Forecasting High‐Frequency Risk Measures

This article proposes intraday high‐frequency risk (HFR) measures for market risk in the case of irregularly spaced high‐frequency data. In this context, we distinguish three concepts of value‐at‐risk (VaR): the total VaR, the marginal (or per‐time‐unit) VaR and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e. the time‐at‐risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. Subsequently, we perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for two stocks (Bank of America and Microsoft) and an exchange‐traded fund based on Standard & Poor's 500 index. We show that the intraday HFR forecasts capture accurately the volatility and duration dynamics for these three assets. Copyright © 2015 John Wiley & Sons, Ltd.     

Comparison of Achievable Rates of OFDM and Single Carrier Communication Systems

This paper presents a theoretical comparison of a single carrier system and a multi-carrier system through an analysis of the achievable rate under frequency selective fading with channel state information at the receiver. A scheme was designed to compare the achievable rates of a single carrier system and an Or-thogonal Frequency Division Multiplexing (OFDM) system. A thorough theoretical analysis of the two-path channel was conducted, and simulations were also used to analyze practical stochastic channels. Analysis and simulation results show that the achievable rates of the two approaches are comparable when the channel is flat fading. However, when the channel is frequency selective fading, the single carrier system outperforms the OFDM system. The achievable rate of the OFDM system is about 10% lower than that of the single carrier system at higher SNRs.     

应用统计外推求解近海风机面外叶根部弯矩最大值

根据IEC61400-3要求，为了确立统计外推程序以预测近海风机的长期载荷，选用NREL 5MW单桩式近海风机和浮式近海风机进行研究.在风机时域仿真中，对FAST软件进行编译，将塔筒载荷计算程序嵌入FAST，弥补了现有软件的不足.对于仿真得到的短期载荷，分别应用全局最大值法和分块最大值法拟合Gumbel分布来预测面外叶根部弯矩的最大值，并进行对比.根据对比结果，进一步提出了分块最大值法的最优分块数，并通过最大门槛值法进行验证，从而为近海风机的极限载荷计算提供参考.
     

25Hz微电子交流计数站内电码化调试存在问题分析

分析了微电子交流计数站内电码化在车出清区段后不能自动复原的问题,探讨了解决问题的方案,并提出了在受端发码时受端发码电源的调试范围。     

Dynamic density forecasts for multivariate asset returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time‐varying) non‐central co‐moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully selected set of co‐moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the ‘negative tail’ of the joint distribution. Copyright © 2010 John Wiley & Sons, Ltd.     

盐酸托莫西汀早或晚单次给药治疗注意缺陷多动障碍的疗效比较

目的:比较盐酸托莫西汀每日晨服或晚服一次治疗注意缺陷多动障碍(ADHD)的疗效与安全性.方法:采用随机对照开放性设计,将91例ADHD患儿分为晨服组和晚服组,其中晨服组49例,晚服组42例,均使用盐酸托莫西汀治疗8周.采用ADHD父母评定量表第4版(ADHDRS-IV-Parent:Inv)、Conners'简式父母评...     

横断山南部边缘地区蝶类调查研究

横断山南部边缘地区调查获得蝶类258种,隶属于10科,128属.其中蛱蝶最多,为65种;其次是灰蝶和弄蝶,分别是51种和50种,这3科蝴蝶占总数约2/3(166/258).优势种12个(4.7%)、常见种91个(35.3%)、少见种43个(16.7%)、罕见种112个(43.3%);个体数分布的规律接近对数级数法则.仅3个横断山特有种符合本调查区域处于边缘的性质,东洋种占总数的79.1%,说明了本地区蝴蝶东洋区的基本属性.     

B(H)上在某点处左可导映射的刻画

证明了如果为B(H)中一个非平凡投影，则从B(H)到自身的范数连续的在P处左可导映射恒为0.还证明了若δ是从B(H)到自身的范数连续的在0处左可导映射,则δ(A)=Aδ(I)，对于任意的A∈B(H).     

广东省普通高校大学生网球运动开展现状分析与对策研究

本文针对广东省普通高校大学生网球运动发展的现状，以广东省普通高校体育部主任、网球教师、网球教练、队员、学生以及有关的专家为调查对象。运用文献资料法、问卷调查法、访谈法、座谈法、观察法、数理统计法与理论分析法等对广东省普通高校大学生网球运动开展的现状进行调查研究，并提出建议，为广东省普通高校大学生网球运动的健康发展提供依据。     

两汉诗学考——以“前三史”为例

《诗经》在汉代的经学地位早已被学界公认,但是对于其在汉代的文学地位还有待于做进一步的研究。笔者从《史记》《汉书》《后汉书》这三部史传中搜集大量例证,旨在归纳汉人的诗学观点——言志说、讽喻说、发愤说,从而探讨《诗经》文学精神在两汉时期的影响。