Estimation of Dynamic VaR in Chinese Stock Markets Based on Time Scale and Extreme Value Theory

The accuracy and time scale invariance of value-at-risk (VaR) measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory (EVT) is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution (GPD), and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE (Hill) at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.     

迈腾B8L轿车电动车窗故障诊断分析

文章以一汽大众2018款迈腾B8L2.0TSI轿车为例,分析电动车窗系统电路,并结合一起真实的故障案例,诊断分析出故障原因,为汽车类似的系统故障诊断分析提供一定的参考。     

船舶自动识别系统AIS消息处理的研究

对船舶自动识别系统AIS(Automatic Identification System)消息类型及标准消息格式进行了简要介绍,提出了基于PC机环境下的信息处理模型,并在C Builder开发环境下用Winsock编程对AIS消息的传输进行了实现.这一信息处理模型可为AIS消息处理的研究提供一实验平台.     

基于PDA的LY05型机车语音录音装置的地面分析软件的设计

介绍了基于PDA平台的LY05型机车语音录音装置的地面分析软件的设计,以及机车语音录音文件的FTP下载、分析、回放、查询的设计与实现.重点分析比较了PDA与PC机上语音录音文件分析处理过程的异同.该软件的使用促进了机车故障分析的时校性.     

某连续刚构桥地震响应分析

文章以某连续刚构桥为例,利用结构分析软件MIDAS CIVIL建立了地震响应计算分析模型,并结合时程分析法对该桥的地震响应进行计算分析,所得结果可为大跨径连续刚构桥的抗震设计提供依据。     

拉索弹性模量时效改变对斜拉桥抗震性能的影响

文章以在建的某斜拉桥为实例,结合ANSYS重启动功能及参量瞬变命令,编制了基于真实初始静平衡状态下及斜拉索Eep时效改变下的地震动几何非线性时程响应通用求解程序,并与以初始索力为计算依据的斜拉索Eep时效不变状态下的计算结果进行了对比分析,得出拉索弹性模量时效改变对斜拉桥抗震性能的影响规律,为大跨斜拉桥地震响应的合理计算分析和抗震设计提供参考。     

深海耐压结构观察窗应力分析

大深度耐压开口结构的设计问题是深海探测装备研制过程中的关键技术问题之一。文章针对大深度载人潜水器的观察窗,从理论上给出了观察窗的应力计算方法,由此可从理论上对观察窗的结构进行优化设计,进而探索观察窗变形计算方法和蠕变计算公式。     

微波暗室静区反射电平计算方法研究

微波暗室静区性能的仿真计算通常采用几何光学法,而这种方法对于高频场计算准确性较高,当微波暗室应用于较低频率时,再利用这种方法就会产生较大的误差。文章在探讨两种微波暗室静区性能分析方法的基础上,提出在微波暗室仿真计算时,对于高频段采用几何光学法,低频则采用时域有限差分法。两种分析方法相互补充,能够较好的满足微波暗室静区指标分析的需要。     

Investigating links between transport disadvantage, social exclusion and well-being in Melbourne - Updated results

This paper updates results of an international study aimed at quantifying the links between transport disadvantage (TD), social exclusion (SE) and well-being (WB) in Melbourne, Australia. The study extends knowledge associated with SE and transport by quantify social and behavioural implications of lack of public and private transport and the nature of the social WB benefits associated with improving services.Study aims and methodology are outlined. Recent findings covered relate to car ownership on the urban fringe, patterns of transport disadvantage, the analysis of time poverty related to transport disadvantage, measuring the economic value of additional mobility and use of a Structural Equation Model (SEM) to relate WB and SE to TD and a series of explanatory factors.Overall results suggest that those without a car on the urban fringe adjust well with their circumstances by living close to activity centres. They demonstrate sustainable choices, trading off budgets and home location to balance mobility and accessibility. Poorer households with high car ownership value mobility and cheaper more remote fringe dwellings but demonstrate numerous strategies to reduce high car costs which are acknowledged as a significant burden. Analysis identifies 4 key types of transport disadvantage including a ‘vulnerable/impaired’ group which should be of much greater concern for targeted policy than others due to poor scoring on SE and WB scales. The economic value of new mobility is also explored with results suggesting $AUD 20 per average new trip which is four times larger than conventional values for generated travel.Analysis has also suggested that transport disadvantage can relate to socially advantaged as well as socially disadvantaged groups through time poverty. This was found to be an important mitigating factor when relating TD to WB. A statistically reliable structural equation model is developed suggesting the SE-WB link is strong (−.87) with a modest link between TD-SE (.27).Areas for future research in the project are also summarised.     

时间窗限制下港口泊位优化分配问题模型

提出新的离散型泊位分配模型,对船舶在港口内的服务时间和港口内泊位的可用时间都考虑了时间窗约束,并在目标函数中考虑了船舶的不同服务时间价值,基于模拟退火算法设计了相应的模拟退火算法进行问题的计算和分析。算例表明,求解大规模问题时,在求解质量和计算时间上要优于CPLEX软件,所提出的优化方法将有助于帮助繁忙港口提高泊位等资源运营管理的效率。