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Search Results: 1 - 10 of 104292 matches for " Liangliang Zhang "
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A General Framework of Optimal Investment  [PDF]
Liangliang Zhang
Journal of Mathematical Finance (JMF) , 2019, DOI: 10.4236/jmf.2019.93028
Abstract: In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical theory with, potentially, machine learning techniques, e.g., machine learning regression, classification and reinforcement learning. The trading ideas are easy to implement and their validity is justified by full mathematical rigor. The framework is model-free and can, in principle, incorporate all categories of trading ideas into it. Simulation and backtesting studies show good performance of selected trading strategies under the proposed framework. Sharpe ratios are above 8.00 in simulation study and Sortino ratios are above 4.00 in backtesting, with very limited drawdowns, using 20 years of monthly data of US equities (NASDAQ, NYSE and AMEX from 1999.1 to 2018.12) and 17 years of monthly data of China A-Share equities (Shanghai and Shenzhen Stock Exchange from 2002.1 to 2018.8).
Asset Return Prediction via Machine Learning  [PDF]
Liangliang Zhang
Journal of Mathematical Finance (JMF) , 2019, DOI: 10.4236/jmf.2019.94035
Abstract: In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. Numerical experiments show good applicability of the methodologies and backtesting unveils superior results in China A-shares markets.
Derivatives Pricing via Machine Learning  [PDF]
Tingting Ye, Liangliang Zhang
Journal of Mathematical Finance (JMF) , 2019, DOI: 10.4236/jmf.2019.93029
Abstract: In this paper, we combine the theory of stochastic process and techniques of machine learning with the regression analysis, first proposed by [1] to solve for American option prices, and apply the new methodologies on financial derivatives pricing. Rigorous convergence proofs are provided for some of the methods we propose. Numerical examples show good applicability of the algorithms. More applications in finance are discussed in the Appendices.
Diurnal Effects on Chinese Wild Ledum palustre L. Essential Oil Yields and Composition  [PDF]
Liangliang Zhang, Hongxiao Wang, Yongmei Wang, Man Xu, Xinyu Hu
Journal of Analytical Sciences, Methods and Instrumentation (JASMI) , 2017, DOI: 10.4236/jasmi.2017.72005
Abstract: This study was conducted to evaluate the diurnal effect on essential oil yield and composition of Ledum palustre L. grown in northern Inner Mongolia, China. Essential oil content and composition were determined and compared as a function of different harvesting times viz. 7:00 AM, 11:00 AM, 3:00 PM, 7:00 PM, and 11:00 PM within a day. The essential oil obtained by hydrodistillation was investigated by gas chromatography-mass spectrometry (GC-MS). The yield of essential oil was varied from 1.21% to 1.62%; the maximum oil yield was obtained at 3:00 PM and the minimum at 7:00 PM. Similar to oil yield, qualitative difference in essential oil composition of L. palustre was observed. For the best essential oil yields, L. palustre should be harvested during 11:00 AM to 3:00 PM.
Exploiting Delay Correlation for Multi-Antenna-Assisted High Speed Train Communications
Chunxu Jiao,Zhaoyang Zhang,Huazi Zhang,Liangliang Zhu
Mathematics , 2014,
Abstract: In High Speed Train Communications (HSTC), the most challenging issue is coping with the extremely fast fading channel. Compared with its static counterpart, channel estimation on the move consumes excessive energy and spectrum to achieve similar performance. To address this issue, we exploit the delay correlation inherent in the linear spatial-temporal structure of multi-antenna array, based on which the rapid fading channel may be approximated by a virtual slow-fading channel. Subsequently, error probability and spectral efficiency are re-examined for this staticized channel. In particular, we formulate the quantitative tradeoff between the two metrics of interest, by adjusting the pilot percentage in each frame. Numerical results verify the good performance of the proposed scheme and elucidate the tradeoff.
Conflict Balanced Design for the Evaluation System of University Research Achievements  [PDF]
Hongzhuan Chen, Liangliang Shu
Creative Education (CE) , 2012, DOI: 10.4236/ce.2012.37B033
Abstract: Scientific research evaluation has an important guiding significance to university scientific research work. Based on conflict analysis model, it studies the strategies and preferences among the government, universities and scientists in the scientific research evaluation mechanism. It builds a conflict analysis model of  three players and gives all possible equilibrium situations. The paper also analyzes the characteristics analysis of each equilibrium situation, it finds out the Pareto optimal situation of scientific research evaluation. The article provides guidance for the establishment of the evaluation system of university research.
Short Text Classification Based on Improved ITC  [PDF]
Liangliang Li, Shouning Qu
Journal of Computer and Communications (JCC) , 2013, DOI: 10.4236/jcc.2013.14004

The long text classification has got great achievements, but short text classification still needs to be perfected. In this paper, at first, we describe why we select the ITC feature selection algorithm not the conventional TFIDF and the superiority of the ITC compared with the TFIDF, then we conclude the flaws of the conventional ITC algorithm, and then we present an improved ITC feature selection algorithm based on the characteristics of short text classification while combining the concepts of the Documents Distribution Entropy with the Position Distribution Weight. The improved ITC algorithm conforms to the actual situation of the short text classification. The experimental results show that the performance based on the new algorithm was much better than that based on the traditional TFIDF and ITC.

Phenolic Extracts from Acacia mangium Bark and Their Antioxidant Activities
Liangliang Zhang,Jiahong Chen,Yongmei Wang,Dongmei Wu,Man Xu
Molecules , 2010, DOI: 10.3390/molecules15053567
Abstract: Phenolic compounds are present at very high concentrations in the bark of Acacia mangium. These compounds are known to have strong antioxidant activity and thus different beneficial effects on human health. Phenolic compounds in bark of A. mangium were extracted and their antioxidant activities were investigated using the 1,1-diphenyl-2-picrylhydrazyl (DPPH) free radical-scavenging and ferric-reducing antioxidant power (FRAP) assays. A central composite design has been employed to optimize the experimental conditions for a high total phenolic content and antioxidant activity. The desirability function approach has been employed to simultaneously optimize the three responses: total phenols, antiradical activity and FRAP. An extraction time of 90 min, liquid-solid ratio of 5, and temperature of 50 °C was predicted for the optimum experimental conditions using the desirability function. A significant linear relationship between antioxidant potency, antiradical activity and the content of phenolic compounds of bark extracts was observed. The structures of condensed tannins isolated from A. mangium were characterized by MALDI-TOF MS analyses. Condensed tannin oligomers from A. mangium were shown to be heterogeneous mixtures consisting of procyanidin and prodelphinidin structural units with polymerization degrees up to 9.
Microwave-Assisted Extraction of Polyphenols from Camellia oleifera Fruit Hull
Liangliang Zhang,Yongmei Wang,Dongmei Wu,Man Xu,Jiahong Chen
Molecules , 2011, DOI: 10.3390/molecules16064428
Abstract: The abundant fruit hulls of tea-oil tree (Camellia oleifera) are still underutilized and wastefully discaded to pollute the environment. In order to solve this problem and better utilize the fruit hulls of C. oleifera, a microwave-assisted extraction system was used to extract their polyphenols using water as the extraction solvent. A central composite design (CCD) was used to monitor the effects of three extraction processing parameters – liquid:solid ratio (mL/g), extraction time (min) and extraction temperature (°C) – on the polyphenol yield (%). The results showed that the optimal conditions were liquid:solid ratio of 15.33:1 (mL/g), extraction time of 35 min and extraction temperature of 76 °C. Validation tests indicated that under the optimized conditions the actual yield of polyphenols was 15.05 ± 0.04% with RSD = 0.21% (n = 5), which was in good agreement with the predicted yield. Phenolic compounds in the extracts were analysed by HPLC, and gallic acid was found to be the predominant constituent. The total flavonoid content in the extracts was determined and high total flavonoid content was revealed (140.06 mg/g dry material).
Synthesis and characterization of N-aryloxo-functionalized β-ketoiminate rare-earth complexes and their catalytic activity for the polymerization of -caprolactone
XiangZong Han,LiangLiang Wu,YingMing Yao,Yong Zhang,Qi Shen
Chinese Science Bulletin , 2009, DOI: 10.1007/s11434-009-0514-7
Abstract: The synthesis and characterization of dimeric rare-earth amides stabilized by a dianionic N-aryloxo functionalized β-ketoiminate ligand are described. Reactions of 4-(2-hydroxy-5-methyl-phenyl) imino-2-pentanone (LH2) with Ln[N(SiMe3)2]3(μ-Cl)Li(THF)3 in a 1:1 molar ratio in THF gave the dimeric rare-earth amido complexes [LLn{N(SiMe3)2}(THF)]2 [Ln = Nd (1), Sm (2), Yb (3), Y (4)]. These complexes were well characterized, and the definitive molecular structures of complexes 3 and 4 were determined. It was found that complexes 1–4 can initiate the ring-opening polymerization of -caprolactone, and the ionic radii of the central metals have significant effect on the catalytic activity.
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