In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the t...In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.展开更多
Market making （MM） strategies have played an important role in the electronic stock market. However, the MM strategies without any forecasting power are not safe while trading. In this paper, we design and implement...Market making （MM） strategies have played an important role in the electronic stock market. However, the MM strategies without any forecasting power are not safe while trading. In this paper, we design and implement a twotier framework, which includes a trading signal generator based on a supervised learning approach and an event-driven MM strategy. The proposed generator incorporates the information within order book microstructure and market news to provide directional predictions. The MM strategy in the second tier trades on the signals and prevents itself from profit loss led by market trending. Using half a year price tick data from Tokyo Stock Exchange （TSE） and Shanghai Stock Exchange （SSE）, and corresponding Thomson Reuters news of the same time period, we conduct the back-testing and simulation on an industrial near-to-reality simulator. From the empirical results, we find that 1） strategies with signals perform better than strategies without any signal in terms of average daily profit and loss （PnL） and sharpe ratio （SR）, and 2） correct predictions do help MM strategies readjust their quoting along with market trending, which avoids the strategies triggering stop loss procedure that further realizes the paper loss.展开更多
The Shapinggou porphyry molybdenum(Mo) deposit, located in Jinzhai County, Anhui Province, China, is the largest in the Qinling-Dabie Mo Metallogenic Belt. The intrusive rocks in the Shapinggou Mo ore district formed ...The Shapinggou porphyry molybdenum(Mo) deposit, located in Jinzhai County, Anhui Province, China, is the largest in the Qinling-Dabie Mo Metallogenic Belt. The intrusive rocks in the Shapinggou Mo ore district formed in the Yanshanian can be divided into two stages based on zircon U-Pb dating and geochemical features. This study focuses on the late stage intrusions(quartz syenite and granite porphyry), which are closely genetically related to molybdenum mineralization. Petrographic observations identified two quartz polymorphs in the quartz syenite and granite porphyry, which were derived from the same magmatic sources and similar evolutionary processes. The quartzes were identified as a xenomorphic β-quartz within quartz syenite, while the quartz phenocrysts within the granite porphyry were pseudomorphous b-quartz, characterized by a hexagonal bipyramid crystallography. The pseudomorphous b-quartz phenocrysts within the granite porphyry were altered from b-quartz through phase transformation. These crystals retained b-quartz pseudomorph. Combined with titanium-inzircon thermometry, quartz phase diagrams, and granitic Q-Ab-Or-H_2O phase diagrams, it is suggested that the quartz syenite and granite porphyry were formed under similar magmatic origins, including similar depths and magmatic crystallization temperatures. However, the β-quartz within quartz syenite indicated that the crystallization pressure was greater than 0.7 GPa, while the original b-quartz within the granite porphyry was formed under pressures between 0.4 and 0.7 GPa. The groundmass of the granite porphyry which formed after the phenocryst indicated a crystallizing pressure below 0.05 GPa. This indicates that the granite porphyry was formed under repetitive and rapid decompression. The decompression was significant as it caused the exsolution of the ore-forming fluids, and boiling and material precipitation during the magmatic-fluid process. The volumetric difference during the phase transformation from b-quartz to β-quartz caused extensive fracturing on the granite porphyry body and the wall rocks. As the main ore-transmitting and ore-depositing structures, these fractures benefit the hydrothermal alteration and stockwork-disseminated mineralization of the porphyry deposit. It is considered that the pseudomorphous β-quartz phenocrysts of the porphyritic body are metallogenic indicators within the porphyry deposits. The pseudomorphous β-quartzes therefore provide evidence for the formation of the porphyry deposit within a decompression tectonic setting.展开更多
基金supported by the Doctoral Research Fund of the Ministry of Education, China (Grant No.20040285008)Grant-in-Aid for Scientific Research (B), the Ministry of Education, Science, Sports andCulture, Japan, 2005 (Grant No. 17300228)
文摘In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.
基金This work was supported by the National Natural Science Foundation of China （Grant Nos. 61173011, 61103125）. Thanks for Charles River Advisors Ltd. who provide their commercial exchange simulator for research use. Xiaotie Deng is supported by the National Natural Science Foundation of China （Grant No. 61173011） and a 985 project of Shanghai Jiaotong University, China.
文摘Market making （MM） strategies have played an important role in the electronic stock market. However, the MM strategies without any forecasting power are not safe while trading. In this paper, we design and implement a twotier framework, which includes a trading signal generator based on a supervised learning approach and an event-driven MM strategy. The proposed generator incorporates the information within order book microstructure and market news to provide directional predictions. The MM strategy in the second tier trades on the signals and prevents itself from profit loss led by market trending. Using half a year price tick data from Tokyo Stock Exchange （TSE） and Shanghai Stock Exchange （SSE）, and corresponding Thomson Reuters news of the same time period, we conduct the back-testing and simulation on an industrial near-to-reality simulator. From the empirical results, we find that 1） strategies with signals perform better than strategies without any signal in terms of average daily profit and loss （PnL） and sharpe ratio （SR）, and 2） correct predictions do help MM strategies readjust their quoting along with market trending, which avoids the strategies triggering stop loss procedure that further realizes the paper loss.
基金supported by the National Natural Science Foundation of China (Grant Nos. 41172085 & 41472066)the Scientific Project of China Geological Survey (Grant No. 12120114028401)
文摘The Shapinggou porphyry molybdenum(Mo) deposit, located in Jinzhai County, Anhui Province, China, is the largest in the Qinling-Dabie Mo Metallogenic Belt. The intrusive rocks in the Shapinggou Mo ore district formed in the Yanshanian can be divided into two stages based on zircon U-Pb dating and geochemical features. This study focuses on the late stage intrusions(quartz syenite and granite porphyry), which are closely genetically related to molybdenum mineralization. Petrographic observations identified two quartz polymorphs in the quartz syenite and granite porphyry, which were derived from the same magmatic sources and similar evolutionary processes. The quartzes were identified as a xenomorphic β-quartz within quartz syenite, while the quartz phenocrysts within the granite porphyry were pseudomorphous b-quartz, characterized by a hexagonal bipyramid crystallography. The pseudomorphous b-quartz phenocrysts within the granite porphyry were altered from b-quartz through phase transformation. These crystals retained b-quartz pseudomorph. Combined with titanium-inzircon thermometry, quartz phase diagrams, and granitic Q-Ab-Or-H_2O phase diagrams, it is suggested that the quartz syenite and granite porphyry were formed under similar magmatic origins, including similar depths and magmatic crystallization temperatures. However, the β-quartz within quartz syenite indicated that the crystallization pressure was greater than 0.7 GPa, while the original b-quartz within the granite porphyry was formed under pressures between 0.4 and 0.7 GPa. The groundmass of the granite porphyry which formed after the phenocryst indicated a crystallizing pressure below 0.05 GPa. This indicates that the granite porphyry was formed under repetitive and rapid decompression. The decompression was significant as it caused the exsolution of the ore-forming fluids, and boiling and material precipitation during the magmatic-fluid process. The volumetric difference during the phase transformation from b-quartz to β-quartz caused extensive fracturing on the granite porphyry body and the wall rocks. As the main ore-transmitting and ore-depositing structures, these fractures benefit the hydrothermal alteration and stockwork-disseminated mineralization of the porphyry deposit. It is considered that the pseudomorphous β-quartz phenocrysts of the porphyritic body are metallogenic indicators within the porphyry deposits. The pseudomorphous β-quartzes therefore provide evidence for the formation of the porphyry deposit within a decompression tectonic setting.
