中国股票市场有效性的复合评价

本文以2000年1月4日至2011年4月1日的上证综指(000001)和深圳综指(399106)的日收盘价和日收益率为研究对象,根据随机游走假设,采用对数动态自回归模型、游程检验和单位根检验,对上海股票交易所和深圳股票交易所的市场有效性分别进行检验,结果表明沪深两市都基本达到弱式有效。由于上述检验无法证明两股市之间是否存在影响,价格水平是否互相包含,因此有必要验证沪深两市是否为联合有效。本文采用Johansen协整检验和Granger因果关系检验,结果表明上证综指的日收益率对深圳综指的日收益率有一定的预测作用,但沪深两市的价格不存在长期均衡关系,因此可判断沪深股市基本达到联合的弱式有效。     

兼顾效率和成本的ARMA控制图多目标优化设计

ARMA控制图是一种有效的自相关过程质量监控方法,为了能够同时对ARMA控制图监控方案的效率和成本进行优化,本文分别研究了ARMA控制图的平均运行长度和质量成本的计算方法,并由此建立了ARMA控制图的多目标优化设计模型。采用NSGA-Ш智能优化算法,通过一个具体的算例对该模型的计算方法进行了说明,针对不同程度的过程偏移给出了多目标优化设计的非劣解解集。然后通过灵敏度分析的方法研究了模型中的主要设计参数对监控方案的效率和成本的影响程度。最后,通过与其它几种ARMA控制图优化设计方案的比较分析,说明了本文提出的设计方法的优势。     

单边合格品链长中位数控制图设计

针对过程数据存在异常值的问题,为了监控过程均值的偏移,采用中位数统计量(X)代替传统均值(X)统计量,提出了一种单边合格品链长X(Sided Sensitive Conforming Run Length X, SCRL & X)控制图。采用马尔科夫链方法研究了SCRL & X控制图的性能,首先推导出其一步状态转移矩阵,进一步根据马尔科夫链的性质得到其平均链长(Average Run Length, ARL)。为了获得控制图的最优设计参数和性能指标值,保证其处于过程受控状态下的性能,并使其处于过程失控状态下的平均链长最小。研究结果表明,提出的SCRL & X控制图的统计性能优于传统的双边合格品链长X(Conforming Run Length, CRL & X)控制图,尤其针对过程均值产生较小偏移的情形,其优势较为明显。     

A horizontally curvilinear non‐hydrostatic model for simulating nonlinear wave motion in curved boundaries

A horizontally curvilinear non‐hydrostatic free surface model that embeds the second‐order projection method, the so‐called θ scheme, in fractional time stepping is developed to simulate nonlinear wave motion in curved boundaries. The model solves the unsteady, Navier–Stokes equations in a three‐dimensional curvilinear domain by incorporating the kinematic free surface boundary condition with a top‐layer boundary condition, which has been developed to improve the numerical accuracy and efficiency of the non‐hydrostatic model in the standard staggered grid layout. The second‐order Adams–Bashforth scheme with the third‐order spatial upwind method is implemented in discretizing advection terms. Numerical accuracy in terms of nonlinear phase speed and amplitude is verified against the nonlinear Stokes wave theory over varying wave steepness in a two‐dimensional numerical wave tank. The model is then applied to investigate the nonlinear wave characteristics in the presence of dispersion caused by reflection and diffraction in a semicircular channel. The model results agree quantitatively with superimposed analytical solutions. Finally, the model is applied to simulate nonlinear wave run‐ups caused by wave‐body interaction around a bottom‐mounted cylinder. The numerical results exhibit good agreement with experimental data and the second‐order diffraction theory. Overall, it is shown that the developed model, with only three vertical layers, is capable of accurately simulating nonlinear waves interacting within curved boundaries. Copyright © 2011 John Wiley & Sons, Ltd.     

Dn型非线性反馈移位寄存器

研究了一类Dynkin型非线性反馈移位寄存器,给出了n长码是Dn型反馈函数的周期码的充分必要条件,并得出了所有周期码及其周期。     

用于多阶光盘游长检测的PRML系统

对用于多阶光盘游长检测的部分响应最大似然（PRML）检测器的设计和实现进行了详细研究。分析了多阶光盘的编码形式,并将编码进行简化以减小维特比检测器的路径数和运算复杂度。为了提高PR均衡器和维特比检测器的性能,分析了目标PR多项式系数和记忆长度的选择。阐述了多阶光盘游长识别的维特比算法,对算法进行仿真,分析了维特比算法的识别效果,并与与传统识别算法的效果进行了比较。     

Renewal-theoretic considerations in evaluation of forecast monitoring schemes

To evaluate the performance of a scheme for monitoring forecasts that are generated by exponential smoothing, forecasters have traditionally used a simulation-based estimator of some characteristic of the associated run-length distribution. The most frequently cited performance measures are the average run length and the probability that the run length does not exceed a user-specified cut-off point. However, there is disagreement about the definition of run length that is appropriate in the context of forecasting. In this paper we use fundamental results from renewal theory to establish the precise relationships between conflicting formulations both of the average run length and of the probability density function for the run length. More generally we derive the asymptotic mean and the asymptotic distribution function of the forward recurrence time for both ordinary and delayed renewal processes whose interoccurrence distributions are arithmetic with a given span. We discuss the practical significance of these results in the context of forecasting. Our findings bear directly on the way in which simulation experiments should be designed and executed to compare alternative forecast monitoring schemes.     

联合检测过程位置参数和尺度参数的非参数Cusum控制图

用于检测生产过程的多数传统控制图都假定过程的受控分布是已知的,并假定数据服从正态分布。然而在很多情况下,由于没有足够的数据来估计过程的分布,这种假定就变得不现实,而非参数控制图却不需要任何关于分布的特殊形式的假定。另外,多数的已有控制图都是使用两个单独的均值与方差控制图来同时检测生产过程.本文中,我们提出一个新的基于Cramer-von-Mises(CvM)检验的非参数累积和控制图(称为CvM图)来同时检测过程位置参数和尺度参数。文中给出了基于不同受控平均运行长度(ARL)下的CvM图的控制限,通过步长的均值、方差及分位数来研究控制图的性能表现。最后用一个实例来说明CvM图的实际应用。     

中国试点碳排放权交易市场有效性分析

为应对气候变化问题,《京都议定书》等文件催生了以CO₂排放权作为商品的碳交易市场的建立。研究中国试点碳排放权交易市场的有效性对我国统一碳市场的建设以及碳中和目标的实现具有重要的指导意义。本文选取有效交易日数据,对中国试点碳市场的有效性进行探索性研究,结合有效市场假说理论与分形市场假说理论,分别采用游程检验法、方差比检验法以及重标极差分析法对中国碳市场有效性进行综合分析,同时探讨各方法导致计算结果不一致的原因,并利用GARCH模型进行检验。研究表明:中国试点碳市场未能达到弱式有效水平。同时,根据中国目前碳市场运行现状给出一定的建议。     

Mathematical modeling of the multi‐run process of crystal pulling from the melt by EFG (Stepanov) technique in dependence on the angle of inclination of the working edges of the dies

A mathematical model for the determination of melt hydrodynamics, impurity concentrations and thermal stresses in the multi‐run process of the growth of sapphire ribbons by EFG (Stepanov) technique with inclinated working surfaces of the dies is considered. The mathematical model deals with thermal conductivity equation, Navier‐Stokes equation, diffusion equation, capillary Laplace equation. This problem has been solved by the finite‐element method. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)