Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

Exploring Survey‐Based Inflation Forecasts

This paper first shows that survey‐based expectations (SBE) outperform standard time series models in US quarterly inflation out‐of‐sample prediction and that the term structure of survey‐based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey‐based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the 2008 financial crisis. Copyright © 2011 John Wiley & Sons, Ltd.     

SMA-滚动隔震火炬塔的地震反应分析

提出一种新的SMA-滚动隔震支座,建立了该支座的恢复力模型,并应用于火炬塔基础部位.研究了该隔震体系在El-Centro地震波作用下的时程反应,并与非隔震的火炬塔结构体系进行了对比研究.计算结果表明,SMA-滚动隔震支座隔震体系的质量层最大绝对加速度可减少86.6%,上拔力减少了72.9%,轴力最大可减少87.2%.     

机器学习模型在地下水埋深模拟中的适应性分析

基于京津冀气象、社会资料及地下水埋深数据,构建支持向量机(SVM)、循环神经网络(RNN)和长短期记忆神经网络(LSTM)模型对京津冀地区13个城市地下水埋深进行了模拟,并以确定系数、均方根误差、平均绝对百分比误差、纳什系数对3个模型的适应性进行了评价。结果表明：LSTM模型模拟效果最好,其次是RNN,SVM最差;不同城市基于LSTM模型进行地下水埋深模拟时参数调整最少,适应性最好,SVM模型参数调整最多。将3个模型应用于随机选择的6个测站进行验证,在华北地区浅层地下水埋深模拟方面,LSTM模型模拟精度和可信度最好,适应性最强,是该地区地下水埋深模拟的首选机器学习模型。     

中枢记忆性T细胞和效应记忆性T细胞

免疫记忆是适应性免疫应答的重要特征,其细胞学基础的阐明是疫苗开发和疾病预防的关键。近年来的研究表明,记忆性T细胞可以被进一步划分为中枢记忆性T细胞和外周记忆性T细胞2个亚群,它们的分布和功能迥异,在生物学特性上也不尽相同。二者关系的深入探讨对于免疫记忆的认识和疾病防治均具有重大的理论和实践意义。     

Using Quantum Associative Memory to Simulate the Brain Functions

To simulate the brain functions, a quantum associative memory combined with information preprocessing by a sparse coding model is presented. The sparse coding scheme is used to simulate the information transformation from retina up to primary visual cortex (V1) along the visual path and the quantum associative memory is used to simulate the pattern processing functions of the brain such as the pattern storing, forgetting and retrieving. Experimental results show that the model exhibits good associative ability on face recognition. Considering the huge storage capacity, mass parailel-distributed processing ability and oscillatory phenomena of the quantum system, this model might he a biological plausible implementation.     

自我参照效应的国内外研究综述

自我参照效应指的是记忆材料与自我相联系时的记忆效果显著优于其他编码条件。自我参照效应在国外的研究主要集中在研究范式和心理机制上,并从儿童到老年都有涉及;国内的研究处于起步阶段,研究方法和被试群体都有一定的局限。目前,自我参照效应的研究同文化差异和认知研究相结合,成为一个新的研究趋势。     

轻度弱智儿童工作记忆特点的初步分析

目的探讨轻度弱智儿童工作记忆能力损害的特点及其心理机制。方法采用仿制Smith的工作记忆软件,对秦巴山区部分已确诊轻度弱智儿童及正常儿童做工作记忆测验。结果两类儿童各种信息加工材料的工作记忆结果差异极显著。提示轻度弱智儿童普遍存在着工作记忆力的损害,在一般工作记忆能量与特殊工作记忆资源方面,可能也存在不同程度的损害。结论工作记忆测验可作为区分轻度弱智儿童有效的智力筛查工具。     

基于工作记忆内容的注意导向的影响因素

工作记忆内容对视觉搜索中注意选择的影响到底如何,与工作记忆内容匹配的项目是否总是会自动捕获注意,至今仍存在争议。本研究针对前人研究中存在的差异和不足,统一采用"记忆-搜索"双任务范式来探讨搜索任务难度、搜索项目刺激强度以及记忆任务呈现时间对基于工作记忆内容的注意导向的影响。结果发现:当采用困难搜索任务时,干扰条件下被试反应时与中性条件下反应时无显著差异,说明难度会影响工作记忆内容对注意选择的自动导向效应,但这种影响只有在搜索任务难度足够大的情况下才能体现出来。而在本研究中并未发现刺激强度和记忆任务呈现时间这两个因素对基于工作记忆内容的注意导向的影响,即无论刺激强度高低,或记忆任务呈现时间长或短,与工作记忆内容匹配的搜索项目还是会"自动捕获注意",导致干扰条件下被试反应时显著慢于中性条件。     

强化错误运动表象记忆以改善陈旧性动作之研究

采用强化错误运动表象记忆法，对我校教职工男子排球队和男子羽毛球队进行训练，并与传统训练方法进行比较，结果表明：新的训练方法的各项动作技术指标明显高于传统训练方法的技术指标（P〈0．01）．由此提示：强化错误运动表象记忆是一种能改善陈旧性运动技能的有效方法．