Detecting stock market regimes from option prices

Equity market returns alternate between periods of calm and crises. Researchers commonly employ regime switching models to capture this behaviour. We show that forward-looking information extracted from option prices improves regime detection. In particular, horizon spreads in option-implied equity risk premia allow earlier detection of regime switches and improve prediction of the equity premium. This findings holds across recent disaster periods like the 2008/2009 financial crisis and the 2020 Covid pandemic outbreak, in both US and Emerging equity markets.     

Geodesic orbit and naturally reductive nilmanifolds associated with graphs

We study Riemannian nilmanifolds associated with graphs. We prove that such a nilmanifold is geodesic orbit if and only if it is naturally reductive if and only if its defining graph is the disjoint union of complete graphs and the left-invariant metric is generated by a certain naturally defined inner product.     

THE CLASSIFICATION OF NILPOTENT LEIBNIZ 3-ALGEBRAS

The notions of the nilpotent and the strong-nilpotent Leibniz 3-algebras are defined. And the three dimensional two-step nilpotent, strong-nilpotent Leibniz 3-algebras are classified.     

离子液体[bmim]PTSA的微波合成

近年来,随着绿色化学的兴起,离子液体作为一种新型的绿色溶剂已成为国内外科研工作者的研究热点之一.离子液体是由有机阳离子和无机阴离子组成的盐,可以根据需要控制阴阳离子的组成和结构,设计合成出不同特性的离子液体[1].     

硫化亚锡有序纳米孔道阵列薄膜的制备与表征

以阳极氧化铝为模板,采用两步复型技术首次制备了一种SnS有序纳米孔道阵列薄膜。SEM和TEM测试结果显示此SnS有序多孔薄膜具有几乎均一的、紧密堆积的、直形的纳米孔道阵列结构,孔道直径约200mm,长度约1μm。EDS,XPS和XRD分析结果表明此SnS有序多孔薄膜的SnS骨架具有正交SnS的晶体结构,薄膜中锡与硫的原子比接近化学计量比1:1。     

CVD两步法生长ZnO薄膜及其光致发光特性

用CVD两步法在常压下于p型Si(100)衬底上沉积出具有较好择优取向的多晶ZnO薄膜。在325nm波长的光激发下,室温下可观察到显著的紫外光发射(峰值波长381nm)。高温退火后氧空位缺陷浓度增加,出现了一个450~600nm的绿光发光带,发光峰值在510nm。作为比较,用一步法生长的ZnO薄膜结晶质量稍差。在其PL谱中不仅有峰值波长389nm的紫外发射而且还出现了一个很强的蓝光发光中心(峰值波长437nm),退火后同样产生绿光发光带。对这两种绿光发光带的发光机制进行了研究,认为前者源于VO,而后者与O_Zn有密切的关系。     

On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate

In this paper, we consider the classical compound Poisson risk model with two-step premium rate. Using an alternative approach, we find the explicit expressions for the Laplace transforms of joint occupation times over disjoint intervals for this model. The Laplace transforms are expressed in terms of scale functions of L\'{e}vy processes.     

保险公司每期总准备金计算

本在保险公司是风险中性的情况下，讨论了在投资影响下的每期总准备金计算问题．通过建立它应满足的线性倒向随机微分方程，得到它在投资影响下的计算公式．     

New Phase-Shifting Method Using Two Images

We propose a continuous two-step method (CTSM) to obtain an image from two interference images for the measurement time reduction of optical coherence tomography. Image processing is performed for each pixel in CTSM. The calculated signal intensity has an average and standard deviation after processing since the heterodyne beat signal contains the noise in the measurements. We assume that the heterodyne beat signal contains the random noise in simulations and calculate the influence of the normalized standard deviation (NSD = standard deviation/average) on the random noise intensity for both CTSM and the conventional three-step method (TSM). We found that the NSD of the CTSM is only 1.4 times greater than that of the TSM despite processing only two images.     

Risk Measure and Premium Distribution on Catastrophe Reinsurance

In this paper, we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer's retention is accumulated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simulations in R environment.