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.     

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.     

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。     

水泥窑协同处置生活垃圾的燃烧特性分析优化

针对传统方法难以分析掺烧生活垃圾后的水泥窑复杂燃烧特性的问题,引入数据挖掘技术,以国内某水泥厂为对象,采集相关参数数据,使用稳定性选择算法分析各参数对煤耗与NO_x排量的影响系数,通过随机森林算法建立煤耗与NO_x排量的数学模型,结合K-means聚类算法得出关键优化参数及其最优值。结果表明,该方法能够建立精确的煤耗与NO_x排量模型,挖掘出节能减排的关键优化参数及其最优目标值。通过改善关键优化参数至最优值,能够大大降低煤耗与NO_x排量,可指导水泥厂优化窑内燃烧特性。     

Incorporating textual and management factors into financial distress prediction: A comparative study of machine learning methods

Financial distress prediction (FDP) has been widely considered as a promising approach to reducing financial losses. While financial information comprises the traditional factors involved in FDP, nonfinancial factors have also been examined in recent studies. In light of this, the purpose of this study is to explore the integrated factors and multiple models that can improve the predictive performance of FDP models. This study proposes an FDP framework to reveal the financial distress features of listed Chinese companies, incorporating financial, management, and textual factors, and evaluating the prediction performance of multiple models in different time spans. To develop this framework, this study employs the wrapper-based feature selection method to extract valuable features, and then constructs multiple single classifiers, ensemble classifiers, and deep learning models in order to predict financial distress. The experiment results indicate that management and textual factors can supplement traditional financial factors in FDP, especially textual ones. This study also discovers that integrated factors collected 4 years prior to the predicted benchmark year enable a more accurate prediction, and the ensemble classifiers and deep learning models developed can achieve satisfactory FDP performance. This study makes a novel contribution as it expands the predictive factors of financial distress and provides new findings that can have important implications for providing early warning signals of financial risk.