This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,t...This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.展开更多
The internal turbulent flow in conical diffuser is a very complicated adverse pressure gradient flow.DLR k-ε turbulence model was adopted to study it.The every terms of the Laplace operator in DLR k-ε turbulence mod...The internal turbulent flow in conical diffuser is a very complicated adverse pressure gradient flow.DLR k-ε turbulence model was adopted to study it.The every terms of the Laplace operator in DLR k-ε turbulence model and pressure Poisson equation were discretized by upwind difference scheme.A new full implicit difference scheme of 5-point was constructed by using finite volume method and finite difference method.A large sparse matrix with five diagonals was formed and was stored by three arrays of one dimension in a compressed mode.General iterative methods do not work wel1 with large sparse matrix.With algebraic multigrid method(AMG),linear algebraic system of equations was solved and the precision was set at 10-6.The computation results were compared with the experimental results.The results show that the computation results have a good agreement with the experiment data.The precision of computational results and numerical simulation efficiency are greatly improved.展开更多
Local heat transfer and flow characteristics in a round turbulent impinging jet for Re≈23 000 is predicted numerically with the RANS approach and a k-ε-fu turbulence model. The heat transfer predictions and turbulen...Local heat transfer and flow characteristics in a round turbulent impinging jet for Re≈23 000 is predicted numerically with the RANS approach and a k-ε-fu turbulence model. The heat transfer predictions and turbulence parameters are verified against the axis-symmetric free jet impingement measurements and compared with previous other turbulence models, and results show the k-ε-fu model has a good performance in predictions of the local wall heat transfer coefficient, and in agreement with measurements in mean velocity profiles at different radial positions as well. The numerical model is further used to examine the effect of the fully confined impingement jet on the local Nusselt number. Local Nusselt profiles in x and y-centerlines for the target plate over three separation distances are predicted. Compared with the experimental data, the numerical results are accurate in the central domain around the stagnation region and present a consistent structure distribution.展开更多
The research is motivated by the ongoing the electromagnetic continuous casting of molten metal. The revised k-ε model considering the effect of magnetic field application was derived. The specific model equations fo...The research is motivated by the ongoing the electromagnetic continuous casting of molten metal. The revised k-ε model considering the effect of magnetic field application was derived. The specific model equations for the electromagnetic braking were used to calculate the velocity distribution in the continuous casting mold of steel. The results show that the revised k-ε model considering the effect of magnetic field application tends to suppress the production of turbulence and difference between the conventional and revised k-e model is small.展开更多
A two-equation turbulence model has been dereloped for predicting two-phase flow the two equations describe the conserration of turbulence kinetic energy and dissipation rate of that energy for the incompressible carr...A two-equation turbulence model has been dereloped for predicting two-phase flow the two equations describe the conserration of turbulence kinetic energy and dissipation rate of that energy for the incompressible carrier fluid in a two-phase flow The continuity, the momentum, K and εequations are modeled. In this model,the solid-liquid slip veloeites, the particle-particte interactions and the interactions between two phases are considered,The sandy water pipe turbulent flows are sueeessfuly predicted by this turbulince model.展开更多
When the observed price process is the true underlying price process plus microstructure noise, it is known that realized volatility (RV) estimates will be overwhelmed by the noise when the sampling frequency approach...When the observed price process is the true underlying price process plus microstructure noise, it is known that realized volatility (RV) estimates will be overwhelmed by the noise when the sampling frequency approaches infinity. Therefore, it may be optimal to sample less frequently, and averaging the less frequently sampled subsamples can improve estimation for quadratic variation. In this paper, we extend this idea to forecasting daily realized volatility. While subsample averaging has been proposed and used in estimating RV, this paper is the first that uses subsample averaging for forecasting RV. The subsample averaging method we examine incorporates the high frequency data in different levels of systematic sampling. It first pools the high frequency data into several subsamples, then generates forecasts from each subsample, and then combines these forecasts. We find that in daily S&P 500 return realized volatility forecasts, subsample averaging generates better forecasts than those using only one subsample.展开更多
Despite being one of the oldest and most widely-used turbulence models in engineering computational fluid dynamics(CFD),the k-ωmodel has not been fully understood theoretically because of its high nonlinearity and co...Despite being one of the oldest and most widely-used turbulence models in engineering computational fluid dynamics(CFD),the k-ωmodel has not been fully understood theoretically because of its high nonlinearity and complex model parameter setting.Here,a multi-layer analytic expression is postulated for two lengths(stress and kinetic energy lengths),yielding an analytic solution for the k-ωmodel equations in pipe flow.Approximate local balance equations are analyzed to determine the key parameters in the solution,which are shown to be rather close to the empirically-measured values from the numerical solution of the Wilcox k-ωmodel,and hence the analytic construction is fully validated.The results provide clear evidence that the k-ωmodel sets in it a multilayer structure,which is similar to but different,in some insignificant details,from the Navier-Stokes(N-S)turbulence.This finding explains why the k-ωmodel is so popular,especially in computing the near-wall flow.Finally,the analysis is extended to a newlyrefined k-ωmodel called the structural ensemble dynamics(SED)k-ωmodel,showing that the SED k-ωmodel has improved the multi-layer structure in the outer flow but preserved the setting of the k-ωmodel in the inner region.展开更多
Because the U.S.is a major player in the international oil market,it is interesting to study whether aggregate and state-level economic conditions can predict the subse-quent realized volatility of oil price returns.T...Because the U.S.is a major player in the international oil market,it is interesting to study whether aggregate and state-level economic conditions can predict the subse-quent realized volatility of oil price returns.To address this research question,we frame our analysis in terms of variants of the popular heterogeneous autoregressive realized volatility(HAR-RV)model.To estimate the models,we use quantile-regression and quantile machine learning(Lasso)estimators.Our estimation results highlights the dif-ferential effects of economic conditions on the quantiles of the conditional distribution of realized volatility.Using weekly data for the period April 1987 to December 2021,we document evidence of predictability at a biweekly and monthly horizon.展开更多
New energy vehicles have better clean and environmental protection characteristics than traditional fuel vehicles.The new energy engine cooling technology is critical in the design of new energy vehicles.This paper us...New energy vehicles have better clean and environmental protection characteristics than traditional fuel vehicles.The new energy engine cooling technology is critical in the design of new energy vehicles.This paper used oneand three-way joint simulation methods to simulate the refrigeration system of new energy vehicles.Firstly,a k-εturbulent flow model for the cooling pump flow field is established based on the principle of computational fluid dynamics.Then,the CFD commercial fluid analysis software FLUENT is used to simulate the flow field of the cooling pump under different inlet flow conditions.This paper proposes an optimization scheme for new energy vehicle engines’“boiling”phenomenon under high temperatures and long-time climbing conditions.The simulation results show that changing the radiator’s structure and adjusting the thermostat’s parameters can solve the problem of a“boiling pot.”The optimized new energy vehicle engine can maintain a better operating temperature range.The algorithm model can reference each cryogenic system component hardware selection and control strategy in the new energy vehicle’s engine.展开更多
We investigate realization of the infinite-dimensional 3-algebras in the classical Calogero-Moser model. In terms of the Lax matrix of the Calogero Moser model and the Nambu 3-brackets in which the variables are the c...We investigate realization of the infinite-dimensional 3-algebras in the classical Calogero-Moser model. In terms of the Lax matrix of the Calogero Moser model and the Nambu 3-brackets in which the variables are the coordinates qi, and canonically conjugate momenta pi and the coupling parameter β are an extra auxiliary phase-space parameter, we present the realization of the Virasoro-Witt, w∞ and SDi f f （T2） 3-algebras, respectively.展开更多
基金This work is supported by the National Natural Science Foundation of China(71790594,71701150,and U1811462).
文摘This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.
基金Projects(59375211,10771178,10676031) supported by the National Natural Science Foundation of ChinaProject(07A068) supported by the Key Project of Hunan Education CommissionProject(2005CB321702) supported by the National Key Basic Research Program of China
文摘The internal turbulent flow in conical diffuser is a very complicated adverse pressure gradient flow.DLR k-ε turbulence model was adopted to study it.The every terms of the Laplace operator in DLR k-ε turbulence model and pressure Poisson equation were discretized by upwind difference scheme.A new full implicit difference scheme of 5-point was constructed by using finite volume method and finite difference method.A large sparse matrix with five diagonals was formed and was stored by three arrays of one dimension in a compressed mode.General iterative methods do not work wel1 with large sparse matrix.With algebraic multigrid method(AMG),linear algebraic system of equations was solved and the precision was set at 10-6.The computation results were compared with the experimental results.The results show that the computation results have a good agreement with the experiment data.The precision of computational results and numerical simulation efficiency are greatly improved.
基金Sponsored by the National Natural Science Foundation of China(Grant No.51576054)
文摘Local heat transfer and flow characteristics in a round turbulent impinging jet for Re≈23 000 is predicted numerically with the RANS approach and a k-ε-fu turbulence model. The heat transfer predictions and turbulence parameters are verified against the axis-symmetric free jet impingement measurements and compared with previous other turbulence models, and results show the k-ε-fu model has a good performance in predictions of the local wall heat transfer coefficient, and in agreement with measurements in mean velocity profiles at different radial positions as well. The numerical model is further used to examine the effect of the fully confined impingement jet on the local Nusselt number. Local Nusselt profiles in x and y-centerlines for the target plate over three separation distances are predicted. Compared with the experimental data, the numerical results are accurate in the central domain around the stagnation region and present a consistent structure distribution.
文摘The research is motivated by the ongoing the electromagnetic continuous casting of molten metal. The revised k-ε model considering the effect of magnetic field application was derived. The specific model equations for the electromagnetic braking were used to calculate the velocity distribution in the continuous casting mold of steel. The results show that the revised k-ε model considering the effect of magnetic field application tends to suppress the production of turbulence and difference between the conventional and revised k-e model is small.
文摘A two-equation turbulence model has been dereloped for predicting two-phase flow the two equations describe the conserration of turbulence kinetic energy and dissipation rate of that energy for the incompressible carrier fluid in a two-phase flow The continuity, the momentum, K and εequations are modeled. In this model,the solid-liquid slip veloeites, the particle-particte interactions and the interactions between two phases are considered,The sandy water pipe turbulent flows are sueeessfuly predicted by this turbulince model.
文摘When the observed price process is the true underlying price process plus microstructure noise, it is known that realized volatility (RV) estimates will be overwhelmed by the noise when the sampling frequency approaches infinity. Therefore, it may be optimal to sample less frequently, and averaging the less frequently sampled subsamples can improve estimation for quadratic variation. In this paper, we extend this idea to forecasting daily realized volatility. While subsample averaging has been proposed and used in estimating RV, this paper is the first that uses subsample averaging for forecasting RV. The subsample averaging method we examine incorporates the high frequency data in different levels of systematic sampling. It first pools the high frequency data into several subsamples, then generates forecasts from each subsample, and then combines these forecasts. We find that in daily S&P 500 return realized volatility forecasts, subsample averaging generates better forecasts than those using only one subsample.
基金the National Numerical Wind Tunnel(No.NNW2019ZT1-A03)the National Natural Science Foundation of China(Nos.91952201,11372008,and 11452002)。
文摘Despite being one of the oldest and most widely-used turbulence models in engineering computational fluid dynamics(CFD),the k-ωmodel has not been fully understood theoretically because of its high nonlinearity and complex model parameter setting.Here,a multi-layer analytic expression is postulated for two lengths(stress and kinetic energy lengths),yielding an analytic solution for the k-ωmodel equations in pipe flow.Approximate local balance equations are analyzed to determine the key parameters in the solution,which are shown to be rather close to the empirically-measured values from the numerical solution of the Wilcox k-ωmodel,and hence the analytic construction is fully validated.The results provide clear evidence that the k-ωmodel sets in it a multilayer structure,which is similar to but different,in some insignificant details,from the Navier-Stokes(N-S)turbulence.This finding explains why the k-ωmodel is so popular,especially in computing the near-wall flow.Finally,the analysis is extended to a newlyrefined k-ωmodel called the structural ensemble dynamics(SED)k-ωmodel,showing that the SED k-ωmodel has improved the multi-layer structure in the outer flow but preserved the setting of the k-ωmodel in the inner region.
文摘Because the U.S.is a major player in the international oil market,it is interesting to study whether aggregate and state-level economic conditions can predict the subse-quent realized volatility of oil price returns.To address this research question,we frame our analysis in terms of variants of the popular heterogeneous autoregressive realized volatility(HAR-RV)model.To estimate the models,we use quantile-regression and quantile machine learning(Lasso)estimators.Our estimation results highlights the dif-ferential effects of economic conditions on the quantiles of the conditional distribution of realized volatility.Using weekly data for the period April 1987 to December 2021,we document evidence of predictability at a biweekly and monthly horizon.
文摘New energy vehicles have better clean and environmental protection characteristics than traditional fuel vehicles.The new energy engine cooling technology is critical in the design of new energy vehicles.This paper used oneand three-way joint simulation methods to simulate the refrigeration system of new energy vehicles.Firstly,a k-εturbulent flow model for the cooling pump flow field is established based on the principle of computational fluid dynamics.Then,the CFD commercial fluid analysis software FLUENT is used to simulate the flow field of the cooling pump under different inlet flow conditions.This paper proposes an optimization scheme for new energy vehicle engines’“boiling”phenomenon under high temperatures and long-time climbing conditions.The simulation results show that changing the radiator’s structure and adjusting the thermostat’s parameters can solve the problem of a“boiling pot.”The optimized new energy vehicle engine can maintain a better operating temperature range.The algorithm model can reference each cryogenic system component hardware selection and control strategy in the new energy vehicle’s engine.
基金Supported by the National Natural Science Foundation of China under Grant Nos 11375119 and 11031005the Beijing Municipal Commission of Education under Grant No KZ201210028032
文摘We investigate realization of the infinite-dimensional 3-algebras in the classical Calogero-Moser model. In terms of the Lax matrix of the Calogero Moser model and the Nambu 3-brackets in which the variables are the coordinates qi, and canonically conjugate momenta pi and the coupling parameter β are an extra auxiliary phase-space parameter, we present the realization of the Virasoro-Witt, w∞ and SDi f f （T2） 3-algebras, respectively.
