It is more satisfactory for fluid materials between viscous and elastic to introducethe fractional calculus approach into the constitutive relationship. This paper employsthe fractional calculus approach to study seco...It is more satisfactory for fluid materials between viscous and elastic to introducethe fractional calculus approach into the constitutive relationship. This paper employsthe fractional calculus approach to study second fluid flow in a paper. First, we derivethe analytical solution which the derivate order is half and then with the analyticalsolution we verify the reliability of Laplace numerical inversion based on Crumpalgouithm for the problem, and finally we analyze the characteristics of second orderfluid flow in a pipe by using Crump method. The results indicate that the more obviousthe viscoelastic properties of fluid is, the more sensitive the dependence of velocity andstress on fractional derivative order is.展开更多
This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order a...This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order arrivals are independent Poisson random processes. The dynamic process of price formation is described by a birth-death process of the double M/M/1 server queue corresponding to the best bid/ask. The initial depths of the best bid and ask are defined as different constants depending on the last price change. Thus, the price changes in the model follow a first-order Markov process. As the initial depth of the best bid/ask is originally larger than that of the opposite side when the last price is down/up, the model may explain the negative autocorrelations of the price of the best bid/ask. The estimated parameters are based on the real tick-by-tick data of the Nikkei 225 futures listed in Osaka Stock Exchanges. The authors find the model accurately predicts the returns of Osaka Stock Exchange average.展开更多
Efficient solution techniques for high-order temporal and spatial discontinuous Galerkin（DG） discretizations of the unsteady Navier–Stokes equations are developed. A fourth-order implicit Runge–Kutta（IRK） scheme...Efficient solution techniques for high-order temporal and spatial discontinuous Galerkin（DG） discretizations of the unsteady Navier–Stokes equations are developed. A fourth-order implicit Runge–Kutta（IRK） scheme is applied for the time integration and a multigrid preconditioned GMRES solver is extended to solve the nonlinear system arising from each IRK stage. Several modifications to the implicit solver have been considered to achieve the efficiency enhancement and meantime to reduce the memory requirement. A variety of time-accurate viscous flow simulations are performed to assess the resulting high-order implicit DG methods. The designed order of accuracy for temporal discretization scheme is validate and the present implicit solver shows the superior performance by allowing quite large time step to be used in solving time-implicit systems. Numerical results are in good agreement with the published data and demonstrate the potential advantages of the high-order scheme in gaining both the high accuracy and the high efficiency.展开更多
文摘It is more satisfactory for fluid materials between viscous and elastic to introducethe fractional calculus approach into the constitutive relationship. This paper employsthe fractional calculus approach to study second fluid flow in a paper. First, we derivethe analytical solution which the derivate order is half and then with the analyticalsolution we verify the reliability of Laplace numerical inversion based on Crumpalgouithm for the problem, and finally we analyze the characteristics of second orderfluid flow in a pipe by using Crump method. The results indicate that the more obviousthe viscoelastic properties of fluid is, the more sensitive the dependence of velocity andstress on fractional derivative order is.
基金supported by the National Natural Science Foundation of China under Grant Nos.71173060,71031003the Fundamental Research Funds for the Central Universities under Grant No.HIT.HSS.201120partially supported by JSPS KAKENHI under Grant No.22560059
文摘This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order arrivals are independent Poisson random processes. The dynamic process of price formation is described by a birth-death process of the double M/M/1 server queue corresponding to the best bid/ask. The initial depths of the best bid and ask are defined as different constants depending on the last price change. Thus, the price changes in the model follow a first-order Markov process. As the initial depth of the best bid/ask is originally larger than that of the opposite side when the last price is down/up, the model may explain the negative autocorrelations of the price of the best bid/ask. The estimated parameters are based on the real tick-by-tick data of the Nikkei 225 futures listed in Osaka Stock Exchanges. The authors find the model accurately predicts the returns of Osaka Stock Exchange average.
文摘Efficient solution techniques for high-order temporal and spatial discontinuous Galerkin（DG） discretizations of the unsteady Navier–Stokes equations are developed. A fourth-order implicit Runge–Kutta（IRK） scheme is applied for the time integration and a multigrid preconditioned GMRES solver is extended to solve the nonlinear system arising from each IRK stage. Several modifications to the implicit solver have been considered to achieve the efficiency enhancement and meantime to reduce the memory requirement. A variety of time-accurate viscous flow simulations are performed to assess the resulting high-order implicit DG methods. The designed order of accuracy for temporal discretization scheme is validate and the present implicit solver shows the superior performance by allowing quite large time step to be used in solving time-implicit systems. Numerical results are in good agreement with the published data and demonstrate the potential advantages of the high-order scheme in gaining both the high accuracy and the high efficiency.
