投资者情绪指数及中国股市的实证

准确度量投资者情绪,有助于深刻理解市场,进行有效的监管和制定正确的投资策略.从重新界定投资者情绪的定义出发,对投资者情绪与当期收益的关系进行了理论演绎,总结出5条有关投资者情绪与当前收益关系的假说.依据可以获得的投资者情绪代理变量,利用主成分分析构建了中国证券市场投资者情绪指数,进而利用EGARCH模型实证检验了上述5条假说.实证结果表明,理论演绎与市场实际运行有很好的相合性.     

A SINGULARLY PERTURBED PROBLEM OF THIRD ORDER EQUATION WITH TWO PARAMETERS

A singularly perturbed problem of third order equation with two parameters is studied. Using singular perturbation method, the structure of asymptotic solutions to the problem is discussed under three possible cases of two related small parameters. The results obtained reveal the different structures and limit behaviors of the solutions in three different cases. And in comparison with the exact solutions of the autonomous equation they are relatively perfect.     

Heavy-tails and regime-switching in electricity prices

In this paper we first analyze the stylized facts of electricity prices, in particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of price changes. Then we calibrate Markov regime-switching (MRS) models with heavy-tailed components and show that they adequately address the aforementioned characteristics. Contrary to the common belief that electricity price models ‘should be built on log-prices’, we find evidence that modeling the prices themselves is more beneficial and methodologically sound, at least in case of MRS models.     

Kinetic analysis of thermal degradation of recycled polycarbonate/acrylonitrile-butadiene-styrene mixtures from waste electric and electronic equipment

The study of properties in waste polymeric materials is important for a further recycling and eventual reuse. The determination of thermal properties of PC-ABS mixtures obtained from waste electric and electronic equipment (WEEE) by using thermogravimetric analysis (TGA) has been carried out in this work. Kinetic parameters, such as apparent activation energies, have been calculated by using the autocatalytic model, which has shown a good correlation with experimental data. A good agreement between calculated and experimental results was observed for PC-based mixtures. This is an indication that the addition of a high amount of ABS permits the creation of a network formed by elastomeric domains which leads to a general increase in heterogeneity of the mixture.     

Purification, characterization, kinetic properties, and thermal behavior of extracellular polygalacturonase produced by filamentous fungus Tetracoccosporium sp

For the first time, a polygalacturonase from the culture broth of Tetracoccosporium sp. was isolated and incubated at 30°C in an orbital shaker at 160 rpm for 48h. The enzyme was purified by ammonium sulfate precipitation and two-step ion-exchange chromatography and had an apparent molecular mass of 36 kDa, as shown by sodium dodecyl sulfate (SDS)-polyacrylamide gel electrophoresis. Its optimum activity was at pH 4.3 and 40°C, and the K _m and V _max values of this enzyme (for polygalacturonic acid) were 3.23 mg/mL and 0.15 μmol/min, respectively. Ag⁺, Co²⁺, EDTA, Tween-20, Tween-80, and Triton X-100 stimulated polygalacturonase activity whereas Al³⁺, Ba²⁺, Ca²⁺, Fe²⁺, Fe³⁺, Ni²⁺, Mg²⁺, Mn²⁺, and SDS inhibited it. In addition, iodoacetamide and iodoacetic acid did not inhibit enzyme activity at a concentration of 1 mM, indicating that cysteine residues are not part of the catalytic site of polygalacturonase. We studied the kinetic properties and thermal inactivation of polygalacturonase. This enzyme exhibited a t _1/2 of 63 min at 60°C and its specific activity, turnover number, and catalytic efficiency were 6.17 U/mg, 113.64 min⁻¹, and 35.18 mL/(min·mg), respectively. The activation energy (ΔE ^#) for heat inactivation was 5.341 kJ/mol, and the thermodynamic activation parameters ΔG ^#, ΔH ^#, and ΔS ^# were also calculated, revealing a potential application for the industry.     

Determination and analysis of dispersive optical constant of TiO2 and Ti2O3 thin films

Electron beam evaporation technique was used to prepare TiO₂ and Ti₂O₃ thin films onto glass substrates of thicknesses 50, 500 and 1000 nm for each sample. The structural investigations revealed that the as-deposited films are amorphous in nature. Transmittance measurements in the wavelength range (350-2000 nm) were used to calculate the refractive index n and the absorption index k using Swanepoel's method. The optical constants such as optical band gap , optical conductivity σ_opt, complex dielectric constant, relaxation time τ and dissipation factor tan δ were determined. The analysis of the optical absorption data revealed that the optical band gap E_g was indirect transitions. The optical dispersion parameters E_o and E_d were determined according to Wemple and Didomenico method.     

Distribution of selected monaural acoustical parameters in concert halls

Acoustical parameters calculated from impulse responses are often used to evaluate the characteristics of concert halls. Representative parameters are listed in the Annex of ISO 3382 and the methods of calculation and the minimum number of measurement positions are explained in detail. However, a method for selecting measurement positions is not discussed clearly, because there are wide variations in the characteristics of sound fields. This report provides basic data to solve this problem using spatial distribution characteristics of parameters in halls. Three large-scale measurement campaigns were conducted in which impulse responses were measured at 1427, 180, and 511 locations. Relatively large differences in the obtained parameters compared with well-known difference limens suggest that determining the distributions of parameter values is important. Contour maps are therefore used to display the distributions along with mean values.     

一种适用于数控锁相环的动态带宽调整算法

为了加快数控锁相环的锁定速度,该文提出了一种适用于数控锁相环的动态带宽调整算法以加快锁定速度。仅当鉴相器鉴出的3次相位差均小于一定边界条件时,该算法才减少数控锁相环的带宽,并当鉴出的相位差超出一定边界条件时,该算法将立即增加带宽。为验证所提出的动态带宽调整算法,该文在MATLAB环境中建立了数控锁相环行为级模型。仿真结果表明,在相同参数情况下,采用该文提出的动态带宽调整算法可使锁定时间缩短至采用传统动态带宽调整技术锁定时间的28.6%~85.7%。最后,该文采用CSM 0.18 m 1P6M CMOS工艺实现数控锁相环并进行实测。实测结果表明,采用该文提出的动态带宽调整算法可快速消除相位差,并使得锁相环始终维持在相位锁定状态。该文提出的动态带宽调整算法,可以有效避免基于相位差调整锁相环频率的局限性,降低错误调整带宽的几率,继而加快锁定速度。     

基于QPF的线性调频信号分离与估计

二次相位函数方法是将瞬时调频率估计算法应用于LFM信号参数估计,文中对多分量的LFM信号用QPF法进行了分析,用IQPF法解决其所存在的交叉项问题,并采用Clean法实现了不同强度LFM信号的分离与参数估计,同时抑制了强分量信号对弱分量信号的遮蔽干扰。仿真实验表明,该方法效果良好。