Stratigraphical Time——Correlation and Mass Extinction Event Near Permian——Triassic Boundary in South China

Shaw's method used to correlate 40 sections across the Permo-Triassic boundary in South China is applied in the paper. Two steps are adopted to get an Integral Composite Section (ICS) by synthesizing these data : First , South China is divided into five areas and composite section developed for each area . Then the second step . the Changxing composite section is regarded as a composite standard (CSRS) while the ICS is produced by matching the CSRS with composite sections of the other areas. Three biozones in the Changxingian and two biozones in the Griesbachian can be discerned on the basis of computing Z values in the ICS. These biozones are marked by the Z values which quantitatively represent their time ranges ; therefore , they may increase accuracy of stratigraphic time correlation . The mass extinction at the end of the Permian is an abrupt event that is supported by the relative rate of extinction near the P/T boundary . About 90% of invertebrate species died out by the end of the Permian . The duration of the mass extinction is rather short ,approximately 0.018Ma .

Identification of Time-Varying Modal Parameters for Thermo-Elastic Structure Subject to Unsteady Heating

A time-varying modal parameter identification method combined with Bayesian information criterion(BIC)and grey correlation analysis(GCA)is presented for a kind of thermo-elastic structures with sparse natural frequencies and subject to an unsteady temperature field.To demonstrate the method,the thermo-elastic structure to be identified is taken as a simply-supported beam with an axially movable boundary and subject to both random excitation and an unsteady temperature field,and the dynamic outputs of the beam are first simulated as the measured data for the identification.Then,an improved time-varying autoregressive(TVAR)model is generated from the simulated input and output of the system.The time-varying coefficients of the TVAR model are expanded as a finite set of time basis functions that facilitate the time-varying coefficients to be time-invariant.According to the BIC for preliminarily determining the scope of the order number,the grey system theory is introduced to determine the order of TVAR and the dimension of the basis functions simultaneously via the absolute grey correlation degree(AGCD).Finally,the time-varying instantaneous frequencies of the system are estimated by using the recursive least squares method.The identified results are capable of tracking the slow time-varying natural frequencies with high accuracy no matter for noise-free or noisy estimation.

Robust stability analysis for Markovian jumping stochastic neural networks with mode-dependent time-varying interval delay and multiplicative noise

This paper is concerned with the problem of robust stability for a class of Markovian jumping stochastic neural networks （MJSNNs） subject to mode-dependent time-varying interval delay and state-multiplicative noise. Based on the Lyapunov-Krasovskii functional and a stochastic analysis approach, some new delay-dependent sufficient conditions are obtained in the linear matrix inequality （LMI） format such that delayed MJSNNs are globally asymptotically stable in the mean-square sense for all admissible uncertainties. An important feature of the results is that the stability criteria are dependent on not only the lower bound and upper bound of delay for all modes but also the covariance matrix consisting of the correlation coefficient. Numerical examples are given to illustrate the effectiveness.

中国与国际股市波动的时变相关性检验——基于小波分析和GARCH-Copula技术

为研究中国与国际股市波动的时变相关性机制,文章通过小波分解中、美、英3国股票指数2013~2020年的收益率,运用小波相干谱、格兰杰检验和GARCH-Copula方法分析,研究发现:在低频段方面,中美、中英股指呈现长期正相关,英美股指对中国均有引领作用,英美股指互为格兰杰原因,且均是中国股指的格兰杰原因;在高频段方面,中美、中英股指呈现负相关,但2018年后中美相关性由负转正,中美股指在短时、极端共同上涨行情和中英股指在短时、极端共同下跌行情均具有可预测性。

The Physical Significance of the Synthetic Running Correlation Coefficient and Its Applications in Oceanic and Atmospheric Studies

In order to study the temporal variations of correlations between two time series,a running correlation coefficient(RCC)could be used.An RCC is calculated for a given time window,and the window is then moved sequentially through time.The current calculation method for RCCs is based on the general definition of the Pearson product-moment correlation coefficient,calculated with the data within the time window,which we call the local running correlation coefficient(LRCC).The LRCC is calculated via the two anomalies corresponding to the two local means,meanwhile,the local means also vary.It is cleared up that the LRCC reflects only the correlation between the two anomalies within the time window but fails to exhibit the contributions of the two varying means.To address this problem,two unchanged means obtained from all available data are adopted to calculate an RCC,which is called the synthetic running correlation coefficient(SRCC).When the anomaly variations are dominant,the two RCCs are similar.However,when the variations of the means are dominant,the difference between the two RCCs becomes obvious.The SRCC reflects the correlations of both the anomaly variations and the variations of the means.Therefore,the SRCCs from different time points are intercomparable.A criterion for the superiority of the RCC algorithm is that the average value of the RCC should be close to the global correlation coefficient calculated using all data.The SRCC always meets this criterion,while the LRCC sometimes fails.Therefore,the SRCC is better than the LRCC for running correlations.We suggest using the SRCC to calculate the RCCs.

基于DCC-MGARCH模型的中国A、B股市场相关性及其解释

金融资产相关性分析是现代金融学的重要基础,不论是投资组合的选择还是风险管理均涉及到相关性的估计和预测,寻求相关系数的可靠估计已成为众多研究者关注热点问题。本文利用Engle于2002年提出的DCC-MGARCH模型对我国沪深A、B股市场之间的相关性进行了动态考察,研究发现:沪深两市A、B股之间的相关系数总体为正,并具有明显的时变特征;1997年至2001年沪深A、B股市场的动态相关系数相对较小,波动性较大,2001之后两市A、B市场之间的动态相关系数明显增大,并且波动性减少,这表明沪深A、B市场之间的一体化程度正日趋增强,不过在处于相对高位之后,近几年来并没有呈现出进一步提高趋势;总体而言,A、B股市场动态相关系数还相对低,市场分割特征仍然明显。最后运用行为金融理论对A、B股市场的动态相关性的时变特征进行了分析和解释。

基于时变t-Copula的抵押外汇契约定价研究

借鉴抵押债务契约的定价方法,应用时变t-Copula对抵押外汇契约(CFXO)进行了定价研究。首先,给出了CFXO的理论定价模型;然后,应用时变t-Copula对基于美元、日元、欧元和英镑两两之间汇率的CFXO进行了数值定价计算,其中,t-Copula的相关系数是时变的,可以用来刻画标的汇率之间随时间变化的相关性。CFXO是一款新型外汇衍生产品,可以使投资者获得关于一揽子外汇资产的暴露评级,并同时从相应所选择的部分到期,收益率以及评级中获益。该产品为投资者投资组合的多样化提供了一个十分有效的工具。

投资者日度情绪、超额收益率与市场流动性——基于DCC-GARCH模型的时变相关性研究

随着互联网科技的发展,利用数据挖掘手段不仅可以构建投资者高频情绪指标,也有助于深入研究投资者情绪与股票市场运行之间的内在联动性。选取2009—2018年共2 198个交易日样本,运用爬虫软件挖掘股票市场大盘评述的网络数据,采用自然语言处理技术进行文本分析,构建了投资者情绪日度指标,利用DCC-GARCH模型研究了投资者情绪、市场超额收益率和市场流动性之间的时变相关关系。实证结果发现:投资者情绪与市场超额收益率和流动性间存在时变相关性,动态条件相关系数总体为正;投资者情绪与市场超额收益率和流动性间的动态条件相关系数具有长期记忆性,并且会受到宏观经济变量的影响;相比于牛市,熊市环境中股票市场的运行对投资者情绪的变动更为敏感;相对于月度数据,更高频的日度指标在刻画情绪与股票市场的相关程度时,能捕捉到即时、准确的信息。这些结论对于深入理解投资者情绪与股票收益和流动性的联动机理有一定意义。

金融危机传染效应研究--基于时变Copula模型

文章采用非参数-MLE估计方法估计了四个时变Copula函数模型,研究了在2008年全球金融危机时期前后美国与国际主要金融市场之间的金融危机传染效应的存在性问题,通过估计的时变相关系数和事件宣告效应监测发现,在金融危机时期,美国与中、韩、日之间存在显著的危机传染效应;与香港市场间不存在显著危机传染效应,因香港市场成为美国市场的替代市场受到投资者青睐;与英国市场传染效应不显著,相关性增加是由于经济来往密切引起,而非金融危机传染导致。

The Reality of Baryonic Acoustic Oscillations

The initial idea for baryonic acoustic oscillations (BAO) came about during early efforts to understand the origin of galaxies by studying perturbed versions of the Friedmann-Robertson-Walker (FRW) model. In more recent times, the emphasis has shifted to the idea that 2-point galaxy correlations embedded in the distribution of matter by the BAO could be used as a standard ruler to fix the parameters of cosmological models. In this paper, we first consider the actual business of extracting the correlation length from large data sets of measured galaxy locations. To facilitate this process, we introduce a much-improved method for extracting the correlation peak from the data set. Fundamental to this process in any model is the use of a fiducial cosmological model to transition from redshift space to comoving coordinate space where the correlations actually exist. The belief is that the correlation length so determined can then be reverted to redshift space to fix the parameters of cosmological models. We show, however, that this process is circular and hence of no value whatsoever for fixing model parameters. All one obtains are the parameters of the model used to transition to comoving space in the first place. Finally, we present simple arguments that show that the idea of BAO being responsible for the structure of the universe, i.e. the cosmic web, is unworkable.

基于时变ARMA-EGARCH-Copula模型的投资者情绪与股市收益动态相关结构分析

基于上证市场2011年7月~2017年3月数据,选取流通市值加权换手率、市场融资余额变化率、市场融券余额变化率、涨跌比、基金指数收益率等五项指标对投资者情绪进行测度,并通过时变ARMA-EGARCH-Copula模型实证分析了投资者情绪与市场收益率之间的动态相关关系。分析结果表明,样本期内,上证指数收益率和投资者情绪都存在明显的波动集聚性和持续性;投资者情绪与指数收益率之间总体正相关,但时变性较大。总体上,市场正常波动时两者相关系数与指数收益率大小呈负相关关系,而市场异常波动时,暴跌阶段负相关性有所强化,暴涨阶段负相关性有所弱化。本研究有助于金融监管部门适当引导投资者行为,以减少市场非正常波动,促进金融市场正常发展。

经济政策不确定性对系统性金融风险的影响研究——基于TVP-SV-VAR模型的实证分析

文章选取30个宏观经济指标度量系统性金融风险,构建TVP-SV-VAR模型研究经济政策不确定性、宏观杠杆率和系统性金融风险的动态关联和时变特征。实证研究发现:经济政策不确定性、宏观杠杆率和系统性金融风险的关系具有时变特征。经济政策不确定性的提高在短期、中期和长期显著提高了宏观杠杆率。经济政策不确定性的提高在短期、中期和长期在整体上提高了系统性金融风险。宏观杠杆率的正向冲击在短期、中期和长期显著提高了系统性金融风险。因此,我国应该稳定经济政策预期,完善宏观调控跨周期设计和调节机制,实现经济平稳发展和防范金融风险。

水-岩作用下煤矸石声速时变特性及影响因素分析

为了研究水-岩作用对煤矸石声速时变特性的影响,选取的煤矸石试样在不同pH值溶液中浸泡数天,然后利用声发射仪断铅法测试浸泡后试样的声速,得到了煤矸石质量、密度、声速及溶液中钙离子、镁离子浓度、pH值的时变规律。通过灰色相关性理论分析煤矸石声速与水、岩影响因素的关联度,并通过Mintab响应面软件建立了煤矸石声速关于多因素的预测模型。研究表明:(1)初始pH值对溶液中钙离子、镁离子浓度的变化影响显著,酸性溶液中钙、镁离子浓度最高;(2)在浸泡中期煤矸石声速值比浸泡初期有较大幅度提高;(3)中性溶液中浸泡过的矸石质量变化比最高。(4)声速与溶液中钙、镁离子浓度、矸石密度及浸泡时间有较明显的相关性。

欧债危机背景下的股票与债券市场动态相关性研究——基于DCC-MVGARCH模型的实证

本文利用Engle提出的DCC-MVGARCH模型,研究了欧债危机背景下的我国股票与债券市场之间的动态相关性,刻画了股票与债券市场相关性的时变特征。实证结果表明,欧债危机背景下股票与债券市场的动态条件相关系数呈时变特征,欧债危机对股票市场与债券市场的相关性影响较为明显,对股票与国债市场、企业债市场的动态条件相关系数的影响基本上相同。

中国分类经济政策不确定性与亚太股市的动态关联性--基于GARCH-时变Copula模型

文章利用四种残差分布、两种GARCH模型及十二种Copula函数构建中国经济政策不确定性指数与亚太地区主要股票市场指数的GARCH—时变Copula模型,探讨新型冠状病毒肺炎疫情背景下二者之间的动态关联性。结果表明:中国分类经济政策不确定性指数的使用可以更深入探究各经济政策变化与股市的联动关系,中国不同类别经济政策与亚太地区主要股市的关联性存在时变及异质性;中国汇率和资本账户政策的不确定性与中国、中国香港、新加坡及澳大利亚股市的动态关联性更强;中国财政政策不确定性和贸易政策不确定性对亚太股市的影响受疫情冲击最显著。

汇率与利率及股价间的非线性时变联动效应研究——基于“8·11”汇改和中美贸易摩擦的视角

基于MF-DCCA分析框架,研究2015年“8·11”汇改和中美贸易摩擦事件对汇率与利率及股价间的联动效应产生的影响。研究表明,“8·11”汇改有效降低了我国外汇市场风险,但显著提高了其市场有效性;汇率与利率及股票价格之间均存在非线性、时变的交叉相关性,且外汇市场与利率市场间的短期联动性较弱,但长期联动性较强;“8·11”汇改增强了外汇市场与股票市场之间的联动性,中美贸易摩擦则加剧了外汇市场与利率市场及股票市场之间的风险传染。中国应进一步深化人民币汇率形成机制改革,加大汇率波动弹性;金融监管部门应加强对人民币汇率波动的跟踪预测。

施工期结构动态可靠度的阶段分析法

针对施工期钢筋混凝土结构的特点,分阶段地对影响施工期结构构件抗力的特征及其概率模型进行了研究,建议了施工期荷载随时间及空间变异的概率模型。基于动态模型,提出了考虑各个施工阶段相关性的结构可靠度阶段分析法,以矩形梁为例计算了工程实例。

经济虚拟化与虚拟经济的独立性特征研究——虚拟经济与实体经济关系的动态化过程

本文运用动态相关多元GARCH模型研究了1919年至2004年虚拟经济与实体经济相关性的时变特征。结果发现,虚拟经济与实体经济的相关性存在着明显的时变特征,具体表现为一个经济虚拟化的过程:二战前实体经济与虚拟经济存在着明显的相关性,随后呈现一个逐渐递减的趋势,在20世纪80年代后,虚拟经济表现出明显的独立性特征,经济运行方式与之前存在显著的差异,虚拟经济与实体经济呈两个相对独立的经济系统而存在,从而验证了经济虚拟化之后,虚拟经济作为与实体经济相对的经济系统的相对独立性特征。

时滞时变对象参数辨识方法

针对时滞时变系统,提出了一种参数辨识的新方法。该算法一方面采用互相关函数来辨识滞后时间,并引进了快速傅里叶变换及其反变换,提高了计算效率;另一方面,在变参数增量估计递推最小二乘算法估计时变参数的基础上,引入误差级序列,改善了时变参数的辨识精度。最后通过仿真验证了该方法的良好性能。

基于场景的移动应用服务QoS建模与评估

针对目前静态服务QoS建模难以有效表征移动应用服务QoS的时变性和位置相关性,构建基于场景的移动应用服务QoS模型。定义移动应用服务QoS指标体系并构建了QoS数值对矩阵,提出服务QoS总体评估、特定区域或特定时段评估、热点区域或繁忙时段评估3类评估问题。采用遗传算法和数据聚类算法,通过服务请求位置密度实现区域自动划分,通过服务请求频次实现时段自动划分,量化位置区域和时间这2个场景条件,根据限定条件重构QoS数值对矩阵,基于QoS数值对矩阵的统计分析给出了服务QoS评估方法。最后阐述QoS归一化评估和应用框架。