Non-Parametric Regression Methods

The nature of the financial time series is complex, continuous interchange of stochastic and deterministic regimes. Therefore, it is difficult to forecast with parametric techniques. Instead of parametric models, we propose three techniques and compare with each other. Neural networks and support vector regression (SVR) are two universally approximators. They are data-driven non parametric models. ARCH/GARCH models are also investigated. Our assumption is that the future value of Istanbul Stock Exchange 100 index daily return depends on the financial indicators although there is no known parametric model to explain this relationship. This relationship comes from the technical analysis. Comparison shows that the multi layer perceptron networks overperform the SVR and time series model (GARCH).     

OFDM系统中的峰值平均包络功率比上下界的分析

本文主要对OFDM系统中的峰值平均包络功率比(PMEPR)的上下界进行了推导.推导结果表明,PMEPR的上界仅和数据序列的非周期自相关函数有关,这对于迅速去除PMEPR超过给定门限的数据序列是非常有用的.从推导的PMEPR下界看,只有当子载波数N很少时,它才会随N变化较大.针对一个16子载波的BPSK OFDM系统,本文借助于PMEPR的上界还对一种降低PMEPR的选择性映射技术进行了分析,并给出了所有可能信息序列的PMEPR分布.分析结果表明,最大PMEPR约为6.5dB,比最坏情况下的PMEPR减少了5.5dB.     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

直接资本化法中自有资本收益率的算法探讨

在分析我国房地产自有资本收益率操作中所存在问题的基础上,论述了自有资本收益率的实质是自有资金直接资本化率,并在房地产持有期小于抵押贷款期以及房地产持有期和土地批租年限相同的两种情况下,推导出了与土地有限期使用制度相适应的房地产资本化率和自有资本收益率的计算方法,提出了利用债务保障比率的取值范围检验资本化率合理性的基本公式.     

“后配额时代”中国纺织品服装出口预测

本文利用单整自回归移动平均模型,依据2000年1月至2004年12月中国纺织品服装出口额数据,对2005年和2006年中国纺织品服装出口走势进行预测分析。     

高强混凝土弯压极限应变试验研究与计算

由于混凝土材料理化特性的差异,高强混凝土的弯压极限应变明显地小于普通混凝土,依据试验结果分析了高强混凝土的弯压极限应变变化规律,并给出了它的计算公式.     

A Simple Chaotic Circuit with Impulsive Switch Depending on Time and State

This paper presents a simple chaotic circuit consisting of two capacitors, one linear two-port VCCS and one time-state-controlled impulsive switch. The impulsive switch causes rich chaotic and periodic behavior. The circuit dynamics can be simplified into a one-dimensional return map that is piecewise linear and piecewise monotone. Using the return map, we clarify parameter conditions for existence of chaotic and periodic attractors and coexistence state of attractors.     

论委托理财保底条款之效力

委托理财是目前金融市场上较为普遍的一种金融现象,受托方为吸引资金往往在委托理财合同中设定保底条款。但是我国的法律和行政法规中未明确规定有关保底条款的效力,理论界对此存在不同的看法。立法不应一概否认保底条款之效力,而应在对保底收益率予以限制的前提下有条件地承认保底条款的效力。     

具有非常数回报率的证券指数跟踪问题的简单脉冲控制

运用随机脉冲控制理论讨论了均值 -方差模式的现金管理指数跟踪问题 ,在回报率随现金比重变化的情况下 ,讨论了证券指数跟踪最优化问题 ,得出了存在简单脉冲控制策略的充分性条件 .     

How likely is Polya's drunkard to stay in x⩾ y⩾z?

In his celebrated paper, Polya has considered the random walk in the three-dimensional (cubic) lattice and showed that the probability of return to the origin is less than 1. Subsequent authors have shown that the probability is %34.053.... Here we consider the same random walk, with the restriction that the drunkard is only allowed to stay inxyz. It is shown that his probability of returning to the originand staying in the allowed region is %6.4844....