Design studies on the 4π γ-ray calorimeter for the ETF experiment at HIRFL-CSR

A high detection efficiency calorimeter which is used to detect γ-rays with energies from 1 MeV up to 10 MeV as well as light charged particles has been proposed. Design of the geometry, results of the crystal tests and Monte Carlo simulations are presented in this paper. The simulation results confirm that the calorimeter can obtain high detection efficiency and good energy resolution with the current designed geometry. And the calorimeter is competent for the future External Target Facility (ETF) experiments.     

基于共轭梯度法的感知矩阵优化方法

压缩感知理论中降低信号维数的关键问题是构造有效的测量矩阵。在已知稀疏基的情况下,基于ETF（Equiangular Tight Frame）框架的测量矩阵构造方法和稀疏信号重构过程均依赖于感知矩阵。为此,设计了一种基于共轭梯度法的感知矩阵优化方法,该方法简单易行,且所求结果的Gram矩阵与目标Gram矩阵更接近。 实验结果表明,此感知矩阵优化方法在理论分析、实际图像应用及算法有效性上均具优势。     

上证50ETF期权定价有效性的研究:基于B-S-M模型和蒙特卡罗模拟

上证50ETF期权作为中国资本市场上股票期权的第一个试点产品,其定价问题尤为重要。本文分别运用B-S-M期权定价模型和蒙特卡罗模拟方法对其定价进行实证研究,分析结果表明:1)IGARCH模型比传统的GARCH模型更能较好地拟合上证50ETF的波动率;2)当模拟次数为1000时,蒙特卡罗方法的效率一致地高于B-S-M模型,并且除了对偶变量技术的拟蒙特卡罗其他模型的精确度也都高于B-S-M模型;3)B-S-M模型和蒙特卡罗模拟方法都可以较为准确地、有效地模拟出上证50ETF期权价格。这些研究将为今后期权定价模型的发展和完善提供必要的参考和指引。     

基于唐卡图像的线条画提取方法研究

唐卡以线条为骨架造型,是色彩和线条有机组合。唐卡图像的线条画提取旨在提取一组连贯、光滑、及具风格的线条,有效地捕获和传达唐卡的轮廓信息。以有限的信息量展现唐卡的内容,赋予唐卡另外一种艺术展现形式。本文针对唐卡图像特点提出其线条画提取方法。首先,根据唐卡色彩鲜明的特点,提取RGB颜色空间三个通道梯度向量并进行融合;然后,用边缘切向流方法构造一个光滑的方向场,保留了突出的图像特征。最后,通过基于流的高斯差分滤波方法提取连贯一致的线条,同时有效地抑制噪声干扰。实验证明该方法简单,容易实现,能有效提取唐卡图像线条。     

基于ETF组合的股指期货套利研究

在考虑买卖的冲击成本的基础上,采用ETF组合作为套利的现货,建立基于ETF组合的股指期货套利模型.并运用本模型对沪深300股指期货的实际数据进行了实证分析.结果发现,本模型可以较好地发现套利机会,实现套利.     

A study of leveraged ETF based on geometric return

Leveraged (inverse) exchange-traded funds (LETFs) seek to deliver multiples (opposite) of the performance of the index or benchmark they track. LETFs typically are designed to achieve their stated performance objectives on a daily basis. Many real-life and hypothetical examples have been given to show that the performance of these ETFs over a period longer than one day can differ from their stated daily performance objectives. Formulae have been found using both continuous method and discrete method. A discrete method was used to find a formula linking the return of a leveraged fund with the corresponding multiple of the return of the unleveraged fund and its realized variance but the method needs to use some assumptions and statistical properties to create the volatility term. A CME report finds a very simple way to include volatility in their formula but fails to link to the return of the corresponding unleveraged product. In this paper, we find a natural way to link a leveraged fund with its corresponding unleveraged product and its realized variance in a discrete manner. Our derivation process is similar to that in the CME report, so we do not need to use assumptions and statistical properties to create the volatility term. Unlike the CME method, we use geometric return as opposed to arithmetic return. So, we are able to connect with the return of the corresponding unleveraged product.     

跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证

本文采用上证50 ETF及其期权交易数据,运用SVCJ模型、MCMC及傅里叶变换等方法,从P测度及Q测度中提取波动率风险溢价,并分析了其时变特征及影响因素。实证研究表明:SVCJ模型相较于SV模型及SVJ模型具有更好的市场拟合优度;傅里叶变换法能提高波动率风险溢价的估计效率;波动率风险溢价具有时变特征,在市场急剧动荡时期,波动率风险溢价基本为负,投资者厌恶波动风险,购买期权对冲波动风险的意愿较高;在市场非急剧动荡时期,波动率风险溢价基本为正,投资者偏好波动风险,购买期权对冲波动风险的意愿较低;市场收益率、波动率、换手率及投资者情绪对波动率风险溢价具有显著的影响。     

Commodity and resource ETF trading patterns during the financial crisis

This study estimates the parameters of a power law fit of the distribution of log returns of exchange traded funds (ETFs) before, during, and after the recent financial crisis. It is found, that there is considerable variation both between ETFs and between calm and turbulent phases. Exponents of the daily log return distribution are estimated to lie mostly between 3.0 and 5.0 depending on the ETF. In minute‐by‐minute, trading data much lower power law exponents have been found concentrating between 3.0 and 4.0 and sometimes dropping to values close to or below 3.0. Further, there is evidence for changes in the distribution during times of turbulence (value of the exponent, improvement in the goodness of fit measures of the distribution). It can be hypothesized that effects such as, infinite variance (for α < 3) or changes in the form of the distribution can occur, in turn affecting the predictability of the system which has implications for the possibility to control or regulate financial markets under such conditions. © 2014 Wiley Periodicals, Inc. Complexity 21: 73–83, 2016     

A note on constant proportion trading strategies

We consider constant proportion (CP) trading strategies when there are multiple underlying securities and use a recently derived expression for the terminal wealth of a CP strategy to address two issues. First, we characterize the performance of a CP strategy relative to the performance of the corresponding buy-and-hold strategy. We then explain the performance of leveraged ETFs which have been criticized for not performing as expected, particularly during the financial crisis of 2008.     

Design studies on the 4π γ-ray calorimeter for the ETF experiment at HIRFL-CSR

A high detection efficiency calorimeter which is used to detect γ-rays with energies from 1 MeV up to 10 MeV as well as light charged particles has been proposed.Design of the geometry,results of the crystal tests and Monte Carlo simulations are presented in this paper.The simulation results confirm that the calorimeter can obtain high detection efficiency and good energy resolution with the current designed geometry.And the calorimeter is competent for the future External Target Facility(ETF)experiments.