Futures basis, inventory and commodity price volatility: an empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.

Problems in the coupling of eye and hand in the sequential movements of children with developmental coordination disorder

Background: Shifting gaze and attention ahead of the hand is a natural component in the performance of skilled manual actions. Very few studies have examined the precise co-ordination between the eye and hand in children with Developmental Coordination Disorder (DCD). Methods This study directly assessed the maturity of eye-hand co-ordination in children with DCD. A double-step pointing task was used to investigate the coupling of the eye and hand in 7-year-old children with and without DCD. Sequential targets were presented on a computer screen, and eye and hand movements were recorded simultaneously. Results There were no differences between typically developing (TD) and DCD groups when completing fast single-target tasks. There were very few differences in the completion of the first movement in the double-step tasks, but differences did occur during the second sequential movement. One factor appeared to be the propensity for the DCD children to delay their hand movement until some period after the eye had landed on the target. This resulted in a marked increase in eye-hand lead during the second movement, disrupting the close coupling and leading to a slower and less accurate hand movement among children with DCD. Conclusions In contrast to skilled adults, both groups of children preferred to foveate the target prior to initiating a hand movement if time allowed. The TD children, however, were more able to reduce this foveation period and shift towards a feedforward mode of control for hand movements. The children with DCD persevered with a look-then-move strategy, which led to an increase in error. For the group of DCD children in this study, there was no evidence of a problem in speed or accuracy of simple movements, but there was a difficulty in concatenating the sequential shifts of gaze and hand required for the completion of everyday tasks or typical assessment items.

Robust background model for pixel based people counting using a single uncalibrated camera

Several pixel-based people counting methods have been developed over the years. Among these the product of scale-weighted pixel sums and a linear correlation coefficient is a popular people counting approach. However most approaches have paid little attention to resolving the true background and instead take all foreground pixels into account. With large crowds moving at varying speeds and with the presence of other moving objects such as vehicles this approach is prone to problems. In this paper we present a method which concentrates on determining the true-foreground, i.e. human-image pixels only. To do this we have proposed, implemented and comparatively evaluated a human detection layer to make people counting more robust in the presence of noise and lack of empty background sequences. We show the effect of combining human detection with a pixel-map based algorithm to i) count only human-classified pixels and ii) prevent foreground pixels belonging to humans from being absorbed into the background model. We evaluate the performance of this approach on the PETS 2009 dataset using various configurations of the proposed methods. Our evaluation demonstrates that the basic benchmark method we implemented can achieve an accuracy of up to 87% on sequence ¿S1.L1 13-57 View 001¿ and our proposed approach can achieve up to 82% on sequence ¿S1.L3 14-33 View 001¿ where the crowd stops and the benchmark accuracy falls to 64%.

A hybridised evolutionary algorithm for multi-criterion minimum spanning tree problems

A hybridised and Knowledge-based Evolutionary Algorithm (KEA) is applied to the multi-criterion minimum spanning tree problems. Hybridisation is used across its three phases. In the first phase a deterministic single objective optimization algorithm finds the extreme points of the Pareto front. In the second phase a K-best approach finds the first neighbours of the extreme points, which serve as an elitist parent population to an evolutionary algorithm in the third phase. A knowledge-based mutation operator is applied in each generation to reproduce individuals that are at least as good as the unique parent. The advantages of KEA over previous algorithms include its speed (making it applicable to large real-world problems), its scalability to more than two criteria, and its ability to find both the supported and unsupported optimal solutions.

Solving optimal control problems with state constraints using nonlinear programming and simulation tools

This paper illustrates how nonlinear programming and simulation tools, which are available in packages such as MATLAB and SIMULINK, can easily be used to solve optimal control problems with state- and/or input-dependent inequality constraints. The method presented is illustrated with a model of a single-link manipulator. The method is suitable to be taught to advanced undergraduate and Master's level students in control engineering.

The risk-taking and self-harm inventory for adolescents: Development and psychometric evaluation

In this study, we report on the development and psychometric evaluation of the Risk-Taking (RT) and Self-Harm (SH) Inventory for Adolescents (RTSHIA), a self-report measure designed to assess adolescent RT and SH in community and clinical settings. 651 young people from secondary schools in England ranging in age from 11.6 years to 18.7 years and 71 young people referred to mental health services for SH behavior in London between the ages of 11.9 years and 17.5 years completed the RTSHIA along with standardized measures of adolescent psychopathology. Two factors emerged from the principal axis factoring, and RT and SH were further validated by a confirmatory factor analysis as related, but different, constructs, rather than elements of a single continuum. Inter-item and test–retest reliabilities were high for both components (Cronbach's α = .85, rtt = .90; Cronbach's α .93, rtt = .87), and considerable evidence emerged in support of the measure's convergent, concurrent, and divergent validity. The findings are discussed with regard to potential usefulness of the RTSHIA for research and clinical purposes with adolescents.

A simple column model to explore anticipated problems in variational assimilation of satellite observations

We investigate a simplified form of variational data assimilation in a fully nonlinear framework with the aim of extracting dynamical development information from a sequence of observations over time. Information on the vertical wind profile, w(z ), and profiles of temperature, T (z , t), and total water content, qt (z , t), as functions of height, z , and time, t, are converted to brightness temperatures at a single horizontal location by defining a two-dimensional (vertical and time) variational assimilation testbed. The profiles of T and qt are updated using a vertical advection scheme. A basic cloud scheme is used to obtain the fractional cloud amount and, when combined with the temperature field, this information is converted into a brightness temperature, using a simple radiative transfer scheme. It is shown that our model exhibits realistic behaviour with regard to the prediction of cloud, but the effects of nonlinearity become non-negligible in the variational data assimilation algorithm. A careful analysis of the application of the data assimilation scheme to this nonlinear problem is presented, the salient difficulties are highlighted, and suggestions for further developments are discussed.

Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.

Enterprise intelligence: searching for a single version of the truth

Multiple versions of information and associated problems are well documented in both academic research and industry best practices. Many solutions have proposed a single version of the truth, with Business intelligence being adopted by many organizations. Business Intelligence (BI), however, is largely based on the collection of data, processing and presentation of information to meet different stakeholders’ requirement. This paper reviews the promise of Enterprise Intelligence, which promises to support decision-making based on a defined strategic understanding of the organizations goals and a unified version of the truth.

The dynamics of commodity prices

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our findings show that it is inappropriate to treat different kinds of commodities as a single asset class as is frequently the case in the academic literature and in the industry. We demonstrate that commodities can be a useful diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.

Trade-offs and responsiveness of the single-layer urban canopy parametrization in WRF: an offline evaluation using the MOSCEM optimization algorithm and field observations

For an increasing number of applications, mesoscale modelling systems now aim to better represent urban areas. The complexity of processes resolved by urban parametrization schemes varies with the application. The concept of fitness-for-purpose is therefore critical for both the choice of parametrizations and the way in which the scheme should be evaluated. A systematic and objective model response analysis procedure (Multiobjective Shuffled Complex Evolution Metropolis (MOSCEM) algorithm) is used to assess the fitness of the single-layer urban canopy parametrization implemented in the Weather Research and Forecasting (WRF) model. The scheme is evaluated regarding its ability to simulate observed surface energy fluxes and the sensitivity to input parameters. Recent amendments are described, focussing on features which improve its applicability to numerical weather prediction, such as a reduced and physically more meaningful list of input parameters. The study shows a high sensitivity of the scheme to parameters characterizing roof properties in contrast to a low response to road-related ones. Problems in partitioning of energy between turbulent sensible and latent heat fluxes are also emphasized. Some initial guidelines to prioritize efforts to obtain urban land-cover class characteristics in WRF are provided. Copyright © 2010 Royal Meteorological Society and Crown Copyright.