NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Oil Market Modelling: A Comparative Analysis of Fundamental and Latent Factor Approaches

We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited history, but has gained popularity in other financial markets. The two approaches, though competing, have not formally been compared as to effectiveness. For a range of short- medium- and long-dated WTI oil futures we test a recently proposed five-factor fundamental model and a Principal Component Analysis latent factor model. Our findings demonstrate that there is no discernible difference between the two techniques in a dynamic setting. We conclude that this infers some advantages in adopting the latent factor approach due to the difficulty in determining a well specified fundamental model.

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.

Deactivation of Oxidation Catalysts by Oil-Derived Sulphur

The most common mode of deactivation suffered by catalysts fitted to two-stroke engines has traditionally been thermal degradation, or even meltdown, of the washcoat and substrate. The high temperatures experienced by these catalysts are caused by excessively high concentrations of HC and CO in the exhaust gas which are, in turn, caused by a rich AFR and the loss of neat fuel to the exhaust during the scavenging period. The effects of catalyst poisoning due to additives in the oil is often regarded as a secondary, or even negligible, deactivating mechanism in two-stroke catalysts and has therefore received little attention. However, with the introduction of direct in-cylinder fuel injection to some larger versions of this engine, the quantities of HC escaping to the exhaust can be reduced to levels similar to those found on four-stroke gasoline engines. Under these conditions, the effects of poisoning are much more significant to catalyst durability, particularly for crankcase scavenged derivatives which allow considerable quantities of oil to escape into the exhaust in a neat, or partially burned form. In this paper the effects of oil-derived sulphur on catalyst performance are examined using specialised test apparatus. The oil used throughout the study was formulated specifically for a two-stroke engine fitted with direct in-cylinder fuel injection. The sulphur content of this oil was 0.21% by mass and particular attention was paid to the role of this element in the resulting deactivation. The catalyst was also designed for two-stroke applications and contained a high palladium loading of 300g/ft3 (28g/l) to prolong the life of the catalyst. It was found that the sulphur caused permanent deactivation of the CO reaction and increased the light-off temperature by around 40oC after oiling for 60 hours. This deactivation was progressive and led to a reduction in surface area of the washcoat, particularly in the micropores of around 5Å diameter. By using a validated catalyst model the change in surface area of the precious metal was estimated. It was found that the simulated palladium surface area had to be reduced by a factor of around 7.5 to produce the light-off temperature of the deactivated catalyst. Conversely, the light-off temperature of the C3H6 reaction was barely affected by the deactivation.

What price harmony? Teachers' methods of delivering an ethos of tolerance and respect for diversity in an integrated school in Northern Ireland

The aim of the paper is to explore teachers’ methods of delivering an ethos of tolerance, respect
and mutual understanding in one integrated secondary school in Northern Ireland. Drawing on
interviews with teachers in the school, it is argued that most teachers make ‘critical choices’
which both reflect and reinforce a ‘culture of avoidance’, whereby politically or religiously contentious
issues are avoided rather than explored. Although teachers are well-intentioned in making
these choices, it is shown that they have the potential to create the conditions that maintain or even
harden psychological boundaries between Catholics and Protestants rather than dilute them.

In vitro activity of tea-tree oil against clinical skin isolates of meticillin-resistant and -sensitive Staphylococcus aureus and coagulase-negative staphylococci growing planktonically and as biofilms

The susceptibility of Staphylococcus aureus [meticillin-resistant (MRSA) and meticillin-sensitive (MSSA)] and coagulase-negative staphylococci (CoNS), which respectively form part of the transient and commensal skin flora, to tea-tree oil (TTO) was compared using broth microdilution and quantitative in vitro time-kill test methods. MRSA and MSSA isolates were significantly less susceptible than CoNS isolates, as measured by both MIC and minimum bactericidal concentration. A significant decrease in the mean viable count of all isolates in comparison with the control was seen at each time interval in time-kill assays. However, the only significant difference in the overall mean log(10) reduction in viable count between the groups of isolates was between CoNS and MSSA at 3 h, with CoNS isolates demonstrating a significantly lower mean reduction. To provide a better simulation of in vivo conditions on the skin, where bacteria are reported to grow as microcolonies encased in glycocalyx, the bactericidal activity of TTO against isolates grown as biofilms was also compared. Biofilms formed by MSSA and MRSA isolates were completely eradicated following exposure to 5 % TTO for 1 h. In contrast, of the biofilms formed by the nine CoNS isolates tested, only five were completely killed, although a reduction in viable count was apparent for the other four isolates. These results suggest that TTO exerts a greater bactericidal activity against biofilm-grown MRSA and MSSA isolates than against some biofilm-grown CoNS isolates.