LINEAR FILTERING FOR VASICEK TERM STRUCTURE MODEL WITH SEQUENTIALLY CORRELATED NOISE

When Kalman filter is used in the estimation of Vasicek term structure of interest rates,it is usual to assume that the measurement noise is uncorrelated.Study results are more favorable to the assumption of correlated measurement noise.An augmented state Kalman filter form for Vasicek model is proposed to optimally estimate the unobservable state variable with the assumption of correlated measurement noise.Empirical results indicate that the model with sequentially correlated measurement noise can more accurately describe the dynamics of the term structure of interest rates.

Dynamic spillovers between the term structure of interest rates,bitcoin,and safe‑haven currencies

This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Canada,Switzerland,EURO,Japan,and the UK)and the leading cryptocurrency,the Bitcoin.Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility.The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks.Meanwhile,the curvature of the yield curve and the Japanese Yen,Swiss Franc,and British Pound act mainly as net receivers.Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level,slope,and curvature,and from any main currency investigated.These findings hint that Bitcoin might provide hedging benefits.However,similar to the static analysis,our dynamic analysis shows that during different periods and particularly in stressful times,Bitcoin is far from being isolated from other currencies or the yield curve components.The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress.Evidence supporting this contention is the substantially increased connectedness due to policy shocks,political uncertainty,and systemic crisis,implying no empirical support for Bitcoin’s safe-haven property during stress times.The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times,Bitcoin has the property of a diversifier.The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

Volatility Structures of ForwardRates and the Dynamics of the TermStructure:a Multifactor Case

For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a finite-dimensional state variable Markov process. In the deterministic volatility case, we interpret then-factor model as a sum ofn unidimensional models.

Effects of Long-term Fertilization on Soil M icrobial Com m unity Structure,Labile Organic Carbon and Nitrogen and Enzym e Activity in Paddy Field and Upland

To investigate the effects of long-term fertilization systems on soil microbial community structure,labile organic carbon and nitrogen and enzyme activity in yellow sand paddy field and upland,a field experiment was conducted at the experimental station of Dongyang Institute of Maize Research in Zhejiang Province,China in 2009.The experiment consisted of six treatments with three replicates,and they were arranged in a completely randomized design,including no fertilization in paddy field (PCK),conventional fertilization in paddy field (PCF),formulated fertilization by soil testing in paddy field (PSTF),formulated fertilization by soil testing with organic manure in paddy field (PSTF+OF),conventional fertilization on upland (DCF),and formulated fertilization by soil testing with organic manure on upland (DSTF+OF).Soil nutrients,enzyme activity,microbial biomass and community structure were determined in 2015.The results showed that compared with no fertilization in paddy field (PCK),fertilization increased soil phosphorus and potassium content,and decreased pH value.No fertilization in paddy field (PCK) had no significant effect on soil culturable microorganisms in paddy field and upland,but formulated fertilization by soil testing with organic manure on upland (DSTF+OF) significantly increased the number of fungi.Formula fertilization by soil testing with organic manure (PSTF+OF) also significantly increased soil microbial biomass carbon and nitrogen in paddy field and upland.Moreover,fertilization had no significant effect on soil cellulase activity,but formula fertilization by soil testing with organic manure (PSTF+OF) significantly increased soil dehydrogenase and catalase activity.Therefore,long-term application of chemical fertilizer with organic fertilizer can effectively improve soil fertility.

Use of nonlinear variable structure control with equivalent term in design of coordinated controls for turbo generators

Presents the coordinated controls of nonlinear variable structure with an equivalent control term designed for turbo generators following the theory of nonlinear variable structure control, which integrates the valve control with the excitation control and reduce the problem of high frequency shiver with conventional variable structure control in addition to a simplified design, and concludes from simulation results that the use of this control can improve the transient of the system.

Simulation Methods of Stochastic Volatility Interest Rate Term Structure

A term structure model bearing features of stochastic volatility and stochastic mean drift with jump （SVJ-SD model for short） is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood （ML）,linear Kalman filter and efficient method of moments （EMM） are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.

Term Structure of Interest Rates Based on Artificial Neural Network

In light of the nonlinear approaching capability of artificial neural networks （ ANN）, the term structure of interest rates is predicted using The generalized regression neural network （GRNN） and back propagation （BP） neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek＇s model and Cox-Ingersoll-Ross （CIR） model. The comparison reveals that neural network models outperform Vasicek＇s model and CIR model, which are more precise and closer to the real market situation.

Empirical Estimation of Term Structure of Interbank Rates in China

Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.

Cultural Structure of Solar Terms and Traditional Festivals

Solar terms and festivals differ from and relate to each other in terms of application scope and cultural structure.The cultural association and application of the 24 Solar Terms are studied in the areas including philosophy,farming and society,and are exhibited in the natural convergence of views on space and time,life and customs,as well as the facilitation of agricultural practice.The connotations of traditional Chinese festivals concern basic areas such as beliefs,rites,language,symbols,diets and art,which are exhibited in the co-existent "festival tokens," "festival events," "festival messages," "festival symbols," "festival food" and "festival art forms." Festivals feature fixed and periodic occurrence and multi-channel cultural inheritance.

Perturbation Analysis of Structured Least Squares Problems and Its Application in Calibration of Interest Rate Term Structure

A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound.

Modelling the Term Structure of Hong Kong Inter-Bank Offered Rates （HIBOR）

Different single-factor models are used to estimate the term structure of Hong Kong Inter-Bank Offered Rates （HIBOR）. These models use stochastic differential equations which effectively reflect market characteristics of short- and long-term interest rates, such as capability of mean reversion and interest rate level fluctuation. For the period from 2005 to early 2007, the economy of Hong Kong had been relatively stable with pretty low volatilities in interest rate. However, starting from 2008 to beginning of 2012, the Hong Kong and the world economies had been steering from relatively stable to fluctuations, the 2008 financial tsunami initiated by the U,S. had been causing financial instability globally. With the U.S： government taking quantitative easing monetary policy, U.S. interest rates fluctuated and submerged rapidly. Volatility of HIBOR was extremely sensitive to fluctuation of U.S. interest rates, since Hong Kong dollar exchange rate has been pegged with U.S. dollar. In short, during the period of early 2008 to early 2012, volatility of short-term interest rate was extremely sensitive. Obviously, the term structure of interest rate for these two periods had made major shift, combining the two periods would lead to unfavorable econometric results.

A Study on Hydroelastic Response of Box-Type Very Large Floating Structures

The application of very large floating structure (VLFS) to the utilization of ocean space and exploitation of ocean resources has become one of the issues of great interest in international ocean engineering field. Owing to the advantage of simplicity in structure and low cost of construction and maintenance, box-type VLFS can be used in the calm water area near the coast as the structure configuration of floating airport. In this paper, a 3D linear hydroelastic theory is used to study the dynamic response of box-type VLFS in sinusoidal regular waves. A beam model and a 3D FEM model are respectively employed to describe the dynamic characteristics of the box-type Structure in vacuum. A hydrodynamic model (3D potential theory of flexible body) is applied to investigate the effect of different dry models on the hydroelastic response of box-type structure. Based on the calculation of hydroelastic response in regular waves, the rigid body motion displacement, flexible deflection, and the short term and long term wave induced bending moments are also predicted.

Structured scene modeling using micro stereo vision system with large field of view

This paper presents a method for structured scene modeling using micro stereo vision system with large field of view. The proposed algorithm includes edge detection with Canny detector, line fitting with principle axis based approach, finding corresponding lines using feature based matching method, and 3D line depth computation.

Extractive Summarization Using Structural Syntax, Term Expansion and Refinement

This paper investigates a procedure developed and reports on experiments performed to studying the utility of applying a combined structural property of a text’s sentences and term expansion using WordNet [1] and a local thesaurus [2] in the selection of the most appropriate extractive text summarization for a particular document. Sentences were tagged and normalized then subjected to the Longest Common Subsequence (LCS) algorithm [3] [4] for the selection of the most similar subset of sentences. Calculated similarity was based on LCS of pairs of sentences that make up the document. A normalized score was calculated and used to rank sentences. A selected top subset of the most similar sentences was then tokenized to produce a set of important keywords or terms. The produced terms were further expanded into two subsets using 1) WorldNet;and 2) a local electronic dictionary/thesaurus. The three sets obtained (the original and the expanded two) were then re-cycled to further refine and expand the list of selected sentences from the original document. The process was repeated a number of times in order to find the best representative set of sentences. A final set of the top (best) sentences was selected as candidate sentences for summarization. In order to verify the utility of the procedure, a number of experiments were conducted using an email corpus. The results were compared to those produced by human annotators as well as to results produced using some basic sentences similarity calculation method. Produced results were very encouraging and compared well to those of human annotators and Jacquard sentences similarity.

Microbial community structure and functional metabolic diversity are associated with organic carbon availability in an agricultural soil

Exploration of soil environmental characteristics governing soil microbial community structure and activity may improve our understanding of biogeochemical processes and soil quality. The impact of soil environmental characteristics especially organic carbon availability after 15-yr different organic and inorganic fertilizer inputs on soil bacterial community structure and functional metabolic diversity of soil microbial communities were evaluated in a 15-yr fertilizer experiment in Changping County, Beijing, China. The experiment was a wheat-maize rotation system which was established in 1991 including four different fertilizer treatments. These treatments included： a non-amended control（CK）, a commonly used application rate of inorganic fertilizer treatment（NPK）; a commonly used application rate of inorganic fertilizer with swine manure incorporated treatment（NPKM）, and a commonly used application rate of inorganic fertilizer with maize straw incorporated treatment（NPKS）. Denaturing gradient gel electrophoresis（DGGE） of the 16 S r RNA gene was used to determine the bacterial community structure and single carbon source utilization profiles were determined to characterize the microbial community functional metabolic diversity of different fertilizer treatments using Biolog Eco plates. The results indicated that long-term fertilized treatments significantly increased soil bacterial community structure compared to CK. The use of inorganic fertilizer with organic amendments incorporated for long term（NPKM, NPKS） significantly promoted soil bacterial structure than the application of inorganic fertilizer only（NPK）, and NPKM treatment was the most important driver for increases in the soil microbial community richness（S） and structural diversity（H）. Overall utilization of carbon sources by soil microbial communities（average well color development, AWCD） and microbial substrate utilization diversity and evenness indices（H＇ and E） indicated that long-term inorganic fertilizer with organic amendments incorporated（NPKM, NPKS） could significantly stimulate soil microbial metabolic activity and functional diversity relative to CK, while no differences of them were found between NPKS and NPK treatments. Principal component analysis（PCA） based on carbon source utilization profiles also showed significant separation of soil microbial community under long-term fertilization regimes and NPKM treatment was significantly separated from the other three treatments primarily according to the higher microbial utilization of carbohydrates, carboxylic acids, polymers, phenolic compounds, and amino acid, while higher utilization of amines/amides differed soil microbial community in NPKS treatment from those in the other three treatments. Redundancy analysis（RDA） indicated that soil organic carbon（SOC） availability, especially soil microbial biomass carbon（Cmic） and Cmic/SOC ratio are the key factors of soil environmental characteristics contributing to the increase of both soil microbial community structure and functional metabolic diversity in the long-term fertilization trial. Our results showed that long-term inorganic fertilizer and swine manure application could significantly improve soil bacterial community structure and soil microbial metabolic activity through the increases in SOC availability, which could provide insights into the sustainable management of China＇s soil resource.

MICROSTRUCTURES AND THE STRUCTURE STABILITY OF INCONEL 725, A NEW AGE-HARDENABLE CORROSION RESISTANT SUPERALLOY

INCONEL725 is a highly corrosion resistant nickel based alloy capable of being age-hardened to high strength levels. The micro structure observations and the phase identification after a standard heat treatment were investigated. The results show that the precipitation phases include the strengthening phasesγ', γ', and 8 phase, primary carbide phase TiC, as well as M6 C carbide and a little extent MC (mainly TiC) precipitates which nucleate mainly at grain boundaries. An isothermal aging study was carried out on this alloy for up to 10 000 hours at 593℃. This additional aging did not affect the tensile strength. However, micro structures show that the thermal exposure has a little additional effect. With increasing the exposure time, the size of γ' phase slightly increases, almost no change for γ' phase, while M6C carbides precipitated at grain boundaries have an increased and complex tendency on a few grain boundaries. The experimental results illustrate the excellent structure stability of the age-hardenable IN725 at 593℃.

Study on basement structures of the northeast Pamirs

Basement structures and basement interfaces are obtained by finite-difference and time-term methods using Pg-wave data from two deep seismic sounding (DSS) profiles in the Artush-Jiashi strong earthquake area. The geological units differ considerably in basement depth. The basement structures of contact zones between two geological units also vary obviously, which marks the existence of boundary faults. Finally, we make a remark upon the relationship between characteristics of basement structures and seismicity in the Artush meizoseismal area and the Jiashi earthquake swarm area.

英语名词术语数据驱动教学设计:术语知识解析、提取和应用

名词术语在专业交际中发挥了重要作用,但是由于其承载了丰富的专业知识,给专门用途英语教学设计带来了挑战,教师对英语名词术语教学中应该教传授什么知识及如何获取相关知识都感到困惑。文章提出了针对英语名词术语的数据驱动教学设计,即借鉴生成词库理论提出的物性结构把名词术语知识分为概念关系和搭配关系,使用Sketch Engine快速创建面向术语教学的语料库,精选包含前述两类知识的索引行,基于索引行编写四种词汇练习。文章提出的数据驱动教学设计为解决当前专门用途英语教学中存在的问题带来了新启示。

ANALYSIS OF THE STRUCTURAL PROPERTIES OF THE SOLUTIONS TO SPEED GRADIENT TRAFFIC FLOW MODEL

In this paper,we carry out an analysis of the structural properties of the solutions to the speed gradient(SG)traffic flow model.Under the condition that the relaxation effect can be neglected,it is shown that a 1-shock or a 1-rarefaction is associated with the first characteristic,but on the other hand,a contact discontinuity rather than a 2-shock or a 2-rarefaction is associated with the second characteristic.Since the existence of a 2-shock or 2-rarefaction violates the physical mechanism of the traffic flow,the SG model is more reasonable.If the relaxation effect cannot be neglected,it is somewhat difficult to carry out the analytical analysis and the numerical simulation results should be obtained.

Improved formulations of the CR and KR methods for structural dynamics

Although the Chen-Ricles（CR）method and the Kolay-Ricles（KR）method have been applied to conduct pseudodynamic tests,they have both been found to have some adverse numerical properties,such as conditional stability for stiffness hardening systems and an unusual overshoot in the steady-state response of a high-frequency mode.An improved formulation for each method can be achieved by using a stability amplification factor to boost the unconditional stability range for stiffness hardening systems and a loading correction term to eliminate the unusual overshoot in the steady-state response of a high-frequency mode.The details for developing improved formulations for each method are shown in this work.