Probabilistic Model for Description of Evolution of Financial Indices

A model describing the dynamics of stock prices is considered. The model is based on the Katz process ("telegraph process"). Estimates of unknown model parameters are found.     

基于改进回声状态神经网络的个股股价预测

当今社会股价预测是研究的热门问题,人们越来越关注对股价预测模型的建立,提高股价预测的精度对股票投资者有实际的应用价值.目前股价的预测方法层出不穷,其中较为典型的有传统的技术分析和ARMA模型等.为了提升预测的精度,同时考虑到股市的非线性,本文提出一种改进的回声状态神经网络的个股股价预测模型,针对回声状态神经网络(ESN)泛化能力不强的特点,应用改进的粒子群算法(GTPSO)对回声状态神经网络(ESN)的输出连接权进行搜索,最终得到最优解,即ESN的最优输出连接权,GTPSO算法概括来说就是在传统粒子群算法(PSO)的基础上引入禁忌搜索算法(TS)中禁忌的思想和遗传算法(GA)中变异的思想,从而降低PSO在学习过程中陷入局部最小值的状况,同时提高PSO搜寻全局的能力.将预测模型用于个股每日收盘价预测中,使用每10天的收盘价预测第11天的收盘价.通过实验验证了模型的正确性,实验证实,该模型拥有较好的预测效果.     

A Framework for Improving the Requirements Engineering Process Management

This paper presents a system dynamics model for improving the requirements engineering process management. The paper argues that improving RE process management improves the quality of the specification produced. It uses a simulation modelling approach to capture the complex and dynamic nature of quality and also the cost of resources and time needed to complete the process. Current claims by various researchers and empirical evidence has led to our proposition that “the earlier in the requirements engineering phase that system dynamics simulation modelling is used, the more effective the RE process management is and the better its product quality will be.” In developing such a model, the paper fills an important gap in the RE process management literature and has potential to provide requirement engineers, managers and software development organisations with a model-based process framework to aid quality assessment and improvement. The paper concludes by suggesting that the framework makes a useful contribution both in providing the foundations for theory building in RE process management and quality improvement by aiding shared understanding through learning and training situations. This revised version was published online in August 2006 with corrections to the Cover Date.     

一种支持简便重构的过程元模型

工作流提倡过程逻辑与业务逻辑分离的理念,然而,业务过程中普遍存在的过程-业务动态关联的特性使这一理念在实际中难以得到贯彻,过程控制与业务处理常常以程序代码的形式耦合在一起,导致业务过程建模复杂,过程重构工作量大且不易实施。分析了WFMC元模型在过程逻辑表示方法上的局限性和难以支持业务过程简便重构的原因,提出了一种新的过程元模型—ESR元模型,在模型中加入了事件、状态和规则等模型元素,能够以规范的形式通过过程定义的方法表示过程-业务的动态关联;基于ESR元模型的工作流模型框架清晰划分了过程逻辑与业务逻辑的界限,对"刚性过程"和"柔性过程"使用统一的过程定义方法进行建模,更好地支持了过程逻辑与业务逻辑的分离;当过程逻辑发生变化时,根据不同的变化内容,可以在不同的模型层次上对过程定义进行修改以应对系统变更的需求,从而实现过程的简便重构。     

过程改进中评审活动的模拟分析

为定量研究评审效用,改进软件过程,通过模拟定量计算评审在过程改进中的效用。基于系统动力学方法分析评审活动和软件过程,建立软件过程模型。结合实例,证明了模型的正确性,通过模拟定量分析评审对项目工作量和工期的作用。模拟结果证明在一定范围内增加评审投入可以有效地增加工作效率,提高进度。以成本为优化目标,设置生命周期各阶段评审比例,通过自动模拟,得到最优评审工作投入,为实施软件过程改进提供量化支持。     

一种新的时间序列分析算法及其在股票预测中的应用

分析了股票市场高度非线性的特点,给出了一种改进的时间序列分析算法。新算法利用径向基网络来对序列中的历史信息进行非线性组合,从而比基于线性组合的时间序列分析算法的基本模型更能有效地挖掘出序列中历史信息之间的相互作用。新算法还利用改进的遗传算法对径向基函数的中心和宽度进行了全局范围的优化选择,进一步提高了径向基网络的非线性映射能力。运用该算法对股票走势进行了预测,取得了令人满意的效果。     

Process sequence optimization based on a new cost–tolerance model

Identification of the optimal production sequence and allocation of machining tolerance are important activities in process planning for reducing production cost. This paper presents an approach that is capable of determining the optimal production sequence and its optimal process tolerance to achieve the minimum production costs. A new mathematical model, representing the cost–tolerance relationships and showing significant accuracy improvement over existing models, is introduced to allocate process tolerance. Stock allowance constraints on the selected switching tolerance are also considered to yield practical solutions. A prototype system for hole-making components is used to verify and evaluate the effectiveness of the new approach.     

软件需求变更管理的系统动力学仿真建模

软件需求变更频繁发生,给软件项目造成了诸多威胁.能否对需求变更进行有效的控制管理,决定着软件的成败.使用系统动力学方法对软件需求变更管理过程进行仿真建模,可以动态地分析并预测需求变更产生的原因以及变更对软件项目造成的影响;对软件需求变更管理过程改进进行系统动力学仿真,亦可以辅助软件项目组织选择合适的过程改进策略.因此,基于系统动力学方法,参考了敏捷过程进行开源软件需求变更管理过程的建模和模型检测.以Spring Framework项目为研究案例,进行该项目3.2.x分支的软件需求变更管理过程的系统动力学仿真分析,并对需求变更管理进行过程改进仿真.通过对过程改进的仿真结果进行比对,说明各改进策略均降低了基线数据的软件缺陷率,提高了软件质量.根据软件项目的成本和进度要求,给出了过程改进建议.     

Identification of channelling and recirculation parameters of agitated pulp stock chests

This paper describes a mechanism for identifying the dynamics of non-ideal mixing processes. The object is to study two of the non-ideal behaviours of agitated pulp stock chests: recirculation and channelling. An initial continuous-time model, which contains physically relevant parameters, is transformed into its discrete-time counterpart. This transformation introduces some challenging identification problems, as the discrete-time parameters become a non-linear combination of the original continuous-time parameters. A system identification methodology that addresses these challenges is developed and demonstrated by means of computer simulation. The analysis of data collected from experiments on a laboratory scale model of an industrial chest shows the potential of the techniques developed in this paper.     

简化路况模式下驾驶员情绪模型的研究

驾驶辅助系统中的驾驶员模型较为单一, 没有考虑驾驶员的情绪状态对驾驶策略的影响. 为此, 本文研究了简化路况下驾驶员的情绪模型. 基于OCC (Ortony-clore-collins) 模型、情绪状态自发转移过程的马尔科夫模型和情绪状态刺激转移的隐马尔科夫模型(Hidden Markov model, HMM), 本文提出路况变化和无路况两种情况下的情绪模型, 并对驾驶员的跟驰、切换车道和超车过程中的情绪变化进行了研究. 在自发转移过程中, 结合情绪实时变化的特性, 提出了时变的自发转移过程,而在情绪刺激转移中, 考虑了情感对刺激的记忆效应, 即同种刺激先后对情感影响不同. 讨论了认知情感的变化对驾驶策略的影响. 针对车距、路宽和周围车辆车速对驾驶员的情感影响程度、刺激敏感程度以及特定事件对驾驶员的影响过程, 进行了仿真实验, 预估出驾驶员在特定事件刺激下会采取何种驾驶策略. 并进行了实测数据验证, 实验结果验证了所提出模型的有效性, 为驾驶辅助系统中建立驾驶员模型提供了有借鉴意义的基础理论.     

变计时过程ö变迁网模型及其应用研究

基于过程运行的离散标识(逻辑变量)和剩余时间连续标识(时间变量)，提出一种新的混合标识过程／变迁网——变计时过程／变迁网模型．基于该模型，混杂动力学系统离散事件的实时监控、连续子过程的实时调度等问题可得到有效解决．     

用Excel实现系统动力学模型模拟与寻优——以网民扩散为例

以网民扩散为例演示了用Excel实现系统动力学模型模拟与寻优,以及SyntheSim功能的实现方法,指出了Excel不仅能演示系统动力学模拟计算过程,还能与相关专业软件结合更能有效解决问题。     

Using simulation to aid decision making in managing the usability evaluation process

ContextThis paper is developed in the context of Usability Engineering. More specifically, it focuses on the use of modelling and simulation to help decision-making in the scope of usability evaluation.ObjectiveThe main goal of this paper is to present UESim: a System Dynamics simulation model to help decision-making in the make-up of the usability evaluation team during the process of usability evaluation.MethodTo develop this research we followed four main research phases: (a) study identification, (b) study development, (c) running and observation and finally, (d) reflexion. In relation with these phases the paper describes the literature revision, the model building and validation, the model simulation and its results and finally the reflexion on it.ResultsWe developed and validated a model to simulate the usability evaluation process. Through three different simulations we analysed the effects of different compositions of the evaluation team on the outcome of the evaluation. The simulation results show the utility of the model in the decision making of the usability evaluation process by changing the number and expertise of evaluators employed.ConclusionOne of the main advantages of using such a simulation model is that it allows developers to observe the evolution of the key indicators of the evaluation process over time. UESim represents a customisable tool to help decision-making in the management of the usability evaluation process, since it makes it possible to analyse how the key process indicators are affected by the main management options of the Usability Evaluation Process.     

基于测试过程流程图编排的接口自动化测试

目前，业界功能接口自动化测试基本依赖于脚本的开发能力，具有学习曲线高、掌握门槛高、投入成本大、响应需求慢、受众范围小的痛点。通过分析这些痛点，本文提出了一种基于测试过程流程图编排的接口自动化测试新模式，该模式具有简单高效的特点，并基于该模式开发了相应的应用，实现了覆盖实时交易接口、清结算接口、数据库测试三个方面的功能接口自动化测试实践应用，从应用实践、应用效果等多个方面探索和验证了该模式的可行性及优势。     

集成化工艺信息管理系统InteCAPP的研究与开发

在建立中性化工艺信息模型的基础上，分析了基于PDM平台的工艺信息管理系统体系结构和工艺信息管理机制，重点研究了设计BOM到工艺BOM、再到制造BOM的生成过程，同时实现了面向产品全生命周期的新一代集成化工艺信息管理系统InteCAPP．     

京唐热轧2250mm过程控制系统应用与研究

热轧过程自动控制系统主要任务是对热轧生产线全线的工序进行实时跟踪、数据采集和工艺参数优化,获得满意的产品尺寸精度和各项性能指标.作为一种全新的热轧过程自动控制模式的京唐热轧2250mm过程自动控制系统以控制系统运行稳定、功能设置灵活实用、产品质量控制精确三大技术特点出发,实现先进的生产过程自动控制.     

流程工业库存管理系统的设计与开发

根据流程工业库存管理的特点和要求，借助计算机的辅助管理功能，分析了在ERP环境下库存管理系统的功能模型，对系统进行了设计和开发。     

“基于工作过程”的软件技术专业人才培养问题探讨

结合两年来建设国家示范性软件技术专业所积累的经验,针对在"基于工作过程"的软件技术专业人才培养过程中遇到的一些主要问题,我院提出以"五个零距离"为办学理念,并从教学计划制订、实训基地建设、教学过程、教材建设与师资队伍建设五个方面进行了一些有益的探索与实践。本文详细阐述了这一过程,并论述总结了发现的问题与累积的经验。     

On the limitations of software process assessment and the recognition of a required re-orientation for global process improvement

Through the years many techniques and tools have been tried and failed to deliver substantial global improvements to the software evolution process. The flavour of the early 1990s has been: attempted improvement using software process assessment methods such as CMM, BOOTSTRAP, etc. This paper represents a considerable and coherent critique of software process assessment as a process improvement driver, focusing on the concerns and perceived shortcomings present. A call is made to re-direct attention and resources towards understanding the true nature of software evolution and the software evolution process towards an adequate theory and practice for process improvement, all in order to save us from the computer. The important, possibly crucial role of feedback at many levels of the organizations that follow the processes that implement software development and maintenance is discussed. Utilizing some empirical findings in relation to software system evolution, it is suggested that the ignoring of feedback may be a major reason why the software process is so difficult to improve. It is argued that the clarification of such an important issue will help to achieve a significant step forward in process improvement, and through its exploitation, lead to significant improvements in quality, satisfaction and performance as well as more relevant education and training on process improvement.     

Explaining the Persistence of Commodity Prices

This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. This extension seems necessary since the basic model does not successfully explain the degree of serial correlation observed in actual data. To generate a high degree of price persistence, the model must incorporate agents that are willing to hold stocks more often than predicted by the basic model, so we include characteristics of the production and trading mechanisms to provide the required incentives. Specifically, we introduce (i) gestation lags in production with heteroskedastic supply shocks, (ii) multiperiod forward contracts, and (iii) a convenience return to inventory holding. Rational expectations solutions for twelve commodities are solved numerically. Simulations are then used to assess the effects of these extensions on the time-series properties of commodity prices. The results indicate that each feature accounts partly for the persistence as well as the occasional spikes observed in actual data. Evidence is also presented that the precautionary demand for stocks might play a substantial role in the dynamics of commodity prices.