A spherical representation of a correlation matrix

It is common practice to perform a principal component analysis (PCA) on a correlation matrix to represent graphically the relations among numerous variables. In such a situation, the variables may be considered as points on the unit hypersphere of an Euclidean space, and PCA provides a sort of best fit of these points within a subspace. Taking into account their particular position, this paper suggests to represent the variables on an optimal three-dimensional unit sphere.

---

Résumé Il est classique d'utiliser une analyse en composantes principales pour représenter graphiquement une matrice de corrélation. Dans une telle situation, les variables peuvent être considérées comme des points sur l'hypersphère unité d'un espace Euclidien, et l'analyse en composantes principales permet d'obtenir une bonne approximation de ces points à l'aide d'un sous-espace Euclidien. Prenant en compte une telle situation géométrique, le présent article suggère de représenter les variables sur une sphère tri-dimensionelle optimale.

     

The Time and Cost Prediction of Tunnel Boring Machine in Tunnelling

0Introduction Thetimeandcostprediction,whicharegettingonslow ly,arealwaysthekeyfactorthatdeterminewhethertheassistantdecision makingsystemisutility.Soitisnecessarytoresearchonthetimeandcostneededinaspecialprojectand theirprobabilitydistributing,whichcouldbeusedasacredi blebasisforsigningacontractandasatooltooptimizecon structionplanandtoreducecost.SystemofOkubo[1]hasthreephases:①Checktheenvironmentsothatitissuitable forthefundamentalrequirementsinwhichtunnelboringma chine(TBM)isused;②Estim…     

求解多元函数总体极小谷峰法的验证与测试

本文介绍了对求多元函数总体极小谷峰法的基本思路,简述了算法的收敛和复杂性,并用多个典型函数进行了验证和测试.计算结果表明,相比其它算法,谷峰法简单,实用,运算速度快,对目标函数要求低,易推广应用.     

FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE

Support Vector Machine (SVM) is a very specific type of learning algorithms characterized by the capacity control of the decision function, the use of the kernel functions and the sparsity of the solution. In this paper, we investigate the predictability of financial movement direction with SVM by forecasting the weekly movement direction of NIKKEI 225 index. To evaluate the forecasting ability of SVM, we compare the perfor-mance with those of Linear Discriminant Analysis, Quadratic Discriminant Analysis and Elman Backpropagation Neural Networks. The experiment results show that SVM outperforms other classification methods. Furthermore, we propose a combining model by integrating SVM with other classification methods. The combining model performs the best among the forecasting methods.     

Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub‐optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out‐of‐sample forecasting performance of various linear and GARCH‐type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decision making. Copyright © 2002 John Wiley & Sons, Ltd.     

基于多元GARCH模型的可转换债券市场与股票市场的波动关系研究

可转换债券作为一种混合型的金融衍生品,已经成为金融市场中重要的组成成分,并且其市场与股票市场之间又是互相影响的,它们的共同发展对金融市场的繁荣和企业竞争力的提高方面起到了积极的推动作用.因此,对可转债市场与股票市场之间关系的实证研究具有一定的理论与现实意义.基于上证指数(000001)与上证转债指数(000139),运用BEKK形式的多元GARCH模型来实证研究可转债市场与股票市场之间的波动关系及其溢出效应.实证结果发现,这两个市场之间有正相关的关系,并且存在双向的波动溢出效应.     

基于多元线性回归模型和灰色关联分析的江苏省粮食产量预测

针对江苏省近年来粮食产量波动的现状,采用灰色关联模型对2000~2009年江苏省粮食产量进行分析.结果发现,播种面积、化肥施用量、年均气温、年均降水以及农药施用量等5个因素是粮食产量波动的主导因素.然后在灰关联分析的基础上建立多元线性回归方程对2010~2012年江苏省粮食产量进行预测与验证,结果表明预测效果良好.最后,针对现状提出了相关建议.     

LPG发动机喷气占空比模型及其控制策略的研究

在理论空燃比燃烧条件下,研究某小功率LPG发动机喷气占空比的开环控制策略。在分析各种影响因素基础上,选择节气门开度和发动机转速作为影响喷气占空比的因素,拟合了喷气占空比多元线性回归方程。试验结果表明,回归方程拟合精确度高,占空比预测值与观测值之间的相对误差都不超过3.0%。在开环控制中,可以直接利用得到的回归方程取代喷气占空比MAP图进行软件编程,应用新控制系统后,超调量下降了7.0%。     

New multivariate-based certificateless hybrid signcryption scheme for multi-recipient

With the development of quantum computer,multivariate public key cryptography withstanding quantum attack has became one of the research focus.The existed signcryption schemes from discrete logarithm and bilinear paring are facing the serious threats.Based on multivariate public key cryptography,a new certificateless multi-receiver hybrid signcryption scheme has been proposed.The proposal reduced the cipher text and could handle arbitrary length messages by employing randomness reusing and hybrid encryption,as well as keeping security.In the random oracle model,the scheme’s confidentiality could withstand the IND-CCA2 adversary and its unforgeability could withstand the UF-CMA adversary under the hardness of multivariate quadratic(MQ)problem and isomorphism of polynomials(IP)assumption.It has less computation overhead and higher transmission efficiency than others.It reduced 33%cipher data compared with the existed similar scheme.     

一种相依极小p值统计量概率分布的近似计算方法

极小p值统计量常用于多重检验问题,其显著性在各个检验不独立的情形下计算复杂度过高.在单个假设的检验统计量联合服从多元正态分布,且检验统计量之间非负相关的假设下,检验统计量之间的相关系数的均值可以作为检验统计量相关性的度量.基于这个度量给出了一个计算极小p值统计量的分布函数的近似方法.模拟结果表明该方法计算简便,具有较高的逼近精度.