Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

Is the Indian Ocean SST variability a homogeneous diffusion process.

Whereas the predominance of El Niño Southern Oscillation (ENSO) mode in the tropical Pacific sea surface temperature (SST) variability is well established, no such consensus seems to have been reached by climate scientists regarding the Indian Ocean. While a number of researchers think that the Indian Ocean SST variability is dominated by an active dipolar-type mode of variability, similar to ENSO, others suggest that the variability is mostly passive and behaves like an autocorrelated noise. For example, it is suggested recently that the Indian Ocean SST variability is consistent with the null hypothesis of a homogeneous diffusion process. However, the existence of the basin-wide warming trend represents a deviation from a homogeneous diffusion process, which needs to be considered. An efficient way of detrending, based on differencing, is introduced and applied to the Hadley Centre ice and SST. The filtered SST anomalies over the basin (23.5N-29.5S, 30.5E-119.5E) are then analysed and found to be inconsistent with the null hypothesis on intraseasonal and interannual timescales. The same differencing method is then applied to the smaller tropical Indian Ocean domain. This smaller domain is also inconsistent with the null hypothesis on intraseasonal and interannual timescales. In particular, it is found that the leading mode of variability yields the Indian Ocean dipole, and departs significantly from the null hypothesis only in the autumn season.

Diffusion of the synthetic pyrethroid permethrin into bed-sediments

Bed-sediments are a sink for many micro-organic contaminants in aquatic environments. The impact of toxic contaminants on benthic fauna often depends on their spatial distribution, and the fate of the parent compounds and their metabolites. The distribution of a synthetic pyrethroid, permethrin, a compound known to be toxic to aquatic invertebrates, was studied using river bed-sediments in lotic flume channels. trans/cis-Permethrin diagnostic ratios were used to quantify the photoisomerization of the trans isomer in water. Rates were affected by the presence of sediment particles and colloids when compared to distilled water alone. Two experiments in dark/light conditions with replicate channels were undertaken using natural sediment, previously contaminated with permethrin, to examine the effect of the growth of an algal biofilm at the sediment-water interface on diffusive fluxes of permethrin into the sediment. After 42 days, the bulk water was removed, allowing a fine sectioning of the sediment bed (i.e., every mm down to 5 mm and then 5-10 mm, then every 10 mm down to 50 mm). Permethrin was detected in all cases down to a depth of 5-10 mm, in agreement with estimates by the Millington and Quirk model, and measurements of concentrations in pore water produced a distribution coefficient (K-d) for each section, High K-d's were observed for the top layers, mainly as a result of high organic matter and specific surface area. Concentrations in the algal biofilm measured at the end of the experiment under light conditions, and increases in concentration in the top 1 mm of the sediment, demonstrated that algal/bacterial biofilm material was responsible for high K-d's at the sediment surface, and for the retardation of permethrin diffusion. This specific partition of permethrin to fine sediment particles and algae may enhance its threat to benthic invertebrates. In addition,the analysis of trans/cis-permethrin isomer ratios in sediment showed greater losses of trans-permethrin in the experiment under light conditions, which may have also resulted from enhanced biological activity at the sediment surface.

The effect of aqueous diffusion on the fractionation of chlorine and bromine stable isotopes

Diffusive isotopic fractionation factors are important in order to understand natural processes and have practical application in radioactive waste storage and carbon dioxide sequestration. We determined the isotope fractionation factors and the effective diffusion coefficients of chloride and bromide ions during aqueous diffusion in polyacrylamide gel. Diffusion was determined as functions of temperature, time and concentration. The effect of temperature is relatively large on the diffusion coefficient (D) but only small on isotope fractionation. For chlorine, the ratio, D-35cl/D-37cl varied from 1.00128 +/- 0.00017 (1 sigma) at 2 degrees C to 1.00192 +/- 0.00015 at 80 degrees C. For bromine, D-79Br/D-81Br varied from 1.00098 +/- 0.00009 at 2 degrees C to 1.0064 +/- 0.00013 at 21 degrees C and 1.00078 +/- 0.00018 (1 sigma) at 80 degrees C. There were no significant effects on the isotope fractionation due to concentration. The lack of sensitivity of the diffusive isotope fractionation to anything at the most common temperatures (0 to 30 C) makes it particularly valuable for application to understanding processes in geological environments and an important natural tracer in order to understand fluid transport processes. (C) 2009 Elsevier Ltd. All rights reserved.

Surface and interstitial Ti diffusion at the rutile TiO2(110) surface

Diffusion of Ti through the TiO2 (110) rutile surface plays a key role in the growth and reactivity of TiO2. To understand the fundamental aspects of this important process, we present an analysis of the diffusion of Ti adspecies at the stoichiometric TiO2(110) surface using complementary computational methodologies of density functional theory corrected for on-site Coulomb interactions (DFT+U) and a charge equilibration (QEq) atomistic potential to identify minimum energy pathways. We find that diffusion of Ti from the surface to subsurface (and vice versa) follows an intersticialcy exchange mechanism, involving exchange of surface Ti with the 6-fold coordinated Ti below the bridging oxygen rows. Diffusion in the subsurface between layers also follows an interstitialcy mechanism. The diffusion of Ti is discussed in light of continued attempts to understand the re-oxidation of non-stoichiometric TiO2(110) surfaces.

Improving participatory varietal selection processes: participatory varietal selection and the role of informal seed diffusion mechanisms for upland rice in Ghana

This paper considers the process of Participatory Varietal Selection (PVS) and presents approaches and ideas based on PVS activities conducted on upland rice throughout Ghana between 1997 and 2003. In particular the role of informal seed systems in PVS is investigated and implications for PVS design are identified. PVS programmes were conducted in two main agroecological zones, Forest and Savannah, with 1,578 and 1,143 mm of annual rainfall, respectively, and between 40 and 100 varieties tested at each site. In the Savannah zone IR12979-24-1 was officially released and in the Forest zone IDSA 85 was widely accepted by farmers. Two surveys were conducted in an area of the Forest zone to study mechanisms of spread. Here small amounts (1-2 kg) of seed of selected varieties had been given to 94 farmers. In 2002, 37% of 2,289 farmers in communities surveyed had already grown a PVS variety and had obtained seed via informal mechanisms from other farmers, i.e. through gift, exchange or purchase. A modified approach for PVS is presented which enables important issues identified in the paper to be accommodated. These issues include: utilising existing seed spread mechanisms; facilitating formal release of acceptable varieties; assessing post-harvest traits, and; the need for PVS to be an ongoing and sustainable process.

Livestock vaccine adoption among poor farmers in Bolivia: Remembering innovation diffusion theory

The paper explores the low uptake of livestock vaccination among poor farming communities in Bolivia utilising core elements of the original innovation diffusion theory. Contrary to the recent literature, we found that vaccination behaviour was strongly Linked to social and cultural, rather than economic, drivers. While membership in a group increased uptake, the 'hot' and 'cold' distinctions which dictate health versus illness within Andean cosmology also played a role, with vaccination viewed as a means of addressing underlying imbalances. We concluded that uptake of livestock vaccination was unlikely to improve without knowledge transfer that acknowledges local. epistemologies for Livestock disease. (C) 2008 Elsevier Ltd. All rights reserved.

Modelling heterotachy in phylogenetic inference by reversible-jump Markov chain Monte Carlo

The rate at which a given site in a gene sequence alignment evolves over time may vary. This phenomenon-known as heterotachy-can bias or distort phylogenetic trees inferred from models of sequence evolution that assume rates of evolution are constant. Here, we describe a phylogenetic mixture model designed to accommodate heterotachy. The method sums the likelihood of the data at each site over more than one set of branch lengths on the same tree topology. A branch-length set that is best for one site may differ from the branch-length set that is best for some other site, thereby allowing different sites to have different rates of change throughout the tree. Because rate variation may not be present in all branches, we use a reversible-jump Markov chain Monte Carlo algorithm to identify those branches in which reliable amounts of heterotachy occur. We implement the method in combination with our 'pattern-heterogeneity' mixture model, applying it to simulated data and five published datasets. We find that complex evolutionary signals of heterotachy are routinely present over and above variation in the rate or pattern of evolution across sites, that the reversible-jump method requires far fewer parameters than conventional mixture models to describe it, and serves to identify the regions of the tree in which heterotachy is most pronounced. The reversible-jump procedure also removes the need for a posteriori tests of 'significance' such as the Akaike or Bayesian information criterion tests, or Bayes factors. Heterotachy has important consequences for the correct reconstruction of phylogenies as well as for tests of hypotheses that rely on accurate branch-length information. These include molecular clocks, analyses of tempo and mode of evolution, comparative studies and ancestral state reconstruction. The model is available from the authors' website, and can be used for the analysis of both nucleotide and morphological data.