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Intraday Volume Percentages Forecasting Using a Dynamic SVM-Based Approach

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Journal of Systems Science & Complexity 2017年第2期30卷 421-433页

作者： LIU Xiaotao lai Kin Keung Department of Finance Central China Normal University International Business School Shaanxi Normal University Department of Management Sciences City University of Hong Kong

This paper proposes a dynamic model to forecast intraday volume percentages by decomposing the trade volume into two parts: The average part as the intraday volume pattern and the residual term as the abnormal changes. An empirical test on data spanning half-a-year gold futures and S&P 500 futures reveals that a rolling average of the previous days' volume percentages shows great predictive ability for the average part. An SVM approach with the input pattern consisting of two categories is employed to forecast the residual term. One is the previous days' volume percentages in the same time interval and the other is the most recent volume percentages. The study shows that this dynamic SVM-based forecasting approach outperforms the other commonly used statistical methods and enhances the tracking performance of a VWAP strategy greatly.

关键词： Intraday volume percentages principal component decomposition SVM VWAP.

Stabilization control of a hovering model insect:lateral motion

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Acta Mechanica Sinica 2011年第5期27卷 823-832页

作者： Yan-lai Zhang Mao Sun Ministry-of-Education Key Laboratory of Fluid Mechanics Beihang University 100191 Beijing China

Our previous study shows that the lateral disturbance motion of a model drone fly does not have inherent stability （passive stability）,because of the existence of an unstable divergence *** drone flies are observed to fly *** active control must be applied to stabilize the *** this study,we investigate the lateral stabilization control of the model drone *** method of computational fluid dynamics is used to compute the lateral control derivatives and the techniques of eigenvalue and eigenvector analysis and modal decomposition are used for solving the equations of *** analysis shows that although inherently unstable,the lateral disturbance motion is *** feeding back the state variables （*** translation velocity,yaw rate,roll rate and roll angle,which can be measured by the sensory system of the insect） to produce anti-symmetrical changes in stroke amplitude and/or in angle of attack between the left and right wings,the motion can be stabilized,explaining why the drone flies can fly stably even if the flight is passively unstable.

关键词： Hovering drone fly Lateral motion Flight stability Stabilization control Modal analysis

Dynamic flight stability of hovering model insects:theory versus simulation using equations of motion coupled with Navier-Stokes equations

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Acta Mechanica Sinica 2010年第4期26卷 509-520页

作者： Yan-lai Zhang Mao Sun Ministry-of-Education Key Laboratory of Fluid Mechanics Institute of Fluid Mechanics Beihang University 100191 Beijing China

In the present paper, the longitudinal dynamic flight stability properties of two model insects are predicted by an approximate theory and computed by numerical sim- ulation. The theory is based on the averaged model （which assumes that the frequency of wingbeat is sufficiently higher than that of the body motion, so that the flapping wings＇ degrees of freedom relative to the body can be dropped and the wings can be replaced by wingbeat-cycle-average forces and moments）; the simulation solves the complete equations of motion coupled with the Navier-Stokes equations. Comparison between the theory and the simulation provides a test to the validity of the assumptions in the theory. One of the insects is a model dronefly which has relatively high wingbeat frequency （164 Hz） and the other is a model hawkmoth which has relatively low wingbeat frequency （26 Hz）. The results show that the averaged model is valid for the hawkmoth as well as for the dronefly. Since the wingbeat frequency of the hawkmoth is relatively low （the characteristic times of the natural modes of motion of the body divided by wingbeat period are relatively large） compared with many other insects, that the theory based on the averaged model is valid for the hawkmoth means that it could be valid for many insects.

关键词： Insect Hovering Dynamic flight stability Averaged model Equations-of-motion Navier-Stokes simulation

Copula-Based Risk Management Models for Multivariable RMB Exchange Rate in the Process of RMB Internationalization

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Journal of Systems Science & Complexity 2017年第3期30卷 660-679页

作者： DU Jiangze lai Kin Keung School of Finance Jiangxi University of Finance and Economics Department of Industrial and Manufacturing Systems Engineering Hong Kong University International Business School Shaanxi Normal University

This paper investigates the dependence of the exchange rate of onshore Renminbi(RMB)and offshore RMB against US dollar(i.e., CNY and CNH) based on copula models. Eleven different copulas were selected to construct multivariate distribution and estimate the value-at-risk for RMB exchange rate. Empirical results show that time-invariant Student-t copula is the best model to fit the sample data. The positive upper and lower dependence indicates that CNY and CNH series tend to move in the same direction. Moreover, the dependence between the two exchange rates is asymmetric,which means that traditional models, such as Pearson's correlation, are inappropriate to measure the correlations between these markets. The best fitted model is chosen to estimate the financial risk,which can help business practitioners and policymakers track risk evolution and make good decisions.

关键词： Copula modeling RMB exchange rate RMB internationalization value-at-risk.

Numerical solution of the Saint-Venant equations by an efficient hybrid finite-volume/finite-difference method

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Journal of Hydrodynamics 2018年第2期30卷 189-202页

作者： Wencong lai Abdul A.Khan Glenn Department of Civil Engineering Clemson University

A computationally efficient hybrid finite-volume/finite-difference method is proposed for the numerical solution of SaintVenant equations in one-dimensional open channel flows. The method adopts a mass-conservative finite volume discretization for the continuity equation and a semi-implicit finite difference discretization for the dynamic-wave momentum equation. The spatial discretization of the convective flux term in the momentum equation employs an upwind scheme and the water-surface gradient term is discretized using three different schemes. The performance of the numerical method is investigated in terms of efficiency and accuracy using various examples, including steady flow over a bump, dam-break flow over wet and dry downstream channels, wetting and drying in a parabolic bowl, and dam-break floods in laboratory physical models. Numerical solutions from the hybrid method are compared with solutions from a finite volume method along with analytic solutions or experimental measurements. Comparisons demonstrates that the hybrid method is efficient, accurate, and robust in modeling various flow scenarios, including subcritical, supercritical, and transcritical flows. In this method, the QUICK scheme for the surface slope discretization is more accurate and less diffusive than the center difference and the weighted average schemes.

关键词： Hybrid numerical method Saint-Venant equations shallow water flow

Ternary strategy: An analogue as third component reduces the energy loss and improves the efficiency of polymer solar cells

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Journal of Energy Chemistry 2022年第7期31卷 67-73,I0003页

作者： Longzhu Liu Hanjian lai Feng He School of Chemistry and Chemical Engineering Harbin Institute of TechnologyHarbin 150001HeilongjiangChina Shenzhen Grubbs Institute and Department of Chemistry Southern University of Science and TechnologyShenzhen 518055GuangdongChina Guangdong Provincial Key Laboratory of Catalysis Southern University of Science and TechnologyShenzhen 518055GuangdongChina

Ternary strategy is a convenient and effective method to boost the performance of polymer solar cells(PSCs).Utilizing a ternary strategy to trade-off between the energy loss and the efficiency of devices however requires further ***,through the hydroxyl(-OH)and acetoxy(-OCOMe)substitution atβ-position of the IC terminal group,we developed two new synthetic acceptors,BTIC-OH-βand BTICOCOMe-β,which were designed to confine the morphology *** of an analogue as the third component provides a simple but efficient way to further balance the short current density(Jsc)and open-circuit voltage(Voc),leading to a champion efficiency based on PBDB-T:PBDB-TF:BTIC-OCOMe-β,effectively as high as 12.45%.The results were examined mainly in terms of the morphology characterization,electroluminescence external quantum efficiency(EQEEL),steady-state photoluminescence(PL)and transient *** suggested fine-tuning of the morphology by ratio modulation,reduction of the energy loss,construction of a promising pathway for charge transfer in the ternary system and enhancing the carrier *** this way,a ternary strategy with an analogue donor could provide more routes to higher-quality solar cells.

关键词： Polymer solar cell Ternary strategy Energy loss Trade-off

Nanozyme-mediated elemental biogeochemical cycling and environmental effects

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Science China Earth Sciences 2021年第7期64卷 1015-1025页

作者： Zhi-lai CHI Guang-Hui YU Institute of Surface-Earth System Science School of Earth System ScienceTianjin Key Laboratory of Earth Critical Zone Science and Sustainable Development in Bohai RimBohai Coastal Critical Zone National Observation and Research StationTianjin UniversityTianjin 300072China College of Resources&Environmental Sciences Nanjing Agricultural UniversityNanjing 210095China

In Earth systems,thousands of terragrams(Tg)(1 Tg=10^(12) g)of mineral nanoparticles move around *** mineral nanoparticles have exhibited unexpected intrinsic enzyme-like characteristics(so called“mineral nanozymes”),and are ubiquitously distributed in natural ecosystems such as the atmosphere,oceans,waters,and *** with natural enzymes,these mineral nanozymes have several advantages such as tunable catalytic efficiency and robustness to harsh conditions,e.g.,heat,acid,and alkaline *** mineral nanozymes are new products of multidisciplinary cross-cutting,they have been widely applied in various *** review,for the first time,systematically introduces the species and properties of mineral nanozymes in Earth systems,discusses the critical roles played by nanozymes in environmental biogeochemical cycles,compiles the interfacial processes and mechanisms of mineral nanozymes,and provides an overview of the future prospects of mineral nanozymes.

关键词： Nanozymes Peroxidase Nanominerals Reactive oxygen species Biogeochemical cycles

Remote sensing image encryption algorithm utilizing 2D Logistic memristive hyperchaotic map and SHA-512

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Science China(Technological Sciences) 2024年第5期67卷 1553-1566页

作者： lai Qiang LIU Yuan YANG Liang School of Electrical and Automation Engineering East China Jiaotong UniversityNanchang330013China

The two-dimensional Logistic memristive hyperchaotic map(2D-LMHM)and the secure hash SHA-512 are the foundations of the unique remote sensing image encryption algorithm(RS-IEA)suggested in this *** proposed map is formed from the improved Logistic map and the memristor,which has wide phase space and hyperchaotic range and is exceptionally excellent to be utilized in specific *** proposed image algorithm uses the permutation-assignment-diffusion *** generates two position matrices in a progressive manner to achieve an efficient random exchange of pixel positions,assignment is carried through on the image pixels of the permutated image to entirely remove the original image information,strengthening the relationship between permutation and diffusion,and loop diffusion in two different directions can use subtle changes of pixels to affect the whole *** random key and plain-image SHA-512 hash values are used to produce an additional key,which is then utilized to figure out the permutation parameters and the initial value of a chaotic *** experimental results with the average NPCR=99.6094%(NPCR:number of pixels change rate),average UACI=33.4638%(UACI:unified average changing intensity),100%pass rate of the targets in the test set,the average correlation coefficient is 0.00075,and the local information entropy is 7.9025,which shows that the algorithm is able to defend against a variety of illegal attacks and provide more trustworthy protection than some of the existing state-of-the-art algorithms.

关键词： chaos memristive hyperchaotic map remote sensing SHA-512 image encryption RS-IEA

Nanometric Cutting Mechanism of Cerium-Lanthanum Alloy

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Chinese Journal of Mechanical Engineering 2023年第4期36卷 155-166页

作者： Chenyu Zhao Min lai Fengzhou Fang State Key Laboratory of Precision Measuring Technology&Instruments Laboratory of Micro/Nano Manufacturing Technology(MNMT)Tianjin UniversityTianjin 300072China Centre of Micro/Nano Manufacturing Technology(MNMT-Dublin) University College DublinDublin 4Ireland

Cerium-lanthanum alloy is widely used in the green energy industry,and the nanoscale smooth surface of this material is in *** cutting is an effective approach to achieving the ultra-precision machining *** dynamics(MD)simulation is usually used to reveal the atomic-scale details of the material removal mechanism in nanometric *** this study,the effects of cutting speed and undeformed chip thickness(UCT)on cutting force and subsurface deformation of the cerium-lanthanum alloy during nanometric cutting are analyzed through MD *** results illustrate that the dislocations,stacking faults,and phase transitions occur in the subsurface during *** dislocations are mainly Shockley partial dislocation,and the increase of temperature and pressure during the cutting process leads to the phase transformation ofγ-Ce(FCC)intoβ-Ce(HCP)andδ-Ce(BCC).β-Ce is mainly distributed in the stacking fault area,whileδ-Ce is distributed in the boundary area between the dislocation atoms andγ-Ce *** cutting speed and UCT affect the distribution of subsurface damage.A thicker deformed layer including dislocations,stacking faults and phase-transformation atoms on the machined surface is generated with the increase in the cutting speed and ***,the cutting speed and UCT significantly affect the cutting force,material removal rate,and generated subsurface *** fluctuations in the cutting force are related to the generation and disappearance of *** research first studied the nanometric cutting mechanism of the cerium-lanthanum ally,providing a theoretical basis for the development of ultra-precision machining techniques of these materials.

关键词： Cerium-lanthanum alloy Molecular dynamics simulation Nanometric cutting Subsurface damage