A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures

This paper proposes a multivariate distance nonlinear causality test (MDNC) using the partial distance correlation in a time series framework. Partial distance correlation as an extension of the Brownian distance correlation calculates the distance correlation between random vectors X and Y controlling for a random vector Z. Our test can detect nonlinear lagged relationships between time series, and when integrated with machine learning methods it can improve the forecasting power. We apply our method as a feature selection procedure and combine it with the support vector machine and random forests algorithms to study the forecast of the main energy financial time series (oil, coal, and natural gas futures). It shows substantial improvement in forecasting the fuel energy time series in comparison to the classical Granger causality method in time series.     

矿区铁路钢筋混凝土桥梁裂缝成因及整治

平顶山矿区铁路线上有几十座钢筋混凝土桥梁，在使用过程中由于多种原因产生了各种裂缝，通过不同整治方法处理后，延长了桥梁的使用寿命，提高了桥梁的承载力。     

桥梁病害对桥梁设计的启示分析

现阶段,随着社会经济的飞速发展,道路基础设施的建设速度逐渐加快。同时,随着各种各样桥梁病害问题的出现,对桥梁的承载能力造成了一定程度的影响。因此,及时防治桥梁病害有助于保障桥梁的安全性。论文结合某危桥改造项目,对桥梁的病害展开研讨,对病害的产生原因进行分析,并提供实用性的桥梁设计应对方法,以保证桥梁的耐久性与安全性。     

分数布朗运动环境下的美式看涨期权的定价方法

在分数布朗运动模拟算法基础上,提出了分数布朗运动环境下标的资产价格过程的一种数值模拟方法。然后应用于欧式和美式看涨期权定价。结果表明,该方法具有很快的收敛速度,而且基于最小二乘方法和偏最小二乘方法的美式看涨期权价格,都与对应的欧式看涨期权价格几乎完全一样。这恰恰验证了不支付红利的条件下,美式看涨期权不应该提前执行的理论论断。     

亚洲石油大陆桥建设设想

本文提出了关于建设亚洲石油大陆桥设想的国际意义,以及我国参与建设的必要性,并构建了亚州石油大陆桥的基本框架,最后提出中国应采取的主要对策和措施.     

港澳珠大桥的方案选择与财务可行性分析

首先介绍了港澳珠大桥的主要方案及分歧所在,然后从区域经济角度进行客货量预测,根据客货量预测和区域基础设施的发展规划,探讨大桥的功能定位并选择最佳方案——中线方案,最后根据客货量预测探讨了大桥的财务可行性,得出结论,港澳珠大桥财务可行。     

Inter-basin water transfers under uncertainty: Storage capacity and optimal guaranteed deliveries

This paper deals with water transfers between jurisdictions not claiming riparian rights to the same water source, and taking place through straightforward sales. Taking into account the uncertain nature of water surpluses, we investigate, within a partial equilibrium framework, the implications of a third party's provision of storing facilities upon the potential supplier's decision whether, and to what extent, it is worthwhile to guarantee a constant amount of water exports. The analysis suggests that there exists a minimum storage capacity below which the potential supplier will never find it profitable to divert a constant amount of water outside his boundaries; the greater the uncertainty about future surpluses and/or internal costs due to even occasional water shortages resulting from the water export commitment, the higher the required minimum storage capacity will be. Above this minimum, an increase in the capacity would be better for the surplus agent, but in a situation in which water surplus is expected to decrease over time, increases in storage capacity would make him willing to guarantee a smaller amount of water deliveries.This work has been carried out under the auspices of the European Science Foundation's research program Sharing fresh water resources in the Mediterranean region: An economic perspective. Previous versions have been presented at ESF workshops held at the Universities of Haifa, Padova and Crete. Financial support from MURST (funds 40% — 1992) is gratefully acknowledged. We wish to thank Nunzio Cappuccio, Haluk Akdogan, Karl Mäler, Mordechai Shechter, Naomi Zeitouni, and two anonimous referees for helpful comments. The usual disclaimer applies.     

Short-time at-the-money skew and rough fractional volatility

The Black–Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time to maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power law. The volatility process of the model is driven by a fractional Brownian motion with Hurst parameter less than half. The fractional Brownian motion is correlated with a Brownian motion which drives the asset price process. We derive an asymptotic expansion of the implied volatility as the time to maturity tends to zero. For this purpose, we introduce a new approach to validate such an expansion, which enables us to treat more general models than in the literature. The local-stochastic volatility model is treated as well under an essentially minimal regularity condition in order to show such a standard model cannot be dynamically consistent to the power law.     

大吨位宽幅转体现浇箱梁支架设计与施工

桥梁水平转体施工技术日趋成熟,大跨度、大吨位等技术指标不断突破,转体法施工优势得到充分发挥。本文根据桥梁分段现浇、一次整体转体到位的特点,结合转体法施工工况,论述了软弱地基条件下大吨位宽幅转体现浇梁支架设计与施工技术。