基于Copula的金融资产相关结构建模

分析了几种相关结构函数(Copula)表示的相关结构模型,给出了用相关结构函数对金融资产间的相关结构进行建模的方法.结果表明混合Gumbel(M-Gumbel)相关结构函数能较全面地描述上海深圳两证券指数的相关结构,模拟计算VaR的结果支持了实证分析的结论.     

Fixed-sign solutions for a system of singular focal boundary value problems

We consider a system of focal boundary value problems where the nonlinearities may be singular in the independent variable and may also be singular in the dependent arguments. Using Schauder fixed point theorem, we establish criteria such that the system of boundary value problems has at least one fixed-sign solution.     

Nonlinear second-order equations with functional implicit impulses and nonlinear functional boundary conditions

In this paper we deal with nonlinear second-order boundary value problems with impulses. The impulsive functions depend implicitly on the different considered variables and the boundary value conditions are nonlinear. In both cases functional dependence on the solution is allowed. The existence results follow from the existence of a pair of well-ordered lower and upper solutions.     

On meromorphic functions that share three values of finite weights

A uniqueness theorem for two distinct non-constant meromorphic functions that share three values of finite weights is proved, which generalizes two previous results by H.X. Yi, and X.M. Li and H.X. Yi. As applications of it, many known results by H.X. Yi and P. Li, etc. could be improved. Furthermore, with the concept of finite-weight sharing, extensions on Osgood-Yang's conjecture and Mues' conjecture, and a generalization of some prevenient results by M. Ozawa and H. Ueda, ect. could be obtained.     

Refraction of light in media

The roles of the magnetic field and electric field of the light are investigated when the light is refracted in the medium. The model of the electron cloud conductor is presented. Electron cloud in a molecule is treated as a conductor and the Faraday’s Law is applied to this conductor that is in the alternating magnetic field of the light. dB _M/dt of the light gives rise to an alternating induced current on the electron cloud conductor, and the light exchanges energy, i.e. the refractive energy, with the electron cloud conductor. Formulas of refractive index, which is the ratio of light speed in vacuum to that in the medium, are derived with this model. These formulas are tested with several mediums and Langevin’s diamagnetic susceptibility of helium gas, and the results are in good agreement with the measured data. The anisotropy and the nonlinearity of the refractive index are explained with the theory described in this work. Supported by Beijing Science and Technology New Star Program (Grant No. 952870400), the Beijing Municipal Commission of Education and the Excellent Young Teachers Program of Ministry of Education of China     

Error estimate for the approximation of nonlinear conservation laws on bounded domains by the finite volume method

In this paper we derive a priori and a posteriori error estimates for cell centered finite volume approximations of nonlinear conservation laws on polygonal bounded domains. Numerical experiments show the applicability of the a posteriori result for the derivation of local adaptive solution strategies.

     

小球与均质自由杆的碰撞

讨论了小球与自由杆碰撞过程中所遵从的物理规律,明确了完全非弹性碰撞过程的能量特征,指出完全非弹性碰撞后两物体不一定粘在一起共同运动的事实.     

介绍一种二元阈值方法在股票指数上的应用

二元极值的阈值方法的一个发展是用来考虑两个变量的联合分布。这个方法是建立在二元极值的点过程表示法的基础上。本文用参数 (Logistic模型 )和非参数模型对 1992 1999年的上海、深圳日收盘指数对数收益进行分析并给出分析结果。     

Converged properties of clean metal surfaces by all-electron first-principles calculations

All-electron full-potential linearized augmented plane-wave calculations of the surface energy, work function, and interlayer spacings of close-packed metal surfaces are presented, in particular, for the free-electron-like metal surfaces, Mg(0 0 0 1) and Al(1 1 1), and for the transition metal surfaces, Ti(0 0 0 1), Cu(1 1 1), Pd(1 1 1), and Pt(1 1 1). We investigate the convergence of the surface energy as a function of the number of layers in the slab, using the Cu(1 1 1) surface as an example. The results show that the surface energy, as obtained using total energies of the slab and bulk from separate calculations, converges well with respect to the number of layers in the slab. Obviously, it is necessary that bulk and surface calculations are performed with the same high accuracy. Furthermore, we discuss the performance of the local-density and generalized gradient approximations for the exchange-correlation functional in describing the various surface properties.     

Nonlinear Time Series Analysis Since 1990:Some Personal Reflections

Abstract I reflect upon the development of nonlinear time series analysis since 1990 by focusing on five majorareas of development. These areas include the interface between nonlinear time series analysis and chaos,thenonparametric/semiparametric approach,nonlinear state space modelling,financial time series and nonlinearmodelling of panels of time series.