Time-variations in commodity price jumps

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic volatility jump–diffusion model to capture this seasonal variation. Applying the Markov Chain Monte Carlo (MCMC) methodology, we estimate our model using 20 years of futures data from four different commodity markets. We find strong statistical evidence to suggest that our model with seasonal jump intensity outperforms models featuring a constant jump intensity. To demonstrate the practical relevance of our findings, we show that our model typically improves Value-at-Risk (VaR) forecasts.

Diagnosing observation error correlations for Doppler radar radial winds in the Met Office UKV model using observation-minus-background and observation-minus-analysis statistics

With the development of convection-permitting numerical weather prediction the efficient use of high resolution observations in data assimilation is becoming increasingly important. The operational assimilation of these observations, such as Dopplerradar radial winds, is now common, though to avoid violating the assumption of un- correlated observation errors the observation density is severely reduced. To improve the quantity of observations used and the impact that they have on the forecast will require the introduction of the full, potentially correlated, error statistics. In this work, observation error statistics are calculated for the Doppler radar radial winds that are assimilated into the Met Office high resolution UK model using a diagnostic that makes use of statistical averages of observation-minus-background and observation-minus-analysis residuals. This is the first in-depth study using the diagnostic to estimate both horizontal and along-beam correlated observation errors. By considering the new results obtained it is found that the Doppler radar radial wind error standard deviations are similar to those used operationally and increase as the observation height increases. Surprisingly the estimated observation error correlation length scales are longer than the operational thinning distance. They are dependent on both the height of the observation and on the distance of the observation away from the radar. Further tests show that the long correlations cannot be attributed to the use of superobservations or the background error covariance matrix used in the assimilation. The large horizontal correlation length scales are, however, in part, a result of using a simplified observation operator.

Exploring the effects of genotypical and phenotypical variations in bitter taste sensitivity on perception, liking and intake of brassica vegetables in the UK

Brassicaceous vegetables (BV) have chemoprotective effects and yet consumption of BV in the UK is low. Previous studies suggest perception, liking and intake of BV are influenced by bitter taste sensitivity which this study further explores. Phenotypical taste sensitivity of 136 subjects was classified using propythiouracil (PROP) and sodium chloride and fungiform papillae density (FPD) was measured from tongue images. Polymorphisms of TAS2R38 and gustin (CA6) genes were analysed. Liking and bitterness of four raw vegetables (two BV (broccoli and white cabbage) and two non-BV (spinach and courgette)), as well as habitual consumption, were evaluated. There was a significant association between TAS2R38 genotype and PROP taster status (p<0.0001) and between FPD and PROP taster status (p=0.029). Individuals with greater sensitivity for PROP predominantly had TAS2R38 PAV/PAV genotype and greater FPD. BV were perceived as more bitter than non-BV (p<0.0001) with PAV/PAV subjects perceiving significantly stronger bitter intensity. There was a significant difference in liking for the four vegetables (p=0.002), and between consumers of different TAS2R38 genotype (p=0.0024). Individuals with TAS2R38 AVI/AVI genotype liked BV more. Regarding intake, both PAV/PAV and AVI/AVI individuals consumed more total vegetables and BV than PAV/AVI. Although PROP nontasters tended to consume more vegetables and BV than the other two phenotype groups, liking and vegetable intake were not significantly affected by taste phenotype. Although there was not a significant effect of CA6 genotype on bitterness ratings, there was a significant interaction between CA6 and TAS2R38, and in addition CA6 genotype was significantly associated with BV intake. However, these effects require validation as the proportions of the population with the CA6 G/G genotype was extremely small (7%). Our results confirmed that bitter taste perception in vegetables was influenced by both genotype and phenotype of bitter taste sensitivity. Moreover, our findings demonstrated that neither genotype nor phenotype of taste sensitivity alone accurately predict vegetable liking and intake as demographic factors were found to have a substantial influence.

Variability and trends in Laptev Sea ice outflow between 1992-2011

Variability and trends in seasonal and interannual ice area export out of the Laptev Sea between 1992 and 2011 are investigated using satellite-based sea ice drift and concentration data. We found an average total winter (Octo- ber to May) ice area transport across the northern and east- ern Laptev Sea boundaries (NB and EB) of 3.48 × 10 5 km 2 . The average transport across the NB (2.87 × 10 5 km 2 ) is thereby higher than across the EB (0.61 × 10 5 km 2 ), with a less pronounced seasonal cycle. The total Laptev Sea ice area flux significantly increased over the last decades (0.85 × 10 5 km 2 decade − 1 , p> 0 . 95), dominated by increas- ing export through the EB (0.55 × 10 5 km 2 decade − 1 , p> 0 . 90), while the increase in export across the NB is smaller (0.3 × 10 5 km 2 decade − 1 ) and statistically not significant. The strong coupling between across-boundary SLP gradient and ice drift velocity indicates that monthly variations in ice area flux are primarily controlled by changes in geostrophic wind velocities, although the Laptev Sea ice circulation shows no clear relationship with large-scale atmospheric in- dices. Also there is no evidence of increasing wind velocities that could explain the overall positive trends in ice export. The increased transport rates are rather the consequence of a changing ice cover such as thinning and/or a decrease in con- centration. The use of a back-propagation method revealed that most of the ice that is incorporated into the Transpolar Drift is formed during freeze-up and originates from the cen- tral and western part of the Laptev Sea, while the exchange with the East Siberian Sea is dominated by ice coming from the central and southeastern Laptev Sea. Furthermore, our re- sults imply that years of high ice export in late winter (Febru- ary to May) have a thinning effect on the ice cover, which in turn preconditions the occurence of negative sea ice extent anomalies in summer.

Affective trajectories: locating diegetic velocity in the cinema experience

Films that feature high-speed diegetic motion, and present those high speeds through fast mobile framing and fast cutting, are frequently charged with generating a sensory overload which empties out meaning or any sense of spatial orientation. Inherent in this discourse is a privileging of optical-spatial intelligibility that suppresses consideration of the ways cinema can represent diegetic velocity, and the spectator’s sensory experience of the same. This paper will instead highlight the centrality of the evocation of a trajectory for movement for the spectator’s experience of diegetic speed, an evocation that does not depend on optical-spatial legibility for its affective force.

A generalised background correction algorithm for a Halo Doppler lidar and its application to data from Finland

Current commercially available Doppler lidars provide an economical and robust solution for measuring vertical and horizontal wind velocities, together with the ability to provide co- and cross-polarised backscatter profiles. The high temporal resolution of these instruments allows turbulent properties to be obtained from studying the variation in radial velocities. However, the instrument specifications mean that certain characteristics, especially the background noise behaviour, become a limiting factor for the instrument sensitivity in regions where the aerosol load is low. Turbulent calculations require an accurate estimate of the contribution from velocity uncertainty estimates, which are directly related to the signal-to-noise ratio. Any bias in the signal-to-noise ratio will propagate through as a bias in turbulent properties. In this paper we present a method to correct for artefacts in the background noise behaviour of commercially available Doppler lidars and reduce the signal-to-noise ratio threshold used to discriminate between noise, and cloud or aerosol signals. We show that, for Doppler lidars operating continuously at a number of locations in Finland, the data availability can be increased by as much as 50 % after performing this background correction and subsequent reduction in the threshold. The reduction in bias also greatly improves subsequent calculations of turbulent properties in weak signal regimes.