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1,565 results on '"Wang, Xin-Yu"'

1. Hybrid scaling properties of localization transition in a non-Hermitian disorder Aubry-Andr\'{e} model

Author

Sun, Yue-Mei, Wang, Xin-Yu, Wang, Zi-Kang, and Zhai, Liang-Jun

Subjects
Condensed Matter - Disordered Systems and Neural Networks
Abstract

In this paper, we study the critical behaviors in the non-Hermtian disorder Aubry-Andr\'{e} (DAA) model, and we assume the non-Hermiticity is introduced by the nonreciprocal hopping. We employ the localization length $\xi$, the inverse participation ratio ($\rm IPR$), and the real part of the energy gap between the first excited state and the ground state $\Delta E$ as the character quantities to describe the critical properties of the localization transition. By preforming the scaling analysis, the critical exponents of the non-Hermitian Anderson model and the non-Hermitian DAA model are obtained, and these critical exponents are different from their Hermitian counterparts, indicating the Hermitian and non-Hermitian Anderson and DAA models belong to different universe classes. The critical exponents of non-Hermitian DAA model are remarkably different from both the pure non-Hermitian AA model and the non-Hermitian Anderson model, showing that disorder is a independent relevant direction at the non-Hermitian AA model critical point. We further propose a hybrid scaling theory to describe the critical behavior in the overlapping critical region constituted by the critical regions of non-Hermitian DAA model and the non-Hermitian Anderson localziation.

Published
2024

5. Robust Trading in a Generalized Lattice Market

Author

Hsieh, Chung-Han and Wang, Xin-Yu

Subjects
Quantitative Finance - Portfolio Management, Mathematics - Optimization and Control, Quantitative Finance - Computational Finance, 34K35, 91B28, 93E03
Abstract

This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies, which are predominantly limited to single or paired assets and typically embed asset correlation within the trading strategy itself, rather than as an inherent characteristic of the market. Our generalized lattice market model incorporates both serially correlated returns and asset correlation through a conditional probabilistic model. In the nominal case, where the parameters of the model are known, we demonstrate that the proposed policies ensure survivability and probabilistic positivity. We then derive an analytic expression for the worst-case expected gain-loss and prove sufficient conditions that the proposed policies can maintain a \textit{positive expected profits}, even within a seemingly nonprofitable symmetric lattice market. When the parameters are unknown and require estimation, we show that the parameter space of the lattice model forms a convex polyhedron, and we present an efficient estimation method using a constrained least-squares method. These theoretical findings are strengthened by extensive empirical studies using data from the top 30 companies within the S\&P 500 index, substantiating the efficacy of the generalized model and the robustness of the proposed policies in sustaining the positive expected profit and providing downside risk protection., Comment: submitted for possible publication

Published
2023

15. On Robustness of Double Linear Policy with Time-Varying Weights

Author

Wang, Xin-Yu and Hsieh, Chung-Han

Subjects
Mathematics - Optimization and Control, Electrical Engineering and Systems Science - Systems and Control, Quantitative Finance - Computational Finance, 93E03, 93B35, 91-08
Abstract

In this paper, we extend the existing double linear policy by incorporating time-varying weights instead of constant weights and study a certain robustness property, called robust positive expectation (RPE), in a discrete-time setting. We prove that the RPE property holds by employing a novel elementary symmetric polynomials characterization approach and derive an explicit expression for both the expected cumulative gain-loss function and its variance. To validate our theory, we perform extensive Monte Carlo simulations using various weighting functions. Furthermore, we demonstrate how this policy can be effectively incorporated with standard technical analysis techniques, using the moving average as a trading signal., Comment: Submitted for possible publication

Published
2023

17. Limit behavior of a class of Cantor-integers

Author

Chen, Jin and Wang, Xin-Yu

Subjects
Mathematics - Number Theory, Mathematics - Classical Analysis and ODEs
Abstract

In this paper, we study a class of Cantor-integers $\{C_n\}_{n\geq 1}$ with the base conversion function $f:\{0,\dots,m\}\to \{0,\dots,p\}$ being strictly increasing and satisfying $f(0)=0$ and $f(m)=p$. Firstly we provide an algorithm to compute the superior and inferior of the sequence $\left\{\frac{C_n}{n^{\alpha}}\right\}_{n\geq 1}$ where $\alpha =\log_{m+1}^{p+1}$, and obtain the exact values of the superior and inferior when $f$ is a class of quadratic function. Secondly we show that the sequence $\left\{\frac{C_n}{n^{\alpha}}\right\}_{n\geq 1}$ is dense in the close interval with the endpoints being its inferior and superior respectively. As a consequence, (i) we get the upper and lower pointwise density $1/\alpha$-density of the self-similar measure supported on $\mathfrak{C}$ at $0$, where $\mathfrak{C}$ is the Cantor set induced by Cantor-integers. (ii) the sequence $\{\frac{C_n}{n^{\alpha}}\}_{n\geq 1}$ does not have cumulative distribution function but have logarithmic distribution functions (given by a specific Lebesgue integral). Lastly we obtain the Mellin-Perron formula for the summation function of Cantor-integers. In addition, we investigate some analytic properties of the limit function induced by Cantor-integers.

Published
2022

46. Determination of discrete element simulation parameters of rice milling machine

Author

ZHANG Ning, CAO Xian-zhou, WANG Xin-yu, and SUN Yan-ling

Subjects
discrete element, rice milling, friction coefficient, collision recovery coefficient, Food processing and manufacture, TP368-456
Abstract

Objective: To solve the problem that the roller is inconvenient to operate and the concept of rolling friction coefficient and sliding friction coefficient is confused. Methods: EDEM software was used to simulate the white milling process. Taking MNAW18 rice mill as a reference and taking Feng Liangyou series brown rice as a sample, a set of method for measuring discrete element simulation parameters of rice mill was established by independently setting up an experimental bench and combining with simulation calibration. Results: Using the self-made collision coefficient experimental device and video motion processing software, the collision recovery coefficients between brown rice and brown rice, roller and screen were 0.34, 0.24 and 0.43 respectively. Based on the relationship between inclined angle and static friction coefficient, the static friction experiment is designed. The static friction coefficients between brown rice and brown rice, roller and screen were 0.467, 0.881 and 0.550 respectively. The rolling friction coefficient was calibrated through the combination of brown rice stacking angle experiment, brown rice inclined plane rolling experiment and discrete element simulation experiment. The rolling friction coefficients between brown rice and brown rice, roller and screen were 0.013, 0.101 and 0.159 respectively. Conclusion: Through the secondary simulation, the error between the simulation results and the measured results is within a reasonable range, which indicates that the parameter calibration data is reliable.

Published
2023
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