Forward Rates,Monetary Policy and the Economic Cycle

The short end of the yield curve incorporates essential information to forecast central banks' decisions, but in a biased manner. This article proposes a new method to forecast the Fed and the European Central Bank's decision rate by correcting the swap rates for their cyclical economic premium, using an affine term structure model. The corrected yields offer a higher out‐of‐sample forecasting power than the yields themselves. They also deliver forecasts that are either comparable or better than those obtained with a factor‐augmented vector autoregressive model, underlining the fact that yields are likely to contain at least as much information regarding monetary policy as a dataset composed of economic data series. Copyright © 2015 John Wiley & Sons, Ltd.     

Black-Scholes模型在ESO会计处理中的应用

Black-Scholes模型是现代期权定价理论的核心,也是当前得到最普遍公认和应用的期权定价模型。因此以公允价值对股票期权进行会计处理,必然要求从会计角度对Black-Scholes模型加以应用。本文从Black-Scholes模型出发,讨论了模型在我国的适用性和对员工股票期权的适用性,从而进一步探讨了模型参数的确定。     

内燃机工作过程多维模型计算机仿真平台设计与实现

设计了内燃机工作过程仿真集成化PC平台.以缸内流体动力学为基础,耦合反映缸内工作过程的喷射、燃烧和碳烟生成等子模型构建了平台的多维模型;通过设置Compaq Visual Fortran软件的双精度运行环境,在PC微机上成功编译了KIVA-3V源代码;然后通过设计可视化模块,实现了平台计算与可视的集成化功能.试验分析表明:仿真平台能模拟内燃机缸内工作过程,准确反映客观物理因素对工作过程的影响,仿真误差小于5%,可以在内燃机行业推广.     

用微分方程方法研究红绿灯控制下的交通流模型

红绿灯模型是交通流动力学模型研究中一个重要而困难的问题,首先给出交通流模型,然后给出红绿灯交通流模型与特征线的求解,根据红绿灯模型与特征线意义,对交通流的红绿灯转换周期的设置具有重要意义．     

一种模糊高斯混合说话人识别模型

为了研究模糊聚类算法在高斯混合模型（GMM）参数获取方面的应用,采用模糊C均值算法（FCM）进行语音特征矢量的聚类,并结合Tabu搜索算法得到全局最优的聚类结果,进一步用EM算法得到GMM模型参数.使用TIMIT数据库中的语音进行测试,开集和闭集说话人辨认实验都表明,该方法获取的GMM参数比普通EM算法获得的GMM模型参数性能更优,能有效降低说话人辨认系统的误识率.     

Unobserved components in ARCH models: An application to seasonal adjustment

The paper deals with unobserved components in ARIMA models with GARCH errors, in the context of an actual application, namely seasonal adjustment of the monthly Spanish money supply series. The series shows clear evidence of (moderate) non-linearity, which does not disappear with simple outlier correction. The GARCH structure explains reasonably well the non-linearity, and this explanation is robust with respect to the GARCH specification. We look at the time variation of the standard error of the adjusted series estimator and show how it can be measured. Next, we look at the implications this variation has on short-term monetary control. The non-linearity seems to have a small effect in practice. It is further seen that the conditional variance of the GARCH process may, in turn, be decomposed into components. In fact, the conditional variance of the money supply series is the sum of a weak linear trend, a strong non-linear seasonal component, and a moderate non-linear irregular component. This information has policy implications: for example, there are periods in the year when policy can be more assertive because information is more precise. Finally, looking at the non-linear components of the money supply it is seen how linear combinations of non-linear series can produce series that behave linearly.     

Forecasting the Antwerp maritime traffic flows using transformations and intervention models

This article uses univariate time-series models with data transformations and intervention models to forecast the volumes of twenty-two maritime traffic flows in the port of Antwerp which are expressed in tonnes. The models obtained produce forecasts that are a substantial improvement over those obtained with unadjusted data. The models also provide useful insight into the behaviour of maritime traffic flows during the period 1971–82.     

Existence of macroscopic spatial superpositions in collapse theories

It is shown that the collapse dynamics in the CSL model will entangle two independent systems under certain conditions, and their state after collapse may be an entangled superposition of spatially separated states. However, since the conditions can hardly be satisfied in reality, the occurrence of such superpositions is very improbable, and thus collapse theories still provide a promising solution to the measurement problem.     

西北太平洋柔鱼资源丰度时空分布的GAM模型分析

根据1996~2001年我国在西北太平洋海域柔鱼生产统计及相关数据,利用GAM模型分析了表温、月份、经纬度等因子对柔鱼资源丰度CPUE的影响.研究认为,经纬度、月份和表温对CPUE时空分布都有较大的影响.160°E以西海域CPUE高,而165°E以东海域低,并主要集中在40°N~43°N海域.8~10月CPUE为最大.不同海域柔鱼分布的适宜表温不相同,150°E以西海域为13~18℃,150°E~165°E海域为14~18℃,165°E~180°E海域为11~14℃.     

季节性商品的促销定价模型与算法

研究了季节性商品在促销前提下的定价问题.在综合考虑季节性商品的销售特点、销售折扣率、商品库存、商品周期衰退、商品价格等问题的基础上,建立了以利润损失最小为目标的动态定价模型,以商家需处理的货物量为约束条件,基于改进遗传算法和粒子群算法,找到了成本最优的商品定价.并通过仿真,分析了商品定价对利润损失的影响,为大中型企业的促销决策提供了重要依据.