapphire at 77 K and subsequent heating to room temperature. The powder diffraction pattern of one of these phases can be satisfactorily interpreted by assuming the composition K₃N, and the anti‐TiI₃ structure‐type, which is also adopted by Cs₃O. The resulting hexagonal lattice constants are: a = 779.8(2), c = 759.2(9) pm, Z = 2, P6₃/mcm. Comparison with possible structures of K₃N generated by computational methods and refined at Hartree‐Fock‐ and DFT level, reveals that the energetically most favoured structure has not formed (presumable Li₃P‐type), but instead one of those with very low density. In this respect, the findings for K₃N are analogous to the results on Na₃N. The thermal evolution of the deposited starting mixture has been investigated. Hexagonal K₃N transforms to another K/N phase at 233 K. Its XRD can be fully indexed resulting in an orthorhombic cell a = 1163, b = 596, c = 718 pm. Decomposition leaving elemental potassium as the only residue occurs at 263 K.     

Predicting vibration signals of automobile engine using chaos theory

Condition monitoring and life prediction of the vehicle engine is an important and urgent problem during the vehicle development process. The vibration signals that are closely associated with the engine running condition and its development trend are complex and nonlinear. The chaos theory is used to treat the nonlinear dynamical system recently. A novel chaos method in conjunction with SVD (singular value decomposition)denoising skill are used to predict the vibration time series. Two types of time series and their prediction errors are provided to illustrate the practical utility of the method.     

Fatigue Loading and Life Prediction in Three Fretting Fatigue Fixtures

Three fixtures for conducting laboratory fretting fatigue tests are described and their respective testing methods and the results of the analysis are compared. Each of these fixtures has been used to investigate the effects of various parameters of interest in fretting fatigue. These fixtures include a unique apparatus in which all load applied to the specimen is transferred to the fretting pads, an apparatus similar to many found in the literature where partial load transfer occurs across the pads, and a simplified dovetail fixture in which the clamping load, P, and the shear load, Q, are varied in phase. Select test conditions from prior experiments performed on identical material and resulting in similar lives ranging from one to ten million cycles from these fixtures are identified. The various testing conditions were used to compute the unique stress field for each case. The resulting contact stresses were used to calculate crack initiation based criteria, and to calculate stress intensity factors. The three fixtures were shown to be able to accommodate a range of loads, fretting pad contours, and specimen geometries that produced a variety of stress fields. A crack-initiation-based criterion was shown to predict the failure lives of thinner specimens accurately. The stress intensity factor calculations showed the possibility of a crack arresting for a stress field that decays rapidly and the possibility of a local minimum for K as a function of depth. The fixtures are shown to be complementary in generating data for development of robust fretting fatigue models that use these criteria.