An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

Ecological dynamics of extinct species in empty habitat networks. 1. The role of habitat pattern and quantity, stochasticity and dispersal

We examined a remnant host plant (Primula veris L.) habitat network that was last inhabited by the rare butterfly Hamearis lucina L. in north Wales in 1943, to assess the relative contribution of several spatial parameters to its regional extinction. We first examined relationships between P. veris characteristics and H. lucina eggs in surviving H. lucina populations, and used these to predict the suitability and potential carrying capacity of the habitat network in north Wales. This resulted in an estimate of roughly 4500 eggs (ca 227 adults). We developed a discrete space, discrete time metapopulation model to evaluate the relative contribution of dispersal distance, habitat and environmental stochasticity as possible causes of extinction. We simulated the potential persistence of the butterfly in the current network as well as in three artificial (historical and present) habitat networks that differed in the quantity (current and X3) and fragmentation of the habitat (current and aggregated). We identified that reduced habitat quantity and increased isolation would have increased the probability of regional extinction, in conjunction with environmental stochasticity and H. lucina's dispersal distance. This general trend did not change in a qualitative manner when we modified the ability of dispersing females to stay in, and find suitable habitats (by changing the size of the grid cells used in the model). Contrary to most metapopulation model predictions, system persistence declined with increasing migration rate, suggesting that the mortality of migrating individuals in fragmented landscapes may pose significant risks to system-wide persistence. Based on model predictions for the present landscape we argue that a major programme of habitat restoration would be required for a re-established metapopulation to persist for > 100 years.

Ecological dynamics of extinct species in empty habitat networks. 2. The role of host plant dynamics

This paper explores the relative effects of host plant dynamics and butterfly-related parameters on butterfly persistence. It considers an empty habitat network where a rare butterfly (Cupido minimus) became extinct in 1939 in part of its historical range in north Wales, UK. Surviving populations of the butterfly in southern Britain were visited to assess use of its host plant (Anthyllis vulneraria) in order to calibrate habitat suitability and carrying capacity in the empty network in north Wales. These data were used to deduce that only a portion ( similar to 19%) of the host plant network from north Wales was likely to be highly suitable for oviposition. Nonetheless, roughly 65,460 eggs (3273 adult equivalents) could be expected to be laid in north Wales, were the empty network to be populated at the same levels as observed on comparable plants in surviving populations elsewhere. Simulated metapopulations of C. minimus in the empty network revealed that time to extinction and patch occupancy were significantly influenced by carrying capacity, butterfly mean dispersal distance and environmental stochasticity, although for most reasonable parameter values, the model system persisted. Simulation outputs differed greatly when host plant dynamics was incorporated into the modelled butterfly dynamics. Cupido minimus usually went extinct when host plant were at low densities. In these simulations host plant dynamics appeared to be the most important determinant of the butterfly's regional extirpation. Modelling the outcome of a reintroduction programme to C. minimus variation at high quality locations, revealed that 65% of systems survived at least 100 years. Given the current amount of resources of the north Wales landscape, the persistence of C. minimus under a realistic reintroduction programme has a good chance of being successful, if carried out in conjunction with a host plant management programme.

Optimal design of cold-formed steel portal frames for stressed-skin action using genetic algorithm

This paper describes a stressed-skin diaphragm approach to the optimal design of the internal frame of a cold-formed steel portal framing system, in conjunction with the effect of semi-rigid joints. Both ultimate and serviceability limit states are considered. Wind load combinations are included. The designs are optimized using a real-coded niching genetic algorithm, in which both discrete and continuous decision variables are processed. For a building with two internal frames, it is shown that the material cost of the internal frame can be reduced by as much as 53%, compared with a design that ignores stressed-skin action.

Ultrafast charge dynamics in an amino acid induced by attosecond pulses

In the past few years, attosecond techniques have been implemented for the investigation of ultrafast dynamics in molecules. The generation of isolated attosecond pulses characterized by a relatively high photon flux has opened up new possibilities in the study of molecular dynamics. In this paper, we report on experimental and theoretical results of ultrafast charge dynamics in a biochemically relevant molecule, namely, the amino acid phenylalanine. The data represent the first experimental demonstration of the generation and observation of a charge migration process in a complexmolecule, where electron dynamics precede nuclear motion. The application of attosecond technology to the investigation of electron dynamics in biologically relevant molecules represents a multidisciplinary work, which can open new research frontiers: those in which few-femtosecond and even subfemtosecond electron processes determine the fate of biomolecules. It can also open new perspectives for the development of new technologies, for example, in molecular electronics, where electron processes on an ultrafast temporal scale are essential to trigger and control the electron current on the scale of the molecule.

SIMLA: Simulating particle dynamics in intense laser and other electromagnetic fields via classical and quantum electrodynamics

We present the Fortran program SIMLA, which is designed for the study of charged particle dynamics in laser and other background fields. The dynamics can be determined classically via the Lorentz force and Landau–Lifshitz equations or, alternatively, via the simulation of photon emission events determined by strong-field quantum-electrodynamics amplitudes and implemented using Monte-Carlo routines. Multiple background fields can be included in the simulation and, where applicable, the propagation direction, field type (plane wave, focussed paraxial, constant crossed, or constant magnetic), and time envelope of each can be independently specified.

Quasi-periodic stacks of semiconductor layers: Combinatorial frequency generation

The nonlinear scattering and combinatorial frequency generation by the quasi-periodic Fibonacci and Thue-Morse stacks of semiconductor layers have been investigated taking into account the nonlinear charge dynamics. It has been shown that the mixing processes in passive semiconductor structures are driven by the competitive effects of the collision of charges and resonance interactions of carriers with pump waves. The effects of the stack arrangements and constituent layer parameters on the efficiency of the combinatorial frequency generation are discussed. 

Nonlinear hydrodynamic Langmuir waves in fully degenerate relativistic plasma

The combined effect of special relativity and electron degeneracy on Langmuir waves is analyzed by utilizing a rigorous fully relativistic hydrodynamic model. Assuming a traveling wave solution form, a set of conservation laws is identified, together with a pseudo-potential function depending on the relativistic parameter p<inf>F</inf>/(m c) (where p<inf>F</inf> is the Fermi momentum, m is the mass of the charge carriers and c the speed of light), as well as on the amplitude of the electrostatic energy perturbation.

Influence of temperature on the anisotropic cutting behaviour of single crystal silicon: A molecular dynamics simulation investigation

Using molecular dynamics (MD) simulation, this paper investigates anisotropic cutting behaviour of single crystal silicon in vacuum under a wide range of substrate temperatures (300 K, 500 K, 750 K, 850 K, 1173 K and 1500 K). Specific cutting energy, force ratio, stress in the cutting zone and cutting temperature were the indicators used to quantify the differences in the cutting behaviour of silicon. A key observation was that the specific cutting energy required to cut the (111) surface of silicon and the von Mises stress to yield the silicon reduces by 25% and 32%, respectively, at 1173 K compared to what is required at 300 K. The room temperature cutting anisotropy in the von Mises stress and the room temperature cutting anisotropy in the specific cutting energy (work done by the tool in removing unit volume of material) were obtained as 12% and 16% respectively. It was observed that this changes to 20% and 40%, respectively, when cutting was performed at 1500 K, signifying a very strong correlation between the anisotropy observed during cutting and the machining temperature. Furthermore, using the atomic strain criterion, the width of primary shear zone was found to vary with the orientation of workpiece surface and temperature i.e. it remains narrower while cutting the (111) surface of silicon or at higher machining temperatures. A major anecdote of the study based on the potential function employed in the study is that, irrespective of the cutting plane or the cutting temperature, the state of the cutting edge of the diamond tool did not show direct diamond to graphitic phase transformation.

Optimal design of long-span steel portal frames using fabricated beams

This paper considers the optimal design of fabricated steel beams for long-span portal frames. The design optimisation takes into account ultimate as well as serviceability limit states, adopting deflection limits recommended by the Steel Construction Institute (SCI). Results for three benchmark frames demonstrate the efficiency of the optimisation methodology. A genetic algorithm (GA) was used to optimise the dimensions of the plates used for the columns, rafters and haunches. Discrete decision variables were adopted for the thickness of the steel plates and continuous variables for the breadth and depth of the plates. Strategies were developed to enhance the performance of the GA including solution space reduction and a hybrid initial population half of which is derived using Latin hypercube sampling. The results show that the proposed GA-based optimisation model generates optimal and near-optimal solutions consistently. A parametric study is then conducted on frames of different spans. A significant variation in weight between fabricated and conventional hot-rolled steel portal frames is shown; for a 50 m span frame, a 14–19% saving in weight was achieved. Furthermore, since Universal Beam sections in the UK come from a discrete section library, the results could also provide overall dimensions of other beams that could be more efficient for portal frames. Eurocode 3 was used for illustrative purposes; any alternative code of practice may be used.