One‐way analysis of variance with long memory errors and its application to stock return data

Recent empirical results indicate that many financial time series, including stock volatilities, often have long‐range dependencies. Comparing volatilities in stock returns is a crucial part of the risk management of stock investing. This paper proposes two test statistics for testing the equality of mean volatilities of stock returns using the analysis of variance (ANOVA) model with long memory errors. They are modified versions of the ordinary F statistic used in the ANOVA models with independently and identically distributed errors. One has a form of the ordinary F statistic multiplied by a correction factor, which reflects slowly decaying autocorrelations, that is, long‐range dependence. The other is a test statistic such that the degrees of freedom of the denominator in the ordinary F test statistic is calibrated by the so‐called effective sample size. Empirical sizes and powers of the proposed test statistics are examined via Monte Carlo simulation. An application to German stock returns is presented. Copyright © 2007 John Wiley & Sons, Ltd.     

Preparation of aqueous CdS colloids in the presence of cadmium complexonates: effect of complexonates on the size of CdS nanoparticles

The results of a systematic study of the preparation of CdS colloids in aqueous solutions containing different Cd²⁺ complexonates are presented. The effects of the ratio of the reagents and the nature and concentration of various stabilizing surfactants and Cd²⁺ complexonates, including those of some sulfur-containing compounds, on the size of the colloidal particles have been studied. Thermodynamic calculation of the expected equilibrium size of the colloidal particles as a function of the solvent composition, taking into account the increase in the solubility of the CdS phase as the particle size decreases, has been performed. Comparison of the calculated results with the experimental data shows that the size of colloidal particles is determined to a great extent by kinetic factors of their growth rather than by thermodynamic factors. It has been established that when the size of colloidal particles is less than a critical value, their dissolution by adding strong compexing agents to the system does not result in a change in the observed mean-volume size of the particles.Translated fromIzvestiya Akademii Nauk. Seriya Khimicheskaya, No. 9, pp. 1739–1746, September, 1995.The authors are grateful to A. L. Chuvilin (G. K. Boreskov Institute of Catalysis, SB of the RAS) for help in preparing the electron photomicrographs.The work was financially supported by the Russian Foundation for Basic Research (Project No. 93-03-4816).     

Atomic size effects on recombination processes during thermoluminescence in doped crystals

Atomic size effects on recombination processes during thermoluminescence (TL) in KCl: Harshaw (nominally pure samples), KCl: Ag (14 ppm), KCl: Na(>250 ppm) and KCl: Li (1 ppm) following room temperature (RT) γ-irradiation (20Mrad) has been examined. Results show that the stability of defects increases with decreasing dopant atomic size. (Peak temperatures are 210°C, 255°C and 277, 5°C in Ag-doped Na-doped and Li-doped samples respectively.) The trap-depth also increases as atomic size of dopants decreases. Emission spectrum indicates that only a perturbation of the well known band peak at 440 nm is caused by impurities. Additional band peaks occur in Ag-doped samples.     

用飞秒激光脉冲研究聚合物膜中PbS超微粒的非线性光学性质

将ＰｂＳ超微粒掺进有机物中得到ＰｂＳ／Ｆｌｅｍｉｏｎ复合膜。室温下的线性吸收光谱表明其吸收带边与体相材料相比发生明显兰移，但没有观察到激子吸收峰。用飞秒激光脉冲做光源，用泵浦－探测方法记录了样品的时间分辨光克尔效应信号，据此得到其三阶非线性极化率、响应时间等一些重要数据，并对观察到的实验现象进行了分析讨论。     

小颗粒金属表面吸附原子的荧光和共振荧光

本文使用表面修饰的光学布洛赫方程和镜象法,对小颗粒金属表面吸附原子的荧光和共振荧光等光学特性进行理论研究.着重讨论吸附原子的自发辐射寿命、跃迁频移、共振荧光谱、偶极矩的压缩以及吸收线宽等,研究小颗粒金属的尺寸效应以及吸附原子与它之间距离的变化对上述光学性质的影响.     

PTR系统空间分辨率受光斑尺寸影响的理论和实验研究

给出光热辐射测量（ＰＴＲ）系统空间分辨率的定义。研究了入射光光斑尺寸对空间分辨率的影响，理论分析及实验研究表明，聚焦后的入射光能大大提高系统的空间分辨率。     

Polycarbonate particles and dye‐labeled particles by miniemulsion polymerization

We describe the synthesis of several different polycarbonate particles by miniemulsion polymerization. The monomers were allylmethyl carbonate (AlMeC), di(ethylene glycol) bisallylcarbonate (DBAC), and 4‐vinyl‐1,3‐dioxan‐2‐one [vinyl ethylene carbonate (VEC)]. For these polymerizations, higher monomer conversions were obtained with oil‐soluble initiators (azobisisobutyronitrile and benzoyl peroxide) than with a water‐soluble initiator (potassium persulfate). Benzoyl peroxide was particularly effective in yielding particles with a narrow size distribution. Although increasing amounts of a surfactant (sodium dodecyl sulfate) led to smaller particles, the choice of the monomer was the major determinant. For example, in polymerization reactions carried out at 85 °C with benzoyl peroxide as the initiator and with otherwise identical recipes, we obtained particle sizes of 181 nm with AlMeC, 296 nm with VEC, and 203 nm with DBAC. Fluorescent particles were synthesized with comonomers based on the benzothioxanthene nucleus. Because the dyes had poor solubility in the monomers, it was necessary to include typically 20 wt % bromobenzene or dichlorobenzene based on the monomer in the miniemulsion reaction mixture. © 2004 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 42: 1999–2009, 2004     

An O(T log T) Algorithm for the Dynamic Lot Size Problem with Limited Storage and Linear Costs

In this paper the dynamic lot size problem with time varying storage capacities and linear costs is addressed. Like in the uncapacitated version, this problem can be formulated as a network flow problem. Considering the properties of the underlying network, we devise an O(T log T) greedy algorithm to obtain optimal policies and we report computational results for randomly generated problems.     

描述离散系统动力学演变的Monte Carlo方法分析

通用动力学方程通过描述离散系统中颗粒尺度分布的演变过程来量化颗粒动力学演变过程,而Monte Carlo(MC)算法是求解通用动力学方程的重要方法.目前几种主流的MC算法为Liffman的直接模拟Monte Carlo算法(DSMC)、阶梯式常体积法、常数目法和多重Monte Carlo(MMC)算法.利用这些MC算法描述理想的纯凝并工况和纯破碎工况,发现:由于避免了多个动力学事件之间的解耦过程,基于事件驱动的MC算法比基于时间驱动的MC算法具有更高的计算精度和更低的计算代价;由于尽量减少对整体系统的扰动,阶梯式恢复模拟颗粒数目的MC算法比连续式恢复模拟颗粒数目的MC算法具有更高的精度;由于始终保持计算区域体积,多重Monte Carlo算法具有更友好的扩展性.     

The use of multidimensional chromatography for the isolation of synthetic oligodeoxyribonucleotides on a preparative scale

Summary A critical step in the chemical preparation of oligonucleotides is the chromatographic purification of the deprotected oligomers. In case of large quantities of reaction products, the oligonucleotides are first enriched on a QAE-Sephadex column at low pressure. The obtained fractions are then purified by multidimensional chromatography making use of three independent physical properties of the solutes: molecular size, ionic net charge and hydrophobicity. In the first dimension size exclusion chromatography (Sephadex G-15) is used. In the second dimension the high molecular weight fraction from the size exclusion chromatography is applied to a HPLC ion-exchange column (Partisil-10 SAX). Usually the last peak is collected and transferred to a HPLC reversed phase column (Nucleosil C18) where the components are separated according to their hydrophobicity in the third dimension. The efficiency of this multi-dimensional chromatographic procedure is demonstrated by the unequivocal fingerprints after radioactive labelling of the isolated oligonucleotides. Presented at the 15th International Symposium on Chromatography, Nürnberg, October 1984