Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

湖北省三道河水库底栖动物的初步研究

2007年8月至2008年4月,在湖北省三道河水库6个采样点调查底栖动物,共采集到底栖动物17种,其中水生昆虫11种,均为摇蚊科;寡毛类6种,均为颤蚓科.春季优势种为前突摇蚊,夏季优势种为小摇蚊、流水长跗摇蚊和前突摇蚊,秋、冬季优势种为霍甫水丝蚓.底栖动物种类数、密度和生物量随季节变化明显,种类数夏季>冬季>秋季>春季,密度和生物量春季>冬季>秋季>夏季.周年密度和生物量分别为366.42±102.93ind./m2和0.5649±0.1779g/m2,属贫营养型水库.现存量自坝前向库尾逐步递增,Shan

鱼腥藻PCC7120受缺铁诱导的外膜蛋白

利用双相法结合蔗糖密度梯度超离心制备获得高纯度的鱼腥藻PCC7120(Anabaena sp.PCC7120)外膜,以双向凝胶电泳分析受缺铁诱导的外膜蛋白。发现缺铁导致5种外膜蛋白水平显著上调,经MALDI-TOF-MS鉴定都是类似siderophore受体的蛋白。通过细菌荧光素酶报告基因luxAB研究相应基因的转录调控,发现它们在转录水平受缺铁诱导,并且响应缺铁诱导的表达模式存在差异。利用luxAB检测其中一些启动子的表达有可能用于水体中可利用铁离子的生物监测。

抚仙湖子陵吻鰕虎鱼繁殖策略的可塑性研究

通过比较子陵吻鰕虎鱼的一个入侵种群(抚仙湖)和两个原产种群(巢湖和洞庭湖)的繁殖策略的异同,研究了该物种在被引入抚仙湖后所作出的繁殖策略上的变化。入侵种群的产卵时间为7—10月份,产卵持续时间长达4个月;而两个原产种群的产卵时间均为7—9月份,产卵持续时间达3个月。三个种群的个体相对繁殖力分别为2826.5±827.4(抚)、3657.9±366.5(巢)和3592.2±1160.5(洞)粒/g,两个原产种群之间无显著差异(p>0.05),而入侵种群的相对繁殖力显著下降(p<0.05)。另外,入侵种群的月

菜籽粕对异育银鲫免疫应答能力的影响

试验鱼以投喂饲料的不同和是否注射抗原共分为10组,即免疫组:A、B、C、D、E组,免疫对照组:a、b、c、de、组,饲料对照组:A、a组。饲料试验组B、C、D、E、bc、、d、e组。其中,饲料对照组以豆粕和鱼粉为基础蛋白源,饲料试验组分别以双低菜籽粕和普通菜籽粕等氮替代对照组中50%(B、b;D、d)和100%(C、c;E、e)的豆粕蛋白,测定异育银鲫血液白细胞和头肾吞噬细胞的吞噬活性、血清溶菌酶活性、血清补体(C3,C4)含量、血清凝集抗体效价及免疫保护率。结果表明:从免疫后21 d开始,饲料试验组E、

Modelling 2DEG charges in AlGaN/GaN heterostructures

In this paper we compare different approaches to calculating the charge density in the 2DEG layer of AlGaN/GaN HEMTs. The methods used are (i) analytical theory implemented in MATLAB, (ii) finite-element analysis using semiconductor TCAD software that implements only the Poisson and continuity equations, and (iii) 1D software that solves the Poisson and Schrödinger equations self-consistently. By using the 1D Poisson-Schrödinger solver, we highlight the consequences of neglecting the Schrödinger equation. We conclude that the TCAD simulator predicts with a reasonable level of accuracy the electron density in the 2DEG layer for both a conventional HEMT structure and one featuring an extra GaN cap layer. In addition, while the sheet charge density is not significantly affected by including Schrödinger, its confinement in the channel is found to be modified. © 2012 IEEE.

洗涤剂禁(限)磷对流域水质影响预测

本文在确定流域洗涤剂的磷在水体磷负荷中所占的比重及贡献率的基础上 ,采用Thomoamn数学模型 ,对在实施洗涤剂禁限磷措施后 ,流域水质的响应进行预测 ,并评估洗涤剂禁限磷的环境效果 .水质预测结果表明 ,实行限、禁磷措施后 ,供水水质磷含量将从目前的 0 .2 4mg/L降至 0 .18mg/L ,磷负荷削减了 2 5 % ;如严格控制流域禽畜散养 ,削减非点源磷盐 6 0 % ,供水水质处于地面水Ⅱ类水质 (0 .1mg/L)标准临界水平

柄杆菌对固氮蓝藻生物量及色素的影响

柄杆菌对固氮蓝藻生物量和色素的影响研究结果表明:多态柄杆菌(Caulobacter polymorphus)017-41或新月柄杆菌(Caulobacter creseentus)CB_2的活菌、死菌及破碎细胞悬液分别与鱼腥藻(Anabaena)、念珠藻(Nostoc)不同藻珠混合培养时,试验组生长量均优于对照组;对衰老黄化的藻培养物的生长刺激作用尤为显著;试验组藻培养物的藻蓝或藻红素含量亦明显高于对照组。其作用机理尚待进一步阐明。

鄂西地区裸藻的新种类

<正> 本文报道的是1981年5—6月在鄂西地区(包括五峰、宜都、宜昌、当阳、兴山及神农架林区)采集到的裸藻门植物5个新种,7个新变种和3个新变型。1.阿洛格裸藻头状变种(新变型) (图1:a—e)Euglena allorgii var.capitata shi, var. nov.

三种淡水枝角类生物学的研究

在恒温条件下,观察了平突船卵潘、隆线溞、微型裸腹溞的生长和繁殖。这三种淡水枝角类的生长随龄数的增加而变慢;总生活时间随温度升高而缩短。 平突船卵溞在20℃时,有3个幼龄、18个成龄、总生活时间为46.8天;30℃时为3个幼龄、15个成龄和18.8天。30℃时,隆线溞有3个幼龄、14个成龄、总生活时间为18.7天;微型裸腹溞则为2个幼龄、9个成龄和10.7天。 种类不同,累计产卵数相差很大。隆线溞在30℃时高达366个;微型裸腹溞仅为48个。平突船卵溞在20℃和30℃时分别为178个和172个。产卵率以隆线

Ultrastructure of the Spermatozoa of the Yangtze Finless Porpoise (Neophocaena phocaenoides asiaeorientalis)

P>Semen sample was collected from two captive adult Yangtze finless porpoises (Neophocaena phocaenoides asiaeorientalis) during physical examination. One individual was aged about 9 years with body length 143 cm (total length) and body weight 46.1 kg in 2003. The age of the other was unknown and its body length was 147 cm and body weight was 43 kg in 2004. Ultrastructure of their spermatozoa was examined using scanning and transmission electron microscope. The sperm concentration was 4.17 x 10(9) spermatozoa per ml by the cytometer. The approximate dimensions of the spermatozoa were as follows: head length, 3.366 +/- 0.140 mu m (mean +/- SE, n = 15); head width, 1.896 +/- 0.099 mu m (n = 15); and neck length, 1.004 +/- 0.074 mu m (n = 10). The tail included midpiece, principal piece and terminal piece. The length of the midpiece was 1.882 +/- 0.077 mu m (n = 9). There is no apparent boundary between the principal piece and the terminal piece, so the length of the principal piece and the terminal piece was 44.612 +/- 3.485 mu m (n = 5). Total length of the spermatozoa was 53.314 +/- 4.580 mu m (n = 10). The acrosome covered approximately 45.8% of the anterior portion of the head.

Medaka vasa is required for migration but not survival of primordial germ cells

Vasa is essential for germline development. However, the precise processes in which vasa involves vary considerably in diverse animal phyla. Here we show that vasa is required for primordial germ cell (PGC) migration in the medakafish. vasa knockdown by two morpholinos led to the PGC migration defect that was rescued by coinjection of Vasa RNA. Interestingly, Vasa knockdown did not alter the PGC number, identity, proliferation and motility even at ectopic locations. We established a cell culture system for tracing PGCs at the single cell level in vitro. In this culture system, control and morpholino-injected gastrulae produced the same PGC number and the same time course of PGC survival. importantly, vasa-depleted PGCs in culture had similar motility and locomotion to normal PGCs. Expression patterns of wt1a, sdf1b and cxcT4b in migratory tissues remained unchanged by Vasa knockdown. By chimera formation we show that PGCs from vasa-depleted blastulae failed to migrate properly in the normal environment, whereas control PGCs migrated normally in vasa-disrupted embryos. Furthermore, ectopic PGCs in vasa-depleted embryos also retained all the PGC properties examined. Taken together, medaka vasa is cell-autonomously required for PGC migration, but dispensable to PGC proliferation, motility, identity and survival. (C) 2009 Elsevier Ireland Ltd. All rights reserved.

An analysis of electrode patterns in capacitive touch screen panels

In the design of capacitive touch-screen panels, electrodes are patterned to improve touch sensitivity. In this paper, we analyze the relationship between electrode patterns and touch sensitivity. An approach is presented where simulations are used to measure the sensitivity of touch-screen panels based on capacitance changes for various electrode patterns. Touch sensitivity increases when the touch object is positioned in close proximity to fringing electric fields generated by the patterned electrodes. Three new electrode patterns are proposed to maximize field fringing in order to increase touch sensitivity by purely electrode patterning means. Simulations showed an increased touch sensitivity of up to 5.4%, as compared with the more conventional interlocking diamonds pattern. Here, we also report empirical findings for fabricated touch-screen panels. © 2005-2012 IEEE.