This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran.The analysis specifically c...This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran.The analysis specifically considers the refining,drilling,and petrochemical equity sectors of the Tehran Stock Exchange.The parameter estimation uses the quasi-Monte Carlo and Bayesian optimization methods in the framework of a generalized autoregressive conditional heteroskedasticity model,and a complementary Bayesian network analysis is also conducted.The analysis takes into account geopolitical risk and economic policy uncertainty data as other proxies for uncertainty.This study also aims to detect different price regimes for each equity index in a novel way using homogeneous/non-homogeneous Markov switching autoregressive models.Although these methods provide improvements by restricting the analysis to a specific price-regime period,they produce conflicting results,rendering it impossible to draw general conclusions regarding the contagion effect on returns or the volatility transmission between markets.Nevertheless,the results indicate that the OPEC(historical)price volatility has a stronger effect on the energy sectors than the implied volatility has.These types of oil price shocks are found to have no effect on the drilling sector price pattern,whereas the refining and petrochemical equity sectors do seem to undergo changes in their price patterns nearly concurrently with future demand shocks and oil supply shocks,respectively,gaining dominance in the oil market.展开更多
Considering the stochastic spatial variation of geotechnical parameters over the slope, a Stochastic Finite Element Method (SFEM) is established based on the combination of the Shear Strength Reduction (SSR) concept a...Considering the stochastic spatial variation of geotechnical parameters over the slope, a Stochastic Finite Element Method (SFEM) is established based on the combination of the Shear Strength Reduction (SSR) concept and quasi-Monte Carlo simulation. The shear strength reduction FEM is superior to the slice method based on the limit equilibrium theory in many ways, so it will be more powerful to assess the reliability of global slope stability when combined with probability theory. To illustrate the performance of the proposed method, it is applied to an example of simple slope. The results of simulation show that the proposed method is effective to perform the reliability analysis of global slope stability without presupposing a potential slip surface.展开更多
In this project, we consider obtaining Fourier features via more efficient sampling schemes to approximate the kernel in LFMs. A latent force model (LFM) is a Gaussian process whose covariance functions follow an Expo...In this project, we consider obtaining Fourier features via more efficient sampling schemes to approximate the kernel in LFMs. A latent force model (LFM) is a Gaussian process whose covariance functions follow an Exponentiated Quadratic (EQ) form, and the solutions for the cross-covariance are expensive due to the computational complexity. To reduce the complexity of mathematical expressions, random Fourier features (RFF) are applied to approximate the EQ kernel. Usually, the random Fourier features are implemented with Monte Carlo sampling, but this project proposes replacing the Monte-Carlo method with the Quasi-Monte Carlo (QMC) method. The first-order and second-order models’ experiment results demonstrate the decrease in NLPD and NMSE, which revealed that the models with QMC approximation have better performance.展开更多
In the quantum Monte Carlo(QMC)method,the pseudo-random number generator(PRNG)plays a crucial role in determining the computation time.However,the hidden structure of the PRNG may lead to serious issues such as the br...In the quantum Monte Carlo(QMC)method,the pseudo-random number generator(PRNG)plays a crucial role in determining the computation time.However,the hidden structure of the PRNG may lead to serious issues such as the breakdown of the Markov process.Here,we systematically analyze the performance of different PRNGs on the widely used QMC method known as the stochastic series expansion(SSE)algorithm.To quantitatively compare them,we introduce a quantity called QMC efficiency that can effectively reflect the efficiency of the algorithms.After testing several representative observables of the Heisenberg model in one and two dimensions,we recommend the linear congruential generator as the best choice of PRNG.Our work not only helps improve the performance of the SSE method but also sheds light on the other Markov-chain-based numerical algorithms.展开更多
文摘This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran.The analysis specifically considers the refining,drilling,and petrochemical equity sectors of the Tehran Stock Exchange.The parameter estimation uses the quasi-Monte Carlo and Bayesian optimization methods in the framework of a generalized autoregressive conditional heteroskedasticity model,and a complementary Bayesian network analysis is also conducted.The analysis takes into account geopolitical risk and economic policy uncertainty data as other proxies for uncertainty.This study also aims to detect different price regimes for each equity index in a novel way using homogeneous/non-homogeneous Markov switching autoregressive models.Although these methods provide improvements by restricting the analysis to a specific price-regime period,they produce conflicting results,rendering it impossible to draw general conclusions regarding the contagion effect on returns or the volatility transmission between markets.Nevertheless,the results indicate that the OPEC(historical)price volatility has a stronger effect on the energy sectors than the implied volatility has.These types of oil price shocks are found to have no effect on the drilling sector price pattern,whereas the refining and petrochemical equity sectors do seem to undergo changes in their price patterns nearly concurrently with future demand shocks and oil supply shocks,respectively,gaining dominance in the oil market.
文摘Considering the stochastic spatial variation of geotechnical parameters over the slope, a Stochastic Finite Element Method (SFEM) is established based on the combination of the Shear Strength Reduction (SSR) concept and quasi-Monte Carlo simulation. The shear strength reduction FEM is superior to the slice method based on the limit equilibrium theory in many ways, so it will be more powerful to assess the reliability of global slope stability when combined with probability theory. To illustrate the performance of the proposed method, it is applied to an example of simple slope. The results of simulation show that the proposed method is effective to perform the reliability analysis of global slope stability without presupposing a potential slip surface.
文摘In this project, we consider obtaining Fourier features via more efficient sampling schemes to approximate the kernel in LFMs. A latent force model (LFM) is a Gaussian process whose covariance functions follow an Exponentiated Quadratic (EQ) form, and the solutions for the cross-covariance are expensive due to the computational complexity. To reduce the complexity of mathematical expressions, random Fourier features (RFF) are applied to approximate the EQ kernel. Usually, the random Fourier features are implemented with Monte Carlo sampling, but this project proposes replacing the Monte-Carlo method with the Quasi-Monte Carlo (QMC) method. The first-order and second-order models’ experiment results demonstrate the decrease in NLPD and NMSE, which revealed that the models with QMC approximation have better performance.
基金Project supported by the National Natural Science Foundation of China(Grant Nos.12274046,11874094,and 12147102)Chongqing Natural Science Foundation(Grant No.CSTB2022NSCQ-JQX0018)Fundamental Research Funds for the Central Universities(Grant No.2021CDJZYJH-003).
文摘In the quantum Monte Carlo(QMC)method,the pseudo-random number generator(PRNG)plays a crucial role in determining the computation time.However,the hidden structure of the PRNG may lead to serious issues such as the breakdown of the Markov process.Here,we systematically analyze the performance of different PRNGs on the widely used QMC method known as the stochastic series expansion(SSE)algorithm.To quantitatively compare them,we introduce a quantity called QMC efficiency that can effectively reflect the efficiency of the algorithms.After testing several representative observables of the Heisenberg model in one and two dimensions,we recommend the linear congruential generator as the best choice of PRNG.Our work not only helps improve the performance of the SSE method but also sheds light on the other Markov-chain-based numerical algorithms.
