Time-varying dependence in the intraday AUS/USD spot market

Using a high-frequency data set of the spot Australian dollar/US dollar this study examines the distribution of quotes and returns across the 24 hour trading "day". Employing statistical methods for measuring long-tenn dependence in time-series we find evidence of time-varying dependence and volatility that aligns with the opening and closing of markets. This variation is attributed to the effects of liquidity and the price-discovery actions of dealers.

Effect of susceptibility to interfacial fracture on fatigue properties of spot-welded high strength sheet steel

While advanced high strength steels (AHSS) have numerous advantages for the automotive industry, they can be susceptible to interfacial fracture when spot-welded. In this study, the susceptibility of interfacial fracture to spot-weld microstructure and hardness is examined, as well as the corresponding relationships between fatigue, overload performance, and interfacial fracture for a TRIP (transformation induced plasticity) steel. Simple post-weld heat-treatments were used to alter the weld microstructure. The effect on interfacial fracture of diluting the weld pool by welding the TRIP material to non-TRIP steel was examined, along with the effect of altering the base material microstructure. Results show that weld hardness is not a good indicator of either the susceptibility to interfacial fracture, or the strength of the joint, and that interfacial fracture does not necessarily lead to a decrease in strength compared to conventional weld-failure mechanisms, i.e. button pullout. It was also found that while interfacial fracture does affect low cycle to failure behavior, there was no effect on high cycle fatigue.

Modelling of laser beam spot-weld using 2-D hybrid crack finite elements

Laser beam spot-welding is widely applied to join sheet metals for automotive components especially for thinsheet components in automotive industries. The spot welds in such metallic structures contribute a lot to the integrated strength and fatigue life for the whole structures and they are responsible for their damage or collapse in some loading cases. In this paper, the 2-D hybrid special finite elements each containing an edge crack are employed to study the fracture behaviors of laser beam spot-welds. Hence the calculation accuracy in the vicinity of crack tips is ensured, and a better description of stress singularity with only one hybrid element surrounding one crack is provided. The numerical modeling for laser beam spot-welds subjected to three typical modes ofloadings including tension-lap, shear-lap and angle-clip can be greatly simplified with the applications of such elements. Three specimens under lap-shear, lap-tension and angle clip are devised and analyzed respectively, and main fracture parameters such as stress intensity factors and the initial direction of crack growth are obtained through tinite element analyses. The computed results ti'om numerical examples demonstrate the validity and versatility of the proposed modeling.

Realized volatility and correlation in grain futures markets: testing for spillover effects

Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean, and wheat). The realized volatility estimates exhibit properties consistent with the stylized facts observed in earlier studies. According to daily realized correlations and regression coefficients, the spot returns from the three grain futures are positively related. The realized estimates are then used to evaluate the degree of volatility transmission across grain futures prices. The impulse response analysis is conducted by fitting the vector autoregressive model to realized volatility and correlation estimates, using the bootstrap method for statistical inference. The results indicate that rich dynamic interactions exist among the volatilities and correlations across the grain futures markets.

Economic linkages across commodity futures : hedging and trading implications

We investigate cross-market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), palladium (PA) and gasoline (GA) futures markets. The automobile industry is responsible for more than 50% of global demand for each of these commodities. VAR estimation reveals short-run cross-market interaction between NR and GA, and from NR to PA. Cross-market influence exerted by PA is felt in longer dynamics, with PA volatility (volume) affecting NR (GA) volume (volatility). Our findings are robust to lag-specification, volatility measure, and consistent with full BEKK-GARCH estimation results. Further analysis, which benchmarks against silver futures market, TOCOM index and TOPIX transportation index, confirms that our results are driven by a common industry exposure, and not a commodity market factor. A simple trading rule that incorporates short-run GA and long-run PA dynamics to predict NR return yields positive economic profit. Our study offers new insights into how commodity and equity markets relate at an industry level, and implications for multi-commodity hedging.

Fracture analysis of spot-welds with edge cracks using 2-D hybrid special finite element

This paper employed a systematic analysis using a 2-D hybrid special finite element containing an edge crack in order to describe the fracture behavior of spot-welds in automotive structures. The 2-D hybrid special finite element is derived form a mixed formulation with a complex potential function with the description of the singularity of a stress field. The hybrid special finite element containing an edge crack can give a better description of its singularity with only one hybrid element surrounding one crack. The advantage of this special element is that it can greatly simplify the numerical modeling of the spot welds. Some numerical examples demonstrate the validity and versatility of the present analysis method. The lap-shear, lap-tension and angle-clip specimens are analyzed and some useful fracture parameters such as the stress intensity factor and the initial direction of crack growth are obtained simultaneously.