This paper proposes a simple two-step nonparametric procedure to estimate the intraday jump tail and measure the jump tail risk in asset price with noisy high frequency data. We first propose the pre-averaging thresho...This paper proposes a simple two-step nonparametric procedure to estimate the intraday jump tail and measure the jump tail risk in asset price with noisy high frequency data. We first propose the pre-averaging threshold approach to estimate the intraday jumps occurred, and then use the peaks-over-threshold (POT) method and generalized Pareto distribution (GPD) to model the intraday jump tail and further measure the jump tail risk. Finally, an empirical example further demonstrates the power of the proposed method to measure the jump tail risk under the effect of microstructure noise.展开更多
This paper reviews 19 apparatuses having highvelocity capabilities,describes a rotary-shear low to highvelocity friction apparatus installed at Institute of Geology,China Earthquake Administration,and reports results ...This paper reviews 19 apparatuses having highvelocity capabilities,describes a rotary-shear low to highvelocity friction apparatus installed at Institute of Geology,China Earthquake Administration,and reports results from velocity-jump tests on Pingxi fault gouge to illustrate technical problems in conducting velocity-stepping tests at high velocities.The apparatus is capable of producing plate to seismic velocities(44 mm/a to 2.1 m/s for specimens of 40 mm in diameter),using a 22 kW servomotor with a gear/belt system having three velocity ranges.A speed range can be changed by 103 or 106by using five electromagnetic clutches without stopping the motor.Two cam clutches allow fivefold velocity steps,and the motor speed can be increased from zero to 1,500 rpm in 0.1–0.2 s by changing the controlling voltage.A unique feature of the apparatus is a large specimen chamber where different specimen assemblies can be installed easily.In addition to a standard specimen assembly for friction experiments,two pressure vessels were made for pore pressures to 70 MPa;one at room temperature and the other at temperatures to 500 °C.Velocity step tests are needed to see if the framework of rate-and-state friction is applicable or not at high velocities.We report results from velocity jump tests from 1.4 mm/s to 1.4 m/s on yellowish gouge from a Pingxi fault zone,located at the northeastern part of the Longmenshan fault system that caused the 2008 Wenchuan earthquake.An instantaneous increase in friction followed by dramatic slip weakening was observed for the yellowish gouge with smooth sliding surfaces of host rock,but no instantaneous response was recognized for the same gouge with roughened sliding surfaces.Instantaneous and transient frictional properties upon velocity steps cannot be separated easily at high velocities,and technical improvements for velocity step tests are suggested.展开更多
We present a theoretical investigation of the multiphoton resonance dynamics in the high-order-harmonic generation(HHG)process driven by a strong driving continuous wave(CW)field along with a weak control harmonic fie...We present a theoretical investigation of the multiphoton resonance dynamics in the high-order-harmonic generation(HHG)process driven by a strong driving continuous wave(CW)field along with a weak control harmonic field.The Floquet theorem is employed to provide a nonperturbative and exact treatment of the interaction between a quantum system and the combined laser field.Multiple multiphoton-transition paths for the harmonic emission are coherently summed.The phase information about paths can be extracted via the Fourier transform analysis of the harmonic signals which oscillate as a function of the relative phase between driving and control fields.Phase jumps are observed when sweeping across the resonance by varying the frequency or intensity of the driving field.The phase variation as a function of driving frequency at a fixed intensity and as a function of the intensity at a fixed driving frequency allows us to determine the intensity dependence of the transition energy of quantum systems.展开更多
文摘This paper proposes a simple two-step nonparametric procedure to estimate the intraday jump tail and measure the jump tail risk in asset price with noisy high frequency data. We first propose the pre-averaging threshold approach to estimate the intraday jumps occurred, and then use the peaks-over-threshold (POT) method and generalized Pareto distribution (GPD) to model the intraday jump tail and further measure the jump tail risk. Finally, an empirical example further demonstrates the power of the proposed method to measure the jump tail risk under the effect of microstructure noise.
基金supported by State Key Laboratory of Earthquake Dynamics (Project No.LED2014A06 & LED2010A05)
文摘This paper reviews 19 apparatuses having highvelocity capabilities,describes a rotary-shear low to highvelocity friction apparatus installed at Institute of Geology,China Earthquake Administration,and reports results from velocity-jump tests on Pingxi fault gouge to illustrate technical problems in conducting velocity-stepping tests at high velocities.The apparatus is capable of producing plate to seismic velocities(44 mm/a to 2.1 m/s for specimens of 40 mm in diameter),using a 22 kW servomotor with a gear/belt system having three velocity ranges.A speed range can be changed by 103 or 106by using five electromagnetic clutches without stopping the motor.Two cam clutches allow fivefold velocity steps,and the motor speed can be increased from zero to 1,500 rpm in 0.1–0.2 s by changing the controlling voltage.A unique feature of the apparatus is a large specimen chamber where different specimen assemblies can be installed easily.In addition to a standard specimen assembly for friction experiments,two pressure vessels were made for pore pressures to 70 MPa;one at room temperature and the other at temperatures to 500 °C.Velocity step tests are needed to see if the framework of rate-and-state friction is applicable or not at high velocities.We report results from velocity jump tests from 1.4 mm/s to 1.4 m/s on yellowish gouge from a Pingxi fault zone,located at the northeastern part of the Longmenshan fault system that caused the 2008 Wenchuan earthquake.An instantaneous increase in friction followed by dramatic slip weakening was observed for the yellowish gouge with smooth sliding surfaces of host rock,but no instantaneous response was recognized for the same gouge with roughened sliding surfaces.Instantaneous and transient frictional properties upon velocity steps cannot be separated easily at high velocities,and technical improvements for velocity step tests are suggested.
基金Project supported by the National Natural Science Foundation of China(Grant Nos.11504288,11534008,and 91536115)the Fundamental Research Funds for the Central Universities of China.
文摘We present a theoretical investigation of the multiphoton resonance dynamics in the high-order-harmonic generation(HHG)process driven by a strong driving continuous wave(CW)field along with a weak control harmonic field.The Floquet theorem is employed to provide a nonperturbative and exact treatment of the interaction between a quantum system and the combined laser field.Multiple multiphoton-transition paths for the harmonic emission are coherently summed.The phase information about paths can be extracted via the Fourier transform analysis of the harmonic signals which oscillate as a function of the relative phase between driving and control fields.Phase jumps are observed when sweeping across the resonance by varying the frequency or intensity of the driving field.The phase variation as a function of driving frequency at a fixed intensity and as a function of the intensity at a fixed driving frequency allows us to determine the intensity dependence of the transition energy of quantum systems.
