基于ACD模型的股指期货市场流动性研究

利用沪深300股指期货连续合约的高频数据,采用参数估计的方法运用R软件对数据进行处理,消除其日模式并建立ACD模型.还加入了市场微结构噪声,探讨交易量持续期的信息传递机制.实证分析表明,在选取样本中,价格波动和交易量与股指期货市场流动性显著正相关,交易量持续期与股指期货市场流动性显著负相关,信息交易增加导致流动性降低,进而为投资者进行决策提供一定的参考.     

Day‐ahead price forecasting based on hybrid prediction model

Short‐Term Price Forecast is a key issue for operation of both regulated power systems and electricity markets. Energy price forecast is the key information for generating companies to prepare their bids in the electricity markets. However, this forecasting problem is complex due to nonlinear, nonstationary, and time variant behavior of electricity price time series. So, in this article, the forecast model includes wavelet transform, autoregressive integrated moving average, and radial basis function neural networks (RBFN) is presented. Also, an intelligent algorithm is applied to optimize the RBFN structure, which adapts it to the specified training set, reduce computational complexity and avoids over fitting. Effectiveness of the proposed method is applied for price forecasting of electricity market of mainland Spain and its results are compared with the results of several other price forecast methods. These comparisons confirm the validity of the developed approach. © 2016 Wiley Periodicals, Inc. Complexity 21: 156–164, 2016     

Pricing Asian options of discretely monitored geometric average in the regime‐switching model

This paper provides analytic pricing formulas of discretely monitored geometric Asian options under the regime‐switching model. We derive the joint Laplace transform of the discount factor, the log return of the underlying asset price at maturity, and the logarithm of the geometric mean of the asset price. Then using the change of measures and the inversion of the transform, the prices and deltas of a fixed‐strike and a floating‐strike geometric Asian option are obtained. As the numerical results, we calculate the price of a fixed‐strike and a floating‐strike discrete geometric Asian call option using our formulas and compare with the results of the Monte Carlo simulation. Copyright © 2016 John Wiley & Sons, Ltd.     

A multi‐stage ‘infection’ model of stock investors' reaction to new product announcement signal

Drawing on viral dynamics theory, this paper presents a differential equations model with time delay to investigate the stock investor behavior driven by new product announcement (NPA) signal. Visually, we look upon investors in stock market as cells in vivo and the NPA signals as free virus. The potential investors will be ‘infected’ by the dissociative NPA signal and then make investment decisions. In order to better understand the ‘infection’ process, we extract and establish a multi‐stage process during which NPA signal is delivered and ‘infects’ the potential investors. A time‐delay effect is employed to reflect the evaluation stage at which potential investors comprehensively evaluate and decide whether to invest or not. In addition, we introduce a set of external and internal factors into the model, including information sensitivity and investor sentiment, and so on, which are pivotal for examining investor behavior. Equilibrium analysis and numerical simulations are employed to check out the properties of the model and highlight the practical application values of the model. Copyright © 2016 John Wiley & Sons, Ltd.     

4-Hydroxy-2-quinolones 123. Amidation of 2-bromomethyl-5-oxo-1,2-dihydro-5H-oxazolo[3,2-<Emphasis Type="Italic">a</Emphasis>]-quinoline-4-carboxylic acid

The reaction of 2-bromomethyl-5-oxo-1,2-dihydro-5H-oxazolo[3,2-a]quinoline-4-carboxylic acid with thionyl chloride is accompanied by a transformation of the oxazoloquinolone ring to give 4-chloro-1-(2,3-dichloropropyl)-2-oxo-1,2-dihydroquinoline-3-carboxylic acid chloride. __________ Translated from Khimiya Geterotsiklicheskikh Soedinenii, No. 7, pp. 1034–1042, July, 2007.     

Synthesis of pyranonaphthoquinone antibiotics involving the ring closing metathesis of a vinyl ether

The synthesis of two antibiotic pyranonaphthoquinones was performed by a straightforward synthetic route utilizing ring closing metathesis. Vinylation of 3-(1-propenyl)-2-hydroxymethyl-1,4-dimethoxynaphthalene under iridium catalysis and subsequent ring closing metathesis of 3-(1-propenyl)-2-vinyloxymethyl-1,4-dimethoxynaphthalene with Grubbs' catalyst paved the way to the natural antibiotics pentalongin and psychorubrin.     

Total synthesis of patulolide A through ring closing metathesis

A simple and efficient total synthesis of patulolide A from readily available 7-octen-1-ol is reported by asymmetric synthetic approach. The key reactions involved are asymmetric dihydroxylation using AD-mix-β and Grubbs’ ring-closing metathesis reaction for the synthesis macrocyclic ring system.     

Stereoselective synthesis of tarchonanthuslactone via the Prins cyclisation

The stereoselective total synthesis of tarchonanthuslactone, a polyketide natural product, has been achieved. The synthesis exploits the high stereochemical control in the Prins cyclisation along with ring closing metathesis (RCM) as a key step.     

维生素C及其制剂的一阶导数差示脉冲极谱法测定

本文建立了维生素Ｃ及其制剂的一阶导数差示脉冲极谱定量分析方法，在水溶液中，维生素Ｃ于－１．１０Ｖ（ｖｓＡｇ／ＡｇＣｌ）处出现一良好的一阶导数差示脉冲极谱峰，在１～１７５μｇ／ｍＬ范围内，维生素Ｃ浓度与其一阶导数差示脉冲极谱峰幅值呈非常显著的线性关系（Ｐ〈０．０１），方法简便，快速，灵敏，结果准确。     

A short stereoselective synthesis of (+)-boronolide

A short and stereoselective synthesis of (+)-boronolide via oxidative functionalization of an olefin using a pendant sulfinyl group is described. Diastereoselective allylation was performed using Keck’s protocol and the lactone moiety was prepared by ring closing metathesis.