In order to characterize large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables: market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.
电压暂降是电能质量问题中的一个关键难题。为了更准确地检测电压暂降发生时刻,提出了基于最大似然的自适应扩展卡尔曼滤波EKF-ML(extended Kalman filter based on maximum likelihood)算法的检测方法。首先选取不同的状态向量,在电网信号中建立2种卡尔曼滤波系统模型;其次,利用最大似然自适应优化误差协方差矩阵R和Q以及初始条件参数;最后,引入不同电能质量扰动对电压暂降进行检测证明该方法的有效性。仿真结果表明:在谐波干扰、脉冲干扰以及不同信噪比干扰情况下,EKF-ML算法能实时准确地检测电压暂降起止时间。与已有的传统方法比较,该方法适合于在未知测量噪声的条件下对电压暂降进行检测。
