A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

梯度网络平稳点集合的Hopfield稳定性与吸引域

给出梯度神经网络模型的电路实现 ,证明了网络平稳点集合的全局 Hopfield稳定性。对各个平稳点吸引域的几何估计得到了相关结果 ,这为网络初始输入的数量与方向判定提供了基本的量度参数准则。     

保密通信新介质--人工神经网络

根据人工神经网络的结构特点和信息传输与处理特征，提出了利用物理神经网络作为通信信道的观点．在分析了现有通信信道物理模型之后，具体讨论了作为通信信道的神经网络的可能拓朴结构、神经网络学习要点、允许传输信号的模式特征，研究了神经网络信道的传输延时、通信带宽及信噪比，分析了神经网络信道处理多媒体信号的计算潜力，并着重剖析了神经网络信道固有的保密通信特征．最后给出了一个具体的神经网络信道设计实例．     

基于神经网络智能天线的一种波达方向估计方法

该文提出利用径向基函数神经网络来估计无线通信中智能天线的信号到达方向．为了减少输入，利用信号相关阵的对称性质，仅考虑相关阵中的上三角或下三角的部分元素作为网络的输入量，计算量较小．计算机模拟结果表明，该方案是有效的．     

VSAT系统改进冲突分解算法研究

文章提出一种新的改进隔离型随机N叉树形冲突分解算法,对VSAT随机接入多址接入系统中冲突分解进行了研究。给出了冲突信息分组分解所需平均时隙数和系统吞吐量的解析式,进一步给出了信息分组冲突分解的实验值。     

SDH技术在有线电视网络传输中的应用

文章介绍了SDH技术的传输原理、网络特点、基本构成及其在有线电视网络传输中的应用。     

基于学习的证券市场专家预测意见合成研究

针对证券市场的专家预测意见的特点，研究了将学习、证据理论与协同学理论引入证券市场专家预测意见合成的理论与方法．讨论了将专家的历史预测数据用基本可信数表示作为学习样本，对初选专家进行聚类分析选择有协同效应的专家．该方法用神经网络优化基本可信数的修正系数，再用Dempster合成规则进行预测意见的合成．实验结果表明该方法应用于解决实际问题时具有较好的效果．     

区域水资源可持续利用评价的神经网络方法

在论述区域水资源可持续利用与水资源承载能力关系的前提下,提出了区域水资源可持续利用评价的神经网络方法。建立的神经网络模型对汉中盆地水资源可持续利用程度进行了评价。应用实例表明:建立的模型与其他模糊综合评价和属性识别方法相比,评价结果更合理可行和可靠。对汉中盆地来说,城固的水资源可持续利用程度为低级,其他5个区县的水资源可持续利用程度为中级偏低,其中又以南郑为最高,勉县为最低。在研究的7项评价指标中,水资源利用率对可持续利用程度的影响最大,灌溉率的影响次之,生态环境用水率的影响最小,从而为提高区域水资源可持续利用程度提供了理论依据。表3,参9。     

检测陀螺仪转子安装精度的一种新方法

陀螺仪转子的安装精度对其运行的稳定性和精确性有很大的影响。由于要求的安装误差很好，因此，对其误差的测量要求准则。其测量误差应经安装误差小1／10以及上，一般的检测方法很难达到要求，为此介绍了一种新型的光电检测方法，该方法利用狭缝的光学傅立叶变换提取陀螺仪转子的误差信息，采用计算机进行信息处理，从而完成陀螺仪转子的自动检测和分类，该方法也可用于其他一些精密年的自动检测处理。     

Science Letters： A synthetic Toll-like receptor 2 ligand decreases allergic immune responses in a mouse rhinitis model sensitized to mite allergen

It has been proposed that activation of Toll-like receptors （TLRs） plays crucial roles in the polarization of adaptive immune responses. A synthetic Toll-like receptor 2 （TLR2） ligand, Pam3CSK4, has been reported to modulate the balance of Th1/Th2 responses. We evaluated the modulation effect of Pam3CSK4 on allergic immune response in a mouse rhinitis model sensitized to house dust mite allergen （HDM）. Mice were sensitized and challenged with Dermatophagoidesfarinae allergen （Der f）, and then the allergic mice were treated by Pam3CSK4. Nasal allergic symptoms and eosinophils were scored. Der f-specific cytokine responses were examined in the splenocytes and bronchoalveolar lavage fluid （BALF）. Serum level of total IgE was also detected. After establishing a mouse allergic rhinitis model with HDM, we have showed that Pam3CSK4 treatment not only ameliorated the nasal allergic symptoms remarkably but also decreased the eosinophils and total inflammation cells in BALF significantly. Analysis of cytokine profile found that IFN-7 released from either BALF or stimulated splenocytes increased markedly in Pam3CSK4-treated mice, while IL-13 decreased significantly. Moreover, serum level of total IgE was significantly lower in Pam3CSK4-treated mice than in the untreated. Thus, in an allergic rhinitis mouse model developed with HDM, Pam3CSK4 was shown to exhibit an antiallergic effect, indicating its potential application in allergic diseases.