Heterogeneity,nonlinearity and endogenous market volatility

This paper aims to contribute to the literature on the explanatory power of behavior models with heterogeneous agents. The authors present a new nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise. An exogenous noise is introduced to the model with the assumption of IID normal innovations of the fundamental value in order to investigate how noisy dynamics interacts with deterministic process. The market is composed of two typical trader types: the rational fundamentalists and the boundedly rational traders governed by greed and fear. The interaction between noise and deterministic element determines the evolution process of the system as key parameters are changed. The authors find the model is able to generate time series that exhibit dynamical and statistical properties closely resembling those of the S&P500 index, such as volatility clustering, fat tails (leptokurtosis), autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. The authors also investigate the nonlinear dependence structure in our data. The results indicate that the GARCH-type model cannot completely account for all nonlinearity in our simulated market, which is thus consistent with the results from real markets. It seems that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach.     

高校品牌文化的网络传播平台构建与设计研究——以武汉理工大学国际交流网站设计为例

为扩大国际影响力,实现国际化交流,高校可充分利用校园网络平台来传播高校品牌文化。在网络传播平台的设计中,功能设置与视觉设计是交互界面的两大重要因素,需要针对高校国际交流网站用户及该校本身的特点进行设计,从而高效、准确地传播高校的品牌文化。     

Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer

This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. This paper obtains the optimal investment policy using the stochastic linear quadratic (LQ) control theory with no-shorting constraint. Then the efficient strategy (optimal investment strategy) and efficient frontier are derived explicitly by a verification theorem with the viscosity solution of Hamilton-Jacobi-Bellman (HJB) equation.     

Sample average approximation method for a class of stochastic variational inequality problems

This paper considers a class of stochastic variational inequality problems. As proposed by Jiang and Xu (2008), by using the so-called regularized gap function, the authors formulate the problems as constrained optimization problems and then propose a sample average approximation method for solving the problems. Under some moderate conditions, the authors investigate the limiting behavior of the optimal values and the optimal solutions of the approximation problems. Finally, some numerical results are reported to show efficiency of the proposed method.     

Codimension-two bifurcations analysis and tracking control on a discrete epidemic model

In this paper, the dynamic behaviors of a discrete epidemic model with a nonlinear incidence rate obtained by Euler method are discussed, which can exhibit the periodic motions and chaotic behaviors under the suitable system parameter conditions. Codimension-two bifurcations of the discrete epidemic model, associated with 1:1 strong resonance, 1:2 strong resonance, 1:3 strong resonance and 1:4 strong resonance, are analyzed by using the bifurcation theorem and the normal form method of maps. Moreover, in order to eliminate the chaotic behavior of the discrete epidemic model, a tracking controller is designed such that the disease disappears gradually. Finally, numerical simulations are obtained by the phase portraits, the maximum Lyapunov exponents diagrams for two different varying parameters in 3-dimension space, the bifurcation diagrams, the computations of Lyapunov exponents and the dynamic response. They not only illustrate the validity of the proposed results, but also display the interesting and complex dynamical behaviors.     

Community Development and Renaissance Social Humanism: Some Lessons for Systems Science

Starting from the crisis in our communities—research has indicated it to be widely spread—the author explores the scientific tradition preceding the rise of modernism in order to draw out a more humane way of thinking that may help our contemporary societies. He discerns between two types of Renaissance humanism, one characterised by its cleverness, the other by its compassion and desire to restore dignity to the lives of people struggling to escape the clutches of medievalism. The father of the latter is Erasmus of Rotterdam and we follow the development of his conception of a social humanism as it branches out, through the work of his successors, into every scientific discipline, both natural and human. These disciplines are united by an embracing systemic idea of philosophy that unites the mind with the heart and which Erasmus called “Philosophia Christi”. We examine the two main pillars upon which this philosophy is built, love for our neighbour and education as the only legitimate instrument to change society, and the extraordinary impact it had on science and on communities living in the seventeenth century. We contrast this with the idea of power, the chosen instrument of modernity to transform society, and trace some of its tragic outcomes. We conclude by discussing the incorporation of an Erasmian type of social humanism into systems education and the future development of such programmes.     

基于高通量测序技术的阳极生物膜群落结构

利用高通量测序技术对阳极生物膜的微生物群落结构进行了分析.实验结果表明,高通量测序能够高效地获取电化学生物膜的群落结构信息,产电模式菌Geobacter属在生物膜中占据着优势地位,其数量比例达到30%左右,其次的主要菌属为Thermovirga,Thauera和Syntrophorhabdus.对比电化学活性丧失前后的生物膜发现,虽然Geobacter菌属在丧失了电化学活性的生物膜中仍然占据统治地位,但是放线菌门的细菌增长显著,其数量比例远高于正常阳极生物膜的0.5%,有可能是抑制生物膜电化学活性的因素之一.     

堆积型滑坡地震响应的离心模型试验

基于离心振动台模型试验,采用Taft波激励,不断增大其幅值,研究不同强度地震波作用下堆积型滑坡地震响应特征,对比分析了汶川地震清溪台站基岩波结果的异同.结果表明:坡面水平向和竖直向峰值加速度放大系数均随坡高增加而增大,呈现高程放大效应;坡体内水平向峰值加速度放大系数分布与坡面不同;坡面对输入地震波有反射作用并呈现坡面浅表放大效应;基岩水平向加速度随高程增加存在增大现象,与地震动输入相比,均有缩小现象.同一高程处,坡面水平向与竖直向、坡体内及基岩水平向峰值加速度放大系数随地震波幅值的增大其变化规律不同.     

Influences of ultrasonic irradiation on the morphology and structure of nanoporous Co nanoparticles during chemical dealloying

The Co-61.8 wt% Al nanoparticles of 45 nm were prepared by hydrogen plasma-metal reaction (HPMR) method. The nanoparticles display core shell structure with Al13Co4 and CoAl core and aluminum oxide shell (about 2 nm). Under ultrasonic irradiation, nanoporous fcc-Co nanoparticles were produced successfully by chemically dealloying the Co-Al nanoparticles at room temperature, whereas, without ultrasonic irradiation CoAl phase could hardly react with sodium hydroxide solution. At 323 K the Co-Al nanoparticles could be dealloyed to fcc-Co and hcp-Co phases even without ultrasonic irradiation. The surface area of the dealloyed nanoparticles under ultrasonic irradiation was larger than that of the dealloyed sample without ultrasonic irradiation at the same temperature. It is believed that the microjet and shock-wave induced by ultrasonic irradiation give rise to particles size reduction, interparticle collision and surface cleaning, and accelerate the dealloying process and the phase transformation.     

Hydroxyl radical electrochemically generated with water as the complete atom source and its environmental application

The most reactive hydroxyl radical （OH） was generated by electrochemical approach with safe water as the complete atom source. The direct evidence for OH formation was obtained by electron spin resonance method. The powerful OH electrochemically generated could effectively degrade organic pollutants and reduce the toxicity of wastewater. Electrochemical disinfection by OH was considerably efficient even without the aid of active chlorine. Bacteria inactivation of 99.99% was achieved for contact time of 30 min and current density of 5 mA·cm^-2, In comparison with active chlorine, OH is rather attractive as a promising environmentally benign disinfectant and opens a new route for microbial inactivation.