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股指期货风险测算研究--基于混合密度网络模型和CVaR模型的TRM理论应用 被引量:3
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作者 周珺 彭蕾 《企业经济》 CSSCI 北大核心 2008年第5期175-177,共3页
随着《证券公司为期货公司提供中间介绍业务试行办法》、《期货公司风险监管指标管理试行办法》等法规条例的陆续出台,股指期货离我们渐行渐近。股指期货是深化我国金融市场改革和完善多层次资本市场的必经之路,可以预见,其真实价格发... 随着《证券公司为期货公司提供中间介绍业务试行办法》、《期货公司风险监管指标管理试行办法》等法规条例的陆续出台,股指期货离我们渐行渐近。股指期货是深化我国金融市场改革和完善多层次资本市场的必经之路,可以预见,其真实价格发现功能,套期保值功能等优势将为期货公司和实行自营业务的证券机构提供诸多便利。但是,由于股指期货同时具有高杠杆性和每日结算等特点,期货公司或从事IB业务的证券公司必须额外注意其风险控制。基于以上考虑,本文希望运用比较新颖和科学的数量方法对股指期货的风险测算进行一些尝试。 展开更多
关键词 股指期货 混合密度网络模型 CVAR模型 TRM理论
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An Aircraft Trajectory Anomaly Detection Method Based on Deep Mixture Density Network 被引量:1
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作者 CHEN Lijing ZENG Weili YANG Zhao 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI CSCD 2021年第5期840-851,共12页
The timely and accurately detection of abnormal aircraft trajectory is critical to improving flight safety.However,the existing anomaly detection methods based on machine learning cannot well characterize the features... The timely and accurately detection of abnormal aircraft trajectory is critical to improving flight safety.However,the existing anomaly detection methods based on machine learning cannot well characterize the features of aircraft trajectories.Low anomaly detection accuracy still exists due to the high-dimensionality,heterogeneity and temporality of flight trajectory data.To this end,this paper proposes an abnormal trajectory detection method based on the deep mixture density network(DMDN)to detect flights with unusual data patterns and evaluate flight trajectory safety.The technique consists of two components:Utilization of the deep long short-term memory(LSTM)network to encode features of flight trajectories effectively,and parameterization of the statistical properties of flight trajectory using the Gaussian mixture model(GMM).Experiment results on Guangzhou Baiyun International Airport terminal airspace show that the proposed method can effectively capture the statistical patterns of aircraft trajectories.The model can detect abnormal flights with elevated risks and its performance is superior to two mainstream methods.The proposed model can be used as an assistant decision-making tool for air traffic controllers. 展开更多
关键词 aircraft trajectory anomaly detection mixture density network long short-term memory(LSTM) Gaussian mixture model(GMM)
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