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.

Run off Conditions on Rimming Power Law Fluids

The rimming ?ow of a power-law ?uid in the inner surface of a horizontal rotating cylinder is investigated. Exploiting the fact that the liquid layer is thin, the simplest lubrication theory is applied. The generalized run-off condition for the steady-state ?ow of the power-law liquid is derived. In the bounds implied by this condition, ?lm thickness admits a continuous solution. In the supercritical case when the mass of non-Newtonian liquid exceeds a certain value or the speed of rotation is less than an indicated limit, a discontinuous solution is possible and a hydraulic jump may occur in the steady-state regime. The location and height of the hydraulic jump for the power-law liquid is determined.

A species invasion mediated through habitat structure, intraguild predation and parasitism.

With field, laboratory, and modeling approaches, we examined the interplay among habitat structure, intraguild predation (IGP), and parasitism in an ongoing species invasion. Native Gammarus duebeni celticus (Crustacea: Amphipoda) are often, but not always, replaced by the invader Gammarus pulex through differential IGP. The muscle-wasting microsporidian parasite Pleistophora mulleri infects the native but not the invader. We found a highly variable prevalence of P. mulleri in uninvaded rivers, with 0–91% of hosts parasitized per sample. In addition, unparasitized natives dominated fast-flowing riffle patches of river, whereas parasitized individuals dominated slower- flowing, pooled patches. We examined the survivorship of invader and native in single and mixed-species microcosms with high, intermediate, and zero parasite prevalence. G. pulex survivorship was high in all treatments, whereas G. duebeni subsp. celticus survivorship was significantly lower in the presence of the invader. Further, parasitized G. duebeni subsp. celticus experienced near-total elimination. Models of the species replacement process implied that parasite-enhanced IGP would make invasion by G. pulex more likely, regardless of habitat and parasite spatial structure. However, where heterogeneity in parasite prevalence creates a landscape of patches with different susceptibilities to invasion, G. pulex may succeed in cases where invasion would not be possible if patches were equivalent. The different responses of parasitized and unparasitized G. duebeni subsp. celticus to environmental heterogeneity potentially link landscape patterns to the success or failure of the invasion process.

Caged birds and cloning machines: how student imagery 'speaks' to us about cultures of schooling and student participation

With the advent of the United Nations Convention on the Rights of the Child (CRC), there is an increasing requirement that schools ensure children and young people's views are voiced, listened to and taken seriously on matters of significance. Encouraging these shifts by law is one thing; changing the culture in schools is another. For a significant proportion of schools, actively engaging students' voices on how they experience education poses a significant challenge and crucial gaps may exist between the rhetoric espoused and a school's readiness for genuine student involvement. This ethnographic study illuminates tensions that persist between headteachers' espoused views of how students are valued and students' creative images of their actual post-primary schooling experience. If cultures of schooling are to nurture the true spirit of democratic pupil participation implied by changes in the law, there is a need to develop genuine processes of student engagement in which students and staff can collaborate towards greater shared understandings of a school's priorities.

A peculiar metal-rich star, HD 135485

Local thermodynamic equilibrium (LTE) absolute and differential abundances are presented for a peculiar metal-rich B-type star, HD 135485. These suggest that HD 135485 has a general enrichment of similar to0.5 dex in all the metals observed (C, N, O, Ne, Mg, Al, Si, P, S, Cl, Ar, Sc, Ti, Cr, Mn, Fe and Sr), except for nickel. The helium enhancement and hence hydrogen deficiency can account for less than or equal to 0.2 dex of this enhancement of metals, with the additional enhancement probably being representative of the progenitor gas. However, some of the metals appear to have greater enhancements, which may have occurred during the star's evolution. The significantly larger nitrogen abundance coupled with a modest helium enhancement observed in HD 135485 indicates that carbon- nitrogen (CN) processed material has possibly contaminated the stellar surface. Neon and carbon enhancements may indicate that helium core flashes have also occurred in HD 135485. Some of the iron-group elements (viz. Mn and Ni) appear to have similar abundance patterns to that of silicon Ap stars, but it is uncertain how these abundance patterns formed if they were not present in the progenitor gas. From a kinematical investigation it is unclear whether this star formed in a metal-rich region as implied by its chemical composition. From its position in the Hertzsprung-Russell diagram, HD 135485 would appear to be an evolved star lying close to or on the horizontal branch.

Ca II K observations of QSOs in the line-of-sight to the Magellanic Bridge

We describe medium-resolution spectroscopic observations taken with the ESO Multi-Mode Instrument (EMMI) in the CaII K line (lambda air = 3933.661 angstrom) towards 7 QSOs located in the line-of-sight to the Magellanic Bridge. At a spectral resolution R =lambda/Delta lambda = 6000, five of the sightlines have a signal-to-noise ( S/N) ratio of similar to 20 or higher. Definite Ca absorption due to Bridge material is detected towards 3 objects, with probable detection towards two other sightlines. Gas-phase CaII K Bridge and Milky Way abundances or lower limits for the all sightlines are estimated by the use of Parkes 21-cm H. emission line data. These data only have a spatial resolution of 14 arcmin compared with the optical observations which have milli-arcsecond resolution. With this caveat, for the three objects with sound CaII K detections, we find that the ionic abundance of CaII K relative to HI, A = log( N( CaK)/ N( HI)) for low- velocity Galactic gas ranges from - 8.3 to - 8.8 dex, with HI column densities varying from 3- 6 x 10(20) cm(-2). For Magellanic Bridge gas, the values of A are similar to 0.5 dex higher, ranging from similar to- 7.8 to - 8.2 dex, with N( HI) = 1- 5 x 1020 cm(-2). Higher values of A correspond to lower values of N( HI), although numbers are small. For the sightline towards B 0251 - 675, the Bridge gas has two different velocities, and in only one of these is CaII tentatively detected, perhaps indicating gas of a different origin or present-day characteristics ( such as dust content), although this conclusion is uncertain and there is the possibility that one of the components could be related to the Magellanic Stream. Higher signal-to-noise CaII K data and higher resolution H. data are required to determine whether A changes with N( HI) over the Bridge and if the implied difference in the metalicity of the two Bridge components towards B 0251-675 is real.

Less of a Puzzle: a new look at the forward forex market

The two-country monetary model is extended to include a consumption externality with habit persistence. The model is simulated using the artificial economy methodology. The 'puzzles' in the forward market are re-examined. The model is able to account for: (a) the low volatility of the forward discount; (b) the higher volatility of expected forward speculative profit; (c) the even higher volatility of the spot return; (d) the persistence in the forward discount; (e) the martingale behavior of spot exchange rates; and (f) the negative covariance between the expected spot return and expected forward speculative profit. It is unable to account for the forward market bias because the volatility of the expected spot return is too large relative to the volatility of the expected forward speculative profit.

Fixed versus Flexible: lessons from EMS order Flow

We extend the literature on regime-dependent volatility in two ways. First, our microstructural model provides a qualitatively new explanation. Second, we test implications of our model using Europe's recent shift to rigidly fixed rates (EMS to EMU). In the model, shocks to order flow induce more volatility under flexible rates because the elasticity of speculative demand is (endogenously) low, leading to pronounced portfolio-balance effects. New data on FF/DM transactions show that order flow had persistent effects on the exchange rate before EMU parities were announced. After announcement, the FF/DM rate was decoupled from order flow, as the model predicts.

Quantized conductance of multiwalled carbon nanotubes

We report calculations of the transport properties of multiwalled carbon nanotubes based on a scattering-theoretic approach that takes into account scattering within each tube, between tubes, and at the metal contacts. We find that only the outer tube contributes to the conductance, as has been implied by experiments. Referring to experiments performed with liquid-metal contacts, we also explain why the measured conductance is close to an integer number of conductance quanta, when the tubes are immersed in the liquid metal for several hundreds of nanometers and is not an integer when they are immersed for only a few nanometers. Finally, we propose that the observed conductance of only one quantum