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分形统计测度构建及其在投资组合中的应用研究 被引量:4
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作者 吴栩 李冉 +1 位作者 燕汝贞 李逸卓 《运筹与管理》 CSSCI CSCD 北大核心 2018年第12期158-165,共8页
准确测量证券的风险和收益无论是对投资管理,还是对金融理论研究,甚至对理论成果向实践应用转化都至关重要。本文在证券价格具有分形特征的现实背景下,基于分形理论构建了分形期望和分形方差两个分形统计测度,以克服非分形统计测度在风... 准确测量证券的风险和收益无论是对投资管理,还是对金融理论研究,甚至对理论成果向实践应用转化都至关重要。本文在证券价格具有分形特征的现实背景下,基于分形理论构建了分形期望和分形方差两个分形统计测度,以克服非分形统计测度在风险收益方面测不准或不可测的缺陷。在此基础上,应用分形统计测度构建了投资组合模型,给出了分形组合模型的解析解;随后,利用实证分析验证了分形统计测度在投资组合应用中的有效性。本文创新之处在于针对证券价格具有分形特征的现实背景构建了分形期望和分形方差两个分形统计测度;并基于分形统计测度构建了投资组合模型,将证券价格普遍存在的分形特征纳入投资组合的研究框架。 展开更多
关键词 分形期望 分形方差 分形统计测度 投资组合
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基于分形统计测度的投资组合研究
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作者 吴栩 燕汝贞 +1 位作者 王雪飞 李佳 《复杂系统与复杂性科学》 EI CSCD 2018年第3期75-81,共7页
为提升投资组合的有效性,首先构建了分形期望和分形方差两个分形统计测度,给出了两个分形统计测度的运算规则;随后基于分形统计测度构建了分形投资组合模型,给出了分形投资组合模型的解析解;最后以上海证券交易所的所有行业指数为样本,... 为提升投资组合的有效性,首先构建了分形期望和分形方差两个分形统计测度,给出了两个分形统计测度的运算规则;随后基于分形统计测度构建了分形投资组合模型,给出了分形投资组合模型的解析解;最后以上海证券交易所的所有行业指数为样本,实证分析了分形投资组合模型的有效性。结果发现,分形统计测度弥补了非分形统计测度难以准确测量证券收益和风险的缺陷,分形投资组合模型在确保收益的同时更好地分散了风险,更加有效。 展开更多
关键词 分形投资组合 分形统计测度 分形期望 分形方差
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基于VFDT特征的空中飞机目标分类方法 被引量:1
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作者 李秋生 张华霞 《雷达科学与技术》 北大核心 2020年第4期438-442,共5页
飞机机身的非刚性振动、航行姿态的改变以及机上旋转部件的转动等均会引发对其雷达回波的非线性调制,采用多重分形测度可以对飞机回波的此类调制特征进行细致的刻画。文中引入方差分形维轨迹(VFDT)这一种新的多重分形算法对飞机回波进... 飞机机身的非刚性振动、航行姿态的改变以及机上旋转部件的转动等均会引发对其雷达回波的非线性调制,采用多重分形测度可以对飞机回波的此类调制特征进行细致的刻画。文中引入方差分形维轨迹(VFDT)这一种新的多重分形算法对飞机回波进行特性分析和特征提取,基于提出的VFDT特征并结合支持向量机(SVM),对实际录取的多种类型飞机回波进行了目标分类识别实验。实验结果表明,VFDT特征可以较好地对多种不同类型的飞机目标进行分类辨识,并具有较小的计算量。 展开更多
关键词 特征提取 方差分形维轨迹 目标分类 低分辨雷达
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Use of Otolith Shape for the Identification of Trumpeter Sillago (Sillago maculata) and Silver Sillago(Sillago sihama) 被引量:2
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作者 WANG Yingjun YE Zhenjiang LIU Qun 《Journal of Ocean University of China》 SCIE CAS 2010年第3期286-290,共5页
Otolith shape is species-specific in fish.In this study,161 samples of Trumpeter sillago Sillago maculata and 164 of Silver sillago Sillago sihama were collected from Beibu Gulf in July 2009.The main objective of this... Otolith shape is species-specific in fish.In this study,161 samples of Trumpeter sillago Sillago maculata and 164 of Silver sillago Sillago sihama were collected from Beibu Gulf in July 2009.The main objective of this study was to use morphological variables and Fourier harmonics to describe otolith characteristics and use discriminant analyses to separate the two species.Otoliths were measured by traditional one and two dimensional measures(otolith length,width,diameters,area,perimeter,rectangularity and circularity),as well as by Fourier analysis to capture the finer regions of the otolith.Analysis of covariance(ANCOVA) showed that there was significant correlation between morphological variables(diameter,perimeter,otolith length,otolith width,otolith area,density,harmonics 3,harmonics 4,harmonics 5,harmonics 13,harmonics 15,and harmonics 16) and body length.To minimize size effects on the morphological variables between species,only fish with a body length between 90 and 140 mm were included in the data analysis and the variables which had significant relation with body length were transformed using the residual.The result showed that the accuracy of discriminant analysis was 97.8% and 100% for Trumpeter sillago and Silver sillago,respectively.This high accuracy indicated that otolith shape was described accurately by morphological variables and Fourier harmonics,and discriminant analysis was an effective way to identify and separate the two species. 展开更多
关键词 Sillago maculate Sillago sihama Otolith shape analysis Fourier analysis IDENTIFICATION
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Self-management of coronary heart disease in older patients after elective percutaneous transluminal coronary angioplasty 被引量:10
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作者 Susan Dawkes Graeme D Smith +2 位作者 Lawrie Elliott Robert Raeside Jayne H Donaldson 《Journal of Geriatric Cardiology》 SCIE CAS CSCD 2016年第5期393-400,共8页
Objective To explore how older patients self-manage their coronary heart disease (CHD) aider undergoing elective percutaneous transluminal coronary angioplasty (PTCA). Methods This mixed methods study used a seque... Objective To explore how older patients self-manage their coronary heart disease (CHD) aider undergoing elective percutaneous transluminal coronary angioplasty (PTCA). Methods This mixed methods study used a sequential, explanatory design and recruited a convenience sample of patients (n = 93) approximately three months after elective PTCA. The study was conducted in two phases. Quantitative data collected in Phase 1 by means of a self-administered survey were subject to univariate and bivariate analysis. Phase 1 findings in- formed the purposive samplhag for Phase 2 where ten participants were selected from the original sample for an in-depth interview. Qualita- tive data were analysed using thematic analysis. This paper will primarily report the findings from a sub-group of older participants (n = 47) classified as 65 years of age or older. Results 78.7% (n = 37) of participants indicated that they would manage recurring angina symptoms by taking glyceryl trinitrate and 34% (n = 16) thought that resting would help. Regardless of the duration or severity of the symptoms 40.5% (n = 19) would call their general practitioner or an emergency ambulance for assistance during any recurrence of angina symptoms. Older participants weighed less (P = 0.02) and smoked less (P = 0.01) than their younger counterparts in the study. Age did not seem to affect PTCA patients' likelihood of altering dietary factors such as fruit, vegetable and saturated fat consumption (P = 0.237). Conclusions The findings suggest that older people in the study were less likely to know how to correctly manage any recurring angina symptoms than their younger counterparts but they had fewer risk factors for CHD. Age was not a factor that influenced participants' likelihood to alter lifestyle factors. 展开更多
关键词 Angina pectoris Coronary disease Percutaneous transluminal coronary angioplasty SELF-MANAGEMENT
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Error Analysis on Corrector Formula for Rectangular Rule 被引量:1
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作者 XIAO Ze-chang DU Yue-peng 《Chinese Quarterly Journal of Mathematics》 CSCD 北大核心 2008年第2期270-275,共6页
This paper presents truncation errors among Corrector Formula for left Rectangular rule and Corrector Formula for middle Rectangular rule respectively. It also displays an analysis on convergence order of compound cor... This paper presents truncation errors among Corrector Formula for left Rectangular rule and Corrector Formula for middle Rectangular rule respectively. It also displays an analysis on convergence order of compound corrector formulas for rectangular rule. Examples of numerical calculation have validated theoretical analysis. 展开更多
关键词 numerical integration algebraic accuracy corrector formula truncation error convergence order
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Application of Rational Expansion Method for Differential-Difference Equation
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作者 王琪 《Communications in Theoretical Physics》 SCIE CAS CSCD 2011年第12期981-986,共6页
In this paper, we applied the rational formal expansion method to construct a series of sofiton-like and period-form solutions for nonlinear differential-difference equations. Compared with most existing methods, the ... In this paper, we applied the rational formal expansion method to construct a series of sofiton-like and period-form solutions for nonlinear differential-difference equations. Compared with most existing methods, the proposed method not only recovers some known solutions, but also finds some new and more general solutions. The efficiency of the method can be demonstrated on Toda Lattice and Ablowitz-Ladik Lattice. 展开更多
关键词 rational expansion method Toda lattice Ablowitz-Ladik lattice
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Two Unconditional Stable Schemes for Simulation of Heat Equation on Manifold Using DEC
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作者 谢正 《Communications in Theoretical Physics》 SCIE CAS CSCD 2011年第2期321-324,共4页
To predict the heat diffusion in a given region over time, it is often necessary to find the numerical solution for heat equation. However, the computational domain of classical numerical methods are limited to fiat s... To predict the heat diffusion in a given region over time, it is often necessary to find the numerical solution for heat equation. However, the computational domain of classical numerical methods are limited to fiat spacetime. With the techniques of discrete differential calculus, we propose two unconditional stable numerical schemes for simulation heat equation on space manifold and time. The analysis of their stability and error is accomplished by the use of maximum principle. 展开更多
关键词 discrete exterior calculus discrete manifold heat equation
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Natural Convection of Nanofluid in Cylindrical Enclosure Filled with Porous Media
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作者 Manal Hadi A1-Hafidh Hayder Ibrahim Mohammed 《Journal of Energy and Power Engineering》 2013年第12期2263-2272,共10页
A numerical study has been carried out to investigate the effect of aspect ratio on heat transfer by natural convection of nanofluid taking Cu nano particles and the water as based fluid. The flow is laminar, steady s... A numerical study has been carried out to investigate the effect of aspect ratio on heat transfer by natural convection of nanofluid taking Cu nano particles and the water as based fluid. The flow is laminar, steady state, axisymmetric two-dimensional in a vertical cylindrical channel filled with porous media. Heat is generated uniformly along the center of the channel with its vertical surface remain with cooled constant wall temperature and insulated horizontal top and bottom surfaces. The governing equations which used are continuity, momentum and energy equations using Darcy law and Boussinesq's approximation which are transformed to dimensionless equations. The finite difference approach is used to obtain all the computational results using the MATLAB-7 program. The parameters affected on the system are Rayleigh number ranging within (10≤ Ra ≤ 103), aspect ratio (1 ≤ As 〈 5) and the volume fraction (0 ≤0 〈 0.2). The results obtained are presented graphically in the form of streamline and isotherm contour plots and the results show that as ~ increase from 0.01 to 0.2 the value of the mean Nusselt number increase 50.4% for Ra = 1,000. 展开更多
关键词 Laminar natural convection NANOFLUID porous media vertical cylinder heat generation.
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