基于高频数据的中国股指期货跨市场信息冲击实证研究

期货市场与现货市场间的联动关系一直是理论与实务界关心的热点,新兴市场国家的股指期货市场受到跨市场信息冲击更为明显。我们采用1分钟高频数据,应用ARIMA(p,d,q)模型将我国股指期货与现货市场的场收益率分离成预期信息和非预期信息,然后把这两个变量引入到二元GARCH(1,1)模型的条件均值方程中,分析预期信息和非预期信息对于两市场的冲击效应,进一步通过模型的条件方差方程来探讨市场信息对收益率波动的影响。实证研究结果表明,我国股指期货市场与现货市场存在着显著的信息冲击不对称效应,尽管两市场间的波动溢出效应仅在短期内成立。

Log-normal censored regression model detecting prognostic factors in gastric cancer:A study of 3018 cases

AIM:To investigate the efficiency of Cox proportional hazard model in detecting prognostic factors for gastric cancer.METHODS:We used the log-normal regression model to evaluate prognostic factors in gastric cancer and compared it with the Cox model.Three thousand and eighteen gastric cancer patients who received a gastrectomy between 1980 and 2004 were retrospectively evaluated.Clinic-pathological factors were included in a log-normal model as well as Cox model.The akaike information criterion (AIC) was employed to compare the efficiency of both models.Univariate analysis indicated that age at diagnosis,past history,cancer location,distant metastasis status,surgical curative degree,combined other organ resection,Borrmann type,Lauren's classification,pT stage,total dissected nodes and pN stage were prognostic factors in both log-normal and Cox models.RESULTS:In the final multivariate model,age at diagnosis,past history,surgical curative degree,Borrmann type,Lauren's classification,pT stage,and pN stage were significant prognostic factors in both log-normal and Cox models.However,cancer location,distant metastasis status,and histology types were found to be significant prognostic factors in log-normal results alone.According to AIC,the log-normal model performed better than the Cox proportional hazard model (AIC value:2534.72 vs 1693.56).CONCLUSION:It is suggested that the log-normal regression model can be a useful statistical model to evaluate prognostic factors instead of the Cox proportional hazard model.

Coordinated Control Architecture for Motion Management in ADAS Systems

Advanced driver assistance systems(ADAS) seek to provide drivers and passengers of automotive vehicles increased safety and comfort. Original equipment manufacturers are integrating and developing systems for distance keeping, lane keeping and changing and other functionalities. The modern automobile is a complex system of systems. How the functionalities of advanced driver assistance are implemented and coordinated across the systems of the vehicle is generally not made available to the wider research community by the developers and manufactures. This paper seeks to begin filling this gap by assembling open source physics models of the vehicle dynamics and ADAS command models. Additionally, in order to facilitate ADAS development and testing without having access to the details of ADAS, a coordinated control architecture for motion management is also proposed for distributing ADAS motion control commands over vehicle systems. The architecture is demonstrated in a case study where motion is coordinated between the steering and the braking systems, which are typically used only for a single functionality. The integrated vehicle and system dynamics using the coordinated control architecture are simulated for various driving tasks. It is seen that improved trajectory following can be achieved by the proposed coordinated control architecture. The models, simulations and control architecture are made available for open access.

Analysis the Dynamics of SIHR Model: Covid-19 Case in Djibouti

The Covid-19 epidemic is an emerging infectious disease of the viral zoonosis type caused by the coronavirus strain SARS-CoV-2, it is classified as a human-to-human communicable disease and is currently a pandemic worldwide. In this paper, we propose conceptual mathematical models of the epidemic dynamics of four compartments. We have collected data from the Djibouti health ministry. We study the positivity, boundedness, existence and uniqueness of the weak solution. Next, we define the Basic reproduction number by the method of the DFE and EEP. Then, we study the local and global stability and the bifurcation analysis of equilibrium to examine its epidemiological relevance. Finally, we analyze the fit of the data in comparison with the result of our mathematical results, to validate the model and estimate the important model parameters and prediction about the disease. We consider the real cases of Djibouti from 15th March to 15th May 2021.

Zavkhan River and Its Catchment Area Delineation Using Satellite Image

The purpose of this research is to define initial parameters of Khyargas Lake-Zavkhan River and its catchment area using satellite images. The study has been done by two datasets: 1) Shuttle Radar Topography Mission (SRTM) at a horizontal spatial resolution of 90 meters, 2) The Advanced Spaceborne Thermal Emission and Reflection Radiometer (ASTER) at a horizontal spatial resolution of 30 meters, using two different models of ArcHydro and Integrated Land and Water Information System (ILWIS) softwares. Main methods of models, that were used in this research are the Deterministic-8, the steepest slope, the spread, the seek computations and the trace analysis. Moreover, input data of the modeling are digital elevation model (DEM) and lake position, outlet location of the river. DEM based ArcHydro model was run on the both datasets, and ILWIS model was run on SRTM data. Several intermediate results were produced while the models run, and initial parameters of the Zavkhan River, its catchment area have been defined at the end of the model. Moreover, final results of the models were compared with each other and with the result of previous research, and with the reality. The result of this study can be used in baseline and advanced research on the catchment area. Besides of that, the result can define a spatial boundary of study on Zavkhan River and its catchment area. Moreover, it would have support for decision-making on ground and surface water resource, distribution and management. Further research, which will cover the entire territory of Mongolia, has to be done using same methodology. The 332nd decision on “River catchment areas of Mongolia” of the Minister of Nature, Environment and Tourism in 2009 has to renew, if a result of that study would be accepted from vocational organization and experts.

Automatic Sleep Spindle Detection with EEG Based on Complex Demodulation Method and Decision Tree Model

Sleep spindle is the characteristic waveform of electroencephalogram (EEG) which is important for clinical diagnosis. In this study, an automatic sleep spindle detection method was developed. The EEG signals were recorded based on the standard polysomnogram (PSG) measurement. A preprocessing procedure is introduced to exclude the unnecessary data segments and normalized the necessary data segments. Complex demodulation method is adopted to detect the candidate sleep spindle waveforms and calculate the features. The sleep spindles are recognized based on a decision tree model. Finally, the detected sleep spindles were utilized to amend the sleep stage recognition results. The sleep EEG data from 3 patients with sleep disorders were analyzed. The obtained results showed that the detected sleep spindles in EEG signal improved the accuracy of sleep stage recognition.

Is Chemokine Receptor CCR9 Required for Synovitis in Rheumatoid Arthritis? Deficiency of CCR9 in a Murine Model of Antigen-Induced Arthritis

Objectives: Monocytes/macrophages accumulate in the synovial membrane in rheumatoid arthritis and play a key role in disease pathogenesis, contributing to inflammation, cartilage destruction and bone erosion. Identification of molecules involved in monocyte/macrophage recruitment in inflammation is crucial for development of therapeutic interventions. Chemokine receptor CCR9 is up-regulated on these cells in peripheral blood and synovium of rheumatoid patients. This study investigated the course of antigen-induced arthritis in CCR9 deficient C57BL/6 mice in comparison to wild type animals to determine whether CCR9 is critical for disease severity and progression. Methods: Methylated bovine serum albumin was used for induction of uni-lateral arthritis by direct injection into the knee joints of preimmunized animals. Arthritis is confined to the injected joint allowing comparison with the normal opposing joint. Clinical severity of arthritis was assessed by measuring swelling in the arthritic joint in comparison to the normal joint. Histological analysis was performed to assess the extent of leukocyte infiltration and cartilage depletion. Results: Levels of swelling were not significantly different between wild type and CCR9 deficient mice. Similarly there was no significant difference in histological severity of arthritis when comparing CCR9-deficient mice to wild type mice. Conclusions: CCR9 was not required for development of synovial inflammation and cartilage destruction in the anti-gen-induced model of arthritis in C57BL/6 mice in this study. This may reflect a true lack of a pathogenic role of CCR9 on monocyte/macrophage function in vivo or it may reflect differences in the current antigen-induced arthritis model when compared to human RA.

Mathematical Modeling of the Influence of the Wind Field Structure in the Atmosphere on the Cloud Formation Processes

The state of the physics of convective clouds and cloud seeding is discussed briefly. It is noted that at the present time there is a transition from the stage of investigation of “elementary” processes in the clouds to the stage of studying the formation of macro- and microstructural characteristics of clouds as a whole, taking into account their system properties. The main directions of the development of cloud physics at the upcoming stage of its development are discussed. The paper points out that one of these areas is the determination of the structure-forming factors for the clouds and the study of their influence on their formation and evolution. It is noted that one of such factors is the interaction of clouds with their surrounding atmosphere, and the main method of studying its role in the processes of cloud formation is mathematical modeling. A three-dimensional nonstationary model of convective clouds is presented with a detailed account of the processes of thermohydrodynamics and microphysics, which is used for research. The results of modeling the influence of the wind field structure in the atmosphere on the formation and evolution of clouds are presented. It is shown that the dynamic characteristics of the atmosphere have a significant effect on the formation of macro- and microstructural characteristics of convective clouds: the more complex the structure of the wind field in the atmosphere (i.e., the more intense the interaction of the atmosphere and the cloud), the less powerful the clouds are formed.

Abstract principal component analysis

We present the basic idea of abstract principal component analysis(APCA)as a general approach that extends various popular data analysis techniques such as PCA and GPCA.We describe the mathematical theory behind APCA and focus on a particular application to mode extractions from a data set of mixed temporal and spatial signals.For illustration,algorithmic implementation details and numerical examples are presented for the extraction of a number of basic types of wave modes including,in particular,dynamic modes involving spatial shifts.

Formation and utilization of water resources of Tarim River

The Tarim River is a typical inland river in arid area without runoff yield of itself, and water resources are all supplied by its headstreams. The method of time series analysis is applied to annual runoff series of three headstreams, namely the Aksu River, Yarkant River and Hotan River to analyze their dynamic variations. A model is established to estimate water consumption in the headstream areas. Quantitative results indicate that both total annual runoff of headstreams and water consumption in the headstream areas have an increasing trend. The dynamic trends of annual runoff of hydrologic stations along the mainstream of the Tarim River are also presented to estimate the intermittence drying-up time at each station. Water consumption model of the mainstream area is used to analyze the characteristics of water consumption in the upper and middle reaches. It is shown that water consumption in each river reach of the mainstream decreases with the decrement of inflow and increases with human activities.