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Mutation detection and fast identification of switching system based on data-driven method
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作者 张钟化 徐伟 宋怡 《Chinese Physics B》 SCIE EI CAS CSCD 2023年第5期164-177,共14页
In the engineering field,switching systems have been extensively studied,where sudden changes of parameter value and structural form have a significant impact on the operational performance of the system.Therefore,it ... In the engineering field,switching systems have been extensively studied,where sudden changes of parameter value and structural form have a significant impact on the operational performance of the system.Therefore,it is important to predict the behavior of the switching system,which includes the accurate detection of mutation points and rapid reidentification of the model.However,few efforts have been contributed to accurately locating the mutation points.In this paper,we propose a new measure of mutation detection—the threshold-based switching index by analogy with the Lyapunov exponent.We give the algorithm for selecting the optimal threshold,which greatly reduces the additional data collection and the relative error of mutation detection.In the system identification part,considering the small data amount available and noise in the data,the abrupt sparse Bayesian regression(abrupt-SBR)method is proposed.This method captures the model changes by updating the previously identified model,which requires less data and is more robust to noise than identifying the new model from scratch.With two representative dynamical systems,we illustrate the application and effectiveness of the proposed methods.Our research contributes to the accurate prediction and possible control of switching system behavior. 展开更多
关键词 mutation detection switching index system identification sparse Bayesian regression
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卖空压力下资产误定价与企业资本投资研究 被引量:3
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作者 张肖飞 张鐘 《经济经纬》 CSSCI 北大核心 2019年第6期141-148,共8页
以2010-2016年沪深A股非金融类上市公司为样本,运用市账比分解及剩余收益估值模型来测度资产误定价,检验了卖空压力下资产误定价的实体经济效果。实证结果表明:资产误定价与企业投资水平正相关,说明存在显著的投资迎合行为,且资产误定... 以2010-2016年沪深A股非金融类上市公司为样本,运用市账比分解及剩余收益估值模型来测度资产误定价,检验了卖空压力下资产误定价的实体经济效果。实证结果表明:资产误定价与企业投资水平正相关,说明存在显著的投资迎合行为,且资产误定价可以同时通过理性迎合渠道和股权融资渠道影响企业投资水平;当融资约束越高时,股权融资渠道的迎合效果越明显。在卖空压力下,融资融券标的公司以及国有企业不具有显著的投资迎合行为。因此,企业应着眼于长远发展而不是为了短期利益一味迎合投资者非理性情绪,并正确引导市场对公司准确估值,促进资本市场健康发展,提高实体经济资源配置效率。 展开更多
关键词 卖空限制 资产误定价 资本投资 投资迎合
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