随机波动率市场存在股票误价时的最优投资策略

本文研究了随机波动率市场中存在股票误价(mispricing)时的最优投资组合选择问题.假设投资者的目标是最大化终端财富的期望幂效用;其可投资于无风险资产、市场指数和两支相同权益或近似度极高的股票,其中至少有一支股票存在误价;市场收益的波动率和股票系统风险由Heston随机波动率模型刻画.运用动态规划方法和Lagrange乘子法,分别得到不存在/存在有限卖空约束时,投资者的最优投资策略及最优值函数的解析式,并通过理论分析和数值算例,阐述了投资时间水平和价格随机误差对最优投资策略的影响.

股票误价与理性管理者融资决策

构建了致力于公司价值最大化的理性管理者,考虑了投资者非理性影响的决策模型,并依据模型指出,感知到公司股票被市场误价的视野不同理性管理者,基于杠杆约束和股票的市场价格压力考虑,倾向在公司股票被市场高估时,选择股票增发,公司股票被市场低估时选择回购。

股票误价和信息部分可观测下的时间一致再保险和投资策略

在信息部分可观测金融市场中,文章研究了存在股票误价时保险公司时间一致再保险和投资策略.假设保险公司的盈余过程由扩散模型刻画,其可购买比例再保险,并可投资于一个无风险资产,一个市场指数和一对存在误价的股票.这对存在误价的股票的风险溢价是随机且无法直接观测的,但遵循均值回复过程.保险公司的决策目标是终端时刻投资收益最大化的同时最小化投资风险.利用滤波技术和纳什均衡思想,文章得到了时间一致再保险和投资策略的解析式.最后,数值算例表明市场流动性增强会显著增加股票误价的对冲需求;金融市场信息部分可观测导致时间一致投资策略和值函数存在显著的损失;投资期限越长,信息部分可观测导致的保险公司收益损失越大.

投资者情绪、SEO市场择机与资本结构

本文研究了我国上市公司股权再融资中市场择机行为及其对公司资本结构变化的影响。研究发现,股权再融资之前上市公司市净率对之后的公司资本结构变化具有比较显著的影响,SEO之前市净率越高,获得权益性融资之后公司资产负债率越低。但随着时间的推移,这种影响力逐渐减弱。本文的研究支持了市场择机理论。

APPLICATION OF HUMAN COGNITIVE MODEL FOR TIME DEPENDENT OPERATOR BEHAVIOR IN CHINESE NPP

This paper discusses some issues on human reliability model of time dependent human behavior. Some results of the crew reliability experiment on Tsinghua training simulator in China are given, Meanwhile, a case of calculation for human error probability during anticipated transient without scram (ATWS) based on the data drew from the recent experiment is offered.

THE PERFORMANCE OF MT-CDMA SYSTEM IN THE PRESENCE OF CARRIER FREQUENCY OFFSET

In this letter,the sensitivity of an uplink Multi-Tone Code-Division Multiple Access (MT-CDMA) system to the Carrier Frequency Offset (CFO) is investigated. The analytical expression for the Bit Error Rate (BER) of uplink MT-CDMA in the presence of CFO is derived in a multipath Rayleigh fading channel which is verified through simulations. Both Maximal Ratio Combining (MRC) and Equal Gain Combining (EGC) are considered in combining multipath signals in the analysis. It is found that the BER performance can be improved with the number of multipath increasing in the presence of CFO.

Effects of coal prices on merchandise prices in China

Coal is the principal form of energy used in China. Hence, coal price variations are expected to have some influence on merchandise prices. Monthly data from January, 2002, to October, 2010, were used to construct a varying-parameter state space model, and an error correction model, to estimate the influence of coat prices on Chinese merchandise prices. The time lag and the dynamic relationship were determined from the data. A long term equilibrium relationship between coal price and the PPI, and the CPI, can be observed. The long term influence of coal price fluctuations on the PPI is 0.263%. The corresponding value for the CPI is 0.157%. The PPI shows an influence from coal price change in the first period of observation： by eight periods the influence is obvious, after which it diminishes. The effect of coal price change on the CPI is rather weak and has no long term memory. Analysis of variance shows a similar situation. The elas- ticity coefficient of coal prices on the CPI, or the PPI, fluctuates over the 2002-2004 period. From 2002 to 2007 the influence elasticity on the CPI declined and subsequently levelled off after 2009.

Evaluation and prediction of blast induced ground vibration using support vector machine

We present the application of Support Vector Machine (SVM) for the prediction of blast induced ground vibration by taking into consideration of maximum charge per delay and distance between blast face to monitoring point. To investigate the suitability of this approach, the predictions by SVM have been compared with conventional predictor equations. Blast vibration study was carried out at Magnesite mine of Pithoragarh, India. Total 170 blast vibrations data sets were recorded at different strate-gic and vulnerable locations in and around to mine. Out of 170 data sets, 150 were used for the training of the SVM network as well as to determine site constants of different conventional predictor equations, whereas, 20 new randomly selected data sets were used to compare the prediction capability of SVM network with conventional predictor equations. Results were compared based on Co-efficient of Determination (CoD) and Mean Absolute Error (MAE) between monitored and predicted values of Peak Particle Veloc-ity (PPV). It was found that SVM gives closer values of predicted PPV as compared to conventional predictor equations. The coef-ficient of determination between measured and predicted PPV by SVM was 0.955, whereas it was 0.262, 0.163, 0.337 and 0.232 by USBM, Langefors-Kihlstrom, Ambraseys-Hendron and Bureau of Indian Standard equations, respectively. The MAE for PPV was 11.13 by SVM, whereas it was 0.973, 1.088, 0.939 and 1.292 by USBM, Langefors-Kihlstrom, Ambraseys-Hendron and Bureau of Indian Standard equations respectively.

Evaluation of Some Stem Taper Models for Camellia japonica in Mount Halla, Korea

This study was conducted to evaluate the performance of the four stem taper models on Camellia japonica in Jeju Island, Korea using fit statistics and lack-of-fit statistics. The five statistical criteria that were used in this study were standard error of estimate(SEE), mean bias( E), absolute mean difference(AMD), coefficient of determination(R2), and root mean square error(RMSE). Results showed that the Kozak model 02 stem taper had the best performance in all fit statistics(SEE: 3.4708, E : 0.0040 cm, AMD : 0.9060 cm, R2 : 0.9870, and RMSE : 1.2545). On the other hand, Max and Burkhart stem taper model had the poorest performance in each statistical criterion(SEE: 4.2121, E : 0.2520 cm, AMD : 1.1300 cm, R2 : 0.9805, and RMSE: 1.5317). For the lack-of-fit statistics, the Kozak model 02 also provided the best performance having the best AMD in most of the relative height classes for diameter outside bark prediction and in most of the DBH classes for total volume prediction while Max and Burkhart had the poorest performance. These stem taper equations could help forest managers to better estimate the diameter outside bark at any given height, merchantable stem volumes and total stem volumes of the standing trees of Camellia japonica in the forests of Jeju Island, Korea.

Research of the Thermal Parameters and the Accuracy of Flow Measurement of the Biological Fuel

The heat parameters, the thermoanemometric flow-meter （TAF） errors and the experimental characteristics have been defined. The results of experiments were conducted with the help of physically-informational models allowing to realize all major thermal methods and their inherent informative options. The metrological evaluation was made and the sensitivity to the consumption of gas and liquid have been defined, their static and dynamic errors, followed by the comparison of costs according to these criteria. The developed method provides accurate measurement of volumetric flow of motor fuel 1.0-1.5% at heater temperature measurement accuracy of 1%.

COLLEGE ENGLISH TEACHERS' PERCEPTIONS OF LANGUAGE TESTING AND THEIR IMPACTS ON BACKWASH EFFECTS

This paper explores the perceptions of college English teachers towards language test development, with a focus on the harmful backwash effects, specifically derived from teachers' misconceptions. Personal accounts of ten college teachers of English were cited and analyzed in themes, and misconceptions were identified through descriptive interpretations. The study reveals that English teachers at college are not well-acquainted with the conceptual bases for language testing due to little formal instructions. Uninformed decisions on testing and unintelligent teacher-assessment practices are potential sources of harmful backwash on teaching and learning. A dangerous tendency of reduced efforts in teacher-assessments is present among language teachers, due to blind faith in established tests, and the absence of language testing competence or excessive emphasis on High-stakes tests in research. More in-service teacher training and action research are called for.

Evaluation and intercomparison of ozone simulations by Models-3/CMAQ and CAMx over the Pearl River Delta

Ozone pollution over the Pearl River Delta (PRD) in October 2004 has been simulated using the regional air quality models Models-3/CMAQ and CAMx. The results from both models were evaluated and compared with the observed concentrations from 12 monitoring stations. By integrated process rate analysis, the influences of different physical and chemical processes were quantified, and the causes of the deviations between the two models were investigated. Both CMAQ and CAMx repro- duced the magnitudes and variations of ozone at most stations over the PRD. The correlation coefficients (R) between the sim- ulated results and monitoring data were 0.73 for CMAQ and 0.74 for CAMx. The normalized mean bias (NMB) for CMAQ and CAMx over the 12 sites was ?8.5% and 8.8% on average, respectively. The normalized mean error (NME) for CMAQ and CAMx was 36.7% and 37.9%, respectively. The correlation between the results of two models was very high (R = 0.92), and their simulated ozone spatial distributions exhibited common features. But the values obtained using CMAQ simulation were about 17% lower than those obtained using CAMx on average. The results of simulations using the two models were not identical in certain regions, or for different types of monitoring stations. The differences in dry deposition, reaction parameters and vertical transport near the Pearl River Estuary can account for the discrepancies in the results obtained using the two models. In the upwind areas, the discrepancy in the boundary concentration of the finest nest was the main cause of the higher values obtained using CAMx compared with those obtained using CMAQ. There is a need for CAMx to provide more choices of dry deposition algo- rithms. Improvement of the calculation methods for photolysis rates would also improve the ozone simulation of CMAQ.

Asymptotic properties of Lasso in high-dimensional partially linear models

We study the properties of the Lasso in the high-dimensional partially linear model where the number of variables in the linear part can be greater than the sample size.We use truncated series expansion based on polynomial splines to approximate the nonparametric component in this model.Under a sparsity assumption on the regression coefficients of the linear component and some regularity conditions,we derive the oracle inequalities for the prediction risk and the estimation error.We also provide sufficient conditions under which the Lasso estimator is selection consistent for the variables in the linear part of the model.In addition,we derive the rate of convergence of the estimator of the nonparametric function.We conduct simulation studies to evaluate the finite sample performance of variable selection and nonparametric function estimation.

Experimental evaluation of the BER performance in optical OFDM system based on discrete Hartley transform precoding

We experimentally assess the bit error rate(BER) performance of an intensity modulation/direct detection(IM/DD) optical orthogonal frequency division multiplexing(OFDM) system based on discrete Hartley transform(DHT) precoding in single-mode fiber(SMF) link for 2.5 Gbit/s quadrature phase shift keying(QPSK) OFDM symbol rate.The experimental results show that for the optical OFDM system based on DHT-precoding,the receiver sensitivity at the BER of 10-4 after 100 km SMF transmission is about 1.5 dBm better than that of the original QPSK OFDM signal,and the DHT-precoded OFDM QPSK signal can achieve approximately 1.3 dB of peak-to-average power ratio(PAPR) reduction.

A multi-functional dynamic state estimator for error validation:measurement and parameter errors and sudden load changes

We propose a new and efficient algorithm to detect, identify, and correct measurement errors and branch parameter errors of power systems. A dynamic state estimation algorithm is used based on the Kalman filter theory. The proposed algorithm also successfully detects and identifies sudden load changes in power systems. The method uses three normalized vectors to process errors at each sampling time: normalized measurement residual, normalized Lagrange multiplier, and normalized innovation vector. An IEEE 14-bus test system was used to verify and demonstrate the effectiveness of the proposed method. Numerical results are presented and discussed to show the accuracy of the method.