基于GARCH类模型的VaR——一种融合市场风险与流动性风险的合成管理模型

在一种融合市场风险与流动性风险的合成风险管理模型——LaVaR模型的基础上,利用自回归模型和GARCH类模型将LaVaR动态化.并且通过SAS软件强大的编程功能将金融数据常有的集群性、高峰厚尾性、非对称性等纳入同一个模型,从而能够同时考察序列的各种性质,使得预测也更加准确.将GARCH类模型动态化VaR的方法,可以更加准确地计算风险值.     

我国流动性过剩形成的原因及对策分析

通过对“三元悖论”理论的解读，揭示了我国商业银行流动性过剩与汇率制度之间存在密切相关性，即在我国现行的汇率制度下，由国际收支双顺差带来的外汇储备的不断增加直接导致了整个社会的流动性过剩。基于研究，提出了：对国内经济失衡进行调节以平衡国际收支；完善我国汇率形成的市场机制，培育相对均衡汇率；深化我国外汇管理体制改革，有序开放资本市场的相关建议。     

Cost-benefit analysis of an SLA mapping approach for defining standardized Cloud computing goods

Due to the large variety in computing resources and, consequently, the large number of different types of service level agreements (SLAs), computing resource markets face the problem of a low market liquidity. Restricting the number of different resource types to a small set of standardized computing resources seems to be the appropriate solution to counteract this problem. Standardized computing resources are defined through an SLA template. An SLA template defines the structure of an SLA, the service attributes, the names of the service attributes, and the service attribute values. However, since existing research results have only introduced static SLA templates so far, the SLA templates cannot reflect changes in user needs and market structures. To address this shortcoming, we present a novel approach of adaptive SLA matching. This approach adapts SLA templates based on SLA mappings of users. It allows Cloud users to define mappings between a public SLA template, which is available in the Cloud market, and their private SLA templates, which are used for various in-house business processes of the Cloud user. Besides showing how public SLA templates are adapted to the demand of Cloud users, we also analyze the costs and benefits of this approach. Costs are incurred every time a user has to define a new SLA mapping to a public SLA template due to its adaptation. In particular, we investigate how the costs differ with respect to the public SLA template adaptation method. The simulation results show that the use of heuristics within adaptation methods allows balancing the costs and benefits of the SLA mapping approach.     

国债市场的流动性套利及其实证检验

提出了一种在保持一定流动性风险的情况下构建国债套利组合的方法,应用线性规划技术,将国债的持有期风险因素引入到约束条件中,进而求解出实现最大期初套利的国债投资组合。通过对我国上交所25种债券的实证检验,发现套利收益与组合的持有期风险成正比,与流动性指标成反比,这证明了在考虑债券流动性风险的情况下,进行债券套利操作不一定会带来可观的收益。     

Process of back pressure deep drawing with solid granule medium on sheet metal

The experimental die apparatus of the solid granules medium forming on sheet metal was designed and manufactured.Typical parts,such as conical,parabolic,cylindrical and square-box-shaped components,were successfully trial-produced as well.According to the analysis of the changing trends of the cross-section shape and the wall thickness during the process,it can be found that the shape of the free deformation zone of the sheet metal,which is the most critical thinning area,can be described as an approximately spherical cap.According to this forming feature,back pressure deep drawing technology with solid granules medium on sheet metal was proposed to restrain drastic thinning at the bottom of the part through the joint friction effect of solid granules medium,the back pressure tringle and the sheet metal.Therefore,the deep drawing limit of the sheet metal is significantly improved.In order to fabricate thin-walled rotary parts with great drawing ratio and complex cross-sections,a finite element model based on the material property test of the solid granules medium was established to optimize the scheme of the back pressure deep drawing.The effects on the forming performance of sheet metal from back pressure load and the approach of blank holding control were analyzed through this model.     

股票投资的流通性陷阱：原因、危害及其防范

股票具有良好的流通性,但容易诱使投资者频繁交易,陷入流通性陷阱。误解股票投资的本质是陷入流通性陷阱的认识原因;跟风与盲从、攀比与嫉妒、缺乏耐心与急功近利等人性弱点是人性方面的原因;而股市不健全、投资者利益保护不足是环境方面的原因。频繁交易会造成决策质量下降,带来高额的交易成本,影响身心健康。要防范流通性陷阱,投资者必须树立正确的投资理念,同时加强心性修养,克服人性的弱点;证监会要营造良好的投资环境,加强投资者利益保护。     

Influence of pH and ionic strength on Cu(II) biosorption by aerobic granular sludge and biosorption mechanism

BACKGROUND: To elucidate the process and mechanism of Cu(II) biosorption onto aerobic granules, the influence of pH and ionic strength (IS) on the Cu(II) biosorption capacity and biosorption mechanism was studied. RESULTS: The biosorption of Cu(II) onto aerobic granules under different conditions of pH (3, 4 and 5), IS (0, 0.1 and 0.5 mol L^?1) and Cu(II) concentration (25–250 mg L^?1) was investigated. The correlation coefficients of the pseudo‐second‐order kinetic model were , while those of the Langmuir and Freundlich models were and respectively. The biosorption of Cu(II) increased with increasing pH, while the effect of IS on the biosorption was complicated, which could be explained by the competition among different metallic ions, colloidal chemistry theory or Derjaguin, Landau, verwey and Overbeek (DLVO) theory. About 70% of the solid phase Cu(II) was exchanged by Na(I), Ca(II) and Mg(II) released from the aerobic granules at pH 4 and 5. The results revealed that ion exchange is the most important biosorption mechanism but that other mechanisms also play a part. CONCLUSION: The sorption performance can be optimised by adjusting the pH and IS. Aerobic granules can be used as an alternative effective, economical and practical biosorbent for heavy metal removal. Copyright © 2008 Society of Chemical Industry     

Granular Computing for Data Analytics: A Manifesto of Human-Centric Computing

In the plethora of conceptual and algorithmic developments supporting data analytics and system modeling, humancentric pursuits assume a particular position owing to ways they emphasize and realize interaction between users and the data. We advocate that the level of abstraction, which can be flexibly adjusted, is conveniently realized through Granular Computing. Granular Computing is concerned with the development and processing information granules-formal entities which facilitate a way of organizing knowledge about the available data and relationships existing there. This study identifies the principles of Granular Computing, shows how information granules are constructed and subsequently used in describing relationships present among the data.      

淀粉颗粒结构的研究进展

详述淀粉颗粒的形状大小、结晶结构、分子结构、颗粒的微孔特性等最新研究成果，同时对淀粉颗粒及淀粉化学改性的研究方向提出展望。     

The effect of increasing application rate of granular calcium ammonium nitrate on net nitrification in a laboratory study of grassland soils

Soil incubation studies were undertaken in controlled environment cabinets at 15°C to investigate the effect of increasing application rates of calcium ammonium nitrate (CAN) on net nitrification in two grassland soils. Granular CAN was applied to the surface of freshly collected, moist soil, at a rate equivalent to 0, 100, 200, 400, 800 and 1600µg NH ₄ ⁺ -N and NO ₃ ^- -N per gram of oven dry soil. In half the treatments finely ground CaCO₃ was incorporated into the moist soil to raise the starting pH. Changes in soil mineral N and pH were measured at weekly intervals up to six-weeks. The most probable number (MPN) technique was used to enumerate the NH ₄ ⁺ -N and NO ₂ ^- -N oxidizers at the beginning and end of the incubation.At low rates of CAN application there was considerable NH ₄ ⁺ -N oxidation to NO ₃ ^- -N during the incubation of both soils. Lime stimulated this N transformation. At high application rates (i.e. 800 and 1600 ppm) there was little change in NH ₄ ⁺ -N or NO ₃ ^- -N on either soil during the 6 week incubation, in the presence or absence of lime. The rate of NO ₃ ^- -N produced peaked at 5.6 and 3.8 mg NO ₃ ^- -N kg^–1 d^–1 on soil 1 and 2 respectively, in the presence of lime. Above a level of 400 ppm CAN (equivalent to 38 kg N ha^–1) the rate of NO ₃ ^- -N produced decreased. The higher rate of net nitrification in soil 1 compared with soil 2 was probably due to a higher number of nitrifying bacteria. Although high rates of CAN decreased the nitrifying activity of both soils there was little difference between treatments in the actual numbers of NH ₄ ⁺ -N and NO ₂ ^- -N oxidizers determined by the MPN technique.The results showed that the rate of granular CAN applied to the soil surface can influence the local activity of nitrifying bacteria and subsequent N transformations. At application rates of CAN generally used agriculturally for grass production, it is likely that net nitrification of the NH ₄ ⁺ -N in the fertilizer granule will be inhibited.