Based on the multi-agent model, an artificial stock market with four types of traders is constructed. On this basis, this paper focuses on comparing the effects of liquidation behavior on market liquidity, volatility, price discovery efficiency and long memory of absolute returns when the institutional trader adopts equal-order strategy, Volume Weighted Average Price (VWAP) strategy and Implementation Shortfall (IS) strategy respectively. The results show the following: (1) the artificial stock market based on multi-agent model can reproduce the stylized facts of real stock market well; (2) among these three algorithmic trading strategies, IS strategy causes the longest liquidation time and the lowest liquidation cost; (3) the liquidation behavior of institutional trader will significantly reduce market liquidity, price discovery efficiency and long memory of absolute returns, and increase market volatility; (4) in comparison, IS strategy has the least impact on market liquidity, volatility and price discovery efficiency, while VWAP strategy has the least impact on long memory of absolute returns.
Association Link Network (ALN) is a kind of Semantic Link Network built by mining the association relations among multimedia Web resources for effectively supporting Web intelligent application such as Web-based learning, and semantic search. This paper explores the Small-World properties of ALN to provide theoretical support for association learning (i.e., a simple idea of “learning from Web resources”). First, a filtering algorithm of ALN is proposed to generate the filtered status of ALN, aiming to observe the Small-World properties of ALN at given network size and filtering parameter. Comparison of the Small-World properties between ALN and random graph shows that ALN reveals prominent Small-World characteristic. Then, we investigate the evolution of Small-World properties over time at several incremental network sizes. The average path length of ALN scales with the network size, while clustering coefficient of ALN is independent of the network size. And we find that ALN has smaller average path length and higher clustering coefficient than WWW at the same network size and network average degree. After that, based on the Small-World characteristic of ALN, we present an Association Learning Model (ALM), which can efficiently provide association learning of Web resources in breadth or depth for learners. 相似文献
Fault occurrence can be embodied by the physical parameter variations of the hydraulic servo system. Faults can, therefore, be diagnosed according to the model coefficient variations of the hydraulic servo system. This paper proposes an approach for fault diagnosis based on the unscented Kalman filter (UKF) with a mathematical model of the hydraulic servo system. The mathematical model is established using the dynamic equations of the hydraulic servo system. Based on the fault mechanism analysis results, several important system model parameters that can separately represent different faults in different components of the hydraulic servo system are chosen. Discrete state space equations are derived from the dynamic equations. The UKF algorithm is used to estimate the important system model parameters of the hydraulic servo system by utilizing the discretized state space model. According to the variations of these model parameters, the fault modes and locations of the hydraulic servo system can be diagnosed and isolated. Two types of faults, namely, abrupt fault in servovalve gain and slow wear fault in hydraulic cylinder piston, which cannot be directly detected from the system output, are introduced individually to the hydraulic servo system in this work. By comparing with the extended Kalman Filter, three different experimental cases are used to validate the effectiveness of the UKF for hydraulic servo system fault diagnosis. 相似文献
