The (de)merits of minimum-variance hedging: application to the crack spread

We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric models for estimating hedge ratios of crude oil, gasoline and heating oil crack spreads. Given the great variability and large jumps in both spot and futures prices, considerable care is required when processing the relevant data and accounting for the costs of maintaining and re-balancing the hedge position. We find that the variance reduction produced by all models is statistically and economically indistinguishable from the one-for-one “naïve” hedge. However, minimum-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge. Therefore we encourage hedgers to use a naïve hedging strategy on the crack spread bundles now offered by the exchange; this strategy is the cheapest and easiest to implement. Our conclusion contradicts the majority of the existing literature, which favours the implementation of GARCH-based hedging strategies.

Like mother, like daughter? Analyzing maternal influences upon women’s entrepreneurial propensity

Within the phenomenon of entrepreneurship, the extant literature suggests that the normative actor is embodied by and through stereotypical masculinized characteristics. In this paper,we contextualize entrepreneurship as self-employment in order to explore how such stereotypical characterizations might influence women’s attitudes toward this activity. However, rather than analyzing the confirmatory effects of stereotypes, we critically evaluate the effect of counterstereotypical characterizations upon women’s propensity for self-employment. Drawing upon life-span data, we explore whether self-employed mothers disconfirm masculinized stereotypes and so act as positive role models for their daughters.As hypothesized, we found that maternal self-employment has a counterstereotypical effect and so positively influences daughters to become self-employed. These data indicate, however, that this effect is tempered by personal stereotypes held by daughters; moreover, it is shaped by significant life events (marriage, parenthood, education, and prior managerial experience). By using a robust data set, this paper contributes to our understanding of how stereotypes and role expectations influence women’s propensity toward entrepreneurial activity.

An empirical model comparison for valuing crack spread options

In this paper, we investigate the pricing of crack spread options. Particular emphasis is placed on the question of whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we contrast a bivariate GARCH volatility model for cointegrated underlyings with the alternative of modeling the crack spread directly. Conducting an empirical analysis of crude oil/heating oil and crude oil/gasoline crack spread options traded on the New York Mercantile Exchange, the more simplistic univariate approach is found to be superior with respect to option pricing performance.

A new look at stratospheric sudden warmings. Part III. Polar vortex evolution and vertical structure

The evolution of the Arctic polar vortex during observed major mid-winter stratospheric sudden warmings (SSWs) is investigated for the period 1957-2002, using European Centre for Medium-Range Weather Forecasts (ECMWF) ERA-40 Ertel’s potential vorticity (PV) and temperature fields. Time-lag composites of vertically weighted PV, calculated relative to the SSW onset time, are derived for both vortex displacement SSWs and vortex splitting SSWs, by averaging over the 15 recorded displacement and 13 splitting events. The evolving vertical structure of the polar vortex during a typical SSW of each type is clearly illustrated by plotting an isosurface of the composite PV field, and is shown to be very close to that observed during representative individual events. Results are verified by comparison with an elliptical diagnostic vortex moment technique. For both types of SSW, little variation is found between individual events in the orientation of the developing vortex relative to the underlying topography, i.e. the location of the vortex during SSWs of each type is largely fixed in relation to the Earth’s surface. During each type of SSW, the vortex is found to have a distinctive vertical structure. Vortex splitting events are typically barotropic, with the vortex split occurring near-simultaneously over a large altitude range (20-40 km). In the majority of cases, of the two daughter vortices formed, it is the ‘Siberian’ vortex that dominates over its ‘Canadian’ counterpart. In contrast, displacement events are characterized by a very clear baroclinic structure; the vortex tilts significantly westward with height, so that the top and bottom of the vortex are separated by nearly 180◦ longitude before the upper vortex is sheared away and destroyed.

Pollen ultrastructure in anther cultures of Datura innoxia. I. Division of the presumptive vegetative cell.

Ultrastructural features of embryogenic pollen in Datura innoxia are described, just prior to, during, and after completion of the first division of the presumptive vegetative cell. In anther cultures initiated towards the end of the microspore phase and incubated at 28 degrees C in darkness, the spores divide within 24 h and show features consistent with those of dividing spores in vivo. Cytokinesis is also normal in most of the spores and the gametophytic cell-plate curves round the presumptive generative nucleus in the usual highly ordered way. Further differentiation of the 2 gametophytic cells does not take place and the pollen either switches to embryogenesis or degenerates. After 48-72 h, the remaining viable pollen shows the vegetative cell in division. The cell, which has a large vacuole and thin layer of parietal cytoplasm carried over from the microspore, divides consistently in a plane parallel to the microspore division. The dividing wall follows a less-ordered course than the gametophytic wall and usually traverses the vacuole, small portions of which are incorporated into the daughter cell adjacent to the generative cell. The only structural changes in the vegetative cell associated with the change in programme appear to be an increase in electron density of both plastids and mitochondria and deposition of an electron-dense material (possibly lipid) on the tonoplast. The generative cell is attached to the intine when the vegetative cell divides. Ribosomal density increases in the generative cell and exceeds that in the vegetative cell. A thin electron-dense layer also appears in the generative-cell wall. It is concluded that embryogenesis commences as soon as the 2 gametophytic cells are laid down. Gene activity associated with postmitotic synthesis of RNA and protein in the vegetative cell is switched off. The data are discussed in relation to the first division of the embryogenic vegetative cells in Nicotiana tabacum.

Separation of Ba-137m from Cs-137 using new ion exchanger Na-2(H2O)(4)(H3O)[Al(OH)(6)Mo6O18]

A new polyoxometalate of chemical formula, Na-2(H2O)(4)(H3O)[Al(OH)(6)Mo6O18] (1) containing Anderson type large anion has been synthesized and characterized by single-crystal X-ray structure determination and IR spectroscopic studies. The crystal of 1 is triclinic, spacegroup P-1 with cell dimensions, a = 6.365(9) angstrom, b = 10.37(1) angstrom, c = 10.44(1) angstrom and alpha = 65.41(1), beta = 77.18(1), gamma = 86.58(1) and Z = 1. The compound 1 behaves as an ion exchanger and is stable in thermal, radiation and chemical environments. Radiochemical separation of the short-lived daughter Ba-137m (t(1/2) = 2.50 min) from its long-lived parent Cs-137 using this newly designed and synthesized ion exchanger has been developed.

Mode I fracture of sheet metal

The perceived wisdom about thin sheet fracture is that (i) the crack propagates under mixed mode I & III giving rise to a slant through-thickness fracture profile and (ii) the fracture toughness remains constant at low thickness and eventually decreases with increasing thickness. In the present study, fracture tests performed on thin DENT plates of various thicknesses made of stainless steel, mild steel, 6082-O and NS4 aluminium alloys, brass, bronze, lead, and zinc systematically exhibit (i) mode I “bath-tub”, i.e. “cup & cup”, fracture profiles with limited shear lips and significant localized necking (more than 50% thickness reduction), (ii) a fracture toughness that linearly increases with increasing thickness (in the range of 0.5–5 mm). The different contributions to the work expended during fracture of these materials are separated based on dimensional considerations. The paper emphasises the two parts of the work spent in the fracture process zone: the necking work and the “fracture” work. Experiments show that, as expected, the work of necking per unit area linearly increases with thickness. For a typical thickness of 1 mm, both fracture and necking contributions have the same order of magnitude in most of the metals investigated. A model is developed in order to independently evaluate the work of necking, which successfully predicts the experimental values. Furthermore, it enables the fracture energy to be derived from tests performed with only one specimen thickness. In a second modelling step, the work of fracture is computed using an enhanced void growth model valid in the quasi plane stress regime. The fracture energy varies linearly with the yield stress and void spacing and is a strong function of the hardening exponent and initial void volume fraction. The coupling of the two models allows the relative contributions of necking versus fracture to be quantified with respect to (i) the two length scales involved in this problem, i.e. the void spacing and the plate thickness, and (ii) the flow properties of the material. Each term can dominate depending on the properties of the material which explains the different behaviours reported in the literature about thin plate fracture toughness and its dependence with thickness.

Investigation of the fracture mode for hard and soft wheat endosperm using the loading-unloading bending test

Investigation of the fracture mode for hard and soft wheat endosperm was aimed at gaining a better understanding of the fragmentation process. Fracture mechanical characterization was based on the three-point bending test which enables stable crack propagation to take place in small rectangular pieces of wheat endosperm. The crack length can be measured in situ by using an optical microscope with light illumination from the side of the specimen or from the back of the specimen. Two new techniques were developed and used to estimate the fracture toughness of wheat endosperm, a geometric approach and a compliance method. The geometric approach gave average fracture toughness values of 53.10 and 27.0 J m(-2) for hard and soft endosperm, respectively. Fracture toughness estimated using the compliance method gave values of 49.9 and 29.7 J m(-2) for hard and soft endosperm, respectively. Compressive properties of the endosperm in three mutually perpendicular axes revealed that the hard and soft endosperms are isotropic composites. Scanning electron microscopy (SEM) observation of the fracture surfaces and the energy-time curves of loading-unloading cycles revealed that there was a plastic flow during crack propagation for both the hard and soft endosperms, and confirmed that the fracture mode is significantly related to the adhesion level between starch granules and the protein matrix.

Rate-dependent fracture toughness of polycrystalline ice

A series of three-point bend tests using single edge notched testpieces of pure polycrystalline ice have been performed at three different temperatures (–20°C, –30°C and –40°C). The displacement rate was varied from 1 mm/min to 100 mm/min, producing the crack tip strain rates from about 10–3 to 10–1 s–1. The results show that (a) the fracture toughness of pure polycrystalline ice given by the critical stress intensity factor (K IC) is much lower than that measured from the J—integral under identical conditions; (b) from the determination of K IC, the fracture toughness of pure polycrystalline ice decreases with increasing strain rate and there is good power law relationship between them; (c) from the measurement of the J—integral, a different tendency was appeared: when the crack tip strain rate exceeds a critical value of 6 × 10–3 s–1, the fracture toughness is almost constant but when the crack tip strain rate is less than this value, the fracture toughness increases with decreasing crack tip strain rate. Re-examination of the mechanisms of rate-dependent fracture toughness of pure polycrystalline ice shows that the effect of strain rate is related not only to the blunting of crack tips due to plasticity, creep and stress relaxation but also to the nucleation and growth of microcracks in the specimen.

A novel method for measuring lag times in division of individual bacterial cells using image analysis

A method is presented for determining the time to first division of individual bacterial cells growing on agar media. Bacteria were inoculated onto agar-coated slides and viewed by phase-contrast microscopy. Digital images of the growing bacteria were captured at intervals and the time to first division estimated by calculating the "box area ratio". This is the area of the smallest rectangle that can be drawn around an object, divided by the area of the object itself. The box area ratios of cells were found to increase suddenly during growth at a time that correlated with cell division as estimated by visual inspection of the digital images. This was caused by a change in the orientation of the two daughter cells that occurred when sufficient flexibility arose at their point of attachment. This method was used successfully to generate lag time distributions for populations of Escherichia coli, Listeria monocytogenes and Pseudomonas aeruginosa, but did not work with the coccoid organism Staphylococcus aureus. This method provides an objective measure of the time to first cell division, whilst automation of the data processing allows a large number of cells to be examined per experiment. (c) 2005 Elsevier B.V. All rights reserved.

Self-assembled healable materials through a combination of pi-pi stacking and hydrogen bonding

The discovery of polymers with stimuli responsive physical properties is a rapidly expanding area of research. At the forefront of the field are self-healing polymers, which, when fractured can regain the mechanical properties of the material either autonomically, or in response to a stimulus. It has long been known that it is possible to promote healing in conventional thermoplastics by heating the fracture zone above the Tg of the polymer under pressure. This process requires reptation and subsequent re-entanglement of macromolecules across the fracture void, which serves to bridge, and ‘heal’ the crack. The timescale for this mechanism is highly dependent on the molecular weight of the polymer being studied. This process is in contrast to that required to affect healing in supramolecular polymers such as the plasticised, hydrogen bonded elastomer reported by Leibler et al. The disparity in bond energies between the non-covalent and covalent bonds within supramolecular polymers results in fractures propagating through scission of the comparatively weak supramolecular interactions, rather than through breaking the stronger, covalent bonds. Thus, during the healing process the macromolecules surrounding the fracture site only need sufficient energy to re-engage their supramolecular interactions in order to regenerate the strength of the pristine material. Herein we describe the design, synthesis and optimization of a new class of supramolecular polymer blends that harness the reversible nature of pi-pi stacking and hydrogen bonding interactions to produce self-supporting films with facile healable characteristics.