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.     

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。     

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     

高速飞行器发动机舱内元组件热环境研究

为满足高速飞行器发动机舱内元组件热防护及热管理的需要,就热环境问题提出了严格准确的定义;然后基于此定义与准则关系式建立了一套估算高速飞行器发动机舱内元组件热环境的传热模型。利用建立的稳态热平衡方程,通过迭代求解得到某高速飞行器发动机舱内元组件在典型飞行工况下的一维热环境。对典型飞行工况下不同参数进行了系列研究。结果表明:舱内元组件的热环境随着冷却气流流量的减少而恶化,当冷却气流质量流量从1.0 kg/s减少至0.5 kg/s时,冷却气流出口温度增加了0.185 4无量纲温度。舱内元组件自身发热量对冷却气流的温升有较大影响;且冷却气流流量越小,温升越大。当冷却气流质量流量为1.0 kg/s时,元组件自身发热量导致了0.139无量纲温升,而当冷却气流质量流量为0.5 kg/s时,元组件自身发热量导致了0.294 9无量纲温升。     

地震动摇摆分量的合成

基于入射体波(P和SV波)的波长和傅里叶幅值谱及干涉产生的面波(Rayleigh波)对地震动摇摆分量的影响,给出地震动摇摆分量合成公式.基于弹性波动理论和快速δ-矩阵算法求出设定地壳模型的面波频散曲线,同时考虑了入射体波和面波产生的摇摆分量,并基于Trifunac的研究给出地震动摇摆分量的合成过程.即由设定未来地震的地震震级M、震中距R和场地类别s等条件,利用修正的Trifunac合成公式以合成地震动平动分量,然后考虑体波和面波不同频率成分分量的贡献,合成地表一点处的地震动摇摆分量,并给出三联反应谱.     

创新集群绩效评价：以欧洲IT集群为例

对创新集群绩效评价的内涵进行深入分析,并将其大致分为获利能力、社会效益、创新效率和发展潜力4个维度;设计了创新集群绩效评价的指标体系来表征相应的4个维度,并运用主成分分析法结合欧洲IT集群2005年度的有关绩效状况进行评价;评价结论基本反映了欧洲各国IT集群的发展现状。     

大鳞鲃（Barbus capito）的含肉率及肌肉营养成分分析

对池塘饲养的野生大鳞鲃（Barbus capito）的鱼体组成、营养成分及鱼肉品质进行了研究,采用常规肌肉营养测定方法分析了5尾大鳞鲃的肌肉营养成分.结果表明：大鳞鲃肌肉（鲜样）中各组成的质量分数为粗蛋白20.27%,粗脂肪4.41%,水分73.39%,灰分0.96%,碳水化合物0.97%;含肉率64.46%.肌肉中含有17种氨基酸,总量为72.22%（干样,质量分数）,其中必需氨基酸7种,总量为29.68%,占氨基酸总量的41.10%;4种鲜味氨基酸的总量为27.47%,谷氨酸含量为11.69%;根据FAO/WHO的理想模式,大鳞鲃肌肉必需氨基酸组成相对比较合理.大鳞鲃含有16种脂肪酸,饱和脂肪酸（SFA）8种（19.62%）;不饱和脂肪酸（UFA）8种,其中单不饱和脂肪酸（MUFA）5种（74.16%）,多不饱和脂肪酸（PUFA）3种（6.228%）.微量元素比值合理.大鳞鲃的主要营养指标与我国中华倒刺鲃、光倒刺鲃相似,高于某些淡水经济鱼类,表明大鳞鲃为食用价值很高的优质鱼类.     

协方差阵扰动对Stein岭型主成分估计的影响分析

针对线性回归模型中协方差阵扰动对Stein岭型主成分估计β(P)G的影响问题进行研究.证明了β(P)G的某种极限是数据删除模型的Stein岭型主成分估计;建立了β(P)G与G-M模型的Stein岭型主成分估计β(P)之间的关系;定义了度量扰动影响的距离测度DG,并给出了DG的多种计算式;最后通过实例验证其有效性.     

卫星遥感估算淮河流域区域能量通量的方法研究

利用1998年淮河流域加密观测试验（HUBEX／IOP）期间的资料,进行淮河流域能量平衡的参数化方案的研究,用NOAA卫星的AVHRR资料建立了试验区地表特征参数及能量平衡各分量的参数化方程,并对卫星遥感反演结果和试验观测值进行了对比,为淮河流域能量和水循环的数值模拟提供了物理依据。     

小果十大功劳挥发油的化学成分分析

用水蒸气蒸馏法提取小果十大功劳(Mahonia bodinieri Gagnep.)枝叶的挥发油后,通过气相色谱-质谱联用(GC-MS)法鉴定化学成分,并以气相色谱法确认主要成分。从小果十大功劳挥发油中共分离出50多个组分,鉴定了其中36个化合物,占总量的90%以上。小果十大功劳挥发油的主要成分为主要成分为棕榈酸(54.49%),含量较高的还有亚油酸(5.98%)、α-金合欢烯(5.51%)、亚麻酸甲酯(3.45%)、棕榈酸甲酯(3.36%)等。