Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these markets may reflect information faster. The use of high-frequency data and the choice for a small unit time interval to measure these lead-lag relations comes at the cost of some or many missing observations, causing traditional estimators to either under- or overestimate covariances and correlations. We use a new estimator to estimate lead-lag relationships between the cash AEX index, options and futures. We find that futures returns lead both options and cash index returns by approximately 10 minutes. The relationship between options and the cash market is not completely unidirectional.     

各向异性厚板固有频率的精确解

该文抛弃薄板理论的位移和应力假设，利用矩阵分析和三维弹性动力学理论，导出四边简支各向异性厚板的固有频率方程。该方法可推广应用于各向异性层合板动力分析。     

结构-波浪-海床耦合系统中大圆筒结构的波压力响应

以沉入式大圆筒结构为对象，通过设计随机波浪水槽实验，测取了在单筒和连续筒两种结构型式、两种沉入深度和两种波谱输入下结构表面的动波压力分布。波面高度以及波压力历程均在领域进行分析。通过计算结构表面沿高程和沿环向的波压力谱及波压力传递函数，将单筒实测结果与基于线性绕射理论的解析解进行了比较，同时也详细对比了两种结构型式下的实测结果。文中汇报了在研究中获得的新发现及进行的相应分析，特别是在结构——波浪——海床动力相互作用下对波压力响应机理以及针对连续筒的研究，可为工程应用提供有价值的参考。     

Flood frequency and routing processes at a confluence of the middle Yellow River in China

Floods cause environmental hazards and influence on socio‐economic activities. In this study, we evaluated the historic flood frequency at a confluence in the middle Yellow River, China. A non‐parametric, multivariate, empirical, orthogonal function matrix model, which consists of time correlation coefficients of flood discharge at different gauge stations and flood events was used for the analysis of flood frequency. The model addresses the characteristics of confluent floods such as frequency and the probability in multiple tributary rivers. Flood frequency analysis is often coupled with studies of hydrological routing processes that reduce the flood capacity of the rivers. Flood routing to the confluence were simulated using kinematic wave theory. Results of this flood frequency analysis showed that flooding frequency has intensified in the past 500 years, especially during the 19th century. Flooding in streams above the confluence was more frequent than in streams below the confluence. Over the last 2000 years, concurrent flooding in multiple tributary rivers accounted for 67.5% of the total flooding in the middle Yellow River. Simulation of flood routing processes shows that the decreased flooding capacity and elevated river bed of the shrunken main channel leads to an increased flood wave propagation time (24–52.3 h) in the study area after 1995. The model indicates that human activities, such as constructions of the Sanmenxia Dam, have changed flood routing boundary conditions and have contributed to the increased flood frequency at the confluence. Copyright © 2007 John Wiley & Sons, Ltd.     

水轮机调速器与电网负荷频率控制

在现代电力系统中，水轮机调速器已成为水轮机控制系统的控制核心。文中叙述了水轮机调速器与电网负荷频率控制之间的关系，分析了调速器在电网一次调频、二次调频中的作用、静态特性和动态特性;通过建模、仿真及现场试验，提出了机组并联于大电网工况下的调速器PID参数整定范围和应有的机组功率控制模式。     

基于降雨资料的雨量预警指标阈值求解模型

为保证雨量预警指标阈值在有效周期范围内发挥预警作用,通过分析现有雨量预警指标阈值的确定方法,提出了基于区域临界雨量法-降雨灾害同频率法-R/S分析法的雨量预警指标阈值求解模型。将该模型应用于江苏省泰兴市降雨时间序列的分析,对最大日降水量时间序列进行阈值确定、趋势分析,并用指标阈值进行预警验证。结果表明,该模型的雨量预警指标阈值确定结果相较单一模型更为准确,且具有一定的时效性,可为农村基层防汛预报预警提供参考。     

基于TL矩法的洪水频率分布参数估计方法优选

为分析TL矩法在洪水频率分析中的普适性,以陕北地区神木、绥德、杏河、刘家河、黄陵和志丹6个水文站的年最大洪峰流量序列为例,选取广义Pareto分布、广义极值分布和广义Logistic分布,对线性矩法、极大似然法与TL矩法3种参数估计方法进行拟合优度评估。结果表明:除杏河站用广义极值分布外,其他5个水文站的年最大洪峰流量序列用广义Pareto分布拟合效果更佳;与线性矩法和极大似然法相比,TL矩法在各水文站均表现出更佳的拟合效果,是一种洪水频率分布参数估计的较好方法。     

BLK4-250比例控制器在供水系统设计中的应用

介绍用流量／电流比例控制器取代交流变频调速装置作为高压供水系统的核心部件,通过可编程控制器 (PLC)对工频水泵机组的自动控制作用,消除了由变频器在运行过程中所引发的谐波、喘振、憋压、水锤效应等不利因素的影响,达到了稳定供水压力、节约电能、提高系统可靠性的目的。     

信息不对称、信息披露与股票价格波动——兼论管理会计信息披露的市场效应

当前对市场有效性的研究只重视会计盈余或某一类市场效应,而缺乏从信息披露制度的整体角度研究披露效果。我们从信息披露的幅度、频率和结构角度对其提高公司透明度的贡献进行了验证,结果表明:上市公司信息披露的幅度越大、频率越快,越有助于降低市场关于公司的信息不对称水平;管理会计信息披露是投资者迫切需要的,在统计上显示出其能显著降低公司的信息不对称水平。