基于R/S分析的上海证券市场指数和交易量的分形特征分析

基于重标极差(简称R/S)分析方法,文章分别研究了上证指数和日交易量序列在我国实行股市涨跌幅限制政策前后的两段时间中的分形特征.通过计算Hurst指数,验证了上证指数的长记忆性的存在性,以及日交易量在股市涨跌幅限制政策实施之前的反持续性的存在性.结合V统计,文章分别给出了上证指数在此政策实施前后的平均循环长度,显示出我国股市长记忆性的减弱趋势.     

Fractional Integration in Commodity Futures Returns

We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive based on visual inspection of the wavelet decomposition, but formal statistical tests suggest evidence of long memory, in the form of antipersistence, in about half of agricultural commodity futures. We find little evidence of long memory in metal futures. Our results are useful in interpreting previous disparate findings based on frequency domain estimators.     

大跨径悬灌连续梁0号块混凝土施工质量控制关键技术

结合工程实践,分析了大跨径悬灌连续梁0号块混凝土施工质量控制难点,重点介绍了0号块混凝土施工质量控制关键技术,从混凝土浇筑顺序、下料孔布设、振捣和大体积混凝土温控等方面进行详细阐述,有效避免了0号块混凝土施工质量缺陷,可供类似工程借鉴.     

基于FPGA的多端口存储控制器设计

由于FPGA内部存储资源有限,通常需要使用外部扩展存储器,针对目前广泛应用的DDR2 SDRAM存储器,采用模块化方法设计了多端口存储控制器,详细介绍了控制器、仲裁器、译码器等关键模块的设计,并在开发板上进行了实现和测试,实验结果表明其有效带宽可达2.6 GB/s。     

How helpful is a long memory on financial markets?

Summary. How should portfolio decisions depend on the past? In a simple model with boundedly rational agents we show that there is no universal answer to this question. Both, long and short memory, can be optimal in the appropriate environment. In most cases there is an equilibrium where both dispositions are equally successful. We characterize such equilibria for the case of two assets and two states. For dynamics based on average payoff, equilibria are global attractors whereas discrete choice dynamics in general do not converge to the equilibrium. Received: August 31, 1998; revised version: November 15, 1999     

On the Choice Between the Stocking Rate and Time in Range Management

A long standing question in range management concerns the relative importance of the stocking rate versus the length oftime during which animals graze a particular rangeland. Weaddress this question by analyzing the problem faced by a privaterancher who wishes to minimize the long run expected net unit cost (LRENC) from range operations by choosing either the stocking rate or the length of time during which his animals graze hisrangeland. We construct a renewal-theoretic model and show that,in general, this rancher's LRENC with an optimally chosen stocking rate is lower than his LRENC with an optimally chosen grazing cycle length. From a management perspective, this means that correct stocking of the range is more important than the length of time during which animals graze the range. In addition, our research shows how to address questions concerning the desirability of temporal versus non-temporal controls in managing naturalresources such as fisheries and hunting grounds.     

城镇化背景下我国耕地的中长期预测

本文分析了中国耕地资源变化的现状;利用人口—耕地模型对中国耕地的中长期变化进行了预测;利用模型对各项建设用地的扩张和占用耕地情况进行了预测;对耕地的各项变更进行了预测。主要结论有耕地减少速度近中期较快,长期转缓;建设用地的扩张和占用耕地的数量取决于总人口的发展和城镇化的进程;建设占地将成为未来耕地减少的主要项目。提出应建立和实施严格的土地普查和管理制度,提高城市土地的利用效率和城郊农业的土地生产效率,提高耕地的质量水平,加强可持续发展规划以实现对土地资源的合理利用。     

LONG MEMORY IN THE VOLATILITY OF AN EMERGING FIXED‐INCOME MARKET: EVIDENCE FROM SOUTH AFRICA

This paper tests for long memory in volatility of fixed‐income returns; specifically, South Africa's local currency 10‐year government bond, given that the characterisation of stochastic long‐memory volatility is of interest and importance in portfolio and risk management. The long‐memory parameter is estimated using methods based on wavelets, which have gained prominence in recent years. Evidence of long memory in fixed‐income return volatility is conclusively demonstrated across a variety of volatility measures and wavelet forms. This finding suggests a pattern of time dependence, which may potentially be exploited to generate improved volatility forecasting performance especially over long horizons. This paper further extends the extant literature by comparing the predictive power of long‐memory forecasts with those obtained from a standard (short‐memory) generalised autoregressive conditional heteroskedasticity (GARCH) process. The results of this exercise suggest that the information content of long‐memory models does not lead to improved forecast accuracy. The GARCH(1,1) model is shown to provide the best forecasts across most horizons (i.e. daily, weekly and monthly). Forecast performance is further revealed to be sensitive to the choice of volatility proxy used. Finally, the derived volatility forecasts are generally very close, and in some cases, almost indistinguishable.     

我国短期利率序列均值过程和波动率过程的长期记忆性测度与检验

我们使用我国1996年1月至2008年6月期间的银行同业拆借利率,对我国利率均值过程及其波动过程的长期记忆性进行测度和检验。利用ARFIMA模型和FIGARCH模型的检验结果说明,我国利率序列的一阶矩中不存在长期记忆性,而二阶矩中存在显著的长期记忆性;进一步运用ARFIMA-FIGARCH模型对利率均值过程及其波动过程的双长期记忆性进行检验时发现,我国利率序列均值过程中不存在明显的长期记忆性,但波动率序列中存在非常显著且较强的长期记忆性特征;通过考虑Student-t分布进一步说明,我国利率序列中明显存在"尖峰厚尾"分布特征。