残差修正之灰色模型应用于财务比率预测

以制造业两家上市公司为研究对象,选取15项财务比率为财务绩效指标,用灰色预测模型进行财务比率分析。为提高模型预测的准确度,使用马尔可夫残差修正灰色预测模型,可以更准确地预测企业之财务比率,提供拟定营运策略及一般大众决定投资评估参考。     

具有吸收项和局部源的一维p-拉普拉斯方程解的熄灭

利用Lp模估计和Sobolev嵌入不等式,研究了一维情形下p-拉普拉斯方程解的熄灭,并给出解在有限时刻熄灭的充分条件及衰退估计.     

宽浅型明渠非定常流的数值模拟

本文根据不可压缩三维非定常流的动量方程和连续方程,求解了宽浅型明渠中三维流速分布和水位随时间的变化规律.采用单方程湍流模式确定涡粘性系数,沿垂向引入无尺度坐标,使计算网格能拟合自由面及床面.对控制方程采用有限差分离散、剖开算子法求解.通过引用欠松驰技术,提高了计算稳定性.计算表明,本文中提出的计算方法具有时间步长大、存储量小和机时省的优点.最后,用其求解长江口南港河段的潮流运动,计算结果与现场实测结果十分一致.     

Book reviews

Summary

Five early ontogenic stages of Scomberomorus lineolatus (C. &; V.) ranging in standard length from 18·4 mm to 99·5 mm are described.

Direct comparison of these early stages with those of S. commerson (Lac.) showed differences in the number of gill rakers, the length of preopercular spines and the position of the anal fin in relation to the second dorsal fin. In the case of S. guttatus (Bl. &; Schn.) the gill rakers are of the same number as in S. lineolatus but the preopercular spines decrease in size from above with the upper two subequal in size and none projects beyond the operculum.

In the earlier stages, S. lineolatus could be easily distinguished from S. guttatus by the absence of the bluish green coloration characteristic of S. guttatus. In later stages when the coloration has developed in both the species the only marked difference between the two is in the nature of the bent portion of the lateral line which is wavy in S. lineolatus and straight in S. guttatus.

The number of vertebrae is 46 in S. lineolatus; 42–45 with 43·9 as mean in S. commerson and 47–52 with 49·7 as mean in S. guttatus.     

The Laplace Functional and Moments for Markov Branching Chains in Random Environments

The concepts of random Markov matrix, Markov branching chain in random environment (MBCRE) and Laplace functional of Markov branching chain in random environment (LFMBCRE) are introduced. The properties of LFMBCRE and the explicit formulas of moments of MBCRE are given.     

二维无解区域上一类广义Navier-Stokes方程的衰减率

主要研究二维无解区域Ω上一类广义Navier-Stokes方程速度梯度的L2衰减率.当u0∈L2(Ω)时利用新的能量方法和精确的计算得到了其速度梯度在L2范数下的衰减率为(1+t)-12.     

不同高径比石膏试样破坏特性及其能量耗散

采用RMT-150B岩石力学试验机,对七种不同高径比的石膏试样进行了单轴压缩试验,分析其力学特性及其破坏特征.根据单轴压缩力学试验结果,利用能量耗散理论,分析其能量耗散特性.研究结果表明:随轴压应力的增加,石膏试样内部微裂隙先闭合,而后在其尖端产生了新裂隙;新裂隙随轴压应力的增加而逐渐地扩展、贯通、形成破裂面,最终发生剪切滑移破坏;石膏试样的体积应变随轴压应力的增大,经历了先压缩后增加,最后急剧膨胀,表现出明显的非线性变形;石膏试样的峰值应力、弹性模量随高径比的减小而增大;轴向应变和横向应变随高径比的减小而减小;变形模量与高径比之间的关系不明确,不能用其表征石膏试样的变形特性;高径比越大的石膏试样受压后容易发生剪切破坏,破坏时吸收的能量增量越快,属于脆性破坏,而高径比越小的石膏试样则发生压酥破坏,属于塑性破坏.     

双向自主控制的光纤双向信息传输系统

为学科研究示范需要，应用PFM—501AV型发送与接收光端机以及单模光纤，研制了异地两点间广播级高质量视频与音频双向信息传输系统。为方便使用，利用光纤分路器(分光比为1：3)将接收端光信号分为控制电源开关与提取视频、音频信息2部分，并利用光信号反馈与门电路控制技术，实现了光纤双向信息传输系统开关控制的异地双向自主控制。     

Optimal Hedge Ratio Estimation and Effectiveness Using ARCD

This paper examines the importance of forecasting higher moments for optimal hedge ratio estimation. To this end, autoregressive conditional density (ARCD) models are employed which allow for time variation in variance, skewness and kurtosis. The performance of ARCD models is evaluated against that of GARCH and of other conventional hedge ratio estimation methodologies based on exponentially weighted moving averages, ordinary least squares and error correction, respectively. An empirical application using spot and futures data on the DJI, FTSE and DAX equity indices compares the in‐sample and out‐of‐sample hedging effectiveness of each approach in terms of risk minimization. The results show that the ARCD approach has the best performance, thus suggesting that forecasting higher moments is of practical importance for futures hedging. Copyright © 2012 John Wiley & Sons, Ltd.     

Break Detectability and Mean Square Forecast Error Ratios for Selecting Estimation Windows

It has been suggested that a major problem for window selection when we estimate models for forecasting is to empirically determine the timing of the break. However, if the window choice between post‐break or full sample is based on mean square forecast error ratios, it is difficult to understand why such a problem arises since break detectability and these ratios seem to have the same determinants. This paper analyses this issue first for the expected values in conditional models and then by Monte Carlo simulations for more general cases. Results show similar behaviour between rejection frequencies and the ratios but only for break tests that do not take into account forecasting error covariances, as is the case with mean square forecast error measures. Moreover, the asymmetric shape of the frequency distribution of the ratios could help us to better grasp empirical problems. An illustration using actual data is given. Copyright © 2011 John Wiley & Sons, Ltd.