Markowitz投资组合风险偏好模型研究

以风险对收益的变化幅度θ为风险偏好系数提出Markowitz风险偏好模型,研究了它的有效边界和一些性质,然后以Kuhn-Tucker条件为基础,通过对冗余证券的剔除,求解不允许卖空条件下的证券投资组合.     

Efficient option risk measurement with reduced model risk

Options require risk measurement that is also computationally efficient as it is important to derivatives risk management. There are currently few methods that are specifically adapted for efficient option risk measurement. Moreover, current methods rely on series approximations and incur significant model risks, which inhibit their applicability for risk management.In this paper we propose a new approach to computationally efficient option risk measurement, using the idea of a replicating portfolio and coherent risk measurement. We find our approach to option risk measurement provides fast computation by practically eliminating nonlinear computational operations. We reduce model risk by eliminating calibration and implementation risks by using mostly observable data, we remove internal model risk for complex option portfolios by not admitting arbitrage opportunities, we are also able to incorporate liquidity or model misspecification risks. Additionally, our method enables tractable and convex optimisation of portfolios containing multiple options. We conduct numerical experiments to test our new approach and they validate it over a range of option pricing parameters.     

A strategy based on mean reverting property of markets and applications to foreign exchange trading with trailing stops

We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy, and overview the backtesting results in application to foreign currencies trading. The proposed methodology relies on the assumption that processes reflecting the dynamics of currency exchange rates are in a certain sense similar to the class of Ornstein–Uhlenbeck processes and exhibit the mean reverting property. In order to describe the quantitative characteristics of the projected return of the strategy, we derive the explicit expression for the running maximum of the Ornstein–Uhlenbeck process stopped at maximum drawdown and look at the correspondence between derived characteristics and the observed ones. Copyright © 2017 John Wiley & Sons, Ltd.     

基于物联网的涉密设备出入管控系统设计

针对涉密设备安全管理与监控的需要,提出一种全面、连续、实时的监控一定区域内涉密设备出入安全管理的解决方案。主要思想是基于物联网技术,采用有源射频识别（RFID）方法设计和开发了一套涉密设备出入管理系统;首先介绍了系统的总体结构和功能,然后详细描述了涉密设备出入管理系统的软硬件设计方法和系统管理流程,最后给出了新增涉密设备、设备正常带出、设备非法带出、设备报废的系统主要流程的测试结果;测试结果表明系统能够实现所设计的各项功能并具有运行稳定、可扩展性强、可维护性好的特点。     

基于物联网的水质在线监测系统设计与实现

针对以往水质监控系统水质传感器数据采集盲区多,传统处理器、通信模块无法满足大量的数据的处理和传输等问题。设计并实现了一种基于物联网技术的水质在线监测系统。该系统由数据采集节点、数据汇聚节点与监测中心计算机构成。设计了以INA118仪用放大器为核心的微弱信号调理电路,通过STM32微处理器进行实时数据采集和处理,结合ZigBee低速短距离和CDMA2000高速远距离通信等物联网技术将水质数据上传至物联网云平台。监测中心计算机通过下载物联网云平台数据实时显示。通过测量数据的对比性实验,结果表明整个系统的实时性好、测量精度较高,温度,pH值和电导率的平均相对误差分别约为0.64%,1.33%和2.33%,能够较好地满足水质监测的要求。     

Quadratic stochastic intensity and prospective mortality tables

We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model and to approximate the values of the underlying factor. This methodology is applied to French human mortality tables.     

Martingales and stochastic integrals in the theory of continuous trading

This paper develops a general stochastic model of a frictionless security market with continuous trading. The vector price process is given by a semimartingale of a certain class, and the general stochastic integral is used to represent capital gains. Within the framework of this model, we discuss the modern theory of contingent claim valuation, including the celebrated option pricing formula of Black and Scholes. It is shown that the security market is complete if and only if its vector price process has a certain martingale representation property. A multidimensional generalization of the Black-Scholes model is examined in some detail, and some other examples are discussed briefly.     

Internet的应用——介绍国外化学重点期刊网上投稿

介绍国外一些重要化学期刊的信息资源及其网址,重点介绍了如何进行网上投稿。     

On-line pseudo-dynamic network testing on base-isolated bridges using Internet and wireless Internet

In this paper we present the results of the online pseudo-dynamic network testing using the Internet that were jointly conducted by several institutions in Korea and Japan. Example studies were performed on base-isolated bridges with four continous spans. Test facilities located at several institutions were interactively used to test the non-linear behaviors of the base isolators. At first, a series of international network tests was carried out between Japan and Korea, and the performance of two system configurations with different data communication schemes was compared. Then, network tests were repeated on a similar bridge structure between two institutions in Korea, and the overall performance was discussed. A web-based Java monitoring system was developed for checking the partners' testing conditions and for sharing the test results with the authorized observers. Wireless Internet technology using mobile phones was also investigated. The results indicate that the time to execute a single step varies widely, depending on the data communication/sharing schemes and the testing hardware, e.g., 0.2–15 s for data communication and 1–10 s for execution of the pseudo-dynamic tests for each time-step. The time required additionally for data communication in the on-line network testing is judged as reasonable in comparison with the time for the pseudo-dynamic test. The results also show that the wireless communication is very attractive for on-line network testing, owing to the mobility and Internet security.     

The application of neural networks to predict abnormal stock returns using insider trading data

Until now, data mining statistical techniques have not been used to improve the prediction of abnormal stock returns using insider trading data. Consequently, an investigation using neural network analysis was initiated. The research covered 343 companies for a period of 4½ years. Study findings revealed that the prediction of abnormal returns could be enhanced in the following ways: (1) extending the time of the future forecast up to 1 year; (2) increasing the period of back aggregated data; (3) narrowing the assessment to certain industries such as electronic equipment and business services and (4) focusing on small and midsize rather than large companies. Copyright © 2002 John Wiley & Sons, Ltd.