基于GARCH类模型-POT的股指期货保证金水平设置

由于股指期货持有空头头寸的投资者面临的风险明显高于持有多头头寸的投资者,因此应该对股指期货保证金分多头和空头分别设置.鉴于我国正处于推出金融衍生产品的探索阶段,交易的安全性和稳定性最为关键.本文通过分析研究,结合中金所设置股指期货保证金水平的做法,选取违约概率为0.001时保证金水平,将沪深300股指期货合约的保证金水平设置区间分别确定为:全尾[9.75%,12.48%]、多头[7.53%,8.57%]、空头[9.5%,13.31%].为了减小违约概率,建议中国金融期货交易所将沪深300股指期货的保证金设置水平调整为14%-16%的水平.     

基于风险约束的套期保值模型及沪深300股指实证研究

提出利用风险价值VaR建立套期保值资产组合的风险约束.以套期保值资产组合收益最大为目标,以控制套期保值资产组合风险为约束,建立了基于风险约束的套期保值模型.该模型在有效控制风险的基础上,可以大幅提高套期保值资产组合的收益.对沪深300股指现货和期货的数据进行了实证分析,对比了现有研究的最小二乘((OLS)、向量自回归(VAR)、向量误差修正(VEC)三种模型以及本文建立的基于风险约束的期货套期保值模型.样本内检验结果表明,本模型比现有研究模型的收益有大幅提高,平均增加81.6%.同时并没有失去对风险的控制,与现有研究模型只有5.32%的差别.对于样本外检验,模型在控制风险和提高收益两个方面都要优于现有研究模型.模型比现有研究模型平均可提高收益21.4%,平均降低风险3.61%.     

300kV的虚火花放电实验

 介绍了用脉冲线加速器作驱动电源产生高压虚火花放电的实验。脉冲线加速器由十级马克斯发生器和改装的脉冲形成线构成, 虚火花放电室中注入低气压氮气, 在300kV的放电电压下获得药10kA的高亮度电子束。     

Offline Monitoring of Hydroxyethyl Methacrylate and 3-Dimethylaminopropyl Methacrylamide Copolymerization: Correlation Between FTIR and GC Quantifications

Attenuated total reflection Fourier transform infrared (ATR-FTIR) spectroscopy is classically used to monitor homopolymerizations. In this article, this analytical technique was extended to monitor the synthesis of VIVIPRINT 300, which is a copolymer of 2-hydroxyethyl methacrylate (HEMA) and N-[3-dimethylaminopropyl]methacrylamide (DMAPMA). The calibration curves devised for this study were based on the two homopolymers P(HEMA) and P(DMAPMA). A good correlation was realized between the FTIR absorbance intensities observed respectively at 1300 cm^?1 (polymerized C-O ester bond) and 1230 cm^?1 (polymerized C-N amide bond) and the level of residual HEMA and DMAPMA monomers determined by GC. Application of these calibration curves to the copolymerization also exhibited a good correlation of data relating to residual monomer determination by FTIR and GC, validating the success of this spectroscopic in situ technique.     

Calibration of the R ruby fluorescence lines in the pressure range [0-1 GPa] and the temperature range [250-300 K]

Abstract

The pressure range [&1 GPa] and the temperature range [250–300 K] are commonly used in many science fields like biology, agro-chemistry, pharmacology, or geology. In this paper, the calibration of the ruby R lines of fluorescence is performed in these pressure and temperature ranges, using the melting curve of pure water. The linear shifts of ruby peaks are equal to ?0.140cm^?1/K and ?0.768cm^?1/kbar with R₁, and to ?0.137cm^?1/K and ?0.779 cm^?1/kbar with R₂. The accuracy of pressure measurements can be as good as ± 10MPa if the temperature is known with ±0.5 K. Such a precision is achieved if: (1) the position of each peak is determined using an inversion method; (2) daily shifts of the spectrometer are corrected before each acquisition; (3) peak positions of each ruby are known at ambient pressure and temperature.     

基于GARCH族模型的沪深300股指VaR度量

本文在修正了沪深300股票指数收益率序列的非平稳性和自身相关性之后,把ARMA模型与GARCH模型、GJR模型、IGARCH模型、FIGARCH模型、FIEGARCH模型、FIAPARCH模型、HYGARCH模型相结合,然后依次假设残差分布服从正态分布、t分布和偏t分布,来描述沪深300股票指数日对数收益率序列的尖峰厚尾性、杠杆效应和长记忆特性,利用上述模型分别计算沪深300股票指数的VaR值.在空头和多头投资者情况下,不同的波动性模型和不同残差分布的VaR预测有效性差距很大.比较得知,在不同的置信水平下,沪深300股票指数收益率序列空头和多头的VaR预测成功概率比较高的模型有HYGARCH和FIEGARCH这两类具有长记忆性的模型.     

抛光垫特性及其对300mm晶圆铜化学机械抛光效果的影响研究

利用扫描电子显微镜和接触式表面形貌仪分析了IC1000/Suba-IV和IC1010两种商用抛光垫的主要特性,并通过自行研制的超低压力化学机械抛光(CMP)试验机、四探针测试仪和三维白光干涉仪等研究了这两种抛光垫对300 mm晶圆铜互连的CMP材料去除率、片内非均匀性、碟形凹陷和腐蚀的影响规律.结果表明:IC1010比IC1000的硬度低、压缩率高、粗糙度大,IC1000为网格状沟槽、沟槽较宽、分布较稀,IC1010为同心圆沟槽、沟槽较细、分布较密;相同条件下IC1010比IC1000的材料去除率大、片内非均匀性好;在相同线宽下IC1000与IC1010的腐蚀几乎一致,IC1010的碟形凹陷比IC1000的略大.     

基于CVaR技术在中国股指期货中的应用

金融风险管理的核心内容是风险度量,通过分析风险度量方法 VaR模型的优劣,利用CVaR技术对中国沪深300股指期货进行了实证分析,并验证了该模型的有效性.     

Dosimetric properties of the newly developed KLT-300 (LiF:Mg,Cu,Na,Si) TL detector

The dosimetric properties of the newly developed KLT-300 (KAERI LiF:Mg,Cu,Na,Si TL detector) in KAERI (Korea Atomic Energy Research Institute) were investigated. The sensitivity of the TL detector was about 30 times higher than that of the TLD-100 by light integration. In the study of the dose linearity of the detector, the dose response was very linear up to 10 Gy and a sublinear response was observed at higher doses. The energy response of the detector was studied for photon energies from 20 to 662 keV. The results show that a maximum response of 1.004 at 53 keV and a minimum response of 0.825 at 20 keV were observed. The reproducibility study for the TL detector was also carried out. The coefficients of variation for each detector separately did not exceed 0.016, and for all the 10 detectors collectively it was 0.0054. IEC Standard requires that the coefficient of variation shall not exceed 0.075. So, the reproducibility of this new TL detector sufficiently satisfied the IEC requirements. A detection threshold of the detector was investigated and found to be 70 nGy by Harshaw 4500 TLD Reader.     

基于双AR(p)模型的股价分析及其实证研究

在双AR(p)模型的基础上,选取了具有代表性的沪深300指数,并对其部分股市收盘价序列进行了平稳化处理,研究了近期中国股市的股价波动.在双.AR(p)模型严平稳条件下进行了模型诊断,最后通过动态预测得出双AR(p)模型可用于股价预测的结论.