基于拔靴滤波历史模拟法的黄金市场VaR测度研究

传统历史模拟法（THS，Tranditional Historical Simulation）和滤波历史模拟法（FHS，Filtered Historical Simulation）是国际商业银行使用最多的VaR预测方法。首先，论文在已有研究成果的基础上，构造了BHW（Bootstraped Hull and White）历史模拟法；然后，以国内黄金交易数据为样本，采用6种严谨的后验分析（Backtesting analysis）方法，对BHW方法及几种主流历史模拟法、GARCH模型方法的VaR预测精确性进行了实证分析。论文的主要结论包括：（1）综合论文所采用的几种金融风险测度方法来看，BHW方法表现出了相对较好的精确性，而实务界中广泛使用的THS方法则表现出了最差的精确性；（2）不同的历史模拟法受样本规模因素影响的程度显著不同，例如THS方法和HW方法均不同程度的受到了样本规模因素影响；（3）总体来看，BHW方法表现出了相对较好的风险预测精确性，可以作为测度黄金市场风险的选择之一。     

A simulation analysis of the impact of family configuration on virtual cellular manufacturing

Past research has shown that it is possible to simultaneously achieve the setup efficiencies of traditional cellular manufacturing systems and the routeing flexibility of a job shop by viewing cells not as permanent, physical structures, but as temporary, 'virtual' entities. This research demonstrates that the advantages of virtual manufacturing cells can be obtained over a range of part family configurations. In particular, virtual cellular manufacturing is robust to changes in the number and size of families being processed. Further, the research shows that the benefits can be obtained under setup conditions impartial to a family-oriented part environment.     

Supply chain management: a supplier perspective

A new way of researching into supply chain management is introduced by adopting a supplier perspective. Details are given of mixed integer linear planning and simulation models. The planning model takes into consideration firm and forecast orders (customer's forecast purchasing orders) and the behaviour of the supplier's suppliers and suppliers' subcontractors. The simulation model takes into account the dynamic behaviour of the supply chain and includes the planning production behaviour of a supplying company based on the planning model. The supplier manager can use the simulation model to determine what kind of parameters most affect company performances and then propose new management rules. Quantitative results that prove the benefits of integrating forecast orders for an aeronautic supplier have been provided.     

A new random permutation test in ANOVA models

This paper developed an exact method of random permutations when testing both interaction and main effects in the two-way ANOVA model. The method of this paper can be regarded as a much improved model when compared with those of the previous studies such as Still and White (1981) and ter Braak (1992). We further conducted a simulation experiment in order to check the statistical performance of the proposed method. The proposed method works relatively well for small sample sizes compare with the existing methods. This work was supported by Korea Science and Engineering Foundation Grant (R14-2003-002-0100)     

动静叶相互干涉的三维非定常流场数值模拟

将双时间步法应用于叶栅级的全三维黏性非定常数值求解，讨论了分区算法中内边界条件的给定问题，本算法可保证分区边界上具有与内点相同的精度，具有很好的数值稳定性，且通量基本守恒，将该方法应用于具有弯曲导叶的涡轮级的计算可得到典型的非定常流谱，揭示了动静叶之间的相互干涉对叶片气动性能的影响，数值计算结果表明本文给出的算法是合理有效的。     

带有马尔可夫调制和跳的随机微分延迟方程Euler方法的强相合性

本文主要研究了下列形式的随机微分延迟方程：dX（t） =f（X（t） ,X（t -τ（t） ） ,r（t） ）dt ＋g（X（t） ,X（t -τ（t） ） ,r（t） ）dW（t） ＋h（X（t） ,X（t -τ（t） ）, r（t） ）dN（t） 0≤t≤T.考虑了时间延迟．r（t）为变量，Euler方法数值解；给出并且证明了Euler方法的强相合性定理，即Euler方法数值解均方意义下局部收敛于精确解．     

Reverse Regression and Employment Discrimination

The importance of interval forecasts is reviewed. Several general approaches to calculating such forecasts are described and compared. They include the use of theoretical formulas based on a fitted probability model (with or without a correction for parameter uncertainty), various “approximate” formulas (which should be avoided), and empirically based, simulation, and resampling procedures. The latter are useful when theoretical formulas are not available or there are doubts about some model assumptions. The distinction between a forecasting method and a forecasting model is expounded. For large groups of series, a forecasting method may be chosen in a fairly ad hoc way. With appropriate checks, it may be possible to base interval forecasts on the model for which the method is optimal. It is certainly unsound to use a model for which the method is not optimal, but, strangely, this is sometimes done. Some general comments are made as to why prediction intervals tend to be too narrow in practice to encompass the required proportion of future observations. An example demonstrates the overriding importance of careful model specification. In particular, when data are “nearly nonstationary,” the difference between fitting a stationary and a nonstationary model is critical.     

A low-cost approach to computer-integrated manufacturing in a small chemical unit

Many firms are considering CIM as a means of reducing costs and increasing quality. Sometimes, however, a major problem in this kind of project seems to be the high investments involved. In this paper a methodology for developing a low-cost CIM application is presented. The proposed methodology was successfully experimented in a small chemical unit of one of the leading producers of nylon in the world. The paper reports on the design and implementation of the computer-integrated manufacturing and the associated costs and benefits.     

Application of numerical interval analysis to obtain self-validating results for multivariate probabilities in a massively parallel environment

Conventional computations use real numbers as input and produce real numbers as results without any indication of the accuracy. Interval analysis, instead, uses interval elements throughout the computation and produces intervals as output with the guarantee that the true results are contained in them. One major use for interval analysis in statistics is to get results of high-dimensional multivariate probabilities. With the efforts to decrease the length of the intervals that contain the theoretically true answers, we can obtain results to any arbitrary accuracy, which is demonstrated by multivariate normal and multivariate t integrations. This is an advantage over the approximation methods that are currently in use. Since interval analysis is more computationally intensive than traditional computing, a MasPar parallel computer is used in this research to improve performance.     

正态分布随机Petri网的串并行结构化简

基于正态分布随机Petri网的串行和并行两种基本结构的化简开展研究,推导出在正态分布广义随机Petri网中化简串行模型的等价理论公式,即合成执行时间为各个变迁的执行时间之和,仍服从正态分布,并且合成均值等于所有变迁执行时间的均值之和,合成标准偏差等于所有变迁执行时间标准偏差的方和根。还提出了并行模型的模拟仿真计算方法,分析了两个并行变迁独立不同分布时的情况,并给出了近似估算公式,在公式中,均值较大的变迁权重较大。