Randomized unit root processes for modelling and forecasting financial time series: Theory and applications

This paper considers the problems of statistically analysing the levels of financial time series rather than their differences, which are often equivalent to returns and which are traditionally analysed in econometric modelling. This focus on differences is a consequence of the inherent nonstationarity of the levels, and hence analysing the latter requires introducing an alternative framework for modelling nonstationary behaviour. We do this by considering randomized unit root processes, arguing that these can have a natural interpretation in the financial context. The paper thus develops methods for testing for randomized unit roots and for modelling such processes. It then applies these techniques to various financial time series, so as to ascertain their potential usefulness, particularly for forecasting.     

Forecasting and analyzing economic activity with coincident and leading indexes: The case of Connecticut

We develop coincident and leading employment indexes for the Connecticut economy. Four employment-related variables enter the coincident index while five employment-related variables enter the leading index. The peaks and troughs in the leading index lead the peaks and troughs in the coincident index by an average of 3 and 9 months. Finally, we use the leading index in vector-autoregressive (VAR) and Bayesian vector-autoregressive (BVAR) models to forecast the coincident index, non-farm employment, and the unemployment rate.     

页岩结构完整性评价的热-流体-变形耦合理论与方法

该文应用连续介质力学理论建立了与蒸汽注入过程相关的热-流-变形耦合问题的基本数学模型;应用全隐式顺序Galerkin有限元数值解方案,对注蒸汽井的热-流体-变形耦合过程进行了数值模拟。结果表明,由于低渗透页岩地层流体高温膨胀导致的超高孔隙压力,有可能产生拉张应力,严重时会导致地层破裂。     

量子全加法器的修改和算法研究

通过与经典全加器的基本模型进行比较后,讨论了一个改进后的量子平面加法器的基本构型.对其原理、组件和算法进行了研究,比较了本加法器两个主要组件与一般量子加法器的不同.作为应用的例,设计了一个n比特量子全加法器的模型,对其具体运算过程和基本功能进行了说明.     

Optimal sampling frequency for volatility forecast models for the Indian stock markets

This paper evaluates the performance of conditional variance models using high‐frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities calculated at two different frequencies is used as benchmark to evaluate the volatility forecasting ability of the conditional variance models (GARCH (1, 1)) at different sampling frequencies. From the analysis, it is found that sampling at 30 minutes gives the best forecast for daily volatility. The forecasting ability of these models is deteriorated, however, by the non‐normal property of mean adjusted returns, which is an assumption in conditional variance models. Nevertheless, the optimum frequency remained the same even in the case of different models (EGARCH and PARCH) and different error distribution (generalized error distribution, GED) where the error is reduced to a certain extent by incorporating the asymmetric effect on volatility. Our analysis also suggests that GARCH models with GED innovations or EGRACH and PARCH models would give better estimates of volatility with lower forecast error estimates. Copyright © 2008 John Wiley & Sons, Ltd.     

The x-phi(les): unusual insights into the nature of inquiry

Experimental philosophy is often regarded as a category mistake. Even those who reject that view typically see it as irrelevant to standard philosophical projects. We argue that neither of these claims can be sustained and illustrate our view with a sketch of the rich interconnections with philosophy of science.     

自调式镦压挤胀复合液压机的研制

从力学原理、设计原理、整机结构、关键零部件的设计和工作程序,系统地介绍了自调式镦压挤胀复合液压机．由于压机设计了顶出缸对下活动横梁调节限位结构,回程拉杆对上镦压横梁的复位结构及镦压缸和气液储能器之间的连通协调结构,这不仅使该液压机结构紧凑,同时节省了上镦压横梁的回程液压缸、下活动横梁的镦压缸,并简化了上凸模与上镦压模分设的液压系统,而且解决了直齿圆柱齿轮在塑性成形过程中齿顶难以充满、齿根易出现微裂纹,以及成形压力过大和模具寿命过低的问题．     

基于拉格朗日系统中约束力思想的编队卫星构形非线性控制方法

借鉴经典动力学中约束力的思想,提出了一种编队卫星构形精确保持的非线性控制方法．该方法首先将非线性和摄动条件下编队卫星构形保持问题转换为带有完整约束的拉格朗日动力学系统,然后将问题转换为一组微分代数方程,通过求解微分代数方程,确定编队卫星构形保持的非线性控制律．由于借鉴了约束力的思想,该方法自然地利用了编队卫星动力学系统的力学特性,具有节省能量和高精度的特点．通过对线性和非线性条件下空间圆编队卫星构形保持问题的仿真,验证了提出的非线性控制方法的这些特性．     

Direct inhibition of phospholipid scrambling activity in erythrocytes by potassium ions

The exposure of phosphatidylserine (PS) at the cell surface plays a critical role in blood coagulation and serves as a macrophage recognition moiety for the engulfment of apoptotic cells. Previous observations have shown that a high extracellular [K⁺] and selective K⁺ channel blockers inhibit PS exposure in platelets and erythrocytes. Here we show that the rate of PS exposure in erythrocytes decreases by ~50% when the intracellular [K⁺] increases from 0 to physiological concentrations. Using resealed erythrocyte membranes, we further show that lipid scrambling is inducible by raising the intracellular [Ca²⁺] and that K⁺ ions have a direct inhibitory effect on this process. Lipid scrambling in resealed ghosts occurs in the absence of cell shrinkage and microvesicle formation, processes that are generally attributed to Ca²⁺-induced lipid scrambling in intact erythrocytes. Thus, opening of Ca²⁺-sensitive K⁺ channels causes loss of intracellular K⁺ that results in reduced intrinsic inhibitory effect of these ions on scramblase activity. Received 11 September 2008; received after revision 17 October 2008; accepted 27 October 2008