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.

Wind generation and electricity demand during the severe winter of 2009/10 in Ireland

Throughout the world the share of wind power in the generation mix is increasing. In the All Island Grid, of the Republic of Ireland and Northern Ireland there is now over 1.5 GW of installed wind power. As the penetration of these variable, non-dispatchable generators increases, power systems are becoming more sensitive to weather events on the supply side as well as on the demand side. In the temperate climate of Ireland, sensitivity of supply to weather is mainly due to wind variability while demand sensitivity is driven by space heating or cooling loads. The interplay of these two weather-driven effects is of particular concern if demand spikes driven by low temperatures coincide with periods of low winds. In December 2009 and January 2010 Ireland experienced a prolonged spell of unusually cold conditions. During much of this time, wind generation output was low due to low wind speeds. The impacts of this event are presented as a case study of the effects of weather extremes on power systems with high penetrations of variable renewable generation.

A Temperature-Monitoring Vaginal Ring for Measuring Adherence

Background

Product adherence is a pivotal issue in the development of effective vaginal microbicides to reduce sexual transmission of HIV. To date, the six Phase III studies of vaginal gel products have relied primarily on self-reporting of adherence. Accurate and reliable methods for monitoring user adherence to microbicide-releasing vaginal rings have yet to be established.

Methods

A silicone elastomer vaginal ring prototype containing an embedded, miniature temperature logger has been developed and tested in vitro and in cynomolgus macaques for its potential to continuously monitor environmental temperature and accurately determine episodes of ring insertion and removal.

Results

In vitro studies demonstrated that DST nano-T temperature loggers encapsulated in medical grade silicone elastomer were able to accurately and continuously measure environmental temperature. The devices responded quickly to temperature changes despite being embedded in different thickness of silicone elastomer. Prototype vaginal rings measured higher temperatures compared with a subcutaneously implanted device, showed high sensitivity to diurnal fluctuations in vaginal temperature, and accurately detected periods of ring removal when tested in macaques.

Conclusions

Vaginal rings containing embedded temperature loggers may be useful in the assessment of product adherence in late-stage clinical trials.

Influence of tropical easterlies in southern Africa's winter rainfall zone during the Holocene

South Africa's southwestern Cape occupies a critical transition zone between Southern Hemisphere temperate (winter) and tropical (summer) moisture-bearing systems. In the recent geological past, it has been proposed that the relative influence of these systems may have changed substantially, but little reliable evidence regarding regional hydroclimates and rainfall seasonality exists to refine or substantiate the understanding of long-term dynamics. In this paper we present a mid-to late Holocene multi-proxy record of environmental change from a rock hyrax midden from Katbakkies Pass, located along the modern boundary between the winter and summer rainfall zones. Derived from stable carbon and nitrogen isotopes, fossil pollen and microcharcoal, these data provide a high resolution record of changes in humidity, and insight into changes in rainfall seasonality. Whereas previous work concluded that the site had generally experienced only subtle environmental change during the Holocene, our records indicate that significant, abrupt changes have occurred in the region over the last 7000 years. Contrary to expectations based on the site's location, these data indicate that the primary determinant of changes in humidity is summer rather than winter rainfall variability, and its influence on drought season intensity and/or length. These findings are consistent with independent records of upwelling along the southern and western coasts, which indicate that periods of increased humidity are related to increased tropical easterly flow. This substantially refines our understanding of the nature of temperate and tropical circulation system dynamics in SW Africa, and how changes in their relative dominance have impacted regional environments during the Holocene. 

Exposure to aflatoxin B1 in utero is associated with DNA methylation in white blood cells of infants in The Gambia

BACKGROUND: Exposure to environmental toxins during embryonic development may lead to epigenetic changes that influence disease risk in later life. Aflatoxin is a contaminant of staple foods in sub-Saharan Africa, is a known human liver carcinogen and has been associated with stunting in infants.

METHODS: We have measured aflatoxin exposure in 115 pregnant women in The Gambia and examined the DNA methylation status of white blood cells from their infants at 2-8 months old (mean 3.6 ± 0.9). Aflatoxin exposure in women was assessed using an ELISA method to measure aflatoxin albumin (AF-alb) adducts in plasma taken at 1-16 weeks of pregnancy. Genome-wide DNA methylation of infant white blood cells was measured using the Illumina Infinium HumanMethylation450beadchip.

RESULTS: AF-alb levels ranged from 3.9 to 458.4 pg/mg albumin. We found that aflatoxin exposure in the mothers was associated to DNA methylation in their infants for 71 CpG sites (false discovery rate < 0.05), with an average effect size of 1.7% change in methylation. Aflatoxin-associated differential methylation was observed in growth factor genes such as FGF12 and IGF1, and immune-related genes such as CCL28, TLR2 and TGFBI. Moreover, one aflatoxin-associated methylation region (corresponding to the miR-4520b locus) was identified.

CONCLUSIONS: This study shows that maternal exposure to aflatoxin during the early stages of pregnancy is associated with differential DNA methylation patterns of infants, including in genes related to growth and immune function. This reinforces the need for interventions to reduce aflatoxin exposure, especially during critical periods of fetal and infant development.

Fasciola hepatica:the effect of the microfilament inhibitor cytochalasin B on the ultrastructure of the adult fluke

The effect of the microfilament inhibitor cytochalasin B (10 and 100 micrograms/ml) on the ultrastructure of adult Fasciola hepatica was determined in vitro by scanning and transmission electron microscopy (SEM, TEM) using both intact flukes and tissue-slice material. SEM revealed that initial swelling of the tegument led to surface blebbing and limited areas of sloughing after 24 h treatment at 100 micrograms/ml. In the tegumental syncytium, basal accumulations of secretory bodies (especially T2s) were evident in the earlier time periods but declined with longer incubations, until few secretory bodies remained in the syncytium overall. Blebbing of the apical plasma membrane and occasional areas of breakdown and sloughing of the tegument were observed over longer periods of treatment at 100 micrograms/ml. In the tegumental cell bodies, the Golgi complexes gradually decreased in size and activity, and few secretory bodies were produced. In the later time periods, the cells assumed abnormal shapes, the cytoplasm shrinking in towards the nucleus. In the vitelline follicles, a random dispersion of shell protein globules was evident within the intermediate-type cells, rather than their being organized into distinct shell globule clusters. Disruption of this process was more severe at the higher concentration of 100 micrograms/ml and again was more evident in tissue-slice material. In the latter, after prolonged (12 h) exposure to cytochalasin B, the intermediate and mature vitelline cells were filled with loosely packed and expanded shell globule clusters, containing few shell protein globules. The mature vitelline cells continued to lay down "yolk" globules and glycogen deposits. Disruption of the network of processes from the nurse cells was evident at the higher concentration of cytochalasin. Spaces began to appear between the vitelline cells and grew larger with progressively longer incubation periods, and the cells themselves assumed abnormal shapes. A number of binucleate stem cells were observed in tissue-slice material at the longest incubation period (12 h).

A multi-proxy chronological reconstruction of palaeosalinity in the eastern Limfjord, Denmark

The Jutland peninsula in northern Denmark is home to the Limfjord, one of the largest estuarine bodies of water in the region. Human inhabitance of the Limfjord’s surrounding coastlines stretches back further than 7,800 cal BP, with anthropogenic influence on the landscape beginning approximately 6,000 cal BP. Understanding how the Limfjord as a system has changed throughout time is useful in comprehending subsistence patterns and anthropogenic influence. This research is part of a larger project aimed at discerning subsistence patterns and environmental change in the region. Following the Younger Dryas, as the Fennoscandian ice sheet began to melt, Denmark experienced isostatic rebound, which contributed to the complex sea level history in the region. Between ice melt and isostatic rebound, the Jutland peninsula experienced many transgression and regression events. Connections to surrounding seas have shifted throughout time, with most attention focused on the western connection of the Limfjord with the North Sea, which has experienced numerous closures and subsequent re-openings throughout the Holocene. Furthermore, the Limfjord-North Sea connection has been the focal point of research because of the west to east water flow in the system, and the present day higher salinity in the west compared to the east. Little to no consideration has been paid to the influence of the Kattegat and Baltic on the Limfjord until now. A 10m sediment core was taken from Sebbersund (near Nibe, Limfjord), along the connection between the Limfjord and the Kattegat in the east to understand how the eastern part of the system has changed and differed from changes observed in the west. The Sebbersund sequence spans a majority of the Holocene, from 9600 cal BP to 1030 cal BP, determined via radiocarbon dating of terrestrial macrofossils and bulk sediment. Over this time period palaeoenvironmental conditions were reconstructed through the use of geochemical analyses (13C, 15N, C:N), physical sediment analyses, dinoflagellate cyst abundances and molluscan analyses. apart from two instances of low salinity, one at the top and one at the bottom of the core, the sequence has a strong marine signal for a majority of the Holocene. Radiocarbon dating of bulk sediment samples showed the presence of old carbon in the system, creating an age offset between 1,300 ± 200 and 2,800 ± 200 calibrated 14C years compared to the age-depth curve based on the terrestrial macrofossils. This finding, along with the strong marine influence in the system, discerned through geochemical data, dinoflagellate cyst and mollusc counts, is important for obtaining accurate radiocarbon ages in the region and stresses the importance of understanding both the marine and freshwater reservoir effects. The marine dominance in the eastern Limfjord differs from the west, which is characterized by a number of freshwater events when the North Sea connection was closed off during the Holocene. The eastern connection was open to the Kattegat throughout a large portion of the Holocene, with influx of open ocean water entering the system during periods of higher sea level.

Hydrogen-permeation characteristics of a SrCeO3-based ceramic separation membrane:Thermal, ageing and surface-modification effects

Dense ceramics with mixed protonic-electronic conductivity are of considerable interest for the separation and purification of hydrogen and as electrochemical reactors. In this work, the hydrogen permeability of a Sr_0.97Ce_0.9Yb_0.1O_{3 - δ} (SCYb) membrane with a porous Pt catalytic layer on the hydrogen feed-exposed side has been studied over the temperature range 500-804 °C employing Ar as the permeate sweep gas. A SiO₂-B₂O₃-BaO-MgO-ZnO-based glass-ceramic sealant was successfully employed to seal the membrane to the dual-chamber reactor. After 14 h of exposure to 10% H₂:90% N₂ at 804 °C, the H₂ flux reached a maximum of 33 nmol cm^{- 2} s^{- 1}, over an order of magnitude higher than that obtained on membranes of similar thickness without surface modification. The permeation rate then decreased slowly and moderately on annealing at 804 °C over a further 130 h. Thereafter, the flux was both reproducible and stable on thermal cycling in the range 600-804 °C. The results indicate an important role of superficial activation processes in the flux rate and suggest that hydrogen fluxes can be further optimised in cerate-based perovskites. © 2009 Elsevier B.V. All rights reserved.

Improved model for interfacial stresses accounting for the effect of shear deformation in plated beams

A significant increase in strength and performance of reinforced concrete, timber and metal beams may be achieved by adhesively bonding a fibre reinforced polymer composite, or metallic such as steel plate to the tension face of a beam. One of the major failure modes in these plated beams is the debonding of the plate from the original beam in a brittle manner. This is commonly attributed to the interfacial stresses between the adherends whose quantification has led to the development of many analytical solutions over the last two decades. The adherends are subjected to axial, bending and shear deformations. However, most analytical solutions have neglected the effect of shear deformation in adherends. Few solutions consider this effect approximately but are limited to one or two specific loading conditions. This paper presents a more rigorous solution for interfacial stresses in plated beams under an arbitrary loading with the shear deformation of the adherends duly considered in closed form using Timoshenko’s beam theory. The solution is general to linear elastic analysis of prismatic beams of arbitrary cross section under arbitrary loading with a plate of any thickness bonded either symmetrically or asymmetrically with respect to the span of the beam.

Finite Element Analysis of the Enhanced Strength of Laterally Restrained RC Slabs

This paper presents the numerical simulation of the ultimate behaviour of 85 one-way and two-way spanning laterally restrained concrete slabs of variable thickness, span, reinforcement ratio, strength and boundary conditions reported in literature by different authors. The developed numerical model was described and all the assumptions were illustrated. ABAQUS, a Finite Element Analysis suite of software, was employed. Non-linear implicit static general analysis method offered by ABAQUS was used. Other analysis methods were also discussed in general in terms of application such as Explicit Dynamic Analysis and Riks method. The aim is to demonstrate the ability and efficacy of FEA to simulate the ultimate load behaviour of slabs considering different material properties and boundary conditions. The authors intended to present a numerical model that provides consistent predictions of the ultimate behaviour of laterally restrained slabs that could be used as an alternative for expensive real life testing as well as for the design and assessment of new and existing structures respectively. The enhanced strength of laterally-restrained slabs compared with conventional design methods predictions is believed to be due to compressive membrane action (CMA). CMA is an inherent phenomenon of laterally restrained concrete beams/slabs. The numerical predictions obtained from the developed model were in good correlation with the experimental results and with those obtained from the CMA method developed at the Queen’s University Belfast, UK.

The VLT-FLAMES Tarantula Survey XXII. Multiplicity properties of the B-type stars

We investigate the multiplicity properties of 408 B-type stars observed in the 30 Doradus region of the Large Magellanic Cloud with multi-epoch spectroscopy from the VLT-FLAMES Tarantula Survey (VFTS). We use a cross-correlation method to estimate relative radial velocities from the helium and metal absorption lines for each of our targets. Objects with significant radial-velocity variations (and with an amplitude larger than 16 km s^-1) are classified as spectroscopic binaries. We find an observed spectroscopic binary fraction (defined by periods of <10^3.5 d and mass ratios >0.1) for the B-type stars, f<inf>B</inf>(obs) = 0.25 ± 0.02, which appears constant across the field of view, except for the two older clusters (Hodge 301 and SL 639). These two clusters have significantly lower binary fractions of 0.08 ± 0.08 and 0.10 ± 0.09, respectively. Using synthetic populations and a model of our observed epochs and their potential biases, we constrain the intrinsic multiplicity properties of the dwarf and giant (i.e. relatively unevolved) B-type stars in 30 Dor. We obtain a present-day binary fraction f<inf>B</inf>(true) = 0.58 ± 0.11, with a flat period distribution. Within the uncertainties, the multiplicity properties of the B-type stars agree with those for the O stars in 30 Dor from the VFTS.

Historical Dialogue and Memory in Organisational Transition: the case of the Police in Northern Ireland

During Northern Ireland’s transition towards peace the role of the police as an actor in the conflict has been a key point of contention. As such, the reform of policing has been central to conflict transformation. Within this process, the role of dialogue about what policing had been and could be in the future has been vital. Such institutional post violence change processes have been hugely significant in illustrating both organisational resistance to change and the need for transitions to be powerfully manoeuvred through complex, political, organisational and cultural processes (Buchanan and Badham 1999; Pettigrew 2012). The radical and reforming nature of policing transition (Murphy 2013) has been both organisationally challenging (requiring significant transformational leadership, resourcing and external engagement from wider civic society) and politically unusual. Indeed, in a society emerging from violence the NI police are the only public sector organisation to have engaged structurally and culturally in understanding the point at which their core roles intersected with the ‘management’ of the conflict in NI generally. This paper presents an analysis of the role of historical dialogue in organisational change process, using the RUC / PSNI case. It proposes that historical dialogue is not just an external, societal process but also an internal organisational process and as such, has implications for managing institutional change in societies emerging from conflict. In doing so, it builds theoretical links between literature on conflict transformation and that on organisational memory and empirically explores messaging internal to the RUC before and during the four main periods of organisational change (Murphy 2013), with dialogue aimed at an external audience. It offers an analysis of how historical dialogue itself impacts on and is impacted by the organisational realities of change itself.

Breaking and Entering: Examining the role of stress and aerial exposure in predator-prey relationships between the common shore crab (Carcinus maenas) and cultivated blue mussels (Mytilus edulis).

During benthic cultivation Mytilus edulis (blue mussels) are subject to predation pressure from a number of predators including Carcinus maenas (shore crabs). This predator can be responsible for substantial losses of mussels from the fishery and a full understanding of the predator–prey relationship between M. edulis and C. maenas is required to ensure attempts that reduce predatory pressure and subsequent commercial loss are successful. Whilst much work has examined the prey–predator size relationships between C. maenas and M. edulis, far less research has investigated how stress, such as periods of extended aerial exposure, may affect these relationships. We tested whether profit in terms of calories gained by crabs consuming mussels stressed by aerial exposure for 48 h differed from that of mussels at ambient conditions and whether being stressed affected the mussel's likelihood of predation. We also tested whether the size relationship between predators and their prey differed when mussels were stressed. We found that the profitability of prey (calories gained per second of handling time) did not vary between stressed and unstressed mussels. Handling times for stressed and unstressed mussels were similar, even when crabs were presented with mussels of the maximum size that they are able to consume. Small crabs were more likely to reject a mussel of preferred size if it was unstressed, suggesting that crabs may be able to assess that these mussels would require extra effort to break into and consume. Our findings suggest that the predator–prey relationship between mussels and crabs is not altered when mussels are stressed. C. maenas remains a voracious predator and regardless of the condition of mussels laid on commercial beds there is a need to control this predator in attempt to reduce losses in the benthic fishery.

Justifying accounting change through global discourses and legitimation strategies. The case of the UK central government.

Accounting has been viewed, especially through the lens of the recent managerial reforms, as a neutral technology that, in the hands of rational managers, can support effective and efficient decision making. However, the introduction of new accounting practices can be framed in a variety of ways, from value-neutral procedures to ideologically-charged instruments. Focusing on financial accounting, budgeting and performance management changes in the UK central government, and through extensive textual analysis and interviews in three government departments, this paper investigates: how accounting changes are discussed and introduced at the political level through the use of global discourses; and what strategies organisational actors subsequently use to talk about and legitimate such discourses at different organisational levels. The results shows that in political discussions there is a consistency between the discourses (largely NPM) and the accounting-related changes that took place. The research suggests that a cocktail of legitimation strategies was used by organisational actors to construct a sense of the changes, with authorisation, often in combination with, at the very least, rationalisation strategies most widely utilised. While previous literature posits that different actors tend to use the same rhetorical sequences during periods of change, this study highlights differences at different organisational levels.

Site Distribution at the Edge of the Palaeolithic World: A Nutritional Niche Approach

This paper presents data from the English Channel area of Britain and Northern France on the spatial distribution of Lower to early Middle Palaeolithic pre-MIS5 interglacial sites which are used to test the contention that the pattern of the richest sites is a real archaeological distribution and not of taphonomic origin. These sites show a marked concentration in the middle-lower reaches of river valleys with most being upstream of, but close to, estimated interglacial tidal limits. A plant and animal database derived from Middle-Late Pleistocene sites in the region is used to estimate the potentially edible foods and their distribution in the typically undulating landscape of the region. This is then converted into the potential availability of macronutrients (proteins, carbohydrates, fats) and selected micronutrients. The floodplain is shown to be the optimum location in the nutritional landscape (nutriscape). In addition to both absolute and seasonal macronutrient advantages the floodplains could have provided foods rich in key micronutrients, which are linked to better health, the maintenance of fertility and minimization of infant mortality. Such places may have been seen as ‘good (or healthy) places’ explaining the high number of artefacts accumulated by repeated visitation over long periods of time and possible occupation. The distribution of these sites reflects the richest aquatic and wetland successional habitats along valley floors. Such locations would have provided foods rich in a wide range of nutrients, importantly including those in short supply at these latitudes. When combined with other benefits, the high nutrient diversity made these locations the optimal niche in northwest European mixed temperate woodland environments. It is argued here that the use of these nutritionally advantageous locations as nodal or central points facilitated a healthy variant of the Palaeolithic diet which permitted habitation at the edge of these hominins’ range.