Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions.

Efficient simulation of unsaturated flow in heterogeneous soils using an exponential integrator

- Provided a practical variable-stepsize implementation of the exponential Euler method (EEM). - Introduced a new second-order variant of the scheme that enables the local error to be estimated at the cost of a single additional function evaluation. - New EEM implementation outperformed sophisticated implementations of the backward differentiation formulae (BDF) of order 2 and was competitive with BDF of order 5 for moderate to high tolerances.

Assessment of conjunctival goblet cell density using laser scanning confocal microscopy versus impression cytology

Purpose To determine the association between conjunctival goblet cell density (GCD) assessed using in vivo laser scanning confocal microscopy and conjunctival impression cytology in a healthy population. Methods Ninety (90) healthy participants undertook a validated 5-item dry eye questionnaire, non-invasive tear film break-up time measurement, ocular surface fluorescein staining and phenol red thread test. These tests where undertaken to diagnose and exclude participants with dry eye. The nasal bulbar conjunctiva was imaged using laser scanning confocal microscopy (LSCM). Conjunctival impression cytology (CIC) was performed in the same region a few minutes later. Conjunctival goblet cell density was calculated as cells/mm2. Results There was a strong positive correlation of conjunctival GCD between LSCM and CIC (ρ = 0.66). Conjunctival goblet cell density was 475 ± 41 cells/mm2 and 466 ± 51 cells/mm2 measured by LSCM and CIC, respectively. Conclusions The strong association between in vivo and in vitro cellular analysis for measuring conjunctival GCD suggests that the more invasive CIC can be replaced by the less invasive LSCM in research and clinical practice.

Flow field and traverse times for fan forced injection of fumigant via circular or annular inlet into stored grain

Fan forced injection of phosphine gas fumigant into stored grain is a common method to treat infestation by insects. For low injection velocities the transport of fumigant can be modelled as Darcy flow in a porous medium where the gas pressure satisfies Laplace's equation. Using this approach, a closed form series solution is derived for the pressure, velocity and streamlines in a cylindrically stored grain bed with either a circular or annular inlet, from which traverse times are numerically computed. A leading order closed form expression for the traverse time is also obtained and found to be reasonable for inlet configurations close to the central axis of the grain storage. Results are interpreted for the case of a representative 6m high farm wheat store, where the time to advect the phosphine to almost the entire grain bed is found to be approximately one hour.

Mathematical modelling and numerical simulation of phosphine flow during grain fumigation in leaky cylindrical silos

The phosphine distribution in a cylindrical silo containing grain is predicted. A three-dimensional mathematical model, which accounts for multicomponent gas phase transport and the sorption of phosphine into the grain kernel is developed. In addition, a simple model is presented to describe the death of insects within the grain as a function of their exposure to phosphine gas. The proposed model is solved using the commercially available computational fluid dynamics (CFD) software, FLUENT, together with our own C code to customize the solver in order to incorporate the models for sorption and insect extinction. Two types of fumigation delivery are studied, namely, fan- forced from the base of the silo and tablet from the top of the silo. An analysis of the predicted phosphine distribution shows that during fan forced fumigation, the position of the leaky area is very important to the development of the gas flow field and the phosphine distribution in the silo. If the leak is in the lower section of the silo, insects that exist near the top of the silo may not be eradicated. However, the position of a leak does not affect phosphine distribution during tablet fumigation. For such fumigation in a typical silo configuration, phosphine concentrations remain low near the base of the silo. Furthermore, we find that half-life pressure test readings are not an indicator of phosphine distribution during tablet fumigation.

Evaluation of k-epsilon and RNG turbulence models for confined swirling and non-swirling flow

In a very recent study [1] the Renormalisation Group (RNG) turbulence model was used to obtain flow predictions in a strongly swirling quarl burner, and was found to perform well in predicting certain features that are not well captured using less sophisticated models of turbulence. The implication is that the RNG approach should provide an economical and reliable tool for the prediction of swirling flows in combustor and furnace geometries commonly encountered in technological applications. To test this hypothesis the present work considers flow in a model furnace for which experimental data is available [2]. The essential features of the flow which differentiate it from the previous study [1] are that the annular air jet entry is relatively narrow and the base wall of the cylindrical furnace is at 90 degrees to the inlet pipe. For swirl numbers of order 1 the resulting flow is highly complex with significant inner and outer recirculation regions. The RNG and standard k-epsilon models are used to model the flow for both swirling and non-swirling entry jets and the results compared with experimental data [2]. Near wall viscous effects are accounted for in both models via the standard wall function formulation [3]. For the RNG model, additional computations with grid placement extending well inside the near wall viscous-affected sublayer are performed in order to assess the low Reynolds number capabilities of the model.

Computation of confined swirling flow using RNG and k-epsilon turbulence models

In this work we numerically model isothermal turbulent swirling flow in a cylindrical burner. Three versions of the RNG k-epsilon model are assessed against performance of the standard k-epsilon model. Sensitivity of numerical predictions to grid refinement, differing convective differencing schemes and choice of (unknown) inlet dissipation rate, were closely scrutinised to ensure accuracy. Particular attention is paid to modelling the inlet conditions to within the range of uncertainty of the experimental data, as model predictions proved to be significantly sensitive to relatively small changes in upstream flow conditions. We also examine the characteristics of the swirl--induced recirculation zone predicted by the models over an extended range of inlet conditions. Our main findings are: - (i) the standard k-epsilon model performed best compared with experiment; - (ii) no one inlet specification can simultaneously optimize the performance of the models considered; - (iii) the RNG models predict both single-cell and double-cell IRZ characteristics, the latter both with and without additional internal stagnation points. The first finding indicates that the examined RNG modifications to the standard k-e model do not result in an improved eddy viscosity based model for the prediction of swirl flows. The second finding suggests that tuning established models for optimal performance in swirl flows a priori is not straightforward. The third finding indicates that the RNG based models exhibit a greater variety of structural behaviour, despite being of the same level of complexity as the standard k-e model. The plausibility of the predicted IRZ features are discussed in terms of known vortex breakdown phenomena.

Achieving medium-high density in low scale development: The Queensland experience in innovative ‘fine-grained’ urbanism

Worldwide population growth and economic agglomeration is driving increasing urban density within larger metropolitan conurbations. Population growth and housing diversity and affordability issues in Queensland have seen an increasing demand for more diverse and higher density development. Under Queensland’s flexible planning regulatory provisions, a level of ‘medium’ to ‘high density’ is being achieved by a focus on fine-grained urban design, low scale development, lot diversity, and delivery of single dwelling products. This for Queensland (and Australia) has been an unprecedented innovation in urban and dwelling design. Dwellings are being delivered on lots with zero regulatory minimum sizes providing for a range of new products including ‘apartments on the ground’. This paper reviews recent and nascent demonstrations of EDQ’s fine-grained urbanism principles, identifiable with historical ‘vernacular suburbanism’. The paper introduces and defines a concept of a ‘natural density’ linking human scale built form with walkability. The paper challenges the notion that (sub)urban development, outside major city centres, needs to be of a higher scale to achieve density and diversity aspirations. ‘Natural density’ provides a means of achieving the increasing demand for more diverse and higher density development.

Computation of turbulent flow in an IFRF quarl burner

A computational model for isothermal axisymmetric turbulent flow in a quarl burner is set up using the CFD package FLUENT, and numerical solutions obtained from the model are compared with available experimental data. A standard k-e model and and two versions of the RNG k-e model are used to model the turbulence. One of the aims of the computational study is to investigate whether the RNG based k-e turbulence models are capable of yielding improved flow predictions compared with the standard k-e turbulence model. A difficulty is that the flow considered here features a confined vortex breakdown which can be highly sensitive to flow behaviour both upstream and downstream of the breakdown zone. Nevertheless, the relatively simple confining geometry allows us to undertake a systematic study so that both grid-independent and domain-independent results can be reported. The systematic study includes a detailed investigation of the effects of upstream and downstream conditions on the predictions, in addition to grid refinement and other tests to ensure that numerical error is not significant. Another important aim is to determine to what extent the turbulence model predictions can provide us with new insights into the physics of confined vortex breakdown flows. To this end, the computations are discussed in detail with reference to known vortex breakdown phenomena and existing theories. A major conclusion is that one of the RNG k-e models investigated here is able to correctly capture the complex forward flow region inside the recirculating breakdown zone. This apparently pathological result is in stark contrast to the findings of previous studies, most of which have concluded that either algebraic or differential Reynolds stress modelling is needed to correctly predict the observed flow features. Arguments are given as to why an isotropic eddy-viscosity turbulence model may well be able to capture the complex flow structure within the recirculating zone for this flow setup. With regard to the flow physics, a major finding is that the results obtained here are more consistent with the view that confined vortex breakdown is a type of axisymmetric boundary layer separation, rather than a manifestation of a subcritical flow state.

Analysis of turbulent confined highly swirling flow

We report here a CFD model of highly swirling flow in a quarl burner using three versions of the k-epsilon model. Results for the recirculating zone, the bounding shear layer and the downstream flow are presented. We discuss, with suitable qualifications, how the model predictions can inform our understanding of this class of flows.

A curve shortening flow rule for closed embedded plane curves with a prescribed rate of change in enclosed area

Motivated by a problem from fluid mechanics, we consider a generalization of the standard curve shortening flow problem for a closed embedded plane curve such that the area enclosed by the curve is forced to decrease at a prescribed rate. Using formal asymptotic and numerical techniques, we derive possible extinction shapes as the curve contracts to a point, dependent on the rate of decreasing area; we find there is a wider class of extinction shapes than for standard curve shortening, for which initially simple closed curves are always asymptotically circular. We also provide numerical evidence that self-intersection is possible for non-convex initial conditions, distinguishing between pinch-off and coalescence of the curve interior.

Identification of IDUA and WNT16 phosphorylation-related non-synonymous polymorphisms for bone mineral density in meta-analyses of genome-wide association studies

Protein phosphorylation regulates a wide variety of cellular processes. Thus, we hypothesize that single-nucleotide polymorphisms (SNPs) that may modulate protein phosphorylation could affect osteoporosis risk. Based on a previous conventional genome-wide association (GWA) study, we conducted a three-stage meta-analysis targeting phosphorylation-related SNPs (phosSNPs) for femoral neck (FN)-bone mineral density (BMD), total hip (HIP)-BMD, and lumbar spine (LS)-BMD phenotypes. In stage 1, 9593 phosSNPs were meta-analyzed in 11,140 individuals of various ancestries. Genome-wide significance (GWS) and suggestive significance were defined by α = 5.21 × 10–6 (0.05/9593) and 1.00 × 10–4, respectively. In stage 2, nine stage 1–discovered phosSNPs (based on α = 1.00 × 10–4) were in silico meta-analyzed in Dutch, Korean, and Australian cohorts. In stage 3, four phosSNPs that replicated in stage 2 (based on α = 5.56 × 10–3, 0.05/9) were de novo genotyped in two independent cohorts. IDUA rs3755955 and rs6831280, and WNT16 rs2707466 were associated with BMD phenotypes in each respective stage, and in three stages combined, achieving GWS for both FN-BMD (p = 8.36 × 10–10, p = 5.26 × 10–10, and p = 3.01 × 10–10, respectively) and HIP-BMD (p = 3.26 × 10–6, p = 1.97 × 10–6, and p = 1.63 × 10–12, respectively). Although in vitro studies demonstrated no differences in expressions of wild-type and mutant forms of IDUA and WNT16B proteins, in silico analyses predicts that WNT16 rs2707466 directly abolishes a phosphorylation site, which could cause a deleterious effect on WNT16 protein, and that IDUA phosSNPs rs3755955 and rs6831280 could exert indirect effects on nearby phosphorylation sites. Further studies will be required to determine the detailed and specific molecular effects of these BMD-associated non-synonymous variants. © 2015 American Society for Bone and Mineral Research.

Using a glow graph to represent data flow and dependency in event logs

The idea of extracting knowledge in process mining is a descendant of data mining. Both mining disciplines emphasise data flow and relations among elements in the data. Unfortunately, challenges have been encountered when working with the data flow and relations. One of the challenges is that the representation of the data flow between a pair of elements or tasks is insufficiently simplified and formulated, as it considers only a one-to-one data flow relation. In this paper, we discuss how the effectiveness of knowledge representation can be extended in both disciplines. To this end, we introduce a new representation of the data flow and dependency formulation using a flow graph. The flow graph solves the issue of the insufficiency of presenting other relation types, such as many-to-one and one-to-many relations. As an experiment, a new evaluation framework is applied to the Teleclaim process in order to show how this method can provide us with more precise results when compared with other representations.

Identification of a novel FGFRL1 MicroRNA target site polymorphism for bone mineral density in meta-analyses of genome-wide association studies

MicroRNAs (miRNAs) are critical post-transcriptional regulators. Based on a previous genome-wide association (GWA) scan, we conducted a polymorphism in microRNAs' Target Sites (poly-miRTS)-centric multistage meta-analysis for lumbar spine (LS)-, total hip (HIP)-, and femoral neck (FN)-bone mineral density (BMD). In stage I, 41,102 poly-miRTSs were meta-analyzed in 7 cohorts with a genome-wide significance (GWS) α=0.05/41,102=1.22×10-6. By applying α=5×10-5 (suggestive significance), 11 poly-miRTSs were selected, with FGFRL1 rs4647940 and PRR5 rs3213550 as top signals for FN-BMD (P-value=7.67×10-6 and 1.58×10-5) in gender-combined sample. In stage II in silico replication (two cohorts), FGFRL1 rs4647940 was the only signal marginally replicated for FN-BMD (P-value=5.08×10-3) at α=0.10/11=9.09×10-3. PRR5 rs3213550 was also selected based on biological significance. In stage III de novo genotyping replication (two cohorts), FGFRL1 rs4647940 was the only signal significantly replicated for FN-BMD (P-value=7.55×10-6) at α=0.05/2=0.025 in gender-combined sample. Aggregating three stages, FGFRL1 rs4647940 was the single stage I-discovered and stages II- and III-replicated signal attaining GWS for FN-BMD (P-value=8.87×10-12). Dual-luciferase reporter assays demonstrated that FGFRL1 3' untranslated region harboring rs4647940 appears to be hsa-miR-140-5p's target site. In a zebrafish microinjection experiment, dre-miR-140-5p is shown to exert a dramatic impact on craniofacial skeleton formation. Taken together, we provided functional evidence for a novel FGFRL1 poly-miRTS rs4647940 in a previously known 4p16.3 locus, and experimental and clinical genetics studies have shown both FGFRL1 and hsa-miR-140-5p are important for bone formation. © The Author 2015. Published by Oxford University Press. All rights reserved.