The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM （Capital Asset Pricing Model betas）, derivate pricing and risk management in general. Recent ...The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM （Capital Asset Pricing Model betas）, derivate pricing and risk management in general. Recent access to intra-daily high-frequency data for two of the most liquid contracts at the Nord Pool exchange has made it possible to apply new and promising methods for analyzing volatility and correlation. The concepts of realized volatility and realized correlation are applied, and this study statistically describes the distribution （both distributional properties and temporal dependencies） of electricity forward data from 2005 to 2009. The main findings show that the logarithmic realized volatility is approximately normally distributed, while realized correlation seems not to be. Further, realized volatility and realized correlation have a long-memory feature. There also seems to be a high correlation between realized correlation and volatilities and positive relations between trading volume and realized volatility and between trading volume and realized correlation. These results are to a large extent consistent with earlier studies of stylized facts of other financial and commodity markets.展开更多
This paper presents the development of a network based real time condition monitoring system of rotating machinery. The system is built up in a double net structure consisting of local net (including client and server...This paper presents the development of a network based real time condition monitoring system of rotating machinery. The system is built up in a double net structure consisting of local net (including client and server) and intranet. The client serves as a field data collector and processor that samples the vibration signals and process parameters of a machine monitored in the net and processes the sampled data. The data collected by the client are transmitted to the server that processes the data further and provides the results of the diagnosis of each machine to any distant terminals through intranet or internet. Such a structure of the monitoring system is advantageous in safety, reliability and reasonably shares the existing net resources. In order to ensure real time transmission of the data, two procedures of data transmission, virtual channel and data pool, are developed and applied in the monitoring system. The experimental results show that the monitoring system works well and is suitable to monitor a large group of rotating machines.展开更多
文摘The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM （Capital Asset Pricing Model betas）, derivate pricing and risk management in general. Recent access to intra-daily high-frequency data for two of the most liquid contracts at the Nord Pool exchange has made it possible to apply new and promising methods for analyzing volatility and correlation. The concepts of realized volatility and realized correlation are applied, and this study statistically describes the distribution （both distributional properties and temporal dependencies） of electricity forward data from 2005 to 2009. The main findings show that the logarithmic realized volatility is approximately normally distributed, while realized correlation seems not to be. Further, realized volatility and realized correlation have a long-memory feature. There also seems to be a high correlation between realized correlation and volatilities and positive relations between trading volume and realized volatility and between trading volume and realized correlation. These results are to a large extent consistent with earlier studies of stylized facts of other financial and commodity markets.
文摘This paper presents the development of a network based real time condition monitoring system of rotating machinery. The system is built up in a double net structure consisting of local net (including client and server) and intranet. The client serves as a field data collector and processor that samples the vibration signals and process parameters of a machine monitored in the net and processes the sampled data. The data collected by the client are transmitted to the server that processes the data further and provides the results of the diagnosis of each machine to any distant terminals through intranet or internet. Such a structure of the monitoring system is advantageous in safety, reliability and reasonably shares the existing net resources. In order to ensure real time transmission of the data, two procedures of data transmission, virtual channel and data pool, are developed and applied in the monitoring system. The experimental results show that the monitoring system works well and is suitable to monitor a large group of rotating machines.
