基于半参数多元Copula-GARCH模型的开放式基金投资组合风险分析

利用Copula技术对我国开放式基金市场的投资组合进行了风险分析。为克服传统Copula模型对金融尾部数据刻画能力的不足,建立了半参数的多元Copula-GARCH模型,灵活地对各支基金的边缘分布进行拟合,刻画了开放式基金投资组合的相依结构。并利用基于Copula技术的蒙特卡洛模拟,对投资组合进行了VaR分析,结果证实了所建立模型的可行性和有效性。     

A Fast Estimation Method for Mean Change Point in Massive Data Sets

When the sample size is $N$, the computational complexity of the least squares estimate of mean change point is O(N^2), and it's necessary to reduce the computational complexity in the case of huge data. In this paper, a two-stage fast scanning algorithm is proposed for the estimation of mean change point, and it is proved that this method has the same convergence speed and limiting distribution as the least squares estimation of mean change point, and the optimal complexity of the new algorithm is O(N^{4/3}\cdot b_n^{2/3}). We have conducted sufficient data experiments in terms of computation time and estimated efficiency, and the results show that the estimated efficiency of the new and old methods is similar, but the computation time of our method is obviously shortened.     

Optical limiting effect based on stimulated Brillouin scattering in CCl4

The optical limiting effect based on stimulated Brillouin scattering (SBS) in a nonlinear medium was investigated. We numerically treated the nonlinear propagation process with a theoretical model, which includes the spontaneous nature of the initiation of SBS, and obtained optical limiting effect in the process. Energy limiting, pulse reshaping and stabilization have been demonstrated on SBS mechanism with the nonlinear medium CCl_4. The input optical signals were Nd:YAG nanosecond laser pulses with width varying from 16ns to 7ns then to 2ns, the relationship between the transmitted signal and launched pump signal was shown. In the experimental regime, the most stable pulse and a superior energy stabilization of the transmitted pulse were obtained when the laser pulse-width became as short as 2ns. For the energy variation of laser pulses in a wide range of 14－88mJ, the output energy was limited in a quite narrow range 4.5－5.5mJ.     

新型富勒烯衍生物的光限幅研究

应用倍频Ｎｄ∶ＹＡＧ脉冲激光，在波长为５３２ｎｍ、脉冲宽度分别为８ｎｓ和２３ｐｓ的条件下，研究了新型富勒氮烯乙酰氨衍生物（Ｎ－ａｃｅｔａｍｉｄｅ１，２－ｄｉｈｙｄｒｏ－１，２－ａｚａ－ｆｕｌｅｒｅｎｅ［６０］）的反饱和吸收与光限幅特性。实验结果表明，同脉宽为纳秒的激发脉冲相比，富勒烯乙酰氨衍生物对脉宽为皮秒的脉冲限幅效果比较好。     

Simulation of ion mass transfer processes with allowance for the concentration dependence of diffusion coefficients

The system of equations describing ion transport in a binary electrolyte z _a-z _c with allowance for the linear dependence of the diffusion coefficients on the concentration was analyzed in the framework of the phenomenological Nernst-Planck approach. The expressions are obtained that define concentration profiles of ions and conditions favorable for the limiting current caused by the achievement of the concentration of a saturated solution (in the case of the anodic reaction) and depletion of the near-electrode region in electroactive cations (in the case of the cathodic reaction). The revealed theoretical dependence of the limiting current on the volume concentration of the salt agrees with published experimental data. The voltammetric characteristics of the corresponding systems were calculated. The role of the migrational component of the ion flow is discussed. Published in Russian in Izvestiya Akademii Nauk. Seriya Khimicheskaya, No. 4, pp. 638–642, April, 2006.     

Nontrivial periodicity in discrete delay models of population growth

In this paper, we will study the periodicity in discrete model An+1=λAn+F(An−m) of population growth, where the delay m is large enough and the nonlinearity F is unimodal function. Actually, we prove that there is a slowly oscillated periodic solution. Our method is Browder nonextremal fixed point theorem.     

Third-order nonlinear optical studies of newly synthesized polyoxadiazoles containing 3,4-dialkoxythiophenes

The third-order nonlinear optical properties of newly synthesized soluble polyoxadiazoles containing 3,4-dialkoxythiophenes were investigated by using Z-scan and degenerate four-wave mixing (DFWM) techniques. The measurements were performed at 532 nm with 7 ns pulses from a Nd:YAG laser. We found a good agreement between the values of χ⁽³⁾ determined from both the experiments. Z-scan results indicate a negative nonlinear refractive index, n₂, whose magnitude is of the order of 10⁻¹⁰ esu for all the copolymers. The variation of nonlinear response among the copolymers clearly indicates the dependence of χ⁽³⁾ on donor and acceptor type of units present in these copolymers. The copolymers exhibit strong reverse saturable absorption and good optical limiting properties at 532 nm.     

8-辛烷氧基金属酞菁的皮秒三阶光学非线性与光限幅特性

应用Z扫描技术在甲苯溶液中研究了三种8辛烷氧基金属酞菁[(C8H17O)8PcZn(PcZn),(C8H17O)8PcNi(PcNi)和(C8H17O)8PcPb(PcPb)]在532nm对35ps脉冲激光的三阶非线性吸收和折射特性.用多能级模型拟合实验数据,得到三种酞菁的激发单重态吸收截面积σex分别为27×10-17cm2(PcZn),8.2×10-18cm2(PcNi)和3.4×10-18cm2(PcPb),相应的非线性折射率n2=-7.9×10-13,-5.5×10-13和-1.6×10-12esu,三种酞菁都具有自散焦效应.通过入射能流与透射能流的关系,研究了该类分子在甲苯溶液中在532nm对35ps脉冲激光的限幅特性,限幅机理是基于激发单重态的反饱和吸收.在TT0=0.5时,分别测定出它们的限幅阈值为60mJcm2(PcZn),80mJcm2(PcNi)和130mJcm2(PcPb).当入射能流达到500mJcm2时,相应的最高输出能流分别为40,80和150mJcm2,其中锌和镍酞菁的输出能流远低于同样条件下C60的输出能流(140mJcm2). 关键词： 光限幅 8-辛烷氧基金属酞菁 Z-扫描 非线性吸收     

四磺酸基酞菁氯化铝复合二氧化硅干凝胶的制备及光学性能研究

采用溶胶凝胶法将不同掺杂浓度的四磺酸基酞菁氯化铝(AlClPcTS)植入二氧化硅凝胶基质,制备了均匀掺杂的复合干凝胶通过对二氧化硅凝胶基质和掺杂AlClPcTS后复合干凝胶孔结构的测定和对复合体系紫外可见吸收光谱的表征,证实了AlClPcTS在基质中的成功掺杂,并发现AlClPcTS同时以单体和二聚体的形式存在于复合体系中,且AlClPcTS二聚体所占比例随着凝胶化过程的进行而增大对不同AlClPcTS掺杂浓度复合干凝胶的光限幅性能进行了测试,并讨论了掺杂浓度对复合体系光限幅性能的影响,证明复合体系的光限幅性能随掺杂浓度的提高而增强.