内蒙古资源大区建设的战略思考

内蒙古是资源大区,资源大区的建设具有重大的战略意义.内蒙古资源大区建设要有科学合理的战略目标和思路,现实可靠的操作方案和措施.要坚持以市场机制为导向,以深化改革为动力,以城市为依托,以对外开放和国际合作为方向,走全面协调可持续发展之路.     

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset processes with Poisson jumps. We show that this extension yields important model improvements, particularly in the dynamics of the implied volatility surface. The paper derives a forward PIDE (PartialIntegro-Differential Equation) and demonstrates how this equationcan be used to fit the model to European option prices. For numerical pricing of general contingent claims, we develop an ADI finite difference method that is shown to be unconditionally stable and, if combined with Fast Fourier Transform methods, computationally efficient. The paper contains several detailed examples fromthe S&P500 market. This revised version was published online in November 2006 with corrections to the Cover Date.     

我国通货膨胀和证券市场周期波动关系——基于小波变换频带分析方法的实证检验

本文利用小波变换频带分析方法,在1991年1月至2007年12月的样本区间研究通货膨胀和证券市场周期波动关联性和条件波动溢出效应。时差相关关系显示,二者周期波动关系出现非一致性.即短周期波动相关性不稳定.中周期波动反向共变.长周期波动高度负相关且通货膨胀先行,并对证券市场的影响具有长期记忆性。条件波动溢出效应检验结果表明.中周期通货膨胀与证券市场条件波动具有双向溢出效应但溢出强度不同.通货膨胀条件波动对证券市场条件波动冲击效应相对较强,而长周期波动只存在通货膨胀对证券市场的单向溢出效应。小波变换频带分析结论.对宏观经济和证券市场稳定发展提供了有针对性的政策启迪。     

一种快速伪码捕获算法

在扩频通信系统中,伪码捕获跟踪是通信的基础,捕获时间的长短直接影响系统性能。为缩短捕获时间,可以采用并行、FFT频域捕获等方法。介绍了一种采用Walsh变换进行伪码捕获的方法,整个过程只需一次Walsh运算,可以进一步缩短捕获时间,并且只涉及加法而没有FFT运算所需的复数和乘法运算,具有运算速度快、占用资源少、实现简单等特点。     

基于尺度不变特征变换的图像自动配准方法

运用尺度不变特征变换方法提取图像特征,采用基于圆域的特征主方向计算方法,强化了图像的特征旋转不变性能;利用k-d搜索树与简化的广义Hough变换相结合的方式进行图像特征匹配,提高了特征匹配的效率和精度。实验表明,该方法能够对不同分辨率、不同光照、不同拍摄角度的图像完成精确自动配准。     

Multi-scale causality between saving and growth: evidence from China

In this article, we use a wavelet-based Granger causality approach to examine the multi-scale causality between saving and growth for China. We show that significant causality runs from saving to growth for most timescales, whereas multi-scale causality from growth to saving is not statistically significant. Our subsample results suggest that economic systems have remarkable effects on the multi-scale causality. Overall, our study provides a novel perspective to deeply explore the relationships between macroeconomic variables.     

On a nonparametric estimator for ruin probability in the classical risk model

In this paper, we present a nonparametric estimator for ruin probability in the classical risk model with unknown claim size distribution. We construct the estimator by Fourier inversion and kernel density estimation method. Under some conditions imposed on the kernel, bandwidth and claim size density, we present some large sample properties of the estimator. Some simulation studies are also given to show the finite sample performance of the estimator.     

Non-classical Algorithm for Time Series Prediction of the Range of Economic Phenomena With Regard to the Interaction of Financial Market Indicators

The aim of the article is to present non-clasical copyrighted algorithm for prediction of time series, presenting macroeconomic indicators and stock market indices. The algorithm is based on artificial neural networks and multi-resolution analysis （the algorithm is based on Daubechies wavelet）. However, the main feature of the algorithm, which gives a good quality of the forecasts, is all included in the series analysis division into, a few partial under-series and prediction dependence on a number of other economic series. The algorithm used for the prediction, is copyrighted algorithm, labeled M.H-D in this article. Application of the algorithm was performed on a series presenting WIG 20. The forecast of WIG 20 was conditional on trading the Dow Jones, DAX, Nikkei, Hang Seng, taking into account the sliding time window. As an example application of copyrighted model, the forecast of WIG 20 for a period of two years, one year, six month was appointed. An empirical example is described. It shows that the proposed model can predict index with the scale of two years, one year, a half year and other intervals. Precision of prediction is satisfactory. An average absolute percentage error of each forecast was： 0.0099%---for two-year forecasts WIG 20; 0.0552%--for the annual forecast WIG 20; and 0.1788%---for the six-month forecasts WIG 20.     

双模噪声背景下自适应小波阈值去噪

在分析双模噪声模型统计特性的基础上提出自适应小波阈值算法。新算法中设计改进的阈值函数和控制函数,克服了传统硬、软阈值法的不足,并且自适应得到最佳控制因子。该算法对加入双模噪声的信号进行闭环反馈处理：小波分解、阈值量化处理、小波逆变换重构信号、控制函数寻优。Matlab 2012a仿真结果表明,该算法相对于传统硬、软阈值法,去噪图形曲线清晰、光滑、连续性好,信噪比分别提高9 dB和4 dB。在双模噪声背景下,自适应小波阈值去噪有效、可行,拓展了小波阈值算法的应用。     

基于动态规划和离散调频傅里叶变换的相参检测前跟踪算法

针对基于速度搜索和离散调频傅里叶变换（DCFT）的多帧相参积累检测前跟踪（TBD）算法运算效率低的问题,提出了一种基于动态规划（DP）和DCFT的多帧相参积累TBD算法。该算法利用DP算法搜索位于不同距离单元和方位单元的目标回波,极大地优化了搜索过程,提高了运算效率。仿真实验表明,与传统非相参积累DP-TBD算法相比,在检测概率90%处,所提算法有1.6 dB的提高;与基于速度搜索和DCFT的多帧相参积累TBD算法相比,所提算法运算效率提高了3.6倍。