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高频视角下微观交易信息对价格波动的影响 被引量:4
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作者 郭华 王春峰 房振明 《系统工程学报》 CSCD 北大核心 2014年第6期780-790,共11页
基于中国股票市场交易持续期的分布形态,构建Weibull分布下的三状态非对称ACD模型刻画价格运动的动态模式,推导出瞬时波动率的计算公式,采用参数自举法模拟出价格的瞬时波动路径,通过脉冲响应分析考察由特定交易变量构成的脉冲交易对价... 基于中国股票市场交易持续期的分布形态,构建Weibull分布下的三状态非对称ACD模型刻画价格运动的动态模式,推导出瞬时波动率的计算公式,采用参数自举法模拟出价格的瞬时波动路径,通过脉冲响应分析考察由特定交易变量构成的脉冲交易对价格波动的冲击模式.结果表明交易持续期是影响价格瞬时波动变化的重要因素,脉冲交易引起的瞬时波动跃动的衰减速度较快,反映出市场投资者对交易信息具有短期的过度反应现象. 展开更多
关键词 微观交易信息 非对称ACD模型 瞬时波动 脉冲交易 参数自举法
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Uncertainty analysis of hydrological model parameters based on the bootstrap method:A case study of the SWAT model applied to the Dongliao River Watershed,Jilin Province,Northeastern China 被引量:9
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作者 ZHANG Zheng LU WenXi +2 位作者 CHU HaiBo CHENG WeiGuo ZHAO Ying 《Science China(Technological Sciences)》 SCIE EI CAS 2014年第1期219-229,共11页
As an important tool for the description and analysis of hydrological processes,the watershed hydrological model has been increasingly applied to watershed hydrological simulations and water resource management.Howeve... As an important tool for the description and analysis of hydrological processes,the watershed hydrological model has been increasingly applied to watershed hydrological simulations and water resource management.However,in most cases,model parameters are only determined in a calibration scheme which fits the modeled data to observations,thus significant uncertainties exist in the model parameters.How to quantitatively evaluate the uncertainties in model parameters and the resulting uncertainty impacts on model simulations has always been a question which has attracted much attention.In this study,two methods based on the bootstrap method(specifically,the model-based bootstrap and block bootstrap)are used to analyze the parameter uncertainties in the case of the SWAT(Soil and Water Assessment Tool)model applied to a hydrological simulation of the Dongliao River Watershed.Then,the uncertainty ranges of five sensitivity parameters are obtained.The calculated variation coefficients and the variable parameter contributions show that,among the five parameters,ESCO and CN2 have relatively high uncertainties:the variation coefficients and contribution rates are 23.98 and 70%,14.43 and 18%,respectively.The three remaining parameters have relatively low uncertainties.We compare the two uncertainty ranges of parameters acquired by the two bootstrap methods,and find that the uncertainty ranges of parameters acquired by the block bootstrap are narrower than those acquired by the model-based bootstrap.Further analysis of the effects of parameter uncertainties on the model simulation reveals that the parameter uncertainties have great impacts on results of the model simulation,and in the model calibration stage 60%70%of runoff observations were within the corresponding 95%confidence interval.The uncertainty in the model simulation during the flood season(i.e.the wet period)is relatively higher than that during the dry season. 展开更多
关键词 PARAMETERS uncertainty analysis hydrological model BOOTSTRAP SWAT (Soil and Water Assessment Tool)
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