Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility

This paper considers how information from the implied volatility (IV) term structure can be harnessed to improve stock return volatility forecasting within the state-of-the-art HAR model. Factors are extracted from the IV term structure and included as exogenous variables in the HAR framework. We found that including slope and curvature factors leads to significant forecast improvements over the HAR benchmark at a range of forecast horizons, compared with the standard HAR model and HAR model with VIX as IV information set.     

Cost and Service-Level-Based Model for a Seru Production System Formation Problem with Uncertain Demand

With increasing demand diversification and short product lifecycles, industries now encounter challenges of demand uncertainty. The Japanese seru production system has received increased attention owing to its high efficiency and flexibility. In this paper, the problem of seru production system formation under uncertain demand is researched. A multi-objective optimization model for a seru production system formation problem is developed to minimize the cost and maximize the service level of the system. The purpose of this paper is to formulate a robust production system that can respond efficiently to the stochastic demand. Sample average approximation (SAA) is used to approximate the expected objective of the stochastic programming. The non-dominated sorting genetic algorithm II (NSGA-II) is improved to solve the multi-objective optimization model. Numerical experiments are conducted to test the tradeoff between cost and service level, and how the performance of the seru production system varies with the number of product types, mean and deviation of product volume, and skill-level-based cost.     

煤样浸水过程中水化学效应研究

为研究地下煤层开采中,水化学作用对预留安全煤柱的化学影响,对取自大柳塔5~(-2)煤样进行完全静态浸泡试验,浸泡时长以溶液pH波动变化幅度而定,通过对浸泡煤样溶液的pH及氧化还原电位值动态变化监测,分析盐水溶液pH及氧化还原电位与煤样水化学过程的对应关系,并结合非平衡态热力学理论判定,解释煤样水化学作用的根本原因;结果表明:煤样浸水初期溶液pH(0～4 h)降低,煤岩矿物及有机碳氧化反应产生大量酸性水,随浸泡时间的增加,煤岩长石类矿物及方解石、白云石等消耗大量的H~+,生成稳定的黏土矿物,同时长石类矿物溶解的阳离子与黏土矿物裸露表面产生离子反应,引起pH总体上升;结合非平衡态热力学理论,浸水煤样与外部环境的存在温差、水岩之间相互作用及渗流力的产生等,加快熵产生率,因此煤样浸水水化学效应所导致溶液pH及氧化还原电位值变化均属于煤样化学风化自发体系。     

Side-Channel Attacks in a Real Scenario

Existing Side-Channel Attacks(SCAs) have several limitations and, rather than to be real attack methods,can only be considered to be security evaluation methods. Their limitations are mainly related to the sampling conditions, such as the trigger signal embedded in the source code of the encryption device, and the acquisition device that serves as the encryption-device controller. Apart from it being very difficult for an attacker to add a trigger into the original design before making an attack or to control the encryption device, there is a big gap in the capacity of existing SCAs to pose real threats to cipher devices. In this paper, we propose a new method, the sliding window SCA(SW-SCA), which can be applied in scenarios in which the acquisition device is independent of the encryption device and for which the encryption source code requires no trigger signal or modification. First,we describe the main issues in existing SCAs, then we theoretically analyze the effectiveness and complexity of our proposed SW-SCA —a method that can incorporate a sliding-window mechanism into almost all of the existing non-profiled SCAs. The experimental results for both simulated and physical traces verify the effectiveness of the SW-SCA and the appropriateness of its theoretical complexity.     

低分辨率条件下鞋类的自动分类方法

根据视频监控中行人所穿鞋的鞋型搜索犯罪嫌疑人是公安机关常用侦查技战法。然而在现实案件中很多视频监控分辨率较低,公安民警不能精确识别到具体鞋型,且消耗大量的时间和警力。针对这一问题,提出一种对低分辨率视频监控下的鞋类进行自动分类的方法。参考全国制鞋标准化技术委员会2017年制定的制鞋标准,初步将鞋类分为皮鞋和运动鞋两大类;构建鞋类数据库,包括59 853幅皮鞋和47 878幅运动鞋图像;进而基于卷积神经网络,设计一种适用于鞋类自动分类的鞋类识别网络模型。实验结果表明,鞋类自动分类模型在测试阶段对鞋分类的准确率达到了95.7%,可见基本能准确识别皮鞋和运动鞋两类鞋。     

锚杆形态参数对杆体-砂浆界面剪切力学行为的影响

为了研究锚杆形态参数对杆体-砂浆界面剪切性能的影响,开展了杆体-砂浆界面二维等效侧限剪切试验,探究了不同法向应力下各锚杆形态参数对界面峰值剪切强度τ_(max)、剪切耗能值E的影响,基于逐步回归分析的结果表明:对峰值剪切强度而言,肋间距和肋高度是最主要的影响参数,而且这两个参数之间存在明显的耦合关系,肋角度对峰值剪切强度的影响与法向应力大小有关,而肋宽则影响微弱;对剪切耗能值而言,在低法向应力时,其与肋高度有关,而在高法向应力时,其与各形态参数均不显著。除此之外,基于爬坡比K和剪胀角β提出了破坏模式定量分类标准,得到了不同法向应力下锚杆的临界肋间距和肋角度,通过临界值可以判断界面的破坏模式。当肋间距小于临界值时,界面以切齿破坏为主,当肋角度小于临界值时,界面以滑移破坏为主,当肋间距和肋角度均大于临界值时,界面则会出现剪胀滑移破坏或剪切破碎破坏。试验结果为螺纹钢锚杆的形态优化提供了参考,同时为进一步揭示锚杆杆体-砂浆界面的破坏演化过程奠定了基础。     

牛蒡子炮制前后质量标志物的网络药理学研究

研究牛蒡子炮制前后质量标志物的药效作用靶点,构建“成分-靶点-疾病”作用网络,解释牛蒡子炮制机理。 通过PharmMapper数据库筛选牛蒡子炮制前后6个质量标志物成分的潜在作用靶点,通过STRING数据库构建靶点蛋白相互作用网络；采用Cytoscape软件构建“成分-靶点-疾病”网络图。牛蒡子炮制前后质量标志物成分可通过多靶点作用,在抗肿瘤、抗炎、心脏损伤保护、抗高血压等方面发挥作用,且各个成分的相关作用靶点相互交联,共同发挥多靶点药效作用。通过网络药理学方法揭示了牛蒡子炮制前后质量标志物的主要药效作用,为进一步深入揭示其炮制机理提供了科学依据。     

动车所调车作业计划优化模型与算法

本文在分析动车组一级修作业流程特点的基础上,将动车所调车作业计划优化问题构建为整数规划模型并设计了融合"股道均衡分配规则""股道无效占用时间最小化规则""冲突消解策略"的启发式算法对问题进行求解,以动车所实际案例为背景验证了模型和算法的有效性。结果表明,所提出优化模型和算法是有效的;所提启发式算法相比三类常见的调度方法具有明显的优越性。     

基于蚁群系统的仿真机器人足球攻防转换策略

为了提高机器人足球的整体攻防能力,在动态攻防转换策略中建立了基于蚁群系统的混合通信机制,既增强了足球机器人的协作能力,又避免了足球机器人陷入冲突或任务死锁状态,增加了攻防转换的灵活性。在该通信机制的基础上采用攻防区域划分的方法,以球的位置为驱动信息,通过信息素来确定变换队形。在FIRA仿真平台中实验表明,基于蚁群混合通信机制的动态攻防转换策略使得仿真足球机器人在比赛过程中表现出更优异的性能,改善了球队的整体攻防能力,可有效应用于机器人足球比赛中。