In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump ...In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.展开更多
G804.6 20014686用加速度传感器直接测量加速度的实验验证=Experimental verification in measuring acceleration[刊,中,A]/施宝兴//南京体育学院学报.-2001.-15(1).-406图5参3(XH)运动生物力学//加速度//传感器//单片机//测量G804.6 2...G804.6 20014686用加速度传感器直接测量加速度的实验验证=Experimental verification in measuring acceleration[刊,中,A]/施宝兴//南京体育学院学报.-2001.-15(1).-406图5参3(XH)运动生物力学//加速度//传感器//单片机//测量G804.6 20014687大强度跳跃训练对生长期大鼠骨生物力学性质的影响=Intensive jumping exercise on biomechanicscharacteristics of bones of rat[刊,中,A]/杨国敏,魏文仪//体育与科学.-2001.-22(1).-65-57表3参8(TY)展开更多
基金Projects(71271215,71221061) supported by the National Natural Science Foundation of ChinaProject(2011DFA10440) supported by the International Science&Technology Cooperation Program of ChinaProject(CX2012B067) supported by Hunan Provincial Innovation Foundation for Postgraduate,China
文摘In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.
文摘G804.6 20014686用加速度传感器直接测量加速度的实验验证=Experimental verification in measuring acceleration[刊,中,A]/施宝兴//南京体育学院学报.-2001.-15(1).-406图5参3(XH)运动生物力学//加速度//传感器//单片机//测量G804.6 20014687大强度跳跃训练对生长期大鼠骨生物力学性质的影响=Intensive jumping exercise on biomechanicscharacteristics of bones of rat[刊,中,A]/杨国敏,魏文仪//体育与科学.-2001.-22(1).-65-57表3参8(TY)
