两个安全第一思想模型的比较分析

针对投资者可能的投资需求确立了基于安全第一思想下两个相近的投资目标:1、极大化投资末期总收益率超过给定水平α的概率;2、极小化投资末期总收益率与给定水平α的距离.并分别就这两个目标建立了优化决策模型,得到了模型解析解,最后对两个模型结果进行了比较分析和经济解释.     

Ultrasonic evaluation of anisotropic damage in multiaxially textile-reinforced thermoplastic composites made from hybrid yarns

The basic damage and failure models of multiaxially reinforced composites with a thermoplastic matrix are presented and verified. Within the framework of continuum damage mechanics, a phenomenological model is introduced, where the damage is defined as a change in the elasticity tensor. For damage identification, a specific ultrasonic device was developed. A combination of an immersion set-up and a contact coupling device formed a system for an efficient determination of stiffness-tensor components from convenient sets of velocity measurements. Linked to a tensile machine, it allowed us to measure the anisotropic damage of the new materials group caused by tensile loading. Russian translation published in Mekhanika Kompozitnykh Materialov, Vol. 42, No. 2, pp. 221–234, March–April, 2006.     

Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models

Two tests for multivariate conditional heteroscedastic models are proposed. One is based on the cross-correlations of standardized squared residuals and the other is a score (Lagrange multiplier) test. The cross-correlations test can be used to detect the presence of multivariate conditional heteroscedasticity whereas the other test can be used for diagnostic checking. Simulation studies on the size and power of the test statistics are reported. The application of the tests is illustrated by an example using the S & P 500 and Sydney All Ordinary Indexes.     

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).     

沪深股市回报率、波动率和交易量关系的实证研究

本文首先对回报率与交易量之间的关系进行了研究,发现并不存在非对称的数量关系,但存在双向的葛兰杰因果关系;同时将交易量对波动率的解释能力进行了研究,发现在沪市交易量对波动率具有解释力,而在深市交易量对波动率没有解释力。     

Testing deviations from the inverse square law with a freely falling gravity gradiometer at balloon altitudes

Summary We discuss a null experiment to search for the fifth force at ranges around 10 km. It is proposed to use a three-axis gravity gradiometer to measure the trace of the Earth gravity tensor from a freely falling elevator dropped by a balloon. The main error sources are considered to some extent. Paper presented at the V Cosmic Physics National Conference, S. Miniato, November 27–30, 1990.     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

The HITRAP project at GSI: trapping and cooling of highly-charged ions in a Penning trap

A decelerator will be installed at GSI in order to provide and study heavy nuclei without or with only few electrons at very low energies or even at rest. Highly-charged ions will be produced by stripping at relativistic energies. After electron cooling and deceleration in the Experimental Storage Ring (ESR) the ions are ejected out of the storage ring at 4 MeV/u and further decelerated in a combination of linear accelerator structures operated in reverse. Finally, they are injected into a Penning trap where the ions are cooled to 4 K by electron cooling in combination with resistive cooling. From here, the ions can be transferred in a quasi DC or in a pulsed mode to different experimental setups. This article describes the technical concepts of this project focused on the Penning trap.      

直接资本化法中自有资本收益率的算法探讨

在分析我国房地产自有资本收益率操作中所存在问题的基础上,论述了自有资本收益率的实质是自有资金直接资本化率,并在房地产持有期小于抵押贷款期以及房地产持有期和土地批租年限相同的两种情况下,推导出了与土地有限期使用制度相适应的房地产资本化率和自有资本收益率的计算方法,提出了利用债务保障比率的取值范围检验资本化率合理性的基本公式.     

Design and Cold Tests of Asymmetric Quasioptical Resonators

This paper presents the design and test of asymmetric quasioptical resonators for gyrotron applications, where most of the diffraction output coupling comes from the smaller of two mirrors. A computer code based on scalar diffraction theory is used to calculate the resonator losses and the electric field near the mirrors. Resonators with mirror separations approaching confocal have reduced side lobes in the diffraction patterns, which should allow for better power transmission and focusing. Cold tests have been performed at 94 and 141 GHz to measure the quality factor of the asymmetric resonators as a function of mirror separation and mirror misalignment. Typical resonator parameters include 65 cm mirror separation, 1-3% output coupling and 85% of the losses from the small mirror. A half-symmetric resonator with one flat and one curved mirror has also been investigated. The calculated values of Q are in reasonably good agreement with the cold test measurements.