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1.
Interest in online auctions has been growing in recent years. There is an extensive literature on this topic, whereas modeling online auction price process constitutes one of the most active research areas. Most of the research, however, only focuses on modeling price curves, ignoring the bidding process. In this paper, a semiparametric regression model is proposed to model the online auction process. This model captures two main features of online auction data: changing arrival rates of bidding processes and changing dynamics of prices. A new inference procedure using B‐splines is also established for parameter estimation. The proposed model is used to forecast the price of an online auction. The advantage of this proposed approach is that the price can be forecast dynamically and the prediction can be updated according to newly arriving information. The model is applied to Xbox data with satisfactory forecasting properties. Copyright © 2016 John Wiley & Sons, Ltd. 相似文献
2.
本文运用O-U过程刻画环境变化性,在Edoardo Beretta基础上构造了有色噪声影响下的随机时滞的传染病模型。运用一般Lyapunonv方法研究了有色噪声对该系统的影响并得到系统正平衡点保持稳定的充分条件。最后通过对比发现随机扰动对系统稳定性影响仅仅与其随机过程的方差有关。 相似文献
3.
非线性随机动力学与控制研究进展及展望 总被引:3,自引:0,他引:3
朱位秋 《世界科技研究与发展》2005,27(1):1-4
随机动力学系用概率与统计方法研究自然界、工程及社会中各种随机动力学过程与现象。经一个世纪的发展,非线性随机动力学与控制已有相当的理论方法,主要是扩散过程理论方法。本文概述该理论方法,特别是作者提出与发展的非线性随机动力学与控制的Hamilton理论体系框架。最后建议各领域随机动力学与控制研究者进行跨学科的合作研究。 相似文献
4.
The exponential p-moment stability of stochastic impulsive differential equations is addressed.A new theorem to ensure the p-moment stability is established for the trivial solution of the stochastic impulsive differential system.As an application of the theorem proposed,the problem of controlling chaos of Lorenz system which is excited by parameter white-noise excitation is considered using impulsive control method.Finally,numerical simulation results are given to verify the feasibility of our approach. 相似文献
5.
Online search data provide us with a new perspective for quantifying public concern about animal diseases, which can be regarded as a major external shock to price fluctuations. We propose a modeling framework for pork price forecasting that incorporates online search data with support vector regression model. This novel framework involves three main steps: that is, formulation of the animal diseases composite indexes (ADCIs) based on online search data; forecast with the original ADCIs; and forecast improvement with the decomposed ADCIs. Considering that there are some noises within the online search data, four decomposition techniques are introduced: that is, wavelet decomposition, empirical mode decomposition, ensemble empirical mode decomposition, and singular spectrum analysis. The experimental study confirms the superiority of the proposed framework, which improves both the level and directional prediction accuracy. With the SSA method, the noise within the online search data can be removed and the performance of the optimal model is further enhanced. Owing to the long-term effect of diseases outbreak on price volatility, these improvements are more prominent in the mid- and long-term forecast horizons. 相似文献
6.
杨岳民 《世界科技研究与发展》2011,33(2):176-178
对类似于非线性薄膜一类的非线性偏微分方程提出一种新的算法.该法首先略去非线性部分的影响,或给予非线性部分莱一初值,使非线性部分成为已知,从而将原非线性方程转化为线性方程,并按差分法或其它方法求得其线性解.再将所得线性解代入非线性部分使其成为已知,再次求得其解.这样反复迭代直至收敛,进而求得原非线性方程的非线性解. 相似文献
7.
作为电子采购工具,多属性逆向拍卖(MRA)在采购实践中发挥重要作用。为了最大化利润,采购商选择披露拍卖信息。在对研究文献梳理的基础上,重点围绕不同信息披露要素之间的关系和不同信息披露政策的有效性进行了评述,以期为MRA的研究提供借鉴和参考,并激发未来的研究兴趣。 相似文献
8.
Thomas A. Knetsch 《Journal of forecasting》2007,26(7):527-549
The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield, which can be derived from the cost‐of‐carry relationship. In a recursive out‐of‐sample analysis, forecast accuracy at horizons within one year is checked by the root mean squared error as well as the mean error and the frequency of a correct direction‐of‐change prediction. For all criteria employed, the proposed forecasting tool outperforms the approach of using futures prices as direct predictors of future spot prices. Vis‐à‐vis the random‐walk model, it does not significantly improve forecast accuracy but provides valuable statements on the direction of change. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
9.
The increasing penetration of wind power has resulted in larger shares of volatile sources of supply in power systems worldwide. In order to operate such systems efficiently, methods for reliable probabilistic forecasts of future wind power production are essential. It is well known that the conditional density of wind power production is highly dependent on the level of predicted wind power and prediction horizon. This paper describes a new approach for wind power forecasting based on logistic‐type stochastic differential equations (SDEs). The SDE formulation allows us to calculate both state‐dependent conditional uncertainties as well as correlation structures. Model estimation is performed by maximizing the likelihood of a multidimensional random vector while accounting for the correlation structure defined by the SDE formulation. We use non‐parametric modelling to explore conditional correlation structures, and skewness of the predictive distributions as a function of explanatory variables. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
10.
CHUNG Kwok Wai 《中国科学:技术科学》2010,(3)
A new method,called perturbation-incremental scheme (PIS),is presented to investigate the periodic solution derived from Hopf bifurcation due to time delay in a system of first-order delayed differential equations.The method is summarized as three steps,namely linear analysis at critical value,perturbation and increment for continuation.The PIS can bypass and avoid the tedious calculation of the center manifold reduction (CMR) and normal form.Meanwhile,the PIS not only inherits the advantages of the method ... 相似文献
11.
当前,在C2C网上拍卖交易领域,各种各样的恶意行为层出不穷,信任缺失信誉欺诈现象非常突出,因此,如何建立有效的信任机制已成为亟待解决的问题.在分析现有网络信任交易机制局限性的基础上,针对网络交易信任问题的动态性、匿名性、虚拟性等特点,提出一种基于多Agent系统的网络交易动态信任计算模型与信誉系统.模型包括3部分:第一部分为用户时域的信任度,旨在着重近期历史信誉状况对现期信任度的影响,激励用户采取一致的合作策略;第二部分是对信誉反馈评分的加权平均计算,权重部分主要引入了信誉反馈评分人的信任度(反馈评分的可信性)、交易价值(防止"信誉榨取")、时间折现("防范信誉波动")等因素;第三部分为社区贡献加权,旨在根据某一时域内,一用户对社区其他成员所采取的行为情况,增加或减少此时该用户的信任值,达到孤立信誉反馈提交、惩治欺诈行为的目的.建立了事前开展防范、事中进行协调、事后给予惩罚三位一体的欺诈约束机制,保障网络在线交易的安全性.理论分析和实验验证表明该机制能有效解决三方面问题:解决难以防范投机用户小额积誉、大宗榨取的问题;有效防止会员通过虚假交易或伪造身份进行欺诈;降低网络交易平台仲裁的工作量. 相似文献
12.
The increase in oil price volatility in recent years has raised the importance of forecasting it accurately for valuing and hedging investments. The paper models and forecasts the crude oil exchange‐traded funds (ETF) volatility index, which has been used in the last years as an important alternative measure to track and analyze the volatility of future oil prices. Analysis of the oil volatility index suggests that it presents features similar to those of the daily market volatility index, such as long memory, which is modeled using well‐known heterogeneous autoregressive (HAR) specifications and new extensions that are based on net and scaled measures of oil price changes. The aim is to improve the forecasting performance of the traditional HAR models by including predictors that capture the impact of oil price changes on the economy. The performance of the new proposals and benchmarks is evaluated with the model confidence set (MCS) and the Generalized‐AutoContouR (G‐ACR) tests in terms of point forecasts and density forecasting, respectively. We find that including the leverage in the conditional mean or variance of the basic HAR model increases its predictive ability. Furthermore, when considering density forecasting, the best models are a conditional heteroskedastic HAR model that includes a scaled measure of oil price changes, and a HAR model with errors following an exponential generalized autoregressive conditional heteroskedasticity specification. In both cases, we consider a flexible distribution for the errors of the conditional heteroskedastic process. 相似文献
13.
Xiaohang Ren;Wenting Jiang;Qiang Ji;Pengxiang Zhai; 《Journal of forecasting》2024,43(7):2809-2821
In this paper, we propose a novel imaging method to forecast the daily price data of West Texas Intermediate (WTI) crude oil futures. We use convolutional neural networks (CNNs) for future price trend prediction and obtain higher prediction accuracy than other benchmark forecasting methods. The results show that images can contain more nonlinear information, which is beneficial for energy price forecasting. Nonlinear factors also have a strong influence during drastic fluctuations in crude oil prices. In the robustness tests, we find that the image-based CNN is the most stable approach and can be applied in various futures forecasting scenarios. In the prediction of low-frequency models for high-frequency data, the CNN method still retains considerable predictive power, indicating the possibility of transfer learning of our novel approach. By unleashing the power of the picture, we open up a whole new perspective for forecasting future energy trends. 相似文献
14.
基于交易成本理论的网络购物满意度影响因素分析 总被引:3,自引:0,他引:3
本文将交易成奉理论应用于网络购物满意度研究,在分析网络购物的优势并界定网络购物满意度的基础上,从交易成本的视角,探讨网络购物满意度的影响因素,指出这些影响因素与顾客满意度的关系,进而提出研究命题,以及相关的营销建议. 相似文献
15.
Aaron Smith 《Journal of forecasting》2005,24(8):557-574
This article addresses the problem of forecasting time series that are subject to level shifts. Processes with level shifts possess a nonlinear dependence structure. Using the stochastic permanent breaks (STOPBREAK) model, I model this nonlinearity in a direct and flexible way that avoids imposing a discrete regime structure. I apply this model to the rate of price inflation in the United States, which I show is subject to level shifts. These shifts significantly affect the accuracy of out‐of‐sample forecasts, causing models that assume covariance stationarity to be substantially biased. Models that do not assume covariance stationarity, such as the random walk, are unbiased but lack precision in periods without shifts. I show that the STOPBREAK model outperforms several alternative models in an out‐of‐sample inflation forecasting experiment. Copyright © 2005 John Wiley & Sons, Ltd. 相似文献
16.
针对动力电缆运行的高稳定性要求,介绍了一种基于M-Bus总线和以太网总线的双总线结构的电缆温度远程在线监测的设计方案,具有节省布线,施工维护方便的特点。重点介绍了M-Bus数据采集单元的硬件设计和软件实现。该系统采用了TinyARM嵌入式工控板为硬件平台,μC/OS-II实时操作系统为软件核心,对电缆沟的温度、烟雾、水位和视频信号的实时采集。 相似文献
17.
The P/E ratio is often used as a metric to compare individual stocks and the market as a whole relative to historical valuations. We examine the factors that affect changes in the inverse of the P/E ratio (E/P) over time in the broad market (S&P 500 Index). Our model includes variables that measure investor beliefs and changes in tax rates and shows that these variables are important factors affecting the P/E ratio. We extend prior work by correcting for the presence of a long‐run relation between variables included in the model. As frequently conjectured, changes in the P/E ratio have predictive power. Our model explains a large portion of the variation in E/P and accurately predicts the future direction of E/P, particularly when predicted changes in E/P are large or provide a consistent signal over more than one quarter. Copyright © 2008 John Wiley & Sons, Ltd. 相似文献
18.
在假设截齿的截割阻力和牵引阻力服从Gamma分布、侧向力服从正态分布并考虑其相关性的条件下,运用随机过程理论通过MATLAB编程对其进行计算机模拟。结果表明,三向力随谱氏系数_厂呈剧增趋势;牵引阻力是栽荷最大峰值的最大分力。通过模拟,可单独研究某一参数对截齿截割性能的影响,从而部分地替代实验和工程实测,节省大量的实验费用。 相似文献
19.
B. D. McCullough 《Journal of forecasting》1996,15(4):293-304
Derivation of prediction intervals in the k-variable regression model is problematic when future-period values of exogenous variables are not known with certainty. Even in the most favourable case when the forecasts of the exogenous variables are jointly normal, the distribution of the forecast error is non-normal, and thus traditional asymptotic normal theory does not apply. This paper presents an alternative bootstrap method. In contrast to the traditional predictor of the future value of the endogenous variable, which is known to be inconsistent, the bootstrap predictor converges weakly to the true value. Monte Carlo results show that the bootstrap prediction intervals can achieve approximately nominal coverage. 相似文献
20.
分析了随机用户平衡分配的算法还有很大的改进余地。用遗传算法求解Akamatsu建立的随机用户平衡模型,为随机用户平衡分配的求解提供新的途径。在一个小型测试网络上对遗传算法的求解进行了说明。 相似文献