Professional Documents
Culture Documents
$Ssolfdwlrqri$Gdswlyh1Rwfk) Lowhuiru +Duprqlfv&Xuuhqwv (VWLPDWLRQ
$Ssolfdwlrqri$Gdswlyh1Rwfk) Lowhuiru +Duprqlfv&Xuuhqwv (VWLPDWLRQ
+DUPRQLFV&XUUHQWV(VWLPDWLRQ
07DUHN60HNKLOHIDQG1$5DKLP
1236
978-981-05-9423-7
c 2007 RPS
WKH VKXQW SDVVLYH ILOWHU LQ GLYHUWLQJ WKH KDUPRQLF FXUUHQW SDUDPHWHUV 0XOWLSOH XQLWV RI WKH SURSRVHG $1) DUH OLQNHG
JHQHUDWHGE\WKHQRQOLQHDUORDG7KHVHULHVDFWLYHSRZHUILOWHU WRJHWKHULQSDUDOOHOVWUXFWXUHHDFKXQLWLVJRYHUQHGE\DVHWRI
LQWKLVPRGHRIRSHUDWLRQVHQVHVWKHKDUPRQLFVFXUUHQWIORZLQ GLIIHUHQWLDO HTXDWLRQ PHQWLRQHG LQ 7KHUHIRUH WKH QHZ
WKH SRZHU OLQH DQG IRUFHV WKH LQYHUWHU WR LQMHFW WKURXJK D VWUXFWXUHRIWKH$1)ZLOOKDYHWKHIROORZLQJHTXDWLRQV
WUDQVIRUPHU D KDUPRQLF YROWDJH SURSRUWLRQDO WR KDUPRQLFV
FXUUHQW LQ VHULHV ZLWK WKH VRXUFH LQ GLUHFWLRQ WR RSSRVH WKH °
° [L + L θ [ L = ζ θ H (W )
L = Q
FXUUHQW IORZ 7KXV WKH VHULHV DFWLYH SRZHU ILOWHU VLPXODWHV D °
KLJK UHVLVWDQFH LQ VHULHV ZLWK WKH OLQH IRU KDUPRQLFV FXUUHQW ®θ = − γ [ θ H (W )
DORQH:LWKWKLVKLJKUHVLVWDQFHLQWKHVRXUFHVLGHWKHSDVVLYH ° Q
ILOWHULVIRUFHGWRDEVRUEDOOKDUPRQLFFXUUHQWJHQHUDWHGE\WKH
° H (W ) = \ (W ) −
° ¦ [ L (W )
QRQOLQHDU ORDG HYHQ LI LW KDV QRQ ]HUR LPSHGDQFH DW WKH ¯ L =
KDUPRQLFIUHTXHQF\GXHWRGHWXQLQJ>@ ZKHUH [L LV WKH QDWXUDO HVWLPDWLRQ RI WKH FRPSRQHQW \L %\
FKDQJLQJ IURP WLPH GRPDLQ WR IUHTXHQF\ GRPDLQ WDNHQ
,,,+$5021,&6&855(17(67,0$7,210(7+2' FDUHRIWKHPDWFKLQJWUDQVIRUPDWLRQWKHSURSRVHG$1) FDQ
7KH SHUIRUPDQFH RI WKH +$3) GHSHQGV PDLQO\ RQ EHLPSOHPHQWHGXVLQJWKHIROORZLQJHTXDWLRQV
KDUPRQLFVFXUUHQWH[WUDFWLQJPHWKRG7KHSURSRVHGGHWHFWLRQ
PHWKRG LV EDVHG RQ WKH FRQFHSW RI DGDSWLYH QRWFK ILOWHU $ [L = − L θ N [ L N + ξθ N H N
QRWFKILOWHULVDILOWHUWKDWSDVVHVDOOIUHTXHQFLHVH[FHSWWKRVHLQ [L = [ L N − + . L [L N + . L [L N − N = Q
VWRS EDQG FHQWHUHG RQ D FHQWHU IUHTXHQF\ ZKLFKLV FDOOHG WKH
QRWFK IUHTXHQF\ 7KLV ILOWHU FDQ HVWLPDWH WKH IUHTXHQF\ RI D [L = [L N − + . L [L N + . L [L N −
JLYHQVLQXVRLGDOVLJQDOZKHQWKHIUHTXHQF\UHPDLQVFRQVWDQW − γ .[ N − H N −
+RZHYHU ZKHQ WKH IUHTXHQF\ FKDQJH WKH LGHDO VROXWLRQ WR θ N = θ N −
+ γ .[ N H N
HVWLPDWH D VLQXVRLGDO VLJQDO LV D ILOWHU FDSDEOH WR FKDQJH WKH
Q
QRWFK IUHTXHQF\ DFFRUGLQJO\ E\ WUDFNLQJ WKH IUHTXHQF\
YDULDWLRQ 7KH FRQFHSW RI $1) KDV DOUHDG\ EHHQ XVHG IRU
HN = \ N − ¦ [ N
L =
L
)LJ)XQGDPHQWDOUHDO HVWLPDWHG)LJ7RWDOKDUPRQLFVUHDO HVWLPDWHG)LJWK+DUPRQLFUHDO HVWLPDWHG
)LJWK+DUPRQLFUHDO HVWLPDWHG)LJWK+DUPRQLFUHDO HVWLPDWHG)LJ WK+DUPRQLFUHDO HVWLPDWHG
)LJWK+DUPRQLFUHDO HVWLPDWHG)LJ WK+DUPRQLFUHDO HVWLPDWHG)LJ(YDOXDWLRQRIIUHTXHQF\UDGV
:KHQ WKH VLPXODWLRQ UHVXOWV DUH FRPSDUHG ZLWK WKH DFWXDO VHQVLQJ WKH FXUUHQW VRXUFH ,V H[WUDFWLQJ WKH KDUPRQLFV
RQH D JRRG PDWFKKDV EHHQ REVHUYHG 7KH SURSRVHG DGDSWLYH FXUUHQWXVLQJDQDGDSWLYHQRWFKILOWHUPXOWLSO\LQJWKHUHVXOWE\
QRWFKILOWHUDOJRULWKPKDVHVWLPDWHGERWKPDJQLWXGHDQGSKDVH DJDLQ.DQGWKDWLVWKHUHIHUHQFHVLJQDOWRWKH3:0YROWDJH
RIWKHIXQGDPHQWDOIUHTXHQF\DQGHDFKKDUPRQLFFRPSRQHQW VRXUFH LQYHUWHU 7KXV WKH LQYHUWHU LQMHFWV KDUPRQLFV YROWDJH
7KHUHIRUH WKH SURSRVHG WHFKQLTXH LV HIIHFWLYH WR WUDFN WKH ZKLFKLVSURSRUWLRQDOWRWKHKDUPRQLFVFXUUHQWLQWRWKHOLQH
IUHTXHQF\ YDULDWLRQ DQG GHFRPSRVH WKH LQSXW VLJQDO LQWR LWV 7KH KDUPRQLF FXUUHQW GHWHUPLQDWLRQ E\ WKH $1) DQG WKH
FRQVWLWXWLQJFRPSRQHQWV K\EULG DFWLYH SRZHU ILOWHU FRQWURO LPSOHPHQWDWLRQ DUH FDUULHG
RXWZLWK0DWODEVLPXODWLRQDQGKDUGZDUHLPSOHPHQWDWLRQLQD
9+<%5,'$&7,9(32:(5),/7(5&21752/675$7(*< GLJLWDOVLJQDOSURFHVVRU'63WRFRQILUPWKHIHDVLELOLW\RIWKH
%DVLFDOO\ IRU KDUPRQLF FXUUHQW VXSSUHVVLRQ WKH SRZHU SURSRVHG PHWKRG $OO FDOFXODWLRQV DUH DFFRPSOLVKHG GLJLWDOO\
FRQYHUWHU RI WKH VHULHV DFWLYH SRZHU ILOWHU LV SUHVHQWHG DV D XVLQJ '63 706) 7KH FXUUHQW VRXUFH ,V LV VHQVHG
KDUPRQLF UHVLVWRU WR UHGXFH WKH PDLQ KDUPRQLF FXUUHQW 7KH DQGIHGWRWKHDQDORJGLJLWDOFRQYHUWHU$'&RIWKH'63DQG
RXWSXWYROWDJHRIWKH VHULHVDFWLYHILOWHULV UHODWHGWRKDUPRQLF WKHQWKHGDWDLVILOWHUHGE\WKH$1)IXQFWLRQPXOWLSOLHGE\D
FXUUHQW DQG H[SUHVVHG DV \ W = .
,VKW ZKHUH ,VK LV WKH JDLQDQGVHQGWRWKH3:0EORFNLQ'63H3:0WRJHQHUDWH
WKHDFFXUDWHSXOVHVIRUWKHLQYHUWHU
PDLQ KDUPRQLF FXUUHQW DQG . LV WKH HTXLYDOHQW KDUPRQLF
)LJLOOXVWUDWHVWKHRSHUDWLRQVVHTXHQFHRIWKH&FRGHRI
UHVLVWRUDW WKH KDUPRQLF IUHTXHQF\ >@ %DVHG RQ WKH DERYH
WKH3:0FRQWUROWKDWH[HFXWHGRQWKH&&6WXGLRSODWIRUP
IXQGDPHQWDO FRQFHSW DQG XVLQJ WKH SDUDPHWHUV VKRZQ LQ
$V VKRZQ LQ WKLV IORZFKDUW WKH &RQWUROOHU VDPSOH WLPHV DUH
WDEOHIRUERWKVLPXODWLRQDQGKDUGZDUHLPSOHPHQWDWLRQWKH
JRYHUQHG E\ WKH '63 WLPHU FDOOHG D &SX7LPHU ZKLFK
FRQWUROVWUDWHJ\RIWKHK\EULGDFWLYHSRZHUILOWHUFRQVLVWVRI
JHQHUDWHVSHULRGLFLQWHUUXSWDWHDFKVDPSOLQJWLPH7V$WHDFK
LQWHUUXSW VHUYLFH URXWLQH ,65 WKH IROORZLQJ WDVNV PXVW EH
7$%/( H[HFXWHG
+\EULGDFWLYHSRZHUILOWHUSDUDPHWHUV
• 5HDG WKH VDPSOLQJ YDOXH RI WKH FXUUHQW VRXUFH ,V
&RPSRQHQWV 9DOXHV IURPWKHDQDORJGLJLWDOFRQYHUWHU$'&
6RXUFH)UHTXHQF\ +] • 3URFHVV WKH GDWD REWDLQHG IURP WKH $'& WR ILOWHU LW
$&VXSSO\YROWDJH 9 XVLQJWKHDGDSWLYHQRWFKILOWHUHTXDWLRQV
3:0IUHTXHQF\ N+] • 0XOWLSO\LQJWKHRXWSXWIURPWKH$1)SURFHVVLQJE\
'&EXVFDSDFLWRU X) DJDLQ.
/RDG / P+5 • 8SGDWH WKH FRPSDUH YDOXH RI WKH SXOVH ZLGWK
3DVVLYHILOWHU / P+& X)5 PRGXODWLRQPRGXOHH3:0EXLOWLQ706)
'63
• 8SGDWHGWKHDGDSWLYHQRWFKILOWHUSDUDPHWHUVIRUWKH
QH[WLWHUDWLRQ
0.8
0.6
0.4
0.2
-0.2
-0.4
-0.6
-0.8
-1
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08
&KP9ROWPV
)LJ6LPXODWLRQDQGH[SHULPHQWDOUHVXOWVRIXQILOWHUHGFXUUHQWVRXUFH
$GLYPVGLY
2.5
1.5
0.5
0
>
0.5
-1
1.5
-2
&KP9ROWPV
2.5
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08
)LJ6LPXODWLRQDQGH[SHULPHQWDOUHVXOWVRIFXUUHQWVRXUFHILOWHUHGZLWK
SDVVLYHILOWHU$GLYPVGLY
0.8
0.6
0.4
0.2
0.2
0.4
0.6
0.8
0.8 0.81 0.82 0.83 0.84 0.85 0.86 0.87 0.88
&K9ROWPV
)LJ6LPXODWLRQDQGH[SHULPHQWDOUHVXOWVRIKDUPRQLFVFXUUHQWVRXUFH
YGLYPVGLY
)LJ)ORZFKDUWRIFRQWUROOHUPDLQDOJRULWKPLPSOHPHQWHGLQ'63
9,,5()(5(1&(6
3
>@ 0X /RQJKXD ³$SSOLFDWLRQ RI DGDSWLYH ILOWHULQJ LQ KDUPRQLF DQDO\VLV
2
DQG GHWHFWLRQ´,(((3(67UDQVPLVVLRQDQGGLVWULEXWLRQ&RQIHUHQFH
1
([KLELWLRQ$VLDDQG3DFLILF'DOLDQ&KLQDSS
>@ $\KDQ2]GHPLU³$GLJLWDODGDSWLYHILOWHUIRUGHWHFWLQJKDUPRQLFDFWLYH
0 DQG UHDFWLYH FXUUHQW´ ,QVWLWXWH RI SK\VLFV 3XEOLVKLQJ 0HDV6FL
> SS
-1
>@ + $NDJL ³1HZ WUHQGV LQ DFWLYH ILOWHUV IRU SRZHU FRQGLWLRQLQJ´ ,(((
-2 ,QGXVWU\$SSOLFDWLRQVPDJD]LQH6HSW9ROSS
>@ 0 .DULPL*KDUWHPDQL00RMLULDQG$5EDNKVKDL³$WHFKQLTXH IRU
-3
H[WUDFWLQJWLPHYDU\LQJKDUPRQLFVEDVHGRQDGDSWLYHQRWFKILOWHU´,(((
&RQIHUHQFH RQ FRQWURO DSSOLFDWLRQV 7RURQWR &DQDGD SS
0.02 &KP9ROWPV
-4
0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
>@ .DWVXPL 1LVKLGD 0G 5XNRQX]]DPDQ DQG 0XWVXR 1DNDRND ³$ QRYHO
)LJ6LPXODWLRQDQGH[SHULPHQWDOUHVXOWVRIFXUUHQWVRXUFHILOWHUHGZLWK VLQJOHSKDVH VKXQW DFWLYH SRZHU ILOWHU ZLWK DGDSWLYH QHXUDO QHWZRUN
+$3)$GLYPVGLY EDVHG KDUPRQLFGHWHFWLRQ´ ,((-7UDQV/$9RO1SS
>@ 5 (O 6KDWVKDW 0 .D]HUDQL DQG 00 $ VDODPD ³ 2QOLQH WUDFNLQJ
)URP WKH UHVXOW REWDLQHG LW LV FOHDU WKDW WKH VLQJOH SKDVH DQG PLWLJDWLRQ RI SRZHU V\VWHP KDUPRQLFV XVLQJ $'$/,1(EDVHG
K\EULG DFWLYH SRZHU ILOWHU SURSRVHG IRU KDUPRQLFV FXUUHQW DFWLYH SRZHU ILOWHU V\VWHP´ (OHFWULFDO DQG &RPSXWH (QJLQHHULQJ
PLWLJDWLRQIHDWXUHVDJUHDWVLPSOLFLW\LQWKHFRQWUROVLGHZLWKD &DQDGLDQ&RQIHUHQFH9ROSS
>@ +-=KDR<)3DQJ= 04LXDQG 0&KHQ³6WXG\RQ 83) KDUPRQLF
JRRGSHUIRUPDQFHLQKDUPRQLFVFXUUHQWPLWLJDWLRQVKRZHGE\ FXUUHQWGHWHFWLRQPHWKRGEDVHGRQ'63´,QVWLWXWHRI3K\VLFV3XEOLVKLQJ
NHHSLQJ WKH 7+' RI WKH FXUUHQW VRXUFH ZLWKLQ WKH OLPLWV RI ,QWHUQDWLRQDO 6\PSRVLXP RQ ,QVWUXPHQWDWLRQ 6FLHQFH DQG 7HFKQRORJ\
,((( VWDQGDUG ,W UHGXFH WKH VXSSO\ FXUUHQW 7+' IURP &RQIHUHQFH6HULHVSS
GRZQ WR 7KH DELOLW\ RI KDUPRQLFV FXUUHQW >@ 0 0RMLUL DQG $ 5 %DNKVKDL ³$Q DGDSWLYH QRWFK ILOWHU IRU IUHTXHQF\
HVWLPDWLRQ RI D SHULRGLF VLJQDO´ ,((( 7UDQVDFWLRQ RQ $XWRPDWLF
ILOWHULQJLVGXHWRWKHDELOLW\RIWKHSURSRVHG$1)WRWUDFNWKH &RQWURO)HE9RO1SS
IUHTXHQF\ YDULDWLRQ DQG H[WUDFW WKH KDUPRQLF FRPSRQHQWV RI >@ $ + 6D\HG DQG 7 .DLODWK ³$ VWDWHVSDFH DSSURDFK WR 5/ DGDSWLYH
WKH PHDVXUHG VLJQDO 7KH SURSRVHG ILOWHU KDV WKH IROORZLQJ ILOWHUV´,(((VLJQDOSURFHVVLQJPDJD]LQH-XO\SS
DGYDQWDJHV >@ 6 +D\NLQ $GDSWLYH ILOWHU WKHRU\ UG HGLWLRQ 3UHQWLFH +DOO
1-
• 7KH ILOWHU LV DGDSWLYH LQ WKDW LW NHHSV WUDFNLQJ RQ
XQGHVLUHGIUHTXHQF\YDU\LQJLQWKHSRZHUVRXUFH
• 7KHSURSRVHGDGDSWLYHQRWFKILOWHULVFKDUDFWHUL]HGE\
WZRIDFWRUVWKDWGHWHUPLQHWKHEHKDYLRURIWKH$1)LQ
WHUP RI DFFXUDF\ DQG FRQYHUJHQFH VSHHG $ JRRG
FKRLFH RI WKHVH IDFWRUV \LHOGV D IDVW DQG DFFXUDWH
KDUPRQLFFXUUHQWHVWLPDWLRQ
• 7KH SURSRVHG DGDSWLYH QRWFK ILOWHU FDQ VXFFHVVIXOO\
H[WUDFW WKH KDUPRQLF FRPSRQHQWV LQ IUHTXHQF\
YDU\LQJFRQGLWLRQV
9,&21&/86,21
:LWK WKH GHYHORSLQJ WHFKQRORJLHV DQG KHQFH LQFUHDVLQJ
QRQOLQHDU ORDGV WKH QHHG IRU D GLJLWDO IDVW DFFXUDWH DQG
VLPSOH PHDVXUHPHQW DQG FRQWURO WRRO IRU WKHVH ORDGV KDV
HPHUJHG 0L[HGVLJQDO PLFURFRQWUROOHUV DQG GLJLWDO VLJQDO
SURFHVVRUV ZLGHO\ XVHG LQ SRZHU PHDVXUHPHQW DQG FRQWURO
V\VWHPVKDYHEHHQGHYHORSLQJFRQWLQXRXVO\,QWKLVSDSHUIRU
DFWLYH SRZHU ILOWHULQJ D GLJLWDO DGDSWLYH GHWHFWLQJ ILOWHU IRU
KDUPRQLFVFXUUHQWHVWLPDWLRQKDVEHHQWHVWHGDQGLPSOHPHQWHG
LQ706)7KHSURSRVHGILOWHULVDPXOWLSOHXQLWVRIDQ
$1) HDFK XQLW LV JRYHUQHG E\ WZR RUGLQDU\ GLIIHUHQWLDO
HTXDWLRQV 7KH H[SHULPHQW UHVXOWV VKRZ WKH DELOLW\ RI WKH
SURSRVHG WUDFNLQJ VFKHPH WR DFFXUDWHO\ HVWLPDWH KDUPRQLFV
7KXV WKH DELOLW\ RI KDUPRQLF PLWLJDWLRQ XVLQJ DQ DSSURSULDWH
DFWLYHSRZHUILOWHUVWRSRORJ\