Modelling the implied volatility surface based on Shanghai 50ETF options

We develop a dynamic factor model to forecast the implied volatility surface (IVS) of Shanghai Stock Exchange 50ETF options. Based on the assumption that dynamic change in IVS is mean-reverting and Markovian, we use a state space model to capture the dynamics of IVS, and set the latent factors to be the Ornstein–Uhlenbeck processes. We obtain the optimal estimations of parameters using the Kalman filter algorithm. Empirical results show that our model performs better than the traditional IVS model in terms of fitting ability and prediction performance.     

多层介质频率选择表面的等效电路分析方法

基于数值仿真计算和微波网络理论，提出了一种多层介质中频率选择表面（FSS）等效电路的分析方法。该方法物理过程直观，计算量小，适用于二维任意形状FSS等效电路的精确求解。以方形贴片型FSS为例验证了等效电路模型的准确性，并分析了多层介质对其等效电路参数的影响规律。最后，基于滤波器理论与FSS等效电路模型设计了双层带通型FSS，计算结果表明全波仿真结果与理论计算结果基本一致，为多层FSS的综合设计提供了一种精确设计方法。     

曲面响应法预测砂浆性能的试验研究

本试验以砂浆性能为研究对象,采用Box-Behnken的中心组合实验设计及响应面分析方法对腻子粘结强度进行预测研究。试验选用三因素三水平的响应曲面分析法,建立了粘结强度的二次多项数学模型,并以粘结强度为响应值作响应面和等高线,考察了水粉比、灰粉比和胶粉比对粘结强度的影响,并根据实际选择响应曲面方程,利用最小二乘法估计相应的系数,剔除最不显著因素,建立最终的数学方程。结果表明:该预测模型能很好地描述粘结强度与水粉比、灰粉比和胶粉比之间的关系,可以对腻子粘结强度进行分析和预测,为砂浆性能研究提供一种新方法。     

Cross-hedging strategies between CDS spreads and option volatility during crises

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for five European countries from 2007 to 2012, a sample period covering both the Global Financial Crisis (GFC) and the European debt crisis. We analyze to which extent effective cross-hedges can be performed between the credit and equity derivatives markets during these two crises. We find that during a global crisis a breakdown of the relationship between credit risk and equity volatility may occur, jeopardizing any cross-hedging strategy, which happened during the GFC. This stands in sharp contrast to the more localized European debt crisis, during which this fundamental relationship was preserved despite turbulent market conditions for both the CDS and volatility markets.     

钛氧膜表面原位构建树状分子的仿生性能研究

为提高钛氧膜表面官能团密度,改善其血液相容性,特在其表面原位构建多羟基树状分子。本文通过合成11-羟基十一烷基膦酸(HUPA)后在钛氧膜表面进行自组装,通过依次重复利用传统的亲核取代反应等,制备三代端羟基树状表面。选用红外(FTIR)对HUPA的合成进行定性表征,利用扫描电子显微镜(SEM)进一步观察材料表面形貌并检测制备于氧化钛薄膜端羟基树状表面润湿性的改变,通过血小板粘附实验考量改性后钛氧膜的抗血小板粘附与激活的能力。采用纤维蛋白原粘附实验进一步测试改性材料的血液相容性。实验结果表明端羟基树状表面的制备有效改善了氧化钛薄膜的抗凝血性能,同时提高了材料表面的官能团数量,为后续的组装改性提供了条件。     

道路桥梁过渡段软基路基路面施工的质量控制

本文结合实际分析了道路桥梁过渡段软基路基路面压实施工技术应用过程中存在的问题,并在此基础上完善了施工质量的措施,提出了加强施工路面检测的方法。     

夷平面研究综述

近期夷平面的研究又成为地理研究的一个热点。本文通过对夷平面的定义、分类、成因等方面的介绍,阐述了夷平面研究的进展与现状以及夷平面研究的意义。     

Brand Loyalty Versus Store Loyalty: Consumers’ Role in Determining Dependence Structure of Supplier–Retailer Dyads

Purpose: This article aims to integrate consumers into a channel dependence framework and explores the influence of consumers’ brand loyalty and store loyalty on the dependence structure within the supplier–retailer relationship. It also examines effects of the dependence structure on perceived conflict.

Methodology/approach: The authors test the proposed triadic relationship model among department store, supplier, and consumer by collecting matched data from both retailers and consumers in a Chinese retailing channel of sports and leisure apparel. Polynomial regression in conjunction with a response surface analysis (RSA) approach is used to test the hypotheses.

Findings: The results indicate that consumers’ brand loyalty positively affects retailer’s dependence on supplier, while consumers’ store loyalty positively affects supplier’s dependence on retailer. In addition, the retailer’s dependence is higher when consumers’ brand loyalty is higher than store loyalty; the supplier’s dependence is higher when consumers’ store loyalty is higher than brand loyalty; and the retailer’s dependence increases with the increase of both consumers’ brand and store loyalty when consumers’ brand and store loyalty are equal. Moreover, supplier’s dependence has a negative linear effect on retailer’s perceived conflict, whereas retailer’s dependence has an inverted U-shape effect on perceived conflict. A retailer would perceive more conflict when the retailer is relatively more dependent on the supplier; but the symmetrical interdependence has no significant effect on retailer perceived conflict.

Research implications: Researchers are encouraged to explore channel behaviors from a network perspective. Consumers, in particular, should be included in research frameworks related to channel dependence and behaviors. Suggestions for further research on the effects of dependence on the conflict are also proposed.

Originality/value/contribution: This study goes beyond the dyadic paradigm by integrating consumers into the framework of the channel dependence structure. It develops and tests a mechanism of consumers’ brand and store loyalty influencing dependence structure within a supplier–retailer dyad. It also enriches the literature of channel conflict by exploring the effects of retailer and supplier unilateral dependence on retailer perceived conflict with RSA methods.

Practical implications: The article provides several insightful implications for managers in understanding and managing interdependence structure in business-to-business marketing, especially in supplier–retailer relationships.     

一种改进型声表面波滤波器在接收机中的应用

针对应用于接收机中中心频率为898.144MHz的声表面波滤波器的缺点,提出了一种改进型的滤波器.改进型的声表面波滤波器采用镜像阻抗连接低插损结构,大大改善了幅频特性,提高了选择性和温度稳定性.将其应用到接收机中,经试验验证效果良好.     

湖南省国省干线公路路面改造中反射裂缝的处治研究

旧水泥砼路面加铺沥青砼面层非常容易形成反射裂缝。文章介绍了常用的反射裂缝防治措施。结合湖南省国省干线公路路面改造中对原有水泥砼路面处治方案,分析了原旧水泥砼路面处治方案对消除反射裂缝的效果,结合工程实例,提出了尽量少采用整体利用原有水泥砼路和尽量多采用共振机械碎石化原有水泥砼路面。