To deal with the numerical dispersion problem, by combining the staggeredgrid technology with the compact finite difference scheme, we derive a compact staggered- grid finite difference scheme from the first-order vel...To deal with the numerical dispersion problem, by combining the staggeredgrid technology with the compact finite difference scheme, we derive a compact staggered- grid finite difference scheme from the first-order velocity-stress wave equations for the transversely isotropic media. Comparing the principal truncation error terms of the compact staggered-grid finite difference scheme, the staggered-grid finite difference scheme, and the compact finite difference scheme, we analyze the approximation accuracy of these three schemes using Fourier analysis. Finally, seismic wave numerical simulation in transversely isotropic （VTI） media is performed using the three schemes. The results indicate that the compact staggered-grid finite difference scheme has the smallest truncation error, the highest accuracy, and the weakest numerical dispersion among the three schemes. In summary, the numerical modeling shows the validity of the compact staggered-grid finite difference scheme.展开更多
Based on the fifth-order Stokes regular wave theory, a simplified model for extreme-wave kinematics in deep sea was developed. In this model, from the wave records the average of two neighboring wave periods for the e...Based on the fifth-order Stokes regular wave theory, a simplified model for extreme-wave kinematics in deep sea was developed. In this model, from the wave records the average of two neighboring wave periods for the extreme crest or trough was defined as the period of the Stokes wave by the up and down zero-crossing methods. Then the input wave amplitude was deduced by substituting the wave period and extreme crest or trough into the expression for the fifth-order Stokes wave elevation. Thus the corresponding formula for the wave velocity can be used to describe kinematics beneath the extreme wave. By comparison with the published numerical models and experimental data, the proposed model is validated to be able to calculate the extreme wave velocity rather easily and accurately.展开更多
For microseisimic monitoring it is difficult to determine wave modes and their propagation velocity. In this paper, we propose a new method for automatically inverting in real time the source characteristics of micros...For microseisimic monitoring it is difficult to determine wave modes and their propagation velocity. In this paper, we propose a new method for automatically inverting in real time the source characteristics of microseismic events in mine engineering without wave mode identification and velocities. Based on the wave equation in a spherical coordinate system, we derive a tomographic imaging equation and formulate a scanning parameter selection criterion by which the microseisimic event maximum energy and corresponding parameters can be determined. By determining the maximum energy positions inside a given risk district, we can indentify microseismic events inside or outside the risk districts. The synthetic and field examples demonstrate that the proposed tomographic imaging method can automatically position microseismic events by only knowing the risk district dimensions and range of velocities without identifying the wavefield modes and accurate velocities. Therefore, the new method utilizes the full wavefields to automatically monitor microseismic events.展开更多
Chromium ore fines containing coal (COFCC) can be rapidly heated by microwave to conduct the voluminal reduction, which lays a foundation of getting sponge ferrochromium powders with a lower content of C. Under the co...Chromium ore fines containing coal (COFCC) can be rapidly heated by microwave to conduct the voluminal reduction, which lays a foundation of getting sponge ferrochromium powders with a lower content of C. Under the conditions of COFCC with n(O)-n(C) (molar ratio) as 1.00-0.84 and n(SiO2)-n(CaO) as 1.00-0.39, the samples were heated by 10 kW microwave power to reach the given temperatures and held for different times respectively. The results show that the low-C-Cr ferrochromium metal phase in the reduced materials forms before the high-C-Cr ferrochromium metal phase does. With increasing temperature the C content of ferrochromium metals is in a positive correlation with the content of Cr. The C content of ferrochromium metal in reduced materials is 0-10.07% with an average value of 4.68%. With the increase of holding time the Cr content in ferrochromium metals is in a negative correlation with the content of C, while the content of Fe changes in the contrary way. In the microwave field the kinetic conditions of carburization are closely related with the temperature of microwave heating, holding time and carbon fitting ratio.展开更多
The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, an...The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, and South Korea. The research determined the stock return volatility for each country＇s index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index＇s return with the index＇s returns of the following countries： Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012.展开更多
In the current paper, the authors investigate empirically the relationship between the share price volatility and the amount of voluntary information disclosed in the corporate annual report. The authors use the data ...In the current paper, the authors investigate empirically the relationship between the share price volatility and the amount of voluntary information disclosed in the corporate annual report. The authors use the data envelopment analysis （DEA） and the stochastic frontier analysis （SFA） models on a sample of 50 listed French firms belonging to the Soci6t6s des Bourses Fran^aises （SBF250） index from 2004 to 2008. The authors focus on the extent of voluntary disclosure in the annual reports that have been measure by using a composite disclosure index. Then, the authors study the relevance of disclosure policies through the ability of the voluntary disclosure level to effectively reduce the share price volatility. The findings of DEA and SFA provide, in average, highly efficient scores of the sample, reveal the several dispositions taken by the French Exchange Market authorities and the initiative of French firms to improve the market stability. In addition, the findings highlight, in average, stability of the firms＇ efficiency scores over the studied period. The authors explain these findings by the stability of corporate disclosure policy as suggested in previous literature （e.g., Botosan, 1997）. However, there are some differences between the findings of SFA and DEA models.展开更多
This study demonstrates how the volatility index （VIX） can help predict the returns for sequential trading days. Using a logit function and previous VIX information, we present an initial attempt to estimate the pro...This study demonstrates how the volatility index （VIX） can help predict the returns for sequential trading days. Using a logit function and previous VIX information, we present an initial attempt to estimate the probability of a positive market return. The estimation procedure is applied to recent data on the S＆P500 and to the 10-year U.S. Treasury Bonds yields. Our findings indicate that such a relationship does exist and is significant, especially for the bond market. We also ran an investment simulation using different VIX scores and found that from 2004 to June 2009, VIX=18 was the score that yielded the highest.展开更多
The aim of the paper is to provide some evidences on relationships among the degree of financial integration, stock exchange markets, and volatility of national market returns. In this paper, the authors employ correl...The aim of the paper is to provide some evidences on relationships among the degree of financial integration, stock exchange markets, and volatility of national market returns. In this paper, the authors employ correlation and cluster analyses in order to investigate the impact of stock exchange consolidation on volatility of market returns, in terms of a financial integration between involved stock exchanges before and after the merger. By using the Generalized Autoregressive Conditional Heteroskedasticity （GARCH） （1.1） model, the authors test the change in volatilities of national stock exchange markets involved in the following stock exchange integration case studies： Euronext, Bolsasy Mercados Espanoles （BME）, and Swedish-Finnish financial services company （OMX）. These three case studies are considered as completed cases of market consolidation, where the data are available enough to conduct the current research. By using daily data of national returns of engaged European stock markets from 1995 to 2007, the paper investigates the influence of stock exchange consolidation on volatility of national stock market returns. The obtained results confirm the gradual decrease of volatility in each of the integrated stock markets. However, the level of decrease in terms of volatility depends on economic characteristics of each engaged market and its degree of integration with other financial services. The results of correlation and cluster analyses confirm that stock operators have created significantly non-official integration links through cross-memberships and cross-listings even before the consolidations. Thus, the mergers among stock exchanges can be considered as the rational consequences of the high internal co-movements between involved markets. Furthermore, stock exchange markets with strong non-official integration links show an immediate decrease of volatility after the merger, meanwhile for others, it takes several years before the volatility can decrease as markets should reach the full integration.展开更多
On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightnes...On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightness and liquidity, changes on underlying stocks due to warrants issuance, are investigated. In this study, the CAPM is applied for evaluating the market risk, the Kyle model for the market depth, the averaged best five bid-ask spread for the market tightness and the averaged turnover rate for the market liquidity. The empirical results indicate that the most significant influence is the market liquidity, the market tightness next; the market risk and market depth are non-significant.展开更多
基金supported by the National High-Tech Research and Development Program of China(Grant No.2006AA06Z202)the Open Fund of the Key Laboratory of Geophysical Exploration of CNPC(Grant No.GPKL0802)+1 种基金the Graduate Student Innovation Fund of China University of Petroleum(East China)(Grant No.S2008-1)the Program for New Century Excellent Talents in University(Grant No.NCET-07-0845)
文摘To deal with the numerical dispersion problem, by combining the staggeredgrid technology with the compact finite difference scheme, we derive a compact staggered- grid finite difference scheme from the first-order velocity-stress wave equations for the transversely isotropic media. Comparing the principal truncation error terms of the compact staggered-grid finite difference scheme, the staggered-grid finite difference scheme, and the compact finite difference scheme, we analyze the approximation accuracy of these three schemes using Fourier analysis. Finally, seismic wave numerical simulation in transversely isotropic （VTI） media is performed using the three schemes. The results indicate that the compact staggered-grid finite difference scheme has the smallest truncation error, the highest accuracy, and the weakest numerical dispersion among the three schemes. In summary, the numerical modeling shows the validity of the compact staggered-grid finite difference scheme.
基金Supported by the NSFC (under Grant Nos.5070900 and 10772040)the National High Tech Research and Development Program of China (2006AA09A109-3)
文摘Based on the fifth-order Stokes regular wave theory, a simplified model for extreme-wave kinematics in deep sea was developed. In this model, from the wave records the average of two neighboring wave periods for the extreme crest or trough was defined as the period of the Stokes wave by the up and down zero-crossing methods. Then the input wave amplitude was deduced by substituting the wave period and extreme crest or trough into the expression for the fifth-order Stokes wave elevation. Thus the corresponding formula for the wave velocity can be used to describe kinematics beneath the extreme wave. By comparison with the published numerical models and experimental data, the proposed model is validated to be able to calculate the extreme wave velocity rather easily and accurately.
基金support jointly by projects of the National Natural Science Fund Project (40674017 and 50774012)the National Key Basic Research and Development Plan 973 (2010CB226803)
文摘For microseisimic monitoring it is difficult to determine wave modes and their propagation velocity. In this paper, we propose a new method for automatically inverting in real time the source characteristics of microseismic events in mine engineering without wave mode identification and velocities. Based on the wave equation in a spherical coordinate system, we derive a tomographic imaging equation and formulate a scanning parameter selection criterion by which the microseisimic event maximum energy and corresponding parameters can be determined. By determining the maximum energy positions inside a given risk district, we can indentify microseismic events inside or outside the risk districts. The synthetic and field examples demonstrate that the proposed tomographic imaging method can automatically position microseismic events by only knowing the risk district dimensions and range of velocities without identifying the wavefield modes and accurate velocities. Therefore, the new method utilizes the full wavefields to automatically monitor microseismic events.
基金Project(50474083) supported by the National Natural Science Foundation of ChinaProject supported by the Baoshan Iron & Steel Co. Ltd. of China
文摘Chromium ore fines containing coal (COFCC) can be rapidly heated by microwave to conduct the voluminal reduction, which lays a foundation of getting sponge ferrochromium powders with a lower content of C. Under the conditions of COFCC with n(O)-n(C) (molar ratio) as 1.00-0.84 and n(SiO2)-n(CaO) as 1.00-0.39, the samples were heated by 10 kW microwave power to reach the given temperatures and held for different times respectively. The results show that the low-C-Cr ferrochromium metal phase in the reduced materials forms before the high-C-Cr ferrochromium metal phase does. With increasing temperature the C content of ferrochromium metals is in a positive correlation with the content of Cr. The C content of ferrochromium metal in reduced materials is 0-10.07% with an average value of 4.68%. With the increase of holding time the Cr content in ferrochromium metals is in a negative correlation with the content of C, while the content of Fe changes in the contrary way. In the microwave field the kinetic conditions of carburization are closely related with the temperature of microwave heating, holding time and carbon fitting ratio.
文摘The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, and South Korea. The research determined the stock return volatility for each country＇s index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index＇s return with the index＇s returns of the following countries： Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012.
文摘In the current paper, the authors investigate empirically the relationship between the share price volatility and the amount of voluntary information disclosed in the corporate annual report. The authors use the data envelopment analysis （DEA） and the stochastic frontier analysis （SFA） models on a sample of 50 listed French firms belonging to the Soci6t6s des Bourses Fran^aises （SBF250） index from 2004 to 2008. The authors focus on the extent of voluntary disclosure in the annual reports that have been measure by using a composite disclosure index. Then, the authors study the relevance of disclosure policies through the ability of the voluntary disclosure level to effectively reduce the share price volatility. The findings of DEA and SFA provide, in average, highly efficient scores of the sample, reveal the several dispositions taken by the French Exchange Market authorities and the initiative of French firms to improve the market stability. In addition, the findings highlight, in average, stability of the firms＇ efficiency scores over the studied period. The authors explain these findings by the stability of corporate disclosure policy as suggested in previous literature （e.g., Botosan, 1997）. However, there are some differences between the findings of SFA and DEA models.
文摘This study demonstrates how the volatility index （VIX） can help predict the returns for sequential trading days. Using a logit function and previous VIX information, we present an initial attempt to estimate the probability of a positive market return. The estimation procedure is applied to recent data on the S＆P500 and to the 10-year U.S. Treasury Bonds yields. Our findings indicate that such a relationship does exist and is significant, especially for the bond market. We also ran an investment simulation using different VIX scores and found that from 2004 to June 2009, VIX=18 was the score that yielded the highest.
文摘The aim of the paper is to provide some evidences on relationships among the degree of financial integration, stock exchange markets, and volatility of national market returns. In this paper, the authors employ correlation and cluster analyses in order to investigate the impact of stock exchange consolidation on volatility of market returns, in terms of a financial integration between involved stock exchanges before and after the merger. By using the Generalized Autoregressive Conditional Heteroskedasticity （GARCH） （1.1） model, the authors test the change in volatilities of national stock exchange markets involved in the following stock exchange integration case studies： Euronext, Bolsasy Mercados Espanoles （BME）, and Swedish-Finnish financial services company （OMX）. These three case studies are considered as completed cases of market consolidation, where the data are available enough to conduct the current research. By using daily data of national returns of engaged European stock markets from 1995 to 2007, the paper investigates the influence of stock exchange consolidation on volatility of national stock market returns. The obtained results confirm the gradual decrease of volatility in each of the integrated stock markets. However, the level of decrease in terms of volatility depends on economic characteristics of each engaged market and its degree of integration with other financial services. The results of correlation and cluster analyses confirm that stock operators have created significantly non-official integration links through cross-memberships and cross-listings even before the consolidations. Thus, the mergers among stock exchanges can be considered as the rational consequences of the high internal co-movements between involved markets. Furthermore, stock exchange markets with strong non-official integration links show an immediate decrease of volatility after the merger, meanwhile for others, it takes several years before the volatility can decrease as markets should reach the full integration.
文摘On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightness and liquidity, changes on underlying stocks due to warrants issuance, are investigated. In this study, the CAPM is applied for evaluating the market risk, the Kyle model for the market depth, the averaged best five bid-ask spread for the market tightness and the averaged turnover rate for the market liquidity. The empirical results indicate that the most significant influence is the market liquidity, the market tightness next; the market risk and market depth are non-significant.
