An Application of Extreme Value Theory for Measuring Financial Risk

Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. The focus of the paper is on the use of extreme value theory to compute tail risk measures and the related confidence intervals, applying it to several major stock market indices.     

子句型缺省理论的推理算法

1 引言缺省理论自1980年Reiter提出之后,已成为非单调推理的热点。在缺省逻辑中,扩张的概念至为重要。Reiter对特殊的缺省理论——正规缺省理论做了许多研究,并得出了一些漂亮的结果。Etherington给出了生成任意有穷有序半正规缺省理论的扩张的程序。张明义提出缺省的一种子类——自相容缺省理     

带缺省属性值的不完备信息系统相似关系改进

针对带缺省属性值的不完备信息系统，对已提出的容差关系、非对称相似关系、限制容差关系和修正容差关系等相似关系的局限性进行了剖析，提出了一种权衡容差关系，实例和分析说明，它是一种更加合理的带缺省属性值的不完备信息系统的相似关系。     

极限编程理论的研究

极限编程（xP）是一种轻量、高效、低风险、柔性、可预测、科学且充满乐趣的软件开发方法,它通过非常短的迭代周期来应对需求的变化;通过现场客户参与、独特的规划方式、持续测试来实现快速反馈和高效的交流,最终使交付价值最大化。文章就xP的核心准则、基本原则、核心实践、开发流程及应用等进行了讨论。     

Reasoning about Actions and Planning with Preferences Using Prioritized Default Theory

This paper shows how action theories, expressed in an extended version of the language     , can be naturally encoded using Prioritized Default Theory . We also show how prioritized default theory can be extended to express preferences between rules . This extension provides a natural framework to introduce different types of preferences in action theories— preferences between actions and preferences between final states . In particular, we demonstrate how these preferences can be expressed within extended prioritized default theory. We also discuss how this framework can be implemented in terms of answer set programming.     

一种证券投资模型的收益风险分析

该文在假定证券收益率服从对数正态分布的前提下 ,导出了风险收益指标g1(z)及该指标的保险函数g2 (z)以及它们随收益率Z变化的规律 :即风险收益指标g1(z)随Z增大而减少 ,保险函数g2 (z)在(0 ,+∞ )有惟一极大值 ,并且在 (0 ,exp(μ +σ) )区间内取得。这些结果对证券投资决策有一定的参考意义     

剩余价值理论应当结合实践注入新的内容

本文从现实出发，对剩余价值生产领域、生产主体、生产范围及剩余价值的载体进行了论述。提出马克思主义剩余价值理论在新的历史条件下应结合实践注入新的内容。     

Parallel Optimization of Sparse Portfolios with AR-HMMs

In this paper we optimize mean reverting portfolios subject to cardinality constraints. First, the parameters of the corresponding Ornstein–Uhlenbeck (OU) process are estimated by auto-regressive Hidden Markov Models (AR-HMM), in order to capture the underlying characteristics of the financial time series. Portfolio optimization is then performed by maximizing the return achieved with a predefined probability instead of optimizing the predictability parameter, which provides more profitable portfolios. The selection of the optimal portfolio according to the goal function is carried out by stochastic search algorithms. The presented solutions satisfy the cardinality constraint in terms of providing a sparse portfolios which minimize the transaction costs (and, as a result, maximize the interpretability of the results). In order to use the method for high frequency trading (HFT) we utilize a massively parallel GPGPU architecture. Both the portfolio optimization and the model identification algorithms are successfully tailored to be running on GPGPU to meet the challenges of efficient software implementation and fast execution time. The performance of the new method has been extensively tested both on historical daily and intraday FOREX data and on artificially generated data series. The results demonstrate that a good average return can be achieved by the proposed trading algorithm in realistic scenarios. The speed profiling has proven that GPGPU is capable of HFT, achieving high-throughput real-time performance.     

基于BP神经网络的信用卡违约风险预测

利用BP(Back Propagation)神经网络模型实现信用卡申请人自然信息对违约风险的预测,确定了违约风险的指标体系,通过对小样本数据的训练和仿真,实现了模型输出与目标输出的高度吻合.     

应用AHP层次分析法评估ERP项目风险

风险评估是项目风险管理的基础，是确保ERP项目成功实施的关键。根据国内企业的ERP实施现状，分析了实施ERP项目存在的三大风险：软件风险、实施风险和管理风险。在此基础上引入AHP层次分析法建立ERP系统实施风险评估模型，结合山西恒康ERP实施项目，对ERP实施过程中的风险进行评估，应用AHP算法找出影响实施成功的关键风险因素。     

Risk Theory with a nonlinear Dividend Barrier

In the framework of classical risk theory we investigate a surplus process in the presence of a nonlinear dividend barrier and derive equations for two characteristics of such a process, the probability of survival and the expected sum of discounted dividend payments. Number-theoretic solution techniques are developed for approximating these quantities and numerical illustrations are given for exponential claim sizes and a parabolic dividend barrier. Received May 8, 2001 Published online: July 8, 2002     

灰度投影积分极值法的矩形检测

现有的矩形识别方法存在检测速度慢、识别率低和精度不足等问题,不能满足现代工业在线检测发展的需求。为此,提出一种灰度投影积分极值法的矩形检测方法,把待检测图像沿0~π方向进行投影得到灰度投影积分(GPI)矩阵,求得GPI矩阵中极值点的位置,将其保存为新的矩阵GPIEV,并在GPIEV矩阵中搜索平行线重构矩形。实验结果表明,该方法具有较好的抗干扰能力,且运算速度快,能够满足实时处理的要求。     

Evaluating user experience of adaptive digital educational games with Activity Theory

Adaptive digital educational games (DEGs) providing players with relevant interventions can enhance gameplay experience. This advance in game design, however, renders the user experience (UX) evaluation of DEGs even more challenging. To tackle this challenge, we developed a four-dimension evaluation framework (i.e., gaming experience, learning experience, adaptivity, and usability) and applied it to an empirical study with a DEG on teaching geography. Mixed-method approaches were adopted to collect data with 16 boys aged 10–11. Specifically, a so-called Dyadic User Experience Tests (DUxT) was employed; participants were paired up to assume different roles during gameplay. Learning efficacy was evaluated with a pre-post intervention measurement using a domain-specific questionnaire. Learning experience, gaming experiences and usability were evaluated with intensive in situ observations and interviews guided by a multidimensional scheme; content analysis of these transcribed audio data was supplemented by video analysis. Effectiveness of adaptivity algorithms was planned to be evaluated with automatic logfiles, which, unfortunately, could not be realised due to some technical problem. Nonetheless, the user-based data could offer some insights into this issue. Furthermore, we attempted to bridge the existing gap in UX research – the lack of theoretical frameworks in understanding user experience – by adopting Engeström's (1987) extended framework of Activity Theory (AT) that provides contextual information essential for understanding contradictions and breakdowns observed in the interactions between the game players. The dyadic gameplay setting allows us to explore the issue of group UX. Implications for further applications of the AT framework in the UX research, especially the interplay between evaluation and redesign (i.e., downstream utility of UX evaluation methods), are discussed.     

Features of the Logic-and-Probabilistic Risk Theory with Groups of Incompatible Events

The propositions and characteristics of the logic-and-probabilistic theory of unsuccess risk with groups of incompatible events were presented, as well as examples of unsuccess risk scenarios and logic and probabilistic models. The problem of identification (training) of the risk logic-and-probabilistic model from the statistical data was stated, and a training algorithm was set forth. Statistical, combinatorial, and logic-and-probabilistic methods of risk analysis were described. High precision and robustness of the logic-and-probabilistic models of unsuccess risk were explained, and in terms of these characteristics the models were compared with other theories of risk and classification of objects. The results obtained can be used for modeling, analysis, and management of risks in complex organizational and technical systems.     

AutoCAD曲线的坐标变换和量值求取

给出了AutoCAD环境下的木工成型铣刀CAD系统中,用户输入的工件截形曲线通过坐标变换生成木工成型铣刀前刀面截形曲线的方法,并进一步讨论了样条曲线最值点的求法。     

AutoCAD曲线的坐标变换和最值求取

给出了AutoCAD环境下的木工成型铣刀CAD系统中 ,用户输入的工件截形曲线通过坐标变换生成木工成型铣刀前刀面截形曲线的方法 ,并进一步讨论了样条曲线最值点的求法     

Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions

This paper shows how to apply discrete time non-homogeneous semi-Markov processes (DTNHSMP) with an age index to credit risk. The idea is to consider the credit risk problem as a reliability model indexed by the age and in this way, many semi-Markov results could be adapted to describe credit risk problem. The default state is seen as a “non working state”. As the semi-Markov process is a generalization of Markov process, the presented model can be seen as a more general migration model. In fact, in semi-Markov environment the distribution function (d.f.) of the waiting time before a transition can be of any type and without the strong constraints of the Markov model. Furthermore, some results on the asymptotic behavior of the presented model are given. This permits the construction of the d.f. of the default random variable for each “working state”. An example, constructed manipulating some Standard & Poor’s (S&P) data, is presented.     

一类非线性广义马尔可夫跳变系统的耗散控制

将耗散理论的二次型供给率中的矩阵Q推广到正定的情况.进而研究了在状态转移概率未知的情况下一类连续时间非线性广义马尔可夫跳变系统的严格耗散控制问题.在应用范围更广的Willems耗散性定义的基础上,首先基于一类Lyapunov函数,给出了相应的随机容许的条件,然后设计导数比例反馈控制器,通过一系列的矩阵构造和合同变换,将双线性矩阵不等式(BMI)转化为可用LMI工具箱解决的线性矩阵不等式(LMI).最后通过数值算例并结合Matlab给出实例,证明其可行性.     

基于粒极值的最简规则提取算法

应用粗糙集的分辨关系,分别从表的行、列2个方面求出每个属性值的分辨、组合能力,以此确定出粒极值,将含粒极值的粒定义为极值粒。应用粒计算理论,以极值粒集为主要运算对象进行粒逻辑运算,使最终的组合粒最简,即所提取的规则最简。实验验证了算法的有效性。