Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

On the Erlang Loss Model with Time Dependent Input

We consider the M(t)/M(t)/m/m queue, where the arrival rate λ(t) and service rate μ(t) are arbitrary (smooth) functions of time. Letting p_n(t) be the probability that n servers are occupied at time t (0≤ n≤ m, t > 0), we study this distribution asymptotically, for m→∞ with a comparably large arrival rate λ(t) = O(m) (with μ(t) = O(1)). We use singular perturbation techniques to solve the forward equation for p_n(t) asymptotically. Particular attention is paid to computing the mean number of occupied servers and the blocking probability p_m(t). The analysis involves several different space-time ranges, as well as different initial conditions (we assume that at t = 0 exactly n₀ servers are occupied, 0≤ n₀≤ m). Numerical studies back up the asymptotic analysis. AMS subject classification: 60K25,34E10 Supported in part by NSF grants DMS-99-71656 and DMS-02-02815     

相关特征的物证检验方法及其应用

本文用多元统计的方法 ,将物证检验中彼此相关的特征转化为不相关的新特征 ,再利用L和L 检验方法 ,大大拓广了L和L 检验方法的使用范围 ,提高了破案率。     

一类非线性方程解的存在和唯一性及在图像中的应用

本文我们给出一个修正的非线性扩散方程模型，与Cotte Lions和Morel的模型相比该模型有许多实质上的优点。主要的想法是把原来去噪声部分：卷积Gauss过程替代为解一个有界区域上的线性抛物方程问题，因此避开了对初始数值如何全平面延拓的问题。我们从数学上的证明该问题解的存在性和适定性，同时给出对矩形域情况的解的级数形式。最后我们给基于本模型的数值计算差分模型，并且给出几个具体图像在该模型下处理结果。     

On the covariance of the level sizes in random recursive trees

In this paper we study the covariance structure of the number of nodes k and l steps away from the root in random recursive trees. We give an analytic expression valid for all k, l and tree sizes N. The fraction of nodes k steps away from the root is a random probability distribution in k. The expression for the covariances allows us to show that the total variation distance between this (random) probability distribution and its mean converges in probability to zero. © 2002 Wiley Periodicals, Inc. Random Struct. Alg., 20: 519–539, 2002     

About Regularity of Collections of Sets

The paper continues investigations of stationarity and regularity properties of collections of sets in normed spaces. It contains a summary of different characterizations (both primal and dual) of regularity and a list of sufficient conditions for a collection of sets to be regular.     

基于SVM局部后验概率融合方法研究

研究了基于支持向量机的后验概率的应用,提出了对样本集进行分解,以产生局部后验概率,根据模式的稳健性对局部后验概率进行凸组合融合的方法.     

Ab Initio Study on the Isomerization and Dehydrogenation of Methylnitrene

The ab initio calculations were performed at the RHF/4-31G level with the reaction pathways of the iso-merization and dehydrogenation of methylnitrene by the intrinsic reaction coordinate method. The results show that the transformation from methylnitrene to methylenimine would be very easy. This accountes for the experimental fact that one couldn' t find the methylnitrene, but only obtained the methylenimine in the pyrolysis of methyl azide. The mode-selective study reveals the reaction coordinates (IRC) of isomerization and dehydrogenation of methylnitrene are associated with the molecular deformation mode of 1191 cm-1 and the methyl group unsymmetrical stretch mode, respectively. The coupling between normal coordinates is favourable to select the reaction channel of isomerization.     

ToF-SIMS analysis of a fluorocarbon-grafted PET with a gold cluster ion source

Cluster ions have been recognized as a superb primary species in time of flight secondary ion mass spectroscopy (ToF-SIMS) compared with monatomic primary ions, as they significantly enhance the secondary ion yields from bulk samples. Self-assembled monolayers provide an important system for studying the fundamental mechanism involved in the yield enhancement.We used a gold cluster ion source to analyze a new type of self-assembled monolayer: a fluorocarbon-grafted polyethylene terephthalate. In addition to the structure details, which helped to understand the grafting mechanism, ToF-SIMS analysis revealed that fluorocarbon secondary ion yield enhancements by cluster ions were due to the enhanced sputter efficiency. A larger information depth may also be expected from the enhancement. Both mathematical definitions of damage cross-section and disappearance cross-section were revisited under a new context. Another cross-section parameter, sputter cross-section, was introduced to differentiate the beam induced sputter process from damage process.     

An inverse radiative transfer problem of simultaneously estimating profiles of temperature and radiative parameters from boundary intensity and temperature measurements

A parallel-plane space filled with absorbing, emitting, isotropically scattering, gray medium is studied in this paper. The boundary intensity and boundary temperature profiles are calculated for the inverse analysis. For the simultaneous estimation of temperature, absorption and scattering coefficient profiles in the medium, the sum of residuals of boundary intensity and temperature after being weighted by a balance factor is minimized through using a Newton-type iteration algorithm and the least-squares method. To avoid over-updating for the parameters, the relative updating magnitude during the iteration process is constrained not to be >0.5. It is shown that the boundary intensity measurement alone is not enough to estimate simultaneously the temperature (source) and the radiative properties (both absorption and scattering coefficients) when the measurement data contain sensitive random errors. The boundary temperature measurement can serve as a necessary supplementation to the boundary intensity to make this kind of inverse radiative transfer problem resolvable. It was shown that a compensation relationship between absorption and scattering coefficients makes it difficult to fix them accurately. Parabolic profiles for the three parameters are used to validate the estimation method. When the optical thickness approaches 4.0, the results for the radiative properties are not acceptable, although the result for temperature profile is reasonable. This means the method needs further improvements.