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Dynamic Factors and Asset Pricing
Zhongzhi (Lawrence) He,Sahn-Wook Huh,Bong-Soo Lee 한국재무학회 2008 한국재무학회 학술대회 Vol.2008 No.05
In this study, we develop a dynamic factormodel that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate two testable asset-pricing models: the risk-adjusted pricing model (RAPM) and the bias-adjusted pricing model (BAPM). We then conduct asset-pricing tests in the in-sample context. In addition, we perform out-of-sample tests for competing models, presenting pair-wise comparisons of the accuracy in one-step-ahead forecasts. We provide evidence that the ex post dynamic factors alone do a better job than the Fama-French (FF, 1993) three factors both in-sample and out-ofsample. Our analyses also demonstrate that the ex ante factors are a key component in asset pricing and forecasting. By employing the ex ante factors together with ex post ones, the BAPM further improves upon the explanatory and predictive power achieved by the naive benchmark, the FF 3-factor model, and the RAPM. In particular, the BAPM can even explain and better forecast the momentum portfolio returns, which are mostly missed by the FF 3-factor model.
Zhongzhi Jia,Jianfei Tu,Guomin Jiang 대한심장학회 2017 Korean Circulation Journal Vol.47 No.4
Spontaneous isolated superior mesenteric artery dissection (SISMAD) is an uncommon but potentially catastrophic pathology. Multiple classification schemes have been proposed for this occurrence. Although no consensus has emerged regarding which classification should be used, Li’s classification scheme is more precise and complete compared to other classification systems and can be used to guide the treatment of SISMAD. Initial conservative treatment is promising, with favorable early and long-term outcomes for most patients; endovascular treatment is recommended for patients with persistent/recurrent symptoms after conservative treatment; surgical treatment should be performed without delay for patients with arterial rupture, intestinal necrosis, or failed endovascular treatment.
Partial discharge detection of insulated conductors based on CNN-LSTM of attention mechanisms
Li, Zhongzhi,Qu, Na,Li, Xiaoxue,Zuo, Jiankai,Yin, Yanzhen The Korean Institute of Power Electronics 2021 JOURNAL OF POWER ELECTRONICS Vol.21 No.7
Under the condition of a strong electric field, partial discharge often occurs when insulated wire is damaged. The recognition of partial discharge is an effective method for the fast and accurate detection of high voltage insulated wire faults. This paper proposes a PD recognition algorithm based on a convolutional neural network and long short-term memory (LSTM). In addition, attention mechanisms are introduced to give separate weights to LSTM hidden states through a mapping, weighting, and learning parameter matrix. This is done to reduce the loss of historical information and to strengthen the influence of important information. The complex relationship between the voltage signal change and the grid operation state response has been established. The proposed method is verified by the ENET data set published by VSB University. The recognition accuracy is 95.16% for no-PD and 94.44% for PD. Results from the proposed algorithm show that this method has a higher detection accuracy.
Study on the Tensile Properties and Application of Gravelly Soil Reinforced by Polypropylene Fiber
Zhitao Zhang,Enyue Ji,Zhongzhi Fu 대한토목학회 2022 KSCE JOURNAL OF CIVIL ENGINEERING Vol.26 No.8
Incorporating fibers into gravelly soil is an effective method to prevent the core wall of high earth core rockfill dams (ECRDS) from cracking. In this study, a new type of soil tensile device was used to carry out tensile tests on gravelly soil with different gravel contents and fiber contents. The test results show that as the gravel content increases from 0% to 50%, the improvement in tensile strength decreases from 48.9% to 6.4%, which means the increase in gravel content reduces the improvement in tensile strength significantly. The ultimate tensile strain, tensile strength, and post-peak tensile strength of fiber-reinforced gravelly soil are positively correlated with the fiber content. Combined with the Scanning electron microscopy (SEM) results, the reinforcement effect of the three types of fiber interfaces on the gravel soil is qualitatively analyzed, and the microscopic mechanism of the improvement of the tensile strength of fiber-reinforced gravelly soil is revealed. The energy absorption capacity (EAC) results showed that the lower the gravel content in the soil, the higher the degree of improvement in the EAC value. In practical application, it is recommended to use gravel soil with low gravel content and high fiber content. Finally, a regression model considering the gravel content and fiber content was proposed for fast predicting the tensile strength of the soil. The related results can provide references for the anti-cracking design of the core wall of high ECRDS.
Qiangang Zheng,Shuwei Pang,Haibo Zhang,Zhongzhi Hu 한국항공우주학회 2019 International Journal of Aeronautical and Space Sc Vol.20 No.4
For enhancing engine response ability, a novel nonlinear model predictive control (NMPC) method for aero-engine direct thrust control is proposed. The control objective of the proposed method is the thrust instead of the measurable parameters. The online-sliding window deep neural network (OL-SW-DNN) is proposed as predictive model. The OL-SW-DNN adopts deep-learning structure to increase the model accuracy and selects the nearest point data of certain length as training data which will reduce the sensitivity for the noise of training data. The direct thrust simulations of the popular NMPC based on extended Kalman filler (EKF) and the proposed one are conducted, respectively. The simulations demonstrate that compared with the popular NMPC, the proposed NMPC decreases the acceleration time by 0.425 s and increases response speed about 1.14 times.
Numerical simulation of infill CACB wall cracking subjected to wind loads
Ruige Li,Yu Gao,Hongjian Lin,Mingfeng Huang,Chenghui Wang,Zhongzhi Hu,Lingyi Jin 국제구조공학회 2024 Structural Engineering and Mechanics, An Int'l Jou Vol.89 No.5
The cracking mechanism in ceramsite aerated concrete block (CACB) infill walls were studied in low seismic fortification intensity coastal areas with frequent occurrence of typhoons. The inter-story drifts of an eight-story residential building under wind loads and a seismic fortification intensity of six degrees were analyzed by using the PKPM software. The maximum inter-story drift ratio of the structure in wind load was found to be comparable to that under the seismic fortification intensity of six degrees. However, when accounting for the large gust wind speed of typhoon, the maximum inter-story drift ratio was much larger than that obtained under reference wind load. In addition, the finite element models of RC frames were employed by displacement loading to simulate two scenarios with and without window hole in the CACB infill walls, respectively. The simulation results show no signs of cracking in both the infill walls with window hole and those without window for the inter-story drift caused by seismic loads and the reference wind load. However, both types of infill walls experienced structural creaking when assessing the gust wind pressure recorded from previous typhoon monitoring. It is concluded that an underestimate of wind loads may contribute substantially to the cracking of frame CACB infill walls in low seismic fortification intensity coastal areas. Consequently, it is imperative to adopt wind pressure values derived from gust wind speeds in the design of CACB infill walls within frame structures. Finally, the future research directions of avoiding cracks in CACB filled walls were proposed. They were the material performance improving and building structure optimizing.