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More information can be obtained with the improved spatial resolution of ultra-high resolution (UHR) SAR, whereas the increasing complexity and rich details lead to extreme difficulties in the automatic interpretation. In this paper, we propose a new texture feature set which involves four types of characteristic signatures and nine features to benefit applications of UHR SAR. Experiment based on...
This paper takes the CSI300 Stock Index Futures as research object, and conducts an empirical study on the dynamic correlation between basis and liquidity of the CSI300 Stock Index Futures. Firstly the lead-lag relationship between liquidity and basis is discussed using Granger causality test, and then the binary t-GARCH-Copula model is built and the correlation between the two is studied. From the...
This paper analyses the trade duration of HS300 index ultra-high frequency data using ACD model. First, we research the amplitude characteristics of the volatility in spatial direction, and analyze the density characteristics of the volatility in time axis. Then from the angle of the three-dimensional we make a comprehensive analysis on high frequency data in space and time. Finally, by constructing...
In the capital market, the stocks which have more impact on the other stocks, are called “influential stocks.” If we can find the influential stocks of market, we can analyze present and future status of the market only by investigating them. This paper proposes a method for determining the influential stocks and estimating the market index using them. The influential stocks are recognized based on...
Photovoltaic energy is susceptible to high variability, caused by passing clouds that may affect a site's daily energy production substantially. The reduction in solar variability due to geographic diversity was compared for a large central PV plant and small distributed PV plants using a multistep approach. At short timescales, geographic smoothing offers a strong benefit, which decreases with longer...
This paper tests the existence of asymmetrical volatility clustering in Chinese emerging stock market and it is found that when innovation is negative, the fluctuation equation is significantly different from the model when innovation is positive. This paper discusses the volatility's asymmetrical reaction to autocorrelation of stock return and estimates the threshold value of ACF (autocorrelation...
In this paper, the multifractal degrees in a collection of Chinese market and industry indices are evaluated. Via the multifractal detrended fluctuation analysis (MF-DFA), the result shows that all the indices have the multifractal features, but their multifractal spectrums differ from each other. The average fractal dimension is also calculated and applied to measure the market risk. According to...
First, the thesis analyzes the meaning of financial risk of real estate enterprise. Then, the paper collects 50 real estate listed enterprises' financial data from 2006 to 2010. And combined with financial characteristics of real estate enterprises, it establishes the index system of financial risk evaluation. And then, by correlation analysis, the paper selects 11 financial indexes for factor analysis...
By using the Detrended Fluctuation Analysis method, we study the long memory of the realized volatility and realized bi-power variation constructed from high-frequency intra-day return series of the Shenzhen stock index and its 14 component stocks in China Stock Market. We find that the realized volatility and realized bi-power variation exhibit significant long memory from one-minute to sixty-minute...
How macro economy affects the stock market? Whether the stock market is a barometer of macro economy? This paper studies these questions based on the relationship analysis of the Shanghai A share volatility and macro economy. Using Granger causality test and VAR model, it empirically analyzed the relationship between the two series from May 2006 to March 2010. The results showed that the Granger causality...
This paper presents a method for analyzing the relationship between the macro-economy and stock market at different time scales, in an effort to correct the deficiency that other usual methods have, which are performed at single time scale. Firstly, the variables of macro-economy and stock market are decomposed at multiple scales with wavelet transform. Secondly, correlation analysis and Granger Causality...
This Article use Chinese 14 commercial Bank's research sample data from 2000 to 2009, on the basis of the measure of China's banking system risk index, Examine the influence on asset prices for bank income structure and the risks of banking system. Research results show that Since 2005, the risk of China's banking system significantly reduced, stability obviously increased; Asset prices had a significant...
The paper takes the data from 1996∶1 to 2009∶12 as the research sample to deeply investigate the linkages between the oil price and China stock market. Empirical results show that there exists long term cointegration between oil price and China stock market. In the meanwhile, with economic situation changing and time passing, the correlation between oil price and China stock market changes at different...
The bivariate normal mixture GARCH model is introduced in this paper, and applied to research the dynamic volatility features and the time-varying correlation structure of Shanghai Composite Index and Shenzhen Component Index in Chinese stock markets. Empirical results demonstrate that the bivariate normal mixture GARCH model outperforms other competing GARCH models, in terms of explaining the properties...
Based on the yearly data from 1979 to 2009, the VAR model between CPI and ship maintenance hourly rate is established on the results of correlation, stationarity and cointegration test of the samples data. And then the Granger causality test, impulse response function and variance decomposition are applied into the dynamic analysis of the VAR model established in this paper. The empirical results...
The variations of Baltic Dry Index (BDI) and Shanghai Stock Exchange Composite Index (SSE Composite Index) over the last three years reflected the historical features of the world economy in financial crisis. In order to test the correlation of BDI and SSE Composite Index, the weekly average data of BDI and SSE Composite Index from 2007 to 2009 are taken as empirical sample data by statistical analyzing...
Process quality ultimately decides on the quality of electronic products. Based on analyzing and improving process capability index (PCI), microelectronics process quality of electronic products may be effectively assured. Nowadays with the rapid development in microelectronics process, Quality evaluation of processes concerns more than one quality characteristics, microelectronics process quality...
Based on the climatic data of four meteorological stations from 1960 to 2009, using FAO Penman-Monteith model, ArcGIS IDW interpolation and Mann-Kendall test and T-test, the paper analyzes the changing trends, spatial and temporal differences and mutation characteristics of surface dry and wet conditions. The results show: Firstly, the overall trend of surface dry and wet conditions had been becoming...
In order to investigate the observational basis of the climate predictability, with the Detrended Fluctuation Analysis (DFA) the long-term variations of the temperature and the precipitation in Beijing have been investigated. Non-scaling exists widely in the nature system, including the climate system; one of its features is a power function existing in an observable quantity, which represents the...
On the basis of precipitation data for the period 1982-2001 collected from 96 observational stations in Southwest China and normalized difference vegetation index, the influence of winter vegetation variation over Tibetan Plateau on summer precipitation in Southwest China have been analyzed. The result may lead to following conclusions: The winter NDVI over Tibetan Plateau increased in recent 20 years...
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