A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis

We examine the multifractal scaling behavior and market efficiency of China’s clean energy stock indexes using an asymmetric multifractal detrended fluctuation analysis (A-MFDFA) and then investigate the tail correlation between this index and the crude oil market via an asymmetric multifractal detrended cross-correlation analysis (A-MFDCCA). First, we reveal that the overall, upward and downward trends of the clean energy stock indexes all have significant multifractal characteristics. The clean energy stock market is far from efficient regardless of whether the fluctuations are small or large. In addition, both upward and downward fluctuations exhibit considerable asymmetry. The significant gap between the downward and overall trends indicates that the downward trend following small-scale fluctuations implies weaker efficiency for investors. Furthermore,based on the sliding market deficiency measure (MDM),we find that the change in efficiency in the three trends significantly depends on the length of the window. In the short term, there is no significant efficiency difference among these three trends; however, in the long term, the asymmetry in the upward and downward trends has gradually increased,especially after December 2018. The results demonstrate that bear markets can offer considerably more opportunities for obtaining excess profits. Finally, we reveal that the cross-correlation between the trends of crude oil prices and low-carbon indexes exhibits significant multifractal characteristics. When the crude oil market is in a bull market or the low-carbon energy market is in a bear market, especially in a larger-scale fluctuation, investors should pay attention to the long-term influence of the counterparty market and carry out a hedging operation to avoid risks.     

布伦特原油价格与美元指数的交互相关性分析

以北海布伦特原油的现货价格和美元指数为研究对象，探讨它们之间的交互相关关系。首先运用交互相关统计量定性地说明布伦特原油价格和美元指数之间存在交互相关关系。然后利用多重分形分析法对它们之间的交互相关性作定量的分析，证实了它们之间的交互相关性具有多重分形特征。同时运用MF-DFA方法对单个研究对象进行自相关分析。     

基于多尺度多方向Gabor模板的光学/SAR景象匹配

合成孔径雷达（SAR）成像制导通常采用光学基准图和SAR实时图 进行特征提取和景象匹配。提出了一种光学/SAR异类影像匹配方法,利用多尺度多方向Gabo r模板提取图像的Gabor特征后进行特征匹配,首先对SAR图像进行方向Frost滤波预处理,然 后分别计算光学图像和SAR图像的高斯梯度图像,再利用多尺度多方向二维Gabor滤波器模板 分别对两幅高斯梯度图像进行特征提取,最后对两组特征矩阵进行归一化互相关匹配。该方 法直接利用光学图像和SAR实时图进行景象匹配,实验表明,该异类影像匹配方法较其他传 统方法具有较高的鲁棒性和准确性。     

Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries

This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using monthly data for the period 1976–1993. We apply a recent test developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (1) In contrast to the findings of previous studies, EGARCH-M processes characterize each bilateral exchange rate series in both markets; (2) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (3) The results indicate that the major exporter of causality is the Mexican black market with the black market of Argentina and the black and official markets of Brazil being the smallest contributors.     

Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes

This study analyses the dynamic spillovers across 10 Dow Jones Islamic and conventional sector index pairs. Using various multivariate GARCH models, the results show significant time-varying conditional correlations for all the pairs. Moreover, there is evidence that the conditional correlations for all the sector pairs, except those of the Telecommunication and Utilities sectors, increase after the onset of the global financial crisis (GFC), suggesting non-subsiding risks, contagion effects and gradual greater financial linkages. The Islamic sectors’ risk exposure can be effectively hedged over time in diversified portfolios containing conventional sector stocks. These results provide several practical implications for portfolio managers and policymakers in regard to optimal asset allocations, portfolio risk management and the diversification benefits among these markets.     

一种5G NR系统PSS叠加分段的定时同步算法

对于第三代合作伙伴计划(The 3rd Generation Partnership Project,3GPP)中的5G新空口(New Radio,NR)系统,同步信号检测算法的计算非常复杂,根据主同步信号的特性,提出了分段互相关与对应叠加的联合检测算法。该算法只对接收信号进行一次与本地主同步信号(Primary Synchronization Signal,PSS)序列之和的分段相关处理,即可得到相关峰值的位置,并检测到粗同步点的位置,进一步对粗同步点做局部互相关,根据最大峰值检测出精同步点,降低了计算的复杂度。对传统互相关算法、分段互相关算法和改进算法进行了理论推导和复杂度对比分析,结果表明,相对于传统互相关算法,改进后的算法有效降低了计算量,提升了抗频偏性能。     

低信噪比下互相关时延估计器的FPGA实现

在时延估计算法中,相关法是一种经典的算法。时域互相关法可用来进行整数倍和非整数倍采样周期的时延估计,即使是在极低的信噪比（SNR）条件下,利用较多的数据也能获得准确和稳定的估计结果。为提高时延估计分辨率,给出了一种采用sinc函数对信号进行非整数倍采样周期延时的相关估计算法,通过仿真比较了未插值、两倍插值法和sinc函数延时法的估计精度和计算量,证明sinc函数延时法性能最优。基于现场可编程逻辑门阵列（FPGA）实现的改进型互相关时延估计器能够实现在低信噪比下时延差的准确估计。     

“北斗一号”卫星信标不同通道信号互扰分析和解决方法

分析了“北斗一号”信号强弱信号码自干扰对弱信号捕获所构成的影响,并将在GPS 中行之有效的一种连续干扰取消（SIC）方法应用于“北斗”。模拟及实测结果表明：强弱 信号强度相差高于15 dB时,“北斗一号”信号码自干扰已经不可忽视;当强弱信号强度相差超 过一定程度,弱信号会陷于完全的失捕或是误捕。采用SIC方法通过去除强信号解除码自干扰影响 ,使强信号下弱信号捕获得以实现且效果明显。     

一种ADS-B报头互相关检测方法

广播式自动相关监视（ADS-B）报头检测方法的优劣直接决定着接收机的性能。为了解决脉冲匹配检测方法受脉冲能量影响较大的不足,提出了一种基带归一化的互相关报头检测方法。首先将基带信号根据动态门限进行归一化,然后将其与标准报头作互相关,最后通过相关峰检测来判定信号的存在和到达时间。与主流基于脉冲位置和上升沿的检测方法相比,该方法隐含地利用了脉冲位置、上升沿、下降沿、脉冲宽度、非脉冲区等多个信息用于检测报头,且无需进行下行格式（DF）认证。仿真结果表明：该方法在信噪比大于2 dB时检测性能略优,在信噪比小于2 dB时检测性能与主流检测方法相差1 dB。在实际接收实验中,以该方法为基础的信号接收效果良好,在视距内可以形成稳定连续的航迹,证明了该方法的实用性。     

双谱法时差估计在井下超声测流中的应用

本文提出将双谱法时筹估计应用到井下超声石油流量计.时差估计对井下超声流量计的准确度起决定性的作用,而传统的互相关时差估计法会受到相关性高斯噪声的影响,导致较大的误差.双谱法时差估计理论上能够完全抑制高斯噪声,因此我们提出用双谱法时差估计替代互相关法来应对有相关性高斯噪声存在的情况.文中通过数值模拟和对实验流量计采集到的数据进行分析,得到了双谱法和传统的互相关法时差估计各自的适用范围和优缺点.