证券市场流动性与交易者群体变动的混沌研究

从证券市场微观结构角度,利用交易者群体可变的动态模型,分别在确定与不确定性金 融环境下,研究离散交易状态下市场的形成过程,并分析了交易者群体变动的混沌条件. 结果 表明,市场流动性的最低标准是买卖双方的交易者群体要有一个恰当的比例,市场达到稳定流 动性的时间与描述离开股市交易者的参数有关,通过交易制度对交易者群体参数的影响,可实 现对市场过程的控制,最后给出仿真计算.     

Mlonte Carlo Techniques for Quantitative Uncertainty Analysis in Public Health Risk Assessments

Most public health risk assessments assume and combine a series of average, conservative, and worst-case values to derive a conservative point estimate of risk. This procedure has major limitations. This paper demonstrates a new methodology for extended uncertainty analyses in public health risk assessments using Monte Carlo techniques. The extended method begins as do some conventional methods--with the preparation of a spreadsheet to estimate exposure and risk. This method, however, continues by modeling key inputs as random variables described by probability density functions (PDFs). Overall, the technique provides a quantitative way to estimate the probability distributions for exposure and health risks within the validity of the model used. As an example, this paper presents a simplified case study for children playing in soils contaminated with benzene and benzo(a)pyrene (BaP).     

Health Risk Assessment of a Modern Municipal Waste Incinerator

During the modernization of the municipal waste incinerator (MWI, maximum capacity of 180,000 tons per year) of Metropolitan Grenoble (405,000 inhabitants), in France, a risk assessment was conducted, based on four tracer pollutants: two volatile organic compounds (benzene and 1, 1, 1 trichloroethane) and two heavy metals (nickel and cadmium, measured in particles). A Gaussian plume dispersion model, applied to maximum emissions measured at the MWI stacks, was used to estimate the distribution of these pollutants in the atmosphere throughout the metropolitan area. A random sample telephone survey (570 subjects) gathered data on time-activity patterns, according to demographic characteristics of the population. Life-long exposure was assessed as a time-weighted average of ambient air concentrations. Inhalation alone was considered because, in the Grenoble urban setting, other routes of exposure are not likely. A Monte Carlo simulation was used to describe probability distributions of exposures and risks. The median of the life-long personal exposures distribution to MWI benzene was 3.2·10^–5 g/m³ (20th and 80th percentiles = 1.5·10^–5 and 6.5·10^–5 g/m³), yielding a 2.6·10^–10 carcinogenic risk (1.2·10^–10–5.4·10^–10). For nickel, the corresponding life-time exposure and cancer risk were 1.8·10^–4 g/m³ (0.9.10^–4 – 3.6·10^–4 g/m³) and 8.6·10^–8 (4.3·10^–8–17.3·10^–8); for cadmium they were respectively 8.3·10^–6 g/m³ (4.0·10^–6–17.6·10^–6) and 1.5·10^–8 (7.2·10^–9–3.1·10^–8). Inhalation exposure to cadmium emitted by the MWI represented less than 1% of the WHO Air Quality Guideline (5 ng/m³), while there was a margin of exposure of more than 10⁹ between the NOAEL (150 ppm) and exposure estimates to trichloroethane. Neither dioxins nor mercury, a volatile metal, were measured. This could lessen the attributable life-long risks estimated. The minute (VOCs and cadmium) to moderate (nickel) exposure and risk estimates are in accord with other studies on modern MWIs meeting recent emission regulations, however.     

Terrorist Population Dynamics Model

A system that includes a number of terrorist cells is considered. The cells can consist of one or more terrorists. The current number of terrorist cells is further denoted by N(t), where t is a current time counted from any appropriate origin. The objective is to find the evolution of the system in terms of N(t) and some interpretable parameters, such as the initial number of the terrorist cells N0=N(0), the cell disabling rate constant lambda (or the cell half-life t1/2), and the rate of formation of new cells P. The cost-effectiveness analysis, performed in the framework of the model, reveals that the effectiveness of disabling a terrorist cell is getting worse after 2-3 half-lives of a cell, which shows that if the anti-terrorist actions have not reached their goal during that time, the respective policy should be considered for revision, using the risk assessment consideration. Another important issue raised concerns balancing the efforts related to counterterrorism actions inside the system and the efforts protecting its borders. The respective data analysis is suggested and illustrated using simulated data.     

Coverage plots for assessing the variability of estimated contours of a density

Methods for assessing the variability of an estimated contour of a density are discussed. A new method called the coverage plot is proposed. Techniques including sectioning and bootstrap techniques are compared for a particular problem which arises in Monte Carlo simulation approaches to estimating the spatial distribution of risk in the operation of weapons firing ranges. It is found that, for computational reasons, the sectioning procedure outperforms the bootstrap for this problem. The roles of bias and sample size are also seen in the examples shown.     

Simulation for the complex Bingham distribution

The complex Bingham distribution is relevant for the shape analysis of landmark data in two dimensions. In this paper it is shown that the problem of simulating from this distribution reduces to simulation from a truncated multivariate exponential distribution. Several simulation methods are described and their efficiencies are compared.     

Perfect simulation for correlated Poisson random variables conditioned to be positive

In this paper we present a perfect simulation method for obtaining perfect samples from collections of correlated Poisson random variables conditioned to be positive. We show how to use this method to produce a perfect sample from a Boolean model conditioned to cover a set of points: in W.S. Kendall and E. Thönnes (Pattern Recognition 32(9): 1569–1586, 1999), this special case was treated in a more complicated way. The method is applied to several simple examples where exact calculations can be made, so as to check correctness of the program using ²-tests, and some small-scale experiments are carried out to explore the behaviour of the conditioned Boolean model.     

强化和拓展图书馆作为第二课堂的服务功能

全面推进"素质教育",培养、造就一代具有创新精神的高素质人才,这是时代赋予我国高等院校的伟大历史任务.图书馆作为校园内开展素质教育的最佳场所之一,如何强化服务意识, 拓展图书馆作为第二课堂的服务功能, 是高校图书馆必须重视并加以研究的问题.     

The Statistics of Simulating Chaos

When simulating a dynamical system, the computation is actually of a spatially discretized system, because finite machine arithmetic replaces continuum state space. For chaotic dynamical systems, the discretized simulations often have collapsing effects, to a fixed point or to short cycles. Statistical properties of these phenomena can be modelled with random mappings with an absorbing centre. The model gives results which are very much in line with computational experiments. The effects are discussed with special reference to the family of mappings f (x)=1-|1-2x|,x [0,1],1,<,,<,. Computer experiments show close agreement with predictions of the model.     

利用智能主体分析"时尚"的涌现

时尚作为一种社会现象,是由个别人物的倡导和示范,先在少数人中流行,然后迅速蔓延到社会.多数人出于新奇与从众心理而仿效.对于它的研究有助于人们把握这种社会现象的产生与蔓延过程,深入认识和控制它的发展.由于它的复杂多样性,当前还缺乏对它的定量分析与研究.论文利用基于智能主体的仿真方法,分析了时尚的涌现过程.文中建立了两种模型,用于确定公众能否接受某种时尚的临界值.一种模型基于公众能获取全部信息,另一种则基于个人只能获取邻近信息.