Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Reduced variance in monozygous twins for multiple MR parameters : implications for disease studies and the genetic basis of brain structure

Twin studies offer the opportunity to determine the relative contribution of genes versus environment in traits of interest. Here, we investigate the extent to which variance in brain structure is reduced in monozygous twins with identical genetic make-up. We investigate whether using twins as compared to a control population reduces variability in a number of common magnetic resonance (MR) structural measures, and we investigate the location of areas under major genetic influences. This is fundamental to understanding the benefit of using twins in studies where structure is the phenotype of interest. Twenty-three pairs of healthy MZ twins were compared to matched control pairs. Volume, T2 and diffusion MR imaging were performed as well as spectroscopy (MRS). Images were compared using (i) global measures of standard deviation and effect size, (ii) voxel-based analysis of similarity and (iii) intra-pair correlation. Global measures indicated a consistent increase in structural similarity in twins. The voxel-based and correlation analyses indicated a widespread pattern of increased similarity in twin pairs, particularly in frontal and temporal regions. The areas of increased similarity were most widespread for the diffusion trace and least widespread for T2. MRS showed consistent reduction in metabolite variation that was significant in the temporal lobe N-acetylaspartate (NAA). This study has shown the distribution and magnitude of reduced variability in brain volume, diffusion, T2 and metabolites in twins. The data suggest that evaluation of twins discordant for disease is indeed a valid way to attribute genetic or environmental influences to observed abnormalities in patients since evidence is provided for the underlying assumption of decreased variability in twins.

Information provision and network performance represented by Macroscopic Fundamental Diagram

The existence of the Macroscopic Fundamental Diagram (MFD), which relates network space-mean density and flow, has been shown in urban networks under homogeneous traffic conditions. Since the MFD represents the area-wide network traffic performances, studies on perimeter control strategies and an area traffic state estimation utilizing the MFD concept has been reported. The key requirements for the well-defined MFD is the homogeneity of the area wide traffic condition, which is not universally expected in real world. For the practical application of the MFD concept, several researchers have identified the influencing factors for network homogeneity. However, they did not explicitly take drivers’ behaviour under real time information provision into account, which has a significant impact on the shape of the MFD. This research aims to demonstrate the impact of drivers’ route choice behaviour on network performance by employing the MFD as a measurement. A microscopic simulation is chosen as an experimental platform. By changing the ratio of en-route informed drivers and pre-trip informed drivers as well as by taking different route choice parameters, various scenarios are simulated in order to investigate how drivers’ adaptation to the traffic congestion influences the network performance and the MFD shape. This study confirmed and addressed the impact of information provision on the MFD shape and highlighted the significance of the route choice parameter setting as an influencing factor in the MFD analysis.

Student focus and prioritization of design parameters in first-year engineering design projects

BACKGROUND Research on engineering design is a core area of concern within engineering education and a fundamental understanding of how engineering students approach and undertake design is necessary in order to develop effective design models and pedagogies. Understanding the factors related to design experiences in education and how they affect student practice can help educators as well as designers to leverage these factors as part of the design process. PURPOSE This study investigated the design practices of first-year engineering students’ and their experiences with a first-year engineering course design project. The research questions that guided the investigation were: 1. From a student perspective, what design parameters or criteria are most important? 2. How does this perspective impact subsequent student design practice throughout the design process? DESIGN/METHOD The authors employed qualitative multi-case study methods (Miles & Huberman, 1994) in order to the answer the research questions. Participant teams were observed and video recorded during team design meetings in which they researched the background for the design problem, brainstormed and sketched possible solutions, as well as built prototypes and final models of their design solutions as part of a course design project. Analysis focused on explanation building (Yin, 2009) and utilized within-case and cross-case analysis (Miles & Huberman, 1994). RESULTS We found that students focused disproportionally on the functional parameter, i.e. the physical implementation of their solution, and the possible/applicable parameter, i.e. a possible and applicable solution that benefited the user, in comparison to other given parameters such as safety and innovativeness. In addition, we found that individual teams focused on the functional and possible/ applicable parameters in early design phases such as brainstorming/ ideation and sketching. When prompted to discuss these non-salient parameters (from the student perspective) in the final design report, student design teams often used a post-hoc justification to support how the final designs fit the parameters that they did not initially consider. CONCLUSIONS This study suggests is that student design teams become fixated on (and consequently prioritize) certain parameters they interpret as important because they feel these parameters were described more explicitly in terms how they were met and assessed. Students fail to consider other parameters, perceived to be less directly assessable, unless prompted to do so. Failure to consider other parameters in the early design phases subsequently affects their approach in design phases as well. Case studies examining students’ study strategies within three Australian Universities illustrate similarities with some student approaches to design.

Exploration of the fundamental equilibrium behaviour of calcium exchange with weak acid cation resins

This study evaluated the complexity of calcium ion exchange with sodium exchanged weak acid cation resin (DOW MAC-3). Exchange equilibria recorded for a range of different solution normalities revealed profiles which were represented by conventional “L” or “H” type isotherms at low values of equilibrium concentration (Ce) of calcium ions, plus a superimposed region of increasing calcium uptake was observed at high Ce values. The loading of calcium ions was determined to be ca. 53.5 to 58.7 g/kg of resin when modelling only the sorption curve created at low Ce values,which exhibited a well-defined plateau. The calculated calcium ion loading capacity for DOWMAC-3 resin appeared to correlate with the manufacturer's recommendation. The phenomenon of super equivalent ion exchange (SEIX) was observed when the “driving force” for the exchange process was increased in excess of 2.25 mmol calcium ions per gram of resin in the starting solution. This latter event was explained in terms of displacement of sodium ions from sodium hydroxide solution which remained in the resin bead following the initial conversion of the as supplied “H+” exchanged resin sites to the “Na+” version required for softening studies. Evidence for hydrolysis of a small fraction of the sites on the sodium exchanged resin surface was noted. The importance of carefully choosing experimental parameters was discussed especially in relation to application of the Langmuir–Vageler expression. This latter model which compared the ratio of the initial calcium ion concentration in solution to resin mass, versus final equilibrium loading of the calcium ions on the resin; was discovered to be an excellent means of identifying the progress of the calcium–sodium ion exchange process. Moreover, the Langmuir–Vageler model facilitated standardization of various calcium–sodium ion exchange experiments which allowed systematic experimental design.

Airborne particulate matter at a bus station : concentration levels and governing parameters

Traffic emissions are an important contributor to ambient air pollution, especially in large cities featuring extensive and high density traffic networks. Bus fleets represent a significant part of inner city traffic causing an increase in exposure to general public, passengers and drivers along bus routes and at bus stations. Limited information is available on quantification of the levels, and governing parameters affecting the air pollution exposure at bus stations. The presented study investigated the bus emissions-dominated ambient air in a large, inner city bus station, with a specific focus on submicrometer particles. The study’s objectives were (i) quantification of the concentration levels; (ii) characterisation of the spatio-temporal variation; (iii) identification of the parameters governing the emissions levels at the bus station and (iv) assessment of the relationship between particle concentrations measured at the street level (background) and within the bus station. The results show that up to 90% of the emissions at the station are ultrafine particles (smaller than 100 nm), with the concentration levels up to 10 times the value of urban ambient air background (annual) and up to 4 times the local ambient air background. The governing parameters affecting particle concentration at the station were bus flow rate and meteorological conditions (wind velocity). Particle concentration followed a diurnal trend, with an increase in the morning and evening, associated with traffic rush hours. Passengers’ exposure could be significant compared to the average outdoor and indoor exposure levels.