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股市板块对大盘的动态影响力研究——基于牛市行情的视角
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作者 肖观福 《中国市场》 2016年第16期80-82,共3页
用DCC模型得到的动态相关系数,结合理论框架实证检验了2014—2015年牛市行情中4个板块对沪深300指数的动态影响力,并与板块的累积收益图进行比较分析。结论表明:用累积加权动态相关系数变化率来解释板块对大盘的动态影响力以及板块的轮... 用DCC模型得到的动态相关系数,结合理论框架实证检验了2014—2015年牛市行情中4个板块对沪深300指数的动态影响力,并与板块的累积收益图进行比较分析。结论表明:用累积加权动态相关系数变化率来解释板块对大盘的动态影响力以及板块的轮动效应是可行的,特别是在解释牛市中后期各板块的表现时具有明显的优势。 展开更多
关键词 态影响力 累积加权态相关系数变化率 DCC模型 轮动效应
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基于多因子模型的量化选股分析 被引量:16
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作者 徐景昭 《金融理论探索》 2017年第3期30-38,共9页
基于量化投资中常用的多因子模型,对使用较为广泛的11个因子利用回归法进行有效性检验,选出有效因子分别构造了适合一般投资者使用的基本多因子模型、基于货币周期的行业轮动多因子模型以及基于固定效应下的多元回归模型。通过实证分析... 基于量化投资中常用的多因子模型,对使用较为广泛的11个因子利用回归法进行有效性检验,选出有效因子分别构造了适合一般投资者使用的基本多因子模型、基于货币周期的行业轮动多因子模型以及基于固定效应下的多元回归模型。通过实证分析比较不同模型间所构建的投资组合的收益率与市场收益率,验证了量化选股策略的有效性,也为不同层次的投资者提供了研究数据与选股策略。 展开更多
关键词 量化投资 多因子模型 行业轮动效应 多元回归分析
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Aerodynamic Effects on TLP Type Wind Turbines and Predictions of the Electricity They Generate
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作者 Yasunori Nihei Hiroyuki Fujioka 《Journal of Marine Science and Application》 2011年第2期139-149,共11页
This research proposes a new offshore wind energy generation system that uses a tension leg platform (TLP) and describes experiments performed on a TLP type wind turbine in both waves and wind. The following conclusio... This research proposes a new offshore wind energy generation system that uses a tension leg platform (TLP) and describes experiments performed on a TLP type wind turbine in both waves and wind. The following conclusions can be made from the results of this research. 1) In the case of coexisting wave-wind fields, the wind effect stabilizes the pitch motion. 2) The wind effect decreases vibration of the mooring lines when waves and wind coexist. In particular, the springing (2nd or 3rd order force) also decreases in this field. 3) It can be estimated that the reduction in the rate of generation of electrical power can be up to about 6% as a result of the heel angle. In addition, the annual amount of electricity generated was estimated along with the utilization factor based on the experimental results. 展开更多
关键词 tension leg platform (TLP) offshore wind turbine tank test in coexisting wave-wind condition annual amount of electricity generated
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基于市场资金流向的商品期货量化交易策略研究 被引量:1
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作者 彭素静 贾秀燕 谢芮 《商场现代化》 2018年第12期10-11,共2页
对于商品企业行情数据来说,价格涨跌是交易者态度的汇总,成交量是交易热度的体现,持仓量是分歧度的象征。本文首先对锌商品期货分别以30天、60天和90天为周期建立AR模型得到资金流向具有持续性;然后利用CTA策略选出交易激进的期货合约,... 对于商品企业行情数据来说,价格涨跌是交易者态度的汇总,成交量是交易热度的体现,持仓量是分歧度的象征。本文首先对锌商品期货分别以30天、60天和90天为周期建立AR模型得到资金流向具有持续性;然后利用CTA策略选出交易激进的期货合约,利用成交量、收盘价、涨跌幅计算得到交易激进指标P与分歧度指标Q,对比不同板块两指标的大小,根据投资组合得到油类期货合约为看多信号,最终得到板块之间具有轮动效应。 展开更多
关键词 AR模型 CTA策略 资金流向 轮动效应
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Aerodynamic effects of impeller-diffuser axial misalignment in low-flow-coefficient centrifugal compressor 被引量:1
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作者 WANG ZhiHeng XI Guang LIU QingFang 《Science China(Technological Sciences)》 SCIE EI CAS CSCD 2015年第1期29-36,共8页
A numerical investigation on the aerodynamic effects of impeller-diffuser axial misalignment in the low-flow-coefficient centrifugal compressor is conducted through three-dimensional CFD analysis.The results show that... A numerical investigation on the aerodynamic effects of impeller-diffuser axial misalignment in the low-flow-coefficient centrifugal compressor is conducted through three-dimensional CFD analysis.The results show that the flow,especially near the diffuser inlet,is influenced by the axial misalignment obviously.When the impeller offsets to one side,the pressure at diffuser inlet close to this side will descend,and the vortex in the cavity on the other side will partially enter the diffuser and then result in the back flow.The performances of the stage and its components also change with the impeller-diffuser axial misalignment.There exists an optimum offset making the efficiency maximum at a given operating point.Furthermore,the effect of impeller-diffuser axial misalignment on the axial thrust is pronounced.The axial thrust is nearly increased linearly with the increase of axial misalignment.The aerodynamic effects of impeller-diffuser axial misalignment in the low-flow-coefficient centrifugal compressor behaves more remarkably at the large flow rate.To alleviate the aerodynamic effects of impeller-diffuser misalignment,a rounding in the meridional plane at the diffuser inlet can be applied. 展开更多
关键词 MISALIGNMENT COMPRESSOR low flow coefficient IMPELLER
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