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SWARCH and the implicit volatility of the Real/USD exchange rate
Rafael Machado Santana,Rodrigo De Losso da Silveira Bueno
Revista Brasileira de Finan?as , 2008,
Abstract: This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The rst is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994). The second model is based on the Garman e Kohlhagen (1983) option pricing model, from which one extracts the implicit volatility. The results show that the SWARCH’s performance is better in both dimensions and contrast with the literature in two aspects: rst because the model with switching regime is not as usual as the ones without it, second because the best model is based on historical data rather than implicit volatility.
关于TOR法的敛散性  [PDF]
华侨大学学报(自然科学版) , 1993, DOI: 10.11830/ISSN.1000-5013.1993.03.0295
Abstract: 本文给出一些易于检验的TOR法的敛散性定理.获得的结果所涉及的算法和研究的敛散范围,均扩广并包含了文[1]中的相应定理.
Finding solution by Tabu search
Pathumnakul, S.,Ratanamanee, W.
Songklanakarin Journal of Science and Technology , 2003,
Abstract: In this paper, the method of finding the solution by Tabu search is addressed. Tabu search is one of the local search heuristics, which has been applied extensively in operations research works. In this paper, the basic concepts of the Tabu search heuristic and some examples of applying this search technique in operations research problems are presented.
MPSD迭代法的敛散性定理  [PDF]
华侨大学学报(自然科学版) , 2005, DOI: 10.3969/j.issn.1000-5013.2005.02.003
Abstract: 给出一些易于检验的MPSD迭代法的敛散性定理.利用这些定理,能较容易地判别解线性方程组Ax=c的MPSD迭代法的敛散性.
计算数学 , 1980,
Abstract: 本文讨论了非负Jacobi矩阵和逐次松弛矩阵(0<ω≤1),证明了它们同时敛散,推广了1]中的Stein-Rosenberg定理,揭示了ρ(ω)和ρ(B)之间的关系,并给出了估计谱半径ρ(ω)上下界的两组不等式。
关于Lγ,ω的敛散性定理  [PDF]
华侨大学学报(自然科学版) , 1992, DOI: 10.11830/ISSN.1000-5013.1992.03.0293
Abstract: 本文讨论了非负Jacobi矩阵B和AOR矩阵Lγ,ω(1≤ω≤γ<2),证明了它们同时敛散,揭示了ρ(B)和ρ(Lγ,ω)之间的关系,并给出了估计谱半径ρ(Lγ,ω)的上下界的两组不等式。
科学通报 , 1989,
Abstract: 对本原和不可约布尔矩阵的幂敛指数的研究,已有相当丰富的结果。但迄今为止对可约布尔矩阵的幂敛指数的研究却所见甚少。事实上可约的情形确实比不可约的情形要复杂得多。本文通过对布尔矩阵的局部幂敛指数与其伴随有向图结构之间关系的分
可约布尔矩阵的幂敛指数  [PDF]
科学通报 , 1989,
Abstract: 对本原和不可约布尔矩阵的幂敛指数的研究,已有相当丰富的结果。但迄今为止对可约布尔矩阵的幂敛指数的研究却所见甚少。事实上可约的情形确实比不可约的情形要复杂得多。本文通过对布尔矩阵的局部幂敛指数与其伴随有向图结构之间关系的分
不可约及几乎可约布尔矩阵的幂敛指数  [PDF]
科学通报 , 1989,
Abstract: 一个布尔方阵A的幂敛指数k(A)是指能使A~k等于某个A~(k_1)(k_1>k)的最小非负整数k,而一个有向图D的幂敛指数k(D)则就是D的邻接矩阵的幂敛指数。近年来Schwarz,Heap,Lynn及作者和李乔等人对幂敛指数的上界估计做过不少研究,已证明
带审敛因子的变邻域粒子群算法  [PDF]
控制与决策 , 2014, DOI: 10.13195/j.kzyjc.2012.1913
Abstract: 针对基本粒子群算法在求解高维空间中的复杂多峰函数时容易发生早熟收敛而陷入局部最优的问题,汲取变邻域搜索算法全局搜索的优势,提出了带审敛因子的变邻域粒子群算法.首先由基本粒子群的快速搜索能力得到较优的群体;然后通过审敛因子判断发生早熟收敛的粒子,并利用变邻域搜索算法的全局搜索能力对陷入早熟收敛的粒子进行优化,从而得到全局最优.相关实验表明,带审敛因子的粒子群算法的性能较常规粒子群算法更加优越.
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