基于Levy-GARCH模型的上证50ETF市场跳跃行为与波动特征研究

上证ETF50期权的发行推动学界开始关注其标的资产的波动特点。本文引入带跳跃的Levy-GARCH非高斯条件异方差模型，结合Fourier数值极大似然估计及回溯测试，对上证50ETF的跳跃和波动特征进行实证分析，并与上证综指、深证成指进行比较。研究结果表明，与国内主要市场指数相比，上证50ETF市场同样存在显著的条件异方差效应和随机跳跃行为，但波动率并不存在显著的杠杆效应。本文通过与多个市场和行业指数进行对照比较，并从行业特征、成份股特征、市场机制特点等角度解释了上证50ETF杠杆效应不显著的原因。     

Spatial prediction of crystalline defects observed in molecular dynamic simulations of plastic damage

Molecular dynamic computer simulation is an essential tool in materials science to study atomic properties of materials in extreme environments and guide development of new materials. We propose a statistical analysis to emulate simulation output with the ultimate goal of efficiently approximating the computationally intensive simulation. We compare several spatial regression approaches including conditional autoregression (CAR), discrete wavelets transform (DWT), and principle components analysis (PCA). The methods are applied to simulation of copper atoms with twin wall and dislocation loop defects, under varying tilt tension angles. We find that CAR and DWT yield accurate results but fail to capture extreme defects, yet PCA better captures defect structure.     

MCMC and the Fibonacci distribution

A method to create a Markov transition matrix for Markov chain Monte Carlo studies is presented and applied to the Fibonacci probability distribution.     

浅析当代男子优秀三级跳远运动员三跳比例

本文以具有当今世界水平男子优秀三级跳远选手的比赛成绩为依据,运用不同时期三级跳远最佳三跳组合的模式,研究了三级跳远成绩与三跳比例的关系,找出了影响不同类型运动员三级跳远比例及成绩的主要优势因素,论述了三级跳远运动员应有不同的中心训练任务和训练方法。     

HJM框架下服从跳跃扩散过程的利率模型

由于一些不可预测的随机事件的影响,纯粹的连续扩散过程难以正确描述利率变动的行为。因此,在HJM框架下,给出了服从跳跃扩散过程的利率期限结构模型,进而推导出我国固定收益市场的债券定价公式,为投资者进行投资和风险管理提供帮助。     

Statistical Issues in Fisheries' Stock Assessments*

Decisions concerning the management of fisheries are founded on confidence statements for interest parameters such as biomass and exploitation rate, derived from complex structural models that describe the dynamics of fisheries. We identify four generic statistical issues and focus on how they impact on the reliability of those confidence statements: (a) parameters for which the data have little or no information; (b) competing structural relationships; (c) weighting of observations; and (d) alternative methods for computing confidence statements. Our purpose is to give an exposition of how these issues impact on fisheries' analyses, with the intent of stimulating thought on more effective alternatives. We describe the fisheries' management context and use two specific studies to illustrate how these generic statistical issues impact on fisheries assessment results. It is demonstrated that these statistical issues can have a profound impact on fishery management decisions and that established approaches to handle them have not been fully developed.     

Algebraic Markov Bases and MCMC for Two-Way Contingency Tables

ABSTRACT.  The Diaconis–Sturmfels algorithm is a method for sampling from conditional distributions, based on the algebraic theory of toric ideals. This algorithm is applied to categorical data analysis through the notion of Markov basis. An application of this algorithm is a non-parametric Monte Carlo approach to the goodness of fit tests for contingency tables. In this paper, we characterize or compute the Markov bases for some log-linear models for two-way contingency tables using techniques from Computational Commutative Algebra, namely Gröbner bases. This applies to a large set of cases including independence, quasi-independence, symmetry, quasi-symmetry. Three examples of quasi-symmetry and quasi-independence from Fingleton ( Models of category counts , Cambridge University Press, Cambridge, 1984) and Agresti ( An Introduction to categorical data analysis , Wiley, New York, 1996) illustrate the practical applicability and the relevance of this algebraic methodology.     

Learning a multivariate Gaussian mixture model with the reversible jump MCMC algorithm

This paper is a contribution to the methodology of fully Bayesian inference in a multivariate Gaussian mixture model using the reversible jump Markov chain Monte Carlo algorithm. To follow the constraints of preserving the first two moments before and after the split or combine moves, we concentrate on a simplified multivariate Gaussian mixture model, in which the covariance matrices of all components share a common eigenvector matrix. We then propose an approach to the construction of the reversible jump Markov chain Monte Carlo algorithm for this model. Experimental results on several data sets demonstrate the efficacy of our algorithm.     

矩形微通道内滑移区气体流动换热的数值模拟

在等壁温边界条件下对矩形微细通道速度滑移区的对流换热进行了二维数值模拟、在一阶速度滑移和温度跳跃的边界条件下，计算出了通道内的速度和温度以及压力分布。比较了不同克努森数Kn对于滑移速度和跳跃温度的影响。结果表明，由于气体的稀薄性，压力呈现更加线性化减小的趋势，随着Kn的增加，通道入口与出口处的滑移速度和跳跃温度至现增加的趋势。在通道入口附近，气流速度和温度变化剧烈，而在出口处截面平均流速和温度随加的增加而降低．     

光滑样条回归的分层贝叶斯方法

从光滑样条回归的贝叶斯解释出发，将光滑参数λ看作先验分布中的超参数．用分层贝叶斯的方法，假定λ的先验分布为伽玛分布，用后验均值估计回归样余．通过模拟表明本文提出的方法具有很好的估计效果．