金融时间序列分析与建模

介绍了金融时间序列分析与建模的主要理论、方法,着重论述了近20多年发展起来的非平稳时间序列的建模方法及工具,指出进一步的研究方向.最后,对上证综合指数这一金融时间序列进行了实证分析.     

Chain length effect on dynamical structure of poly (vinyl pyrrolidone)-polar solvent mixtures in dilute solution of dioxane studied by microwave dielectric relaxation measurement

Dielectric relaxation study of the binary mixtures of poly(vinyl pyrrolidone) (PVP) (Mw=24000, 40000 and 360000 g mol⁻¹) with ethyl alcohol (EA) and poly(ethylene glycol)s (PEGs) (Mw=200 and 400 g mol⁻¹) in dilute solutions of dioxane were carried out at 10.1 GHz and 35°C. The relaxation time of PVP-EA mixtures was interpreted by the consideration of a wait-and-switch model in the local structure of self-associated ethyl alcohol molecules and also the PVP chain length as a geometric constraint for the reorientational motion of ethyl alcohol molecules. The formation of complexes and effect of PVP chain length on the molecular dynamics, chain flexibility and stretching of PEG molecules in PVP-PEG mixtures were explored from the comparative values of dielectric relaxation time. Further, relaxation time values in dioxane and benzene solvent confirm the viscosity independent molecular dynamics in PVP-EA mixtures but the values vary significantly with the non-polar solvent environment.     

Combinatorial computational chemistry approach of tight-binding quantum chemical molecular dynamics method to the design of the automotive catalysts

Recently, we have developed a new tight-binding quantum chemical molecular dynamics program “Colors” for combinatorial computational chemistry approach. This methodology is based on our original tight-binding approximation and realized over 5000 times acceleration compared to the conventional first-principles molecular dynamics method. In the present study, we applied our new program to the simulations on various realistic large-scale models of the automotive three-way catalysts, ultrafine Pt particle/CeO₂(111) support. Significant electron transfer from the Pt particle to the CeO₂(111) surface was observed and it was found to strongly depend on the size of the Pt particle. Furthermore, our simulation results suggest that the reduction of the Ce atom due to the electron transfer from the Pt particle to the CeO₂ surface is a main reason for the strong interaction of the Pt particle and CeO₂(111) support.     

Supramolecular chemistry

The article discusses molecular recognition and overviews the key concepts -storage and retrieval of chemical information by molecular structures, supramolecular reagents and catalysts, molecular transport, semiochemistry and self assembly. The prospects of controlling supramolecular architecture through engineered molecular recognition and design of ‘programmed systems’ controlled by molecular information are also discussed.     

吡啶团簇的多光子电离和离解研究

利用飞秒激光和飞行时间质谱结合从头计算对吡啶团簇的多光子电离和离解进行了研究. 给出了吡啶团簇的稳定结构和簇内的质子转移过程.     

Anharmonic effects in large-amplitude vibrations of metal clusters

Two types of extreme collective motion, large-amplitude many-phonon vibration of the ionic core and rotation of the cluster with high angular momenta, are considered. The interplay between vibration and collective motion towards fission is discussed. A new mechanism of formation and rupture of the neck is proposed which is based on the Franck-Condon principle, and accounts for the interplay between vibration and fission. Under rotation, the change of the shape of the cluster and a phase transition from axially symmetric to triaxial ellipsoid are predicted. For studying the effects, vibrational motion can be induced by laser radiation. Rotational motion may arise in collisions of clusters. Received 26 April 2001 and Received in final form 15 October 2001     

Considerations on modelling the market for softwood lumber in the United States

The analysis in this paper looks at two important elements in modelling the market for timber in the United States. First, the issue of directional causality between price and quantity and its implications in a modelling effort is investigated. Second, the extent of the geographic market for timber is discussed and a method of detecting it is suggested. The method for detecting the extent of the geographical market is tractable and can be applied in a straightforward way. Both considerations are applied to the softwood lumber market in the United States.     

Towards understanding the increase in strength of thermotropic polyesters with heat treatment

Thermotropic copolyester fibers of oxynaphthoate and oxybenzoate have been subjected to conditions that promote solid-state polymerization as well as annealing. The annealing process causes the crystals to perfect with a simultaneous increase in heat of fusion and melting temperature. Solid-state polymerization, a reaction rate-controlled process, causes the polymer viscosity average molecular weight to increase by chain extension from about 14,000 g/mole to more than 87,000 g/mole with a simultaneous impressive increase in tenacity from about 10 g/d (1.2 GPa) to almost 30 g/d (3.7 GPa). To understand the changes in mechanical properties, we have modeled the fiber structure as short rod-like molecules poorly bonded to a continuous matrix of parallel molecules. Lengthening of the reinforcing molecules facilitates better transfer of load from matrix to molecules, resulting in higher tenacity fibers. © 1994 John Wiley & Sons, Inc.     

Response of line focus acoustic microscope to specimen containing a subsurface crack

A numerical model is presented to calculate V(z) and V(x, z) curves for a line focus acoustic microscope and a specimen containing a subsurface crack. In this model, a Gaussian beam which is tracked through the lens into the coupling fluid and into the specimen, interacts with the crack. The numerical approach is based on the solution of singular integral equations by the boundary element method. The system of singular integral equations follows from the conditions at the interface of the coupling fluid and the specimen and on the faces of the crack. An electromechanical reciprocity relation is used to express the voltage at the terminals of the microscope's transducer in terms of the calculated incident and back-scattered fields. V(z) and V(x, z) curves are presented for various locations and orientations of the crack. The characteristic features of the V(z) and particularly the V(x, z) curves, as they relate to crack configuration, are discussed in some detail.     

A recursive-faulting model of distributed damage in confined brittle materials

We develop a model of distributed damage in brittle materials deforming in triaxial compression based on the explicit construction of special microstructures obtained by recursive faulting. The model aims to predict the effective or macroscopic behavior of the material from its elastic and fracture properties; and to predict the microstructures underlying the microscopic behavior. The model accounts for the elasticity of the matrix, fault nucleation and the cohesive and frictional behavior of the faults. We analyze the resulting quasistatic boundary value problem and determine the relaxation of the potential energy, which describes the macroscopic material behavior averaged over all possible fine-scale structures. Finally, we present numerical calculations of the dynamic multi-axial compression experiments on sintered aluminum nitride of Chen and Ravichandran [1994. Dynamic compressive behavior of ceramics under lateral confinement. J. Phys. IV 4, 177-182; 1996a. Static and dynamic compressive behavior of aluminum nitride under moderate confinement. J. Am. Soc. Ceramics 79(3), 579-584; 1996b. An experimental technique for imposing dynamic multiaxial compression with mechanical confinement. Exp. Mech. 36(2), 155-158; 2000. Failure mode transition in ceramics under dynamic multiaxial compression. Int. J. Fracture 101, 141-159]. The model correctly predicts the general trends regarding the observed damage patterns; and the brittle-to-ductile transition resulting under increasing confinement.