This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coeffi...This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process.For empirical purposes,the Sharpe ratio can be formulated with a monotonic increasing function of R-squared if the sample size is large enough.One can utilize the Sharpe ratio to compare weak-form efficiency among different markets.The results of stochastic simulation demonstrate the validity of the proposed method.The author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index.展开更多
According to Newton＇s Second Law and the microwave theory, mechanical analysis of multiple buoys which form Sharp Eagle wave energy converter （WEC） is carried out. The movements of every buoy in three modes couple ...According to Newton＇s Second Law and the microwave theory, mechanical analysis of multiple buoys which form Sharp Eagle wave energy converter （WEC） is carried out. The movements of every buoy in three modes couple each other when they are affected with incident waves. Based on the above, mechanical models of the WEC are established, which are concerned with fluid forces, damping forces, hinge forces, and so on. Hydrodynamic parameters of one buoy are obtained by taking the other moving buoy as boundary conditions. Then, by taking those hydrodynamic parameters into the mechanical models, the optimum external damping and optimal capture width ratio are calculated out. Under the condition of the optimum external damping, a plenty of data are obtained, such as the displacements amplitude of each buoy in three modes （sway, heave, pitch）, damping forces, hinge forces, and speed of the hydraulic cylinder. Research results provide theoretical references and basis for Sharp Eagle WECs in the design and manufacture.展开更多
文摘This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process.For empirical purposes,the Sharpe ratio can be formulated with a monotonic increasing function of R-squared if the sample size is large enough.One can utilize the Sharpe ratio to compare weak-form efficiency among different markets.The results of stochastic simulation demonstrate the validity of the proposed method.The author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index.
基金supported by the National Natural Science Foundation of China(Grant No.41406102)the Special Foundation for Ocean Renewable Energy(Grant No.GHME2016YY01)
文摘According to Newton＇s Second Law and the microwave theory, mechanical analysis of multiple buoys which form Sharp Eagle wave energy converter （WEC） is carried out. The movements of every buoy in three modes couple each other when they are affected with incident waves. Based on the above, mechanical models of the WEC are established, which are concerned with fluid forces, damping forces, hinge forces, and so on. Hydrodynamic parameters of one buoy are obtained by taking the other moving buoy as boundary conditions. Then, by taking those hydrodynamic parameters into the mechanical models, the optimum external damping and optimal capture width ratio are calculated out. Under the condition of the optimum external damping, a plenty of data are obtained, such as the displacements amplitude of each buoy in three modes （sway, heave, pitch）, damping forces, hinge forces, and speed of the hydraulic cylinder. Research results provide theoretical references and basis for Sharp Eagle WECs in the design and manufacture.
