为了有效刻画实际业务流性能状态,结合分形布朗运动模型(Fractional Brownian Motion,FBM)和元胞自动机提出一种新的预测方法 TSPCA(Traffic State Prediction method based on Cellular Automaton).该方法首先基于FBM模型推导了平均队...为了有效刻画实际业务流性能状态,结合分形布朗运动模型(Fractional Brownian Motion,FBM)和元胞自动机提出一种新的预测方法 TSPCA(Traffic State Prediction method based on Cellular Automaton).该方法首先基于FBM模型推导了平均队列长度和平均时延的数学表达式,同时利用定义的元胞演化规则对估算结果进行修正,以提高预测精度.最后,通过NS2和MATLAB进行仿真实验,深入分析了影响该方法的关键因素,发现缓冲区较小时流量性能将由短相关特性支配,而缓冲区较大时性能由长相关支配,重置效应和截断效应对业务流性能影响较大.并且对比FARIMA和ARIMA的预测结果,证明该方法具有较好的适应性.展开更多
The empirical study shows that the return rate of the stock price has a long memory, which can be described by fractal Brown motion. The fact that fractal Brown motion does not have the characteristics of Markov makes...The empirical study shows that the return rate of the stock price has a long memory, which can be described by fractal Brown motion. The fact that fractal Brown motion does not have the characteristics of Markov makes the American option value depends on the price change path of the underlying asset. And the ordinary American option pricing model underestimates the American option value. In order to fully reflect the long memory of the underlying asset return rates, we propose fractal American option pricing model, fractal Bermuda option pricing model, and a fractal combination of American option pricing model. Fractal American option value is greater than the ordinary American option value.展开更多
文摘为了有效刻画实际业务流性能状态,结合分形布朗运动模型(Fractional Brownian Motion,FBM)和元胞自动机提出一种新的预测方法 TSPCA(Traffic State Prediction method based on Cellular Automaton).该方法首先基于FBM模型推导了平均队列长度和平均时延的数学表达式,同时利用定义的元胞演化规则对估算结果进行修正,以提高预测精度.最后,通过NS2和MATLAB进行仿真实验,深入分析了影响该方法的关键因素,发现缓冲区较小时流量性能将由短相关特性支配,而缓冲区较大时性能由长相关支配,重置效应和截断效应对业务流性能影响较大.并且对比FARIMA和ARIMA的预测结果,证明该方法具有较好的适应性.
文摘The empirical study shows that the return rate of the stock price has a long memory, which can be described by fractal Brown motion. The fact that fractal Brown motion does not have the characteristics of Markov makes the American option value depends on the price change path of the underlying asset. And the ordinary American option pricing model underestimates the American option value. In order to fully reflect the long memory of the underlying asset return rates, we propose fractal American option pricing model, fractal Bermuda option pricing model, and a fractal combination of American option pricing model. Fractal American option value is greater than the ordinary American option value.
