高频数据下高维协方差阵的RCM算法估计与应用

基于因子模型的估计方法是高频数据下高维协方差矩阵估计的一个重要方向.为了解决行业分类门限法的主观性问题,本文使用RCM算法对剔除了主要成分的残差矩阵进行重新排序并进行分块对角化门限处理.本文首先在数值模拟中设定残差矩阵包含分块对角结构并将其顺序打乱,随后使用RCM算法进行重新排序,结果表明其能够还原乱序残差矩阵中所包含的分块对角结构.基于2015年股灾期间和2018全年的高频数据,本文将预平均法和使用RCM进行分块对角处理的POET方法进行结合,并在实证研究中对包括该估计量在内的多种协方差估计量进行了样本外预测效果的比较.结果显示改进后的估计量具有更好的预测能力,进行含总敞口约束的最小方差组合投资时的日内波动率整体较低.     

植生型生态混凝土孔隙状态对植物生长的影响

为了完善植生型生态混凝土适生性的判据,拌制了4组不同孔隙状态的生态混凝土,在其上种植百喜草,考察了百喜草的表观生长情况,测定了百喜草植物体内的脯氨酸含量、根系吸收面积及根系活力．结果表明,生态混凝土的植物适生性不仅取决于孔隙率,同时也受孔隙平均孔径的影响．孔隙率越高,平均孔径越大,越有利于植物的生长．对于百喜草而言,相比于孔隙率为36％、平均孔径小于4mm的生态混凝土,它在孔隙率为39．45％、平均孔径为6．4mm的混凝土中长势较好．     

春砂仁多糖的提取及组分分析

报道春砂仁多糖的分离纯化及结构分析的研究.以凝胶过滤色谱法测定春砂仁多糖的数量及分子量,结果显示:春砂仁主要含两种多糖,其数均分子量分别为56 421及1 743;多糖经酸解成为单糖并衍生为乙酰化的糖肟,对照标样采用气相色谱法测定其单糖组分为阿拉伯糖、甘露糖、葡萄糖及半乳糖,4种单糖含量的相对比例:1.00∶0.68∶0.97∶0.86.     

关于欧拉图的一个猜想的新结果

证明了非平面欧拉图在边连通度满足一定条件下可以表示成不超过｜Ｖ｜－２个边不重的圈的并,其中｜Ｖ｜是图的顶点数。     

Bananas and petrol: further evidence on the forecasting accuracy of the ABS ‘headline’ and ‘underlying’ rates of inflation

In the light of the still topical nature of ‘bananas and petrol’ being blamed for driving much of the inflationary pressures in Australia in recent times, the ‘headline’ and ‘underlying’ rates of inflation are scrutinised in terms of forecasting accuracy. A general structural time‐series modelling strategy is applied to estimate models for alternative types of Consumer Price Index (CPI) measures. From this, out‐of‐sample forecasts are generated from the various models. The underlying forecasts are subsequently adjusted to facilitate comparison. The Ashley, Granger and Schmalensee (1980) test is then performed to determine whether there is a statistically significant difference between the root mean square errors of the models. The results lend weight to the recent findings of Song (2005) that forecasting models using underlying rates are not systematically inferior to those based on the headline rate. In fact, strong evidence is found that underlying measures produce superior forecasts. Copyright © 2009 John Wiley & Sons, Ltd.     

Empirical analysis and forecasting of volatility dynamics in high‐frequency returns with time‐varying components

We study intraday return volatility dynamics using a time‐varying components approach, and the method is applied to analyze IBM intraday returns. Empirical evidence indicates that with three additive components—a time‐varying mean of absolute returns and two cosine components with time‐varying amplitudes—together they capture very well the pronounced periodicity and persistence behaviors exhibited in the empirical autocorrelation pattern of IBM returns. We find that the long‐run volatility persistence is driven predominantly by daily level shifts in mean absolute returns. After adjusting for these intradaily components, the filtered returns behave much like a Gaussian noise, suggesting that the three‐components structure is adequately specified. Furthermore, a new volatility measure (TCV) can be constructed from these components. Results from extensive out‐of‐sample rolling forecast experiments suggest that TCV fares well in predicting future volatility against alternative methods, including GARCH model, realized volatility and realized absolute value. Copyright © 2009 John Wiley & Sons, Ltd.     

庞泉沟国家级自然保护区蝶类的多样性

通过对山西省庞泉沟国家级自然保护区蝶类资源的调查,共发现蝶类25种,隶属7科,25属。区系分析结果表明,该地区蝶类以古北界种为主,东洋界与古北界共有种次之,东洋界种类最少。结合保护区的地理地貌、植被类型、土壤、气候等生态地理因素,分析了保护区蝶类的垂直分布特征。     

一种新的交通网络效率衡量方法及其应用

提出了一个交通拥挤网络的效率衡量方法,该方法能综合反映网络中交通需求、路段流量、旅行费用等因素对网络效率的影响,并基于该衡量方法,设计了一个网络组件(如节点和路段等)的重要度评价方法,用来辨别网络中重要的节点和路段,且该评价方法计算简便,计算结果具有一致性.算例计算分析的结果表明,相对其他网络效率衡量方法,根据本文方法计算得到的网络效率,能科学地反映交通拥挤网络的实际运行情况,并验证了所提出的效率衡量方法和重要度评价方法的合理性,同时还说明了交通拥挤网络的效率和组件重要度,均与网络中当前交通流量有直接关系.     

On integration and adaptation in complex service systems

The services sector employs a large and growing proportion of workers in the industrialized nations, and it is increasingly dependent on information and communication technologies. While the interdependences, similarities and complementarities of manufacturing and services are significant, there are considerable differences between goods and services, including the shift in focus from mass production to mass customization （whereby a service is produced and delivered in response to a customer＇s stated or imputed needs）. In general, services can be considered to be knowledge-intensive agents or components which work together as providers and consumers to create or co-produce value. Like manufacturing systems, an efficient service system must be an integrated system of systems, leading to greater connectivity and interdependence. Integration must occur over the physical, temporal, organizational and functional dimensions, and must include methods concerned with the component, the management, and the system. Moreover, an effective service system must also be an adaptable system, leading to greater value and responsiveness. Adaptation must occur over the dimensions of monitoring, feedback, cybernetics and learning, and must include methods concerned with space, time, and system. In sum, service systems are indeed complex, especially due to the uncertainties associated with the human-centered aspects of such systems. Moreover, the system complexities can only be dealt with methods that enhance system integration and adaptation. The paper concludes with several insights, including a plea to shift the current misplaced focus on developing a science or discipline for services to further developing a systems engineering approach to services, an approach based on the integration and adaptation of a host of sciences or disciplines （e.g., physics, mathematics, statistics, psychology, sociology, etc.）. In fact, what is required is a services-related transdisciplinary - beyond a single disciplinary - ontology or taxon     

基于主成份分析的仿射不变特征图像匹配方法

从理论和实验上分析比较了尺度不变特征图像匹配方法和仿射不变特征图像匹配方法的异同,为提高图像匹配的速度和图像特征描述的准确性,提出了一种利用主成份分析对仿射不变特征匹配特征描述向量降维的方法。实验结果表明该方法能加速仿射不变特征图像匹配方法,在不降低匹配效果的前提下,将128维特征向量降低至15维。