本文在辨析3种典型日内交易量预测模型—加和模型、乘积模型和分解优化模型—的理论差异并使用中国市场数据实证检验的基础上,提出一种新的日内交易量预测模型:局部波动模型.在交易量预测和成交量加权平均价(volume weighted average pr...本文在辨析3种典型日内交易量预测模型—加和模型、乘积模型和分解优化模型—的理论差异并使用中国市场数据实证检验的基础上,提出一种新的日内交易量预测模型:局部波动模型.在交易量预测和成交量加权平均价(volume weighted average price,VWAP)策略层面,局部波动模型的稳定性均优于经典的基准方法—历史滚动均值.该模型运算速度快且可实现动态预测,预测精度方面表现良好,仅不及精度最高但速度最慢的乘积模型,且其稳健性优于乘积模型,介于乘积模型和分解优化模型之间.该模型在大盘风格数据上表现较好,且在处理频率较高的数据以及交易量波动较低的数据上具有优势.展开更多
This paper is focused on the H_(∞) control problem for linear systems with interval timevarying delays.By employing a reciprocally convex combination approach and a delay decomposition approach,some new delay-depende...This paper is focused on the H_(∞) control problem for linear systems with interval timevarying delays.By employing a reciprocally convex combination approach and a delay decomposition approach,some new delay-dependent bounded real lemmas(BRLs) are derived such that the closedloop system is asymptotically stable with a prescribed H_(∞) level.The BRLs are then used to solve the H_(∞) controller design by incorporating with the cone complementary approach.Three numerical examples are finally given to show the validity of the proposed method.展开更多
文摘本文在辨析3种典型日内交易量预测模型—加和模型、乘积模型和分解优化模型—的理论差异并使用中国市场数据实证检验的基础上,提出一种新的日内交易量预测模型:局部波动模型.在交易量预测和成交量加权平均价(volume weighted average price,VWAP)策略层面,局部波动模型的稳定性均优于经典的基准方法—历史滚动均值.该模型运算速度快且可实现动态预测,预测精度方面表现良好,仅不及精度最高但速度最慢的乘积模型,且其稳健性优于乘积模型,介于乘积模型和分解优化模型之间.该模型在大盘风格数据上表现较好,且在处理频率较高的数据以及交易量波动较低的数据上具有优势.
基金supported by the National Nature Science Foundation of China under Grant No.61203136the Natural Science Foundation of Hunan Province of China Grant Nos.2015JJ5021 and 2015JJ3064the Construct Program of the Key Discipline in Hunan Province
文摘This paper is focused on the H_(∞) control problem for linear systems with interval timevarying delays.By employing a reciprocally convex combination approach and a delay decomposition approach,some new delay-dependent bounded real lemmas(BRLs) are derived such that the closedloop system is asymptotically stable with a prescribed H_(∞) level.The BRLs are then used to solve the H_(∞) controller design by incorporating with the cone complementary approach.Three numerical examples are finally given to show the validity of the proposed method.
