Falling and explosive,dormant, and rising markets via multiple‐regime financial time series models

A multiple‐regime threshold nonlinear financial time series model, with a fat‐tailed error distribution, is discussed and Bayesian estimation and inference are considered. Furthermore, approximate Bayesian posterior model comparison among competing models with different numbers of regimes is considered which is effectively a test for the number of required regimes. An adaptive Markov chain Monte Carlo (MCMC) sampling scheme is designed, while importance sampling is employed to estimate Bayesian residuals for model diagnostic testing. Our modeling framework provides a parsimonious representation of well‐known stylized features of financial time series and facilitates statistical inference in the presence of high or explosive persistence and dynamic conditional volatility. We focus on the three‐regime case where the main feature of the model is to capturing of mean and volatility asymmetries in financial markets, while allowing an explosive volatility regime. A simulation study highlights the properties of our MCMC estimators and the accuracy and favourable performance as a model selection tool, compared with a deviance criterion, of the posterior model probability approximation method. An empirical study of eight international oil and gas markets provides strong support for the three‐regime model over its competitors, in most markets, in terms of model posterior probability and in showing three distinct regime behaviours: falling/explosive, dormant and rising markets. Copyright © 2009 John Wiley & Sons, Ltd.     

A chance-constrained portfolio selection model with risk constraints

The paper by Huang [Fuzzy chance-constrained portfolio selection, Applied Mathematics and Computation 177 (2006) 500-507] proposes a fuzzy chance-constrained portfolio selection model and presents a numerical example to illustrate the proposed model. In this note, we will show that Huang’s model produces optimal portfolio investing in only one security when candidate security returns are independent to each other no matter how many independent securities are in the market. The reason for concentrative solution is that Huang’s model does not consider the investment risk. To avoid concentrative investment, a risk constraint is added to the fuzzy chance-constrained portfolio selection model. In addition, we point out that the result of the numerical example is inaccurate.     

Selections and countably-approachable points

The present paper improves a result of Gutev [V. Gutev, Approaching points by continuous selections, J. Math. Soc. Japan (4) (2006) 1203–1210] by characterizing the countably-approachable points in sense of [V. Gutev, Approaching points by continuous selections, J. Math. Soc. Japan (4) (2006) 1203–1210] by a natural extreme-like condition in the spirit of [V. Gutev, T. Nogura, Vietoris continuous selections and disconnectedness-like properties, Proc. Amer. Math. Soc. 129 (2001) 2809–2815; V. Gutev, T. Nogura, Selection pointwise-maximal spaces, Topology Appl. 146–147 (2005) 397–408]. This demonstrates the natural relationship between different extreme-like points with respect to continuous selections for the Vietoris hyperspace of nonempty closed subsets.     

Set-maximal selections

The present paper deals with continuous selections f for the Vietoris hyperspace of all nonempty closed subsets of a space X which are maximal with respect to some closed subset SX, i.e. with the property that f(T)S for every with T∩S≠. This gives rise to a common point of view of several extreme-like properties studied before, it also provides an useful tool in classifying disconnectedness-like properties of spaces by continuous selections for the Vietoris hyperspace.     

一种新型左手材料的设计和特性研究

通过对左手材料的理论分析,设计了一种宽频带左手材料结构单元.该结构单元由一个矩形闭合环和十字型结构构成的谐振器和金属线组合而成.这种新结构中的谐振器实现负磁导率,金属线实现负介电常量,经过合理的设计,可以在某一频段内使得磁导率和介电常量同时为负,即具有负的有效折射率和正的波阻抗.数值仿真结果表明:在其工作频段内存在一个通带并且在17.6～29.0 GHz频率范围内折射率实部为负,而虚部接近于零;同时在该频率范围内波阻抗实部大于零,从而说明了该左手材料具有左手特性.除此之外,相对左手带宽达到48.9％,远远优于传统的左手材料.     

过模结构表面波振荡器模式选择

过模结构能提高器件的功率容量和工作频率, 能使器件工作在低磁场状态, 越来越多的器件采用过模结构.但是过模结构允许多个模式同时存在, 这可能会引起模式竞争问题.本文通过理论分析和数值计算, 研究了过模结构模式选择问题.计算结果表明, 通过选择合适的结构参数和电参数, 使得器件工作在行波状态, 可以实现不同横向模式的选择.在此基础上, 通过选择合适的电子束和结构参数, 能实现不同纵向模式的选择.对计算结果进行了粒子模拟验证, 与理论分析符合较好, 达到了模式选择的目的. 关键词： 过模结构 模式选择 色散关系 表面波振荡器     

Cr4+掺杂Li1.14Zn1.43SiO4透明微晶玻璃近红外宽带光谱特性

采用高温熔融法和热处理制备了Cr⁴⁺掺杂Li_1.14Zn_1.43SiO₄微晶玻璃, 探讨了不同热处理温度下样品的物相、微观形貌及发光性能. 结果表明: 580℃热处理2h得到的微晶玻璃, Li_1.14Zn_1.43SiO₄微晶的粒径约为5nm, 在808nm的二极管激发下, 可观察到中心波长位于1226nm, 半高宽为230nm的近红外宽带发射峰, 荧光寿命约为200.73±1.71μs. 随着热处理温度的升高, Cr⁴⁺离子所处的晶体场环境发生了变化, 且可以观察到样品吸收光谱发生微弱的蓝移, 而荧光光谱发生少量的红移, 分析了晶体场环境变化对样品发光性能的影响. 关键词： 铬离子 微晶玻璃 超宽带发光 晶体场     

不同衬底和CdCl2退火对磁控溅射CdS薄膜性能的影响

在科宁7059玻璃, FTO, ITO, AZO四种衬底上磁控溅射CdS薄膜, 并在CdCl₂+干燥空气380 ℃退火, 分别研究了不同衬底和退火工艺对CdS薄膜形貌、结构和光学性能的影响. 扫描电子显微镜形貌表明: 不同衬底原位溅射CdS薄膜的形貌不同, 退火后相应CdS薄膜的晶粒度和表面粗糙度明显增大. XRD衍射图谱表明: 不同衬底原位溅射和退火CdS薄膜均为六角相和立方相的混相结构, 退火前后科宁7059玻璃, FTO, AZO衬底上CdS薄膜有 H(002)/C(111) 最强衍射峰, ITO衬底原位溅射CdS薄膜没有明显的最强衍射峰, 退火后出现 H(002)/(111) 最强衍射峰. 紫外-可见分光光度计分析表明: AZO, FTO, ITO, 科宁7059玻璃衬底CdS薄膜的可见光平均透过率依次减小, 退火后相应衬底CdS薄膜的可见光平均透过率增大, 光学吸收系数降低; 退火显著增大了不同衬底CdS薄膜的光学带隙. 分析得出: 上述结果是由于不同衬底类型和退火工艺对CdS多晶薄膜的形貌、结构和带尾态掺杂浓度改变的结果. 关键词： CdS薄膜 磁控溅射 退火再结晶 带尾态     

4H-SiC肖特基二极管的电荷收集特性

针对极端环境下耐辐照半导体核探测器的研制需求,采用耐高温、耐辐照的4H碳化硅(4H-SiC)宽禁带材料制成肖特基二极管,研究了该探测器对241Am源粒子的电荷收集效率。从电容-电压曲线得出该二极管外延层净掺杂数密度为1.991015/cm3。从正向电流-电压曲线获得该二极管肖特基势垒高度为1.66 eV,理想因子为1.07,表明该探测器具备良好的热电子发射特性。在反向偏压高达700 V时,该二极管未击穿,其漏电流仅为21 nA,具有较高的击穿电压。在反向偏压为0~350 V范围内研究了该探测器对3.5 MeV 粒子电荷收集效率,在0 V时为48.7%,在150 V时为99.4%,表明该探测器具有良好的电荷收集特性。     

中波红外3 μm～5 μm宽带通滤光片的研制

 中波红外宽带通滤光膜通常膜系层数多,膜层总厚度非常大（厚度达到10 μm左右）,膜层的镀制工艺难度较大。通过分析红外带通滤光片几种设计方法的特点,并结合实际镀制工艺技术,采用了长波通与短波通及非规整薄膜设计技术相结合的方法,设计了以锗材料为基底的中波3 μm～５ μm宽带通滤光膜。该设计大幅度降低了膜层的总厚度（约为8.65 μm）,缩短了膜层的镀制周期,提高了膜层的牢固度;在膜层的镀制工艺过程中,通过改变薄膜材料的蒸发速率、修正蒸发硫化锌材料时电子枪的扫描方式、调整蒸发材料在坩埚中的装载方法,使膜层获得了优异的光谱性能,其通带平均透过率大于96%,截止区域的平均透过率小于1%。