Detection of correlation characteristics between financial time series based on multi-resolution analysis

Interactions between financial time series are complex and changeable in both time and frequency domains. To reveal the evolution characteristics of the time-varying relations between bivariate time series from a multi-resolution perspective, this study introduces an approach combining wavelet analysis and complex networks. In addition, to reduce the influence the phase lag between the time series has on the correlations, we propose dynamic time-warping (DTW) correlation coefficients to reflect the correlation degree between bivariate time series. Unlike previous studies that symbolized the time series only based on the correlation strength, the second-level symbol is set according to the correlation length during the coarse-graining process. This study presents a novel method to analyze bivariate time series and provides more information for investors and decision makers when investing in the stock market. We choose the closing prices of two stocks in China’s market as the sample and explore the evolutionary behavior of correlation modes from different resolutions. Furthermore, we perform experiments to discover the critical correlation modes between the bull market and the bear market on the high-resolution scale, the clustering effect during the financial crisis on the middle-resolution scale, and the potential pseudo period on the low-resolution scale. The experimental results exactly match reality, which provides powerful evidence to prove that our method is effective in financial time series analysis.     

Mechanism of methanol decomposition on the Pd/WC(0001) surface unveiled by first-principles calculations

In this study, the decomposition of methanol into the CO and H species on the Pd/tungsten carbide (WC)(0001) surface is systematically investigated using periodic density functional theory (DFT) calculations. The possible reaction pathways and intermediates are determined. The results reveal that saturated molecules, i.e., methanol and formaldehyde, adsorb weakly on the Pd/ WC(0001) surface. Both CO and H prefer three-fold sites, with adsorption energies of −1.51 and −2.67 eV, respectively. On the other hand, CH₃O stably binds at three-fold and bridge sites, with an adsorption energy of −2.58 eV. However, most of the other intermediates tend to adsorb to the surface with the carbon and oxygen atoms in their sp³ and hydroxyl-like configurations, respectively. Hence, the C atom of CH₂OH preferentially attaches to the top sites, CHOH and CH₂O adsorb at the bridge sites, while COH and CHO occupy the three-fold sites. The DFT calculations indicate that the rupture of the initial C–H bond promotes the decomposition of CH₃OH and CH₂OH, whereas in the case of CHOH, O–H bond scission is favored over the C–H bond rupture. Thus, the most probable methanol decomposition pathway on the Pd/WC(0001) surface is CH₃OH → CH₂OH → trans-CHOH → CHO → CO. The present study demonstrates that the synergistic effect of WC (as carrier) and Pd (as catalyst) alters the CH₃OH decomposition pathway and reduces the noble metal utilization.     

基于调谐频率与分频处理的高分辨率反演技术

讨论了基于调谐频率与分频处理的高分辨率反演技术，给出了方法的基本原理，即利用地震数据的调谐频率和分频处理分析，半定量地确定储层厚度，并将其作为地震反演的约束条件。方法的实现过程是：通过层状地质模型的地震正演模拟，建立不同主频子波时地层厚度与调谐频率的关系；利用地震资料时-频分析技术，实现地震资料分频处理；利用合成地震记录标定地震子波主频；利用分频处理结果，借助于调谐频率分析与调谐振幅分析，给出地震反演约束条件；利用反演算法消除地震子波影响，提高和拓展地震资料的频带范围，实现储层的高分辨率成像。普光地区的应用实例表明，调谐频率与分频处理的高分辨率反演方法无需对储层空间变化规律进行假设，适用于强非均质碳酸盐岩储层的高分辨率成像。     

提取地震信号高频信息方法的若干问题

岩性油气藏勘探已成为当代油气勘探的重要组成部分,因此提取地震资料高频信息已成为一个重要研究课题。文中对分辨率、分频处理地震信号、波阻抗反演中的一些问题进行了较深入的讨论,并得出以下认识:1要提高垂向和横向分辨率,必须设法提高野外采集地震资料的频率;2地震分频处理是偏移后提高分辨率的常用方法之一,这种方法应该限定在地震波的有效频带内,而超出有效频带,可能会带来很多假像;3低频合成地震记录中高频反射系数存在不确定性。在基于模型波阻抗反演的方法中,反演结果受初始模型的影响非常大,初始模型是依据测井资料建立的,初始模型与实际情况越接近,反演效果就越好;否则,会产生模型化的现象;4在相对波阻抗数据体(相当于地震数据体)作为约束条件下的SP测井参数协克里金插值是正演过程,消除了模型化的问题,使反演结果更接近真实情况,提高了砂层真实的分辨率。     

基于系统矩阵有序实Schur分解的模型降阶

对复杂高阶系统进行模型简化，为研究与设计系统提供了方便的条件。对系统模型的降阶是控制系统设计与仿真工作者的一个重要研究课题，对高阶复杂系统的分析、设计、仿真等具有重要的理论意义和工程实用价值。针对目前比较成熟的基于系统矩阵的有序实Schur分解方法，提出了采用时矩输出拟合来改善降阶系统输出响应逼近程度的改进方法，从而使简化模型具有输出误差更小、计算简便等优点，通过给出的实例仿真证实了这一点。     

绝对时钟智能控制器的研制

介绍了一种日常参数智能控制器的研制及研制过程中的几个重要问题的解决方法。特别是用于城市照明及美化城市的彩灯的开、关时间智能控制方面，给出了依据当地绝对时间、经度、纬度进行昼夜时间计算的方法，使之在不接光电传感器情况下可跟踪季节的昼夜变化。控制系统采用８９Ｃ２０５１单片机，配有时钟日历芯片ＤＳ１２８８７，系统体积小、功能强、可靠性高。     

邻—(4—乙基苯甲酰基)苯甲酸的研究

本文阐述了通过Friedel-Crafts反应合成邻-(4-乙基苯甲酰基)苯甲酸的方法.研究了影响产物质量的因素,提出了适宜的工艺条件.     

Cif2000平台下的核磁共振测井解谱方法研究

介绍了在Cif2000多井解释平台下的核磁共振解谱方法与编程实现。解谱采用加入平滑因子后在特征矩阵的奇异值分解中截去小的非零奇异值的方法，可以在低信噪比时得到稳定的弛豫谱，在油田实际应用中证明了该方法的有效性。根据该方法在Cif2000平台上编制了完整的解谱处理程序，可以直接用于油田的生产实际。     

A stochastic realization algorithm via block LQ decomposition in Hilbert space

A stochastic realization problem of a stationary stochastic process is re-visited, and a new stochastically balanced realization algorithm is derived in a Hilbert space generated by second-order stationary processes. The present algorithm computes a stochastically balanced realization by means of the singular value decomposition of a weighted block Hankel matrix derived by a “block LQ decomposition”. Extension to a stochastic subspace identification method explains how the proposed abstract algorithm is implemented in system identification.     

A fictitious domain decomposition method for the solution of partially axisymmetric acoustic scattering problems. Part I: Dirichlet boundary conditions

We present a fictitious domain decomposition method for the fast solution of high‐frequency acoustic scattering problems characterized by a partially axisymmetric sound‐soft scatterer. We apply this method to the solution of various mockup submarine problems, and highlight its computational advantages and intrinsic parallelism. Copyright © 2002 John Wiley & Sons, Ltd.