基于已实现半协方差的投资组合优化

在传统的风险度量方法中,常见的协方差估计量并未区分资产收益的下侧风险和上侧收益,而一般的下偏矩估计量则存在非对称性和难以加总的缺点.本文引入已实现半协方差矩阵(RSCOV)作为风险度量进行波动率预测和投资组合研究.本文将RSCOV应用于两种常见的风险分散投资策略—风险平价(ERC)策略和全局方差最小(GMV)策略,并将机器学习中的在线加权集成(OWE)算法用于提升已实现波动率预测方法HAR-RV的样本外预测表现.通过研究发现,相比起已有的其他风险衡量方式,仅包含负向波动信息的下半RSCOV能够更好地被用于平衡组内各资产的风险贡献.基于A股市场2011-2018年的高频数据,本文通过实证研究发现,OWE-HARRV在月度预测步长下的效果优于HAR-RV,而下半RSCOV则能够使ERC策略以及GMV策略在保证一定平均收益的同时,降低了组合收益的极端损失.     

取用水监测点的水量计算与变化趋势分析

加强取用水监测是实施最严格水资源管理制度的重要举措.为了更有效地利用大量的取用水在线监测数据,需要对获取的监测数据进行预处理.本文首先提出应用中位数法与曲线拟合相结合的方法对取用水监测数据进行异常值检测,再用曲线拟合方法对异常值进行校正;其次,根据校正后得到的数据进行两个方面的分析,一方面是计算监测点的年取水量,另一方面是应用集成经验模态分解方法分析监测点的日取水量变化趋势;最后,以M市的16个自来水厂2016年取用水在线监测数据为例进行实证分析,结果表明,本文提出的中位数法与曲线拟合相结合的方法能够有效地检测异常值,进而再用曲线拟合方法能够更好地对异常值校正.根据校正后得到的数据进行分析发现81%的监测点年取水量相对2011年水利普查数据有所增加,个别监测点超出许可取水量较多,75%的监测点从春季到冬季日取水量变化为先增后减的抛物线趋势.     

基于SAMME+ResNet的多相码信号识别方法

针对传统多相码信号识别方法在低信噪比情况下分类精度不高、类识别率不均衡和识别方法不具有通用性的特点,提出了一种利用集成学习中的多类指数损失函数逐步添加模型(stagewise additive modeling using a multi-class exponential loss function, SAMME)算法和残差神经网络(residual neural network, ResNet)的多相码信号识别方法。通过仿真实验对5类多相码信号进行了分类识别,验证了模型的有效性,分析了不同数量基学习器对模型的影响,最后与传统分类方法进行了对比。仿真结果表明,在信噪比低于6 dB的情况下,所提方法相对于单个残差网络提高了约10%的分类精度,同时缩小了类之间识别率的差距,相对于常用的分类方法也有很大的优势。     

Multi-model ensembles in climate science: Mathematical structures and expert judgements

Projections of future climate change cannot rely on a single model. It has become common to rely on multiple simulations generated by Multi-Model Ensembles (MMEs), especially to quantify the uncertainty about what would constitute an adequate model structure. But, as Parker points out (2018), one of the remaining philosophically interesting questions is: “How can ensemble studies be designed so that they probe uncertainty in desired ways?” This paper offers two interpretations of what General Circulation Models (GCMs) are and how MMEs made of GCMs should be designed. In the first interpretation, models are combinations of modules and parameterisations; an MME is obtained by “plugging and playing” with interchangeable modules and parameterisations. In the second interpretation, models are aggregations of expert judgements that result from a history of epistemic decisions made by scientists about the choice of representations; an MME is a sampling of expert judgements from modelling teams. We argue that, while the two interpretations involve distinct domains from philosophy of science and social epistemology, they both could be used in a complementary manner in order to explore ways of designing better MMEs.     

CEEMDAN自适应阈值去噪算法在地震方向的应用

提出一种基于自适应完备集合经验模态分解(CEEMDAN,complete ensemble empirical mode decomposition with adaptive noise)的自适应阈值去噪算法。含噪信号经CEEMDAN算法分解成若干个模态分量(IMF,intrinsic mode functions),根据样本熵理论,对IMF分量中高频分量自适应选取,根据噪声和有用信息与原始信号的相关性不同,对高频分量中的噪声系数定位,利用能量熵选取噪声主区间,用高频分量中噪声主区间的噪声系数方差作为阈值,对高频分量进行阈值去噪,进一步去除噪声,保留高频中的有用信息,最后将信噪分离的高频分量和低频分量重构。分别对合成和实际地震信号去噪处理,并与常规去噪算法进行对比。数据仿真和实验结果表明,在原始信号信噪比为0.5dB时,常规与改进算法去噪后信噪比分别为4.55dB和9.97dB,大幅提高信噪比,达到随机噪声压制的目的,实现了高频分量的自适应选取和高频分量中有用信息的再提取。     

基于EEMD和改进VPMCD的滚动轴承故障诊断方法

针对原VPMCD方法在参数估计过程中存在的缺陷,用BP神经网络非线性回归方法代替原方法中的最小二乘法,解决了最小二乘法中存在的病态问题,因此,提出了改进多变量预测模型(Variable predictive mode based class discriminate,简称VPMCD)的滚动轴承故障诊断方法.首先采用总体经验模态分解(Ensemble empirical mode decomposition,简称EEMD)方法对滚动轴承振动信号进行分解得到若干个单分量信号,然后提取各分量奇异值组成特征向量作为改进VPMCD的输入,最后对滚动轴承工作状态和故障类型进行识别.实验结果表明,该方法能够有效地应用于滚动轴承故障诊断.     

EEMD结合能量特征和小波降噪的轴承故障诊断

为解决在强背景噪声条件下滚动轴承故障诊断问题,开展基于能量特征和小波降噪的总体经验模态分解(EEMD)研究。首先以仿真信号为研究对象,对其进行总体经验模态分解,得到9个固有模态函数(IMF)和1个余项( Res),然后考虑各模态函数的能量特征,将分解后的9个IMF分量与原始信号的能量比作为判断标准,剔除附加5个低频分量,最终得到4个有效的IMF分量和1个余项,与仿真信号相符。在仿真信号分析的基础上,对含噪声信号的滚动轴承故障信号进行故障诊断试验研究,采集信号经小波降噪后,利用总体平均经验模态分解并结合能量特征,得到3个IMF分量和1个余项,然后对3个IMF分量进行包络谱分析,提取故障特征频率157.5 Hz,与滚动轴承故障内圈特征频率157.9 Hz相比,误差为0.25%,说明该方法能很好地提取含有噪声信号的轴承故障信息。该研究为强背景噪声下滚动轴承故障信息的提取提供了一种有效的方法。     

CEEMD结合改进小波阈值的激光雷达信号去噪算法

激光雷达远距离回波信号受噪声影响, 严重失真。为了有效去除信号的噪声, 提高回波信号信噪比, 提出一种互补集合经验模态分解(complementary ensemble empirical mode decomposition, CEEMD)结合改进小波阈值的去噪算法。CEEMD可以自适应地分解非线性和非平稳信号, 改进小波阈值函数具有高阶可导特性, 能够克服硬阈值、软阈值函数各自存在的问题。两种方法结合, 可以更有效地去除噪声。首先, 对回波信号进行CEEMD分解, 得到若干固有模态函数(intrinsic mode function, IMF)。其次, 通过相关系数法计算IMF分量与信号的相关系数, 确定相关分量和不相关分量。最后, 对不相关分量使用小波改进阈值法进行去噪, 对相关分量使用粗糙惩罚法进行平滑, 再重构信号。基于实测数据的实验结果表明, 所提算法比CEEMD去噪法和CEEMD结合原改进阈值去噪法, 信噪比分别提升了2.65 dB和0.58 dB。     

An ensemble of LSTM neural networks for high‐frequency stock market classification

We propose an ensemble of long–short‐term memory (LSTM) neural networks for intraday stock predictions, using a large variety of technical analysis indicators as network inputs. The proposed ensemble operates in an online way, weighting the individual models proportionally to their recent performance, which allows us to deal with possible nonstationarities in an innovative way. The performance of the models is measured by area under the curve of the receiver operating characteristic. We evaluate the predictive power of our model on several US large‐cap stocks and benchmark it against lasso and ridge logistic classifiers. The proposed model is found to perform better than the benchmark models or equally weighted ensembles.     

An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting

For forecasting nonstationary and nonlinear energy prices time series, a novel adaptive multiscale ensemble learning paradigm incorporating ensemble empirical mode decomposition (EEMD), particle swarm optimization (PSO) and least square support vector machines (LSSVM) with kernel function prototype is developed. Firstly, the extrema symmetry expansion EEMD, which can effectively restrain the mode mixing and end effects, is used to decompose the energy price into simple modes. Secondly, by using the fine‐to‐coarse reconstruction algorithm, the high‐frequency, low‐frequency and trend components are identified. Furthermore, autoregressive integrated moving average is applicable to predicting the high‐frequency components. LSSVM is suitable for forecasting the low‐frequency and trend components. At the same time, a universal kernel function prototype is introduced for making up the drawbacks of single kernel function, which can adaptively select the optimal kernel function type and model parameters according to the specific data using the PSO algorithm. Finally, the prediction results of all the components are aggregated into the forecasting values of energy price time series. The empirical results show that, compared with the popular prediction methods, the proposed method can significantly improve the prediction accuracy of energy prices, with high accuracy both in the level and directional predictions. Copyright © 2016 John Wiley & Sons, Ltd.