不确定离散系统的有限时域鲁棒H∞滤波

研究了一类时变不确定离散系统的有限时域鲁棒H∞滤波问题。在系统不确定性满足范数有界的条件下,给出了有限时域鲁棒H∞滤波器存在的充分必要条件,并基于线性矩阵不等式技术给出了滤波器的构造性的设计方法。得到的滤波器对所有可容许不确定性，满足指定的性能指标。最后给出了仿真实例,仿真结果表明所设计的滤波器实现了设计要求。     

Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model

Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value‐at‐risk (VaR) thresholds. As financial applications typically deal with a portfolio of assets and risk, there are several multivariate GARCH models which specify the risk of one asset as depending on its own past as well as the past behaviour of other assets. Multivariate effects, whereby the risk of a given asset depends on the previous risk of any other asset, are termed spillover effects. In this paper we analyse the importance of considering spillover effects when forecasting financial volatility. The forecasting performance of the VARMA‐GARCH model of Ling and McAleer (2003), which includes spillover effects from all assets, the CCC model of Bollerslev (1990), which includes no spillovers, and a new Portfolio Spillover GARCH (PS‐GARCH) model, which accommodates aggregate spillovers parsimoniously and hence avoids the so‐called curse of dimensionality, are compared using a VaR example for a portfolio containing four international stock market indices. The empirical results suggest that spillover effects are statistically significant. However, the VaR threshold forecasts are generally found to be insensitive to the inclusion of spillover effects in any of the multivariate models considered. Copyright © 2008 John Wiley & Sons, Ltd.     

债券的久期与凸度的价值

随着利率市场化进程的不断加快，对债券的价格波动率进行较深入的了解，才能在实战中对价格的涨跌原因进行正确分析，并采取相应的投资策略．本文介绍了债券价格波动率的两种重要测度：久期和凸度．给出了久期凸度对国债价格波动率预测的实证分析，以及基于久期和凸度的套期保值方法．     

Direct determination of trace silicon in lanthanum oxide by using a selective volatility and slurry sampling-FETV-ICP-AES

A new method for determination of trace sillicon in high purity lanthanum oxide by using electrothermal vaporization (ETV)-ICP-AES with polytetrafluoroethylene (PTFE) slurry as a fluorinating reagent has been proposed. Under the optimized experimental conditions, the fluorination reactions of analyte (Si) and matrix(La) with PTFE in the graphite furnace took place at high temperature, and the fractional volatilily between Si and La was observed. Based on this principle the matrix interference could be eliminated. The detection limit of Si was 4.0μg·L⁻¹, and the RSD was 3.4%(C=0.2mg·L⁻¹,n=10). The procedure proposed has been applied successfully to determine trace Si in La₂O₃ without any chemical pre-treatment. Supported by the National Natural Science Foundation of China Qin Yongchao: born in Dec. 1953, ph. D., Assciate Professor     

时变网络下多式联运的最短路径问题研究

在运输过程中,往往不止有一种运输方式,可能同时有多种运输方式交叉,即存在多式联运的方式.同时,运输网络往往具有时变特性,其运输成本和运输时间等会随着时间的变化而变化.将多式联运的运输网络进行了变形,设计了时变网络条件下有到达时间限制多式联运的最短路径算法,并对算法的计算复杂性进行了分析.最后给出一个应用算例.     

基于基扩展的快时变信道建模及仿真

针对无线通信中的快时变信道建模与评估,通过已有的信道测试参数中的部分数据,采用基扩展的方法,对信道进行建模,并根据模型评价的两个指标—模型准确度和算法复杂度,对快时变信道进行综合评价,最后给出了仿真结果.     

波动率风险溢价——基于VIX的实证

波动率风险溢价是金融学文献关注的核心问题之一. 基于非仿射GARCH扩散模型,推导相应的VIX公式,继而采用S&P500与VIX 指数联合数据,给出模型客观与风险中性参数基于有效重要性抽样（EIS）的联合极大似然（ML）估计. 进一步利用粒子滤波 方法给出隐波动率的估计,推断VIX隐含的波动率风险溢价. 蒙特卡罗模拟实验表明,提出的估计方法是有效的. 采用实 际数据进行的实证研究表明,波动率风险被定价,且波动率风险溢价为负,隐含市场投资者整体表现为风险厌恶.     

羊群行为加剧股票价格波动吗?

羊群行为是否加剧股票价格波动,已有研究甚至给出截然相反的结论.假定交易者买卖观点的转变主要受其对股票基础价值认知和其他交易者行为的影响,本文构建描述市场平均投资态度和股票价格变化的数学模型,利用离散动力系统的相关理论研究模型的稳定性,并根据金融市场稳定与否对羊群行为程度进行界定.研究结果表明,在轻度羊群效应区间内,股票价格相应地呈现微幅周期波动;在中度羊群效应区间内,股票价格在经历一段时间的阻尼式波动后收敛至均衡价格,并且在此区间中存在最优的羊群行为,它促使股票价格以最快的速度逼近均衡价格;而在重度羊群效应区间,股票价格发生大幅的非理性波动,可以导致股市严重泡沫和金融危机的产生.     

Investors Thinking and Stock Price Excess Volatility

Muchhasbeenstudiedonreasonsoftheobservablefeaturesofstockmarketprices,suchastheirunpredictable,fluctuatingnatureandtheirirregularitytoswitchfromgenerallybulmarketpricestobearmarketpricesorviceversa.Theconventionalargumentisthattheerraticstockpricesreflectthemore-or-lessrandomnews.But,therehasbeenconcernonthesthcalled"excessvolatility",namely,somefluctuationsofthesepricemovementsmayhaveexceededwhatwouldbeexplainedbyrationalfundamentalvalueadjustmentbasedontherandomnews.Recently,theroleofpsychol…     

金融波动的平方根随机自回归波动模型

讨论了SR-SARV模型的时间聚合性和同期聚合性,比较了波动模型之间的关系,指出了SR-SARV模型研究的意义,并给出其参数估计方法,对上证指数进行了实证研究。