The long‐term extreme price risk measure of portfolio in inventory financing: An application to dynamic impawn rate interval

Different from the short‐term risk measure for traditional financial assets (stocks, bonds, etc.), the key to illiquid inventory portfolio traded in the over‐the‐counter markets is to estimate the long‐term extreme price risk with time varying volatility. In this article, a new long‐term extreme price risk (value at risk and conditional value at risk) measure method for inventory portfolio and an application to dynamic impawn rate interval are proposed. To realize this, we first establish AutoRegressive Moving Average‐Exponential Generalized Autoregressive Conditional Heteroskedasticity‐Extreme Value Theory model and multivariatet‐Copula to depict the autocorrelation, fat tails, and volatility clustering of returns of inventories and the nonlinear dependence structure of inventories. Furthermore, we obtain the long‐term extreme price risk with time varying volatility via Monte Carlo simulation instead of square‐root‐of time rule. The results show that, first, benefits from risk diversification is significant; second, long‐term extreme price risk measure of inventory portfolio via Monte Carlo method outperforms the square‐root‐of time rule; the last is that the dynamic rate interval based on the long‐term price risk is superior to the crude rules of thumb in terms of reducing efficiency loss and improving risk coverage. In summary, this article provides a new quantitative framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation. © 2014 Wiley Periodicals, Inc. Complexity 20: 17–34, 2015     

Main Components of Xinjiang Lavender Essential Oil Determined by Partial Least Squares and Near Infrared SpectroscopySCIEI北大核心CSCD

This work was undertaken to establish a quantitative analysis model which can rapid determinate the content of linalool, linalyl acetate of Xinjiang lavender essential oil. Totally 165 lavender essential oil samples were measured by using near infrared absorption spectrum(NIR), after analyzing the near infrared spectral absorption peaks of all samples, lavender essential oil have abundant chemical information and the interference of random noise may be relatively low on the spectral intervals of 7100-4 500 cm(-1). Thus, the PLS models was constructed by using this interval for further analysis. 8 abnormal samples were eliminated. Through the clustering method, 157 lavender essential oil samples were divided into 105 calibration set samples and 52 validation set samples. Gas chromatography mass spectrometry (GC-MS) was used as a tool to determine the content of linalool and linalyl acetate in lavender essential oil. Then the matrix was established with the GC-MS raw data of two compounds in combination with the original NIR data. In order to optimize the model, different pretreatment methods were used to preprocess the raw NIR spectral to contrast the spectral filtering effect, after analysizing the quantitative model results of linalool and linalyl acetate, the root mean square error prediction(RMSEP) of orthogonal signal transformation (OSC) was 0.226, 0.558, spectrally, it was the optimum pretreatment method. In addition, forward interval partial least squares (FiPLS) method was used to exclude the wavelength points which has nothing to do with determination composition or present nonlinear correlation, finally 8 spectral intervals totally 160 wavelength points were obtained as the dataset. Combining the data sets which have optimized by OSC-FiPLS with partial least squares(PLS) to establish a rapid quantitative analysis model for determining the content of linalool and linalyl acetate in Xinjiang lavender essential oil, numbers of hidden variables of two components were 8 in the model. The performance of the model was evaluated according to root mean square error of cross-validation (RMSECV) 9 root mean square error of prediction (RMSEP). In the model, RESECV of linalool and linalyl acetate were 0.170 and 0.416, respectively; RMSEP were 0.188 and 0.364. The results indicated that raw data was pretreated by OSC and FiPLS, the NIR-PLS quantitative analysis model with good robustness, high measurement precision; it could quickly determine the content of linalool and linalyl acetate in lavender essential oil. In addition, the model has a favorable prediction ability. The study also provide a new effective method which could rapid quantitative analysis the major components of Xinjiang lavender essential oil.     

A measure of mutual complete dependence in discrete variables through subcopula

Siburg and Stoimenov [12] gave a measure of mutual complete dependence of continuous variables which is different from Spearman's ρ and Kendall's τ. In this paper, a similar measure of mutual complete dependence is applied to discrete variables. Also two measures for functional relationships, which are not bijection, are investigated. For illustration of our main results, several examples are given.     

Nonlocal Interaction Equations in Environments with Heterogeneities and Boundaries

We study well-posedness of a class of nonlocal interaction equations with spatially dependent mobility. We also allow for the presence of boundaries and external potentials. Such systems lead to the study of nonlocal interaction equations on subsets ? of ? ^d endowed with a Riemannian metric g. We obtain conditions, relating the interaction potential and the geometry, which imply existence, uniqueness and stability of solutions. We study the equations in the setting of gradient flows in the space of probability measures on ? endowed with Riemannian 2-Wasserstein metric.     

Markov链在教育测量中的应用

将“问题解决”的分析、建模、求解和检验四个阶段作为随机过程的状态得到一Markov链.利用有关随机过程的知识对Markov链进行分类和求解.由此,对学生解决问题的能力进行测量,得到了一些合理结果.     

多光束在分形粗糙表面散射的仿真

采用矩量法(MOM),分析了多光束在分形粗糙导体表面的散射分布.对在不同入射角、光束宽度控制因子、光束照射区宽度、表面均方根高度和表面分维数情况下的散射进行了数值仿真.仿真结果表明了各参量的变化对散射分布的影响.根据仿真计算结果给出了最佳的散射测量区域,为减少多光束测量的误差提供了一定的参考.     

全息模拟再现像的三维重构

提出一种全息模拟再现像的三维重构方法,可以模拟再现得到三维再现像.计算机模拟再现许多幅在不同深度位置的二维光强分布;利用灰度级变化的聚焦度评价方法,通过寻找最大聚焦度值,确定再现三维像各像点的深度信息.实验证明,该方法能实现模拟再现像的三维重构,使数字全息术有希望成为一种全新的三维面形检测技术.再现像三维重构的实现可以更客观地对全息图进行像质评价,并验证计算机制全息术算法的正确性.     

MICELLIZATION STUDIES OF DODECYL BENZENESULFONIC ACID AND ITS INTERACTION WITH POLYVINYLPYRROLIDONE

Dodecyl benzenesulfonic acid (DBSA) surfactant was used in the present study to find the effect of concentration on its electrical conductance in solution from 293-323K above and below the critical micelle concentration (CMC). The micellization parameters i.e. degree of counter ion binding (β), aggregation number (n) and number of counter ion micelle(m) were measured. The interaction of DBSA with polyvinylpyrrolidone (PVP) was also studied at 293K throughconductance and surface tension measure ments. A number of important parameters i.e. critical aggregation concentration (CAC), Gibb‘s free energy (△G) and binding ratio (R) were determined and the effect of NaCl on the CAC and polymer saturation point (PSP) was also investigated.     

硝酸乙醇法测定纤维素含量

根据秸秆乙醇的工艺特点,对硝酸乙醇法测定玉米秸秆、小麦秸秆、稻草及其预处理后物料的纤维素含量进行了研究.优化了粉碎时长、硝酸-乙醇混合液处理遍数、试样粒度及抽滤漏斗孔径四个参数.确定了优化后的测定方法:秸秆试样粉碎时长15 s,硝酸-乙醇混合液处理4遍,粒度40～60目,使用G2玻璃砂芯漏斗.秸秆预处理后物料试样粉碎时...