Profitability of time series momentum

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the performance of momentum strategy is determined by both time horizon and the market dominance of momentum traders. Specifically, when momentum traders are more active in the market, momentum strategies with short (long) time horizons stabilize (destabilize) the market, and meanwhile the market under-reacts (over-reacts) in short-run (long-run). This provides profit opportunity for time series momentum strategies with short horizons and reversal with long horizons. When momentum traders are less active in the market, they always lose. The results provide an insight into the profitability of time series momentum documented in recent empirical studies.     

基于KG316T微电脑时控开关控制电脑开关机的实现

本文介绍了关于对KG316T微电脑时控开关进行内部改造,使其按控制要求定时输出点动信号,以便实现在无人职守的场合定时控制电脑的开关机。     

枢纽通道中行人走行延误计算方法

首先描述了步行通道行人走行延误的研究现状,接着从通道空间结构布局与行人流特点两个方面分析了步行通道走行延误的影响因素。将通道中的延误分为路段延误与节点延误,并分别建立了计算模型,路段延误模型基于经典的BPR函数,节点延误模型采用了修正的韦伯斯特延误模型,最后应用算例对模型进行了验证,得出行人流量在接近饱和流的状态下,路段的延误时间明显。     

延迟支付方式下零售商对变质性商品的最优订购策略

在零销商给予顾客部分货款延期支付方式下的库存模型基础上,考虑商品的变质性对库存系统的影响,建立了延期支付方式下变质性商品的库存模型。通过对模型特征分析,给出不同情形下零售商的最优订货策略。     

信号交叉口通行能力分析及评价

平面交叉口是道路通行能力的瓶颈所在。文中对信号交叉口进行通行能力分析与评价,确保了交叉口通行能力及服务水平能够满足未来道路出行的需求,对信号交叉口设计方案有着重要的意义。     

基于模糊控制的城市交叉路口智能交通系统研究

文中根据模糊控制理论对交叉路口的交通控制进行优化。路权相位的切换按各路口的等待车流量大小顺序排列,车流量较大的相位优先通行。绿灯时间根据各路口车流量差异合理分配,以实现平均延误时间最小化,同时兼顾公平。     

Increasing Forest Conservation in Norway: Consequences for Timber and Forest Products Markets

This paper analyses the impacts on timber and forest products markets of increasing forest conservation in Norway. A partial equilibrium forest sector model is applied to analyse effects on roundwood and forest products prices, quantities and trade of four alternative conservation extents. These alternatives are based on a recent biological analysis of the conservation needs in order to protect biodiversity in Norway. Roundwood prices are projected to increase moderately when conservation increases domestically only, since the Norwegian forest industry substitutes imported fibre for domestic. The impacts on roundwood prices are more substantial if also Norways forest products trading partners increase the forest conservation. If forest owners voluntarily conserve forests subject to an economic compensation (which currently is the most likely policy in Norway), the model results imply that forest owners on average are better off with increased conservation. Domestic sawnwood production is projected to reduce when assuming increasing forest conservation, while the production level in the pulp and paper industry is almost unaffected in the short-run. Finally, increasing demand for forest products as a result of environmental good-will may increase roundwood prices and harvest levels in unaffected forest areas significantly.     

On the timing of information release

We consider a simple principal-agent model in which moral hazard concerns can make it attractive to delay the release of valuable planning information. We also demonstrate that temporary manipulation of the content of the information released can be valuable.     

带时变和分数时滞系统的自校正控制器

本文对带时变和分数时滞的系统提出了一种自校正控制方法。该方法着眼于实时跟踪受控对象的时滞参数,使控制器参数随时滞的变化而不断修正,因而有效地解决了这类系统的自校正问题。     

Study on the evolutionary optimisation of the topology of network control systems

Computer networks have been very popular in enterprise applications. However, optimisation of network designs that allows networks to be used more efficiently in industrial environment and enterprise applications remains an interesting research topic. This article mainly discusses the topology optimisation theory and methods of the network control system based on switched Ethernet in an industrial context. Factors that affect the real-time performance of the industrial control network are presented in detail, and optimisation criteria with their internal relations are analysed. After the definition of performance parameters, the normalised indices for the evaluation of the topology optimisation are proposed. The topology optimisation problem is formulated as a multi-objective optimisation problem and the evolutionary algorithm is applied to solve it. Special communication characteristics of the industrial control network are considered in the optimisation process. In respect to the evolutionary algorithm design, an improved arena algorithm is proposed for the construction of the non-dominated set of the population. In addition, for the evaluation of individuals, the integrated use of the dominative relation method and the objective function combination method, for reducing the computational cost of the algorithm, are given. Simulation tests show that the performance of the proposed algorithm is preferable and superior compared to other algorithms. The final solution greatly improves the following indices: traffic localisation, traffic balance and utilisation rate balance of switches. In addition, a new performance index with its estimation process is proposed.