Mean reversion in the short horizon returns of UK portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.

Canonical solution groups of a homomorphism : manipulator kinematics, nonparametric regression and distributed object systems

The kinematic mapping of a rigid open-link manipulator is a homomorphism between Lie groups. The homomorphisrn has solution groups that act on an inverse kinematic solution element. A canonical representation of solution group operators that act on a solution element of three and seven degree-of-freedom (do!) dextrous manipulators is determined by geometric analysis. Seven canonical solution groups are determined for the seven do! Robotics Research K-1207 and Hollerbach arms. The solution element of a dextrous manipulator is a collection of trivial fibre bundles with solution fibres homotopic to the Torus. If fibre solutions are parameterised by a scalar, a direct inverse funct.ion that maps the scalar and Cartesian base space coordinates to solution element fibre coordinates may be defined. A direct inverse pararneterisation of a solution element may be approximated by a local linear map generated by an inverse augmented Jacobian correction of a linear interpolation. The action of canonical solution group operators on a local linear approximation of the solution element of inverse kinematics of dextrous manipulators generates cyclical solutions. The solution representation is proposed as a model of inverse kinematic transformations in primate nervous systems. Simultaneous calibration of a composition of stereo-camera and manipulator kinematic models is under-determined by equi-output parameter groups in the composition of stereo-camera and Denavit Hartenberg (DH) rnodels. An error measure for simultaneous calibration of a composition of models is derived and parameter subsets with no equi-output groups are determined by numerical experiments to simultaneously calibrate the composition of homogeneous or pan-tilt stereo-camera with DH models. For acceleration of exact Newton second-order re-calibration of DH parameters after a sequential calibration of stereo-camera and DH parameters, an optimal numerical evaluation of DH matrix first order and second order error derivatives with respect to a re-calibration error function is derived, implemented and tested. A distributed object environment for point and click image-based tele-command of manipulators and stereo-cameras is specified and implemented that supports rapid prototyping of numerical experiments in distributed system control. The environment is validated by a hierarchical k-fold cross validated calibration to Cartesian space of a radial basis function regression correction of an affine stereo model. Basic design and performance requirements are defined for scalable virtual micro-kernels that broker inter-Java-virtual-machine remote method invocations between components of secure manageable fault-tolerant open distributed agile Total Quality Managed ISO 9000+ conformant Just in Time manufacturing systems.

Inference by replication in densely connected systems

An efficient Bayesian inference method for problems that can be mapped onto dense graphs is presented. The approach is based on message passing where messages are averaged over a large number of replicated variable systems exposed to the same evidential nodes. An assumption about the symmetry of the solutions is required for carrying out the averages; here we extend the previous derivation based on a replica-symmetric- (RS)-like structure to include a more complex one-step replica-symmetry-breaking-like (1RSB-like) ansatz. To demonstrate the potential of the approach it is employed for studying critical properties of the Ising linear perceptron and for multiuser detection in code division multiple access (CDMA) under different noise models. Results obtained under the RS assumption in the noncritical regime give rise to a highly efficient signal detection algorithm in the context of CDMA; while in the critical regime one observes a first-order transition line that ends in a continuous phase transition point. Finite size effects are also observed. While the 1RSB ansatz is not required for the original problems, it was applied to the CDMA signal detection problem with a more complex noise model that exhibits RSB behavior, resulting in an improvement in performance. © 2007 The American Physical Society.

Kinetic studies of the metathesis of 1-hexene using Re2O7/γ-Al2O3 and the synthesis and metathesis of oxazolines

The kinetics of the metathesis of 1-hexene using Re2O7/-Al_2O_3 as the catalyst were investigated under a variety of conditions. The experiments were carried out under high vacuum conditions. The product solutions were characterised by gas liquid chromatography and mass spectroscopy. The initial kinetics of the metathesis of 1-hexene showed that the reaction was first order in the weight of the catalyst and second order in the concentration of 1-hexene. A kinetic scheme which correlated the experimental data with the metallocarbene chain mechanism postulated by Herisson and Chauvin and the kinetics of the reaction was explained using a model based on the Langmuir-Hinshelwood theory. The low conversion of 1-hexene to its products is due to termination reactions which most likely occur by the decomposition of the metallocyclobutane intermediate to produce a cyclopropane derivative and an inactive centre. The optimum temperature for the metathesis of 1-hexene over Re_2O_7/-Al2O3 is 45oC and above this temperature, the rate of metathesis decreases rapidly. Co-catalysts alter the active sites for metathesis so that the catalyst is more selective to the metathesis of 1-hexene. However, the regeneration of metathesis activity is much worse for promoted catalysts than for the unpromoted. The synthesis and metathesis of 4,4-dimethyl-2-allowbreak (9-decenyl)-1,3-oxazoline and 4,4-dimethyl-2-allowbreak (3-pentenyl)-1,3-oxazoline was attempted and the products were analysed by thin layer chromatography, infra-red, 13C and 1H nmr and mass spectroscopy. Obtaining the oxazolines in a good yield with high purity was difficult and consequently metathesis of the impure products did not occur.

Hydrogels for dermal applications

This thesis is concerned with the development of hydrogels that adhere to skin and can be used for topical or trans dermal release of active compounds for therapeutic or cosmetic use. The suitability of a range of monomers and initiator systems for the production of skin adhesive hydro gels by photopolymerisation was explored and an approximate order of monomer reactivity in aqueous solution was determined. Most notably, the increased reactivity of N-vinyl pyrrolidone within an aqueous system, as compared to its low rate of polymerisation in organic solvents, was observed. The efficacy of a series of photoinitiator systems for the preparation of sheet hydrogels was investigated. Supplementary redox and thermal initiators were also examined. The most successful initiator system was found to be Irgacure 184, which is commonly used in commercial moving web production systems that employ photopolymerisation. The influence of ionic and non-ionic monomers, crosslinking systems, water and glycerol on the adhesive and dynamic mechanical behaviour of partially hydrated hydrogel systems was examined. The aim was to manipulate hydrogel behaviour to modify topical and transdermal delivery capability and investigated the possibility of using monomer combinations that would influence the release characteristics of gels by modifying their hydrophobic and ionic nature. The copolymerisation of neutral monomers (N-vinyl pyrrolidone, N,N-dimethyl acrylamide and N-acryloyl morpholine) with ionic monomers (2-acrylamido-2-methylpropane sulphonic acid; sodium salt, and the potassium salt of 3-sulphopropyl acrylate) formed the basis of the study. Release from fully and partially hydrated hydrogels was studied, using model compounds and a non-steroidal anti-inflammatory drug, Ibuprofen. Release followed a common 3-stage kinetic profile that includes an initial burst phase, a secondary phase of approximate first order release and a final stage of infinitesimally slow release such that the compound is effectively retained within the hydrogel. Use of partition coefficients, the pKa of the active and a knowledge of charge-based and polar interactions of polymer and drug were complementary in interpreting experimental results. In summary, drug ionisation, hydrogel composition and external release medium characteristics interact to influence release behaviour. The information generated provides the basis for the optimal design of hydrogels for specific dermal release applications and some understanding of the limitations of these systems for controlled release applications.

The stability and formulation of topical analgesics

High-performance liquid chromatographic methods are developed for the simultaneous determination of various salicylates, their p-hydroxy isomers and nicotinic acid esters. The method is sensitive enough to detect trace amounts (~µM/L)of the product generated from cross reactivity between the drugs and the vehicle. The developed method also allows analysis of various topical products containing salicylate and nicotinate esters in their formulations. Applying this method, the degradation profiles of salicylates, nicotinates, p-hydroxy benzoate, o-methoxy benzoate and aspirin prodrugs in alkaline media are determined. The profile for alkyl salicylate degradation is found to be first order (A---? B) When the alcoholic radical is similar to that of the ester. In alcohol having a radical different from that of the ester function, the degradation is found to proceed through competitive transesterification and hydrolysis. The intermediates are identified following synthesis and isolation. The rate and extent of transesterification depends on the proportion of alcohol present in the system. Equations are presented to model the time profiles of reactant and product concentration. The reactions are base catalysed and the predominant pathway involves a concerted solvent attack upon the salicylate anion. Competitive hydrolysis of both ester components also follows this mechanism at moderate pH values but rates increase under strongly alkaline conditions as direct hydroxide attack becomes significant. In contrast, transesterification is independent of base concentration once full ionization is accomplished. The competitive hydrolysis is modelled using equations involving the dielectric constant of the medium. A range of other esters are also shown to undergo base-catalysed transesterification. In non-alcoholic solution phenyl salicylate undergoes a concentration-dependent oligomerisation which yields salsalate among the products. Competitive transesterification and hydrolysis also occur in products for topical use which have vehicles based upon alcohol, glycol or glycol polymers. Such reactions may compromise stability assessments, pharmaceutical integrity and delivery profiles.

Formulation of topical non-steroidal anti-inflammatory agents

Reversed-pahse high-performance liquid chromatographic (HPLC) methods were developed for the assay of indomethacin, its decomposition products, ibuprofen and its (tetrahydro-2-furanyl)methyl-, (tetrahydro-2-(2H)pyranyl)methyl- and cyclohexylmethyl esters. The development and application of these HPLC systems were studied. A number of physico-chemical parameters that affect percutaneous absorption were investigated. The pKa values of indomethacin and ibuprofen were determined using the solubility method. Potentiometric titration and the Taft equation were also used for ibuprofen. The incorporation of ethanol or propylene glycol in the solvent resulted in an improvement in the aqueous solubility of these compounds. The partition coefficients were evaluated in order to establish the affinity of these drugs towards the stratum corneum. The stability of indomethacin and of ibuprofen esters were investigated and the effect of temperature and pH on the decomposition rates were studied. The effect of cetyltrimethylammonium bromide on the alkaline degradation of indomethacin was also followed. In the presence of alcohol, indomethacin alcoholysis was observed and the kinetics of decomposition were subjected to non-linear regression analysis and the rate constants for the various pathways were quantified. The non-isothermal, sufactant non-isoconcentration and non-isopH degradation of indomethacin were investigated. The analysis of the data was undertaken using NONISO, a BASIC computer program. The degradation profiles obtained from both non-iso and iso-kinetic studies show that there is close concordance in the results. The metabolic biotransformation of ibuprofen esters was followed using esterases from hog liver and rat skin homogenates. The results showed that the esters were very labile under these conditions. The presence of propylene glycol affected the rates of enzymic hydrolysis of the ester. The hydrolysis is modelled using an equation involving the dielectric constant of the medium. The percutaneous absorption of indomethacin and of ibuprofen and its esters was followed from solutions using an in vitro excised human skin model. The absorption profiles followed first order kinetics. The diffusion process was related to their solubility and to the human skin/solvent partition coefficient. The percutaneous absorption of two ibuprofen esters from suspensions in 20% propylene glycol-water were also followed through rat skin with only ibuprofen being detected in the receiver phase. The sensitivity of ibuprofen esters to enzymic hydrolysis compared to the chemical hydrolysis may prove valuable in the formulation of topical delivery systems.

The modelling of energy efficient drying for DSM (BL)

This thesis investigates the modelling of drying processes for the promotion of market-led Demand Side Management (DSM) as applied to the UK Public Electricity Suppliers. A review of DSM in the electricity supply industry is provided, together with a discussion of the relevant drivers supporting market-led DSM and energy services (ES). The potential opportunities for ES in a fully deregulated energy market are outlined. It is suggested that targeted industrial sector energy efficiency schemes offer significant opportunity for long term customer and supplier benefit. On a process level, industrial drying is highlighted as offering significant scope for the application of energy services. Drying is an energy-intensive process used widely throughout industry. The results of an energy survey suggest that 17.7 per cent of total UK industrial energy use derives from drying processes. Comparison with published work indicates that energy use for drying shows an increasing trend against a background of reducing overall industrial energy use. Airless drying is highlighted as offering potential energy saving and production benefits to industry. To this end, a comprehensive review of the novel airless drying technology and its background theory is made. Advantages and disadvantages of airless operation are defined and the limited market penetration of airless drying is identified, as are the key opportunities for energy saving. Limited literature has been found which details the modelling of energy use for airless drying. A review of drying theory and previous modelling work is made in an attempt to model energy consumption for drying processes. The history of drying models is presented as well as a discussion of the different approaches taken and their relative merits. The viability of deriving energy use from empirical drying data is examined. Adaptive neuro fuzzy inference systems (ANFIS) are successfully applied to the modelling of drying rates for 3 drying technologies, namely convective air, heat pump and airless drying. The ANFIS systems are then integrated into a novel energy services model for the prediction of relative drying times, energy cost and atmospheric carbon dioxide emission levels. The author believes that this work constitutes the first to use fuzzy systems for the modelling of drying performance as an energy services approach to DSM. To gain an insight into the 'real world' use of energy for drying, this thesis presents a unique first-order energy audit of every ceramic sanitaryware manufacturing site in the UK. Previously unknown patterns of energy use are highlighted. Supplementary comments on the timing and use of drying systems are also made. The limitations of such large scope energy surveys are discussed.

An examination of the calcium and strontium site distribution in bioactive glasses through isomorphic neutron diffraction, X-ray diffraction, EXAFS and multinuclear solid state NMR.

Strontium has been substituted for calcium in the glass series (SiO2)49.46(Na2O)26.38(P2O5)1.07(CaO)23.08x(SrO)x (where x = 0, 11.54, 23.08) to elucidate their underlying atomic-scale structural characteristics as a basis for understanding features related to the bioactivity. These bioactive glasses have been investigated using isomorphic neutron and X-ray diffraction, Sr K-edge EXAFS and solid state 17O, 23Na, 29Si, 31P and 43Ca magic-angle-spinning (MAS) NMR. An effective isomorphic substitution first-order difference function has been applied to the neutron diffraction data, confirming that Ca and Sr behave in a similar manner within the glass network, with residual differences attributed to solely the variation in ionic radius between the two species. The diffraction data provides the first direct experimental evidence of split Ca–O nearest-neighbour correlations in these melt quench bioactive glasses, together with an analogous splitting of the Sr–O correlations; the correlations are attributed to the metal ions correlated either to bridging or to non-bridging oxygen atoms. Triple quantum (3Q) 43Ca MAS NMR corroborates the split Ca–O correlations. Successful simplification of the 2 < r (A) < 3 region via the difference method has also revealed two distinct Na environments. These environments are attributed to sodium correlated either to bridging or to nonbridging oxygen atoms. Complementary multinuclear MAS NMR, Sr K-edge EXAFS and X-ray diffraction data supports the structural model presented. The structural sites present will be intimately related to their release properties in physiological fluids such as plasma and saliva, and hence the bioactivity of the material. Detailed structural knowledge is therefore a prerequisite for optimising material design.

Computationsl modelling of dimethyl ether separation and steam reforming in fluidized bed reactors

This study presents a computational fluid dynamic (CFD) study of Dimethyl Ether (DME) gas adsorptive separation and steam reforming (DME-SR) in a large scale Circulating Fluidized Bed (CFB) reactor. The CFD model is based on Eulerian-Eulerian dispersed flow and solved using commercial software (ANSYS FLUENT). Hydrogen is currently receiving increasing interest as an alternative source of clean energy and has high potential applications, including the transportation sector and power generation. Computational fluid dynamic (CFD) modelling has attracted considerable recognition in the engineering sector consequently leading to using it as a tool for process design and optimisation in many industrial processes. In most cases, these processes are difficult or expensive to conduct in lab scale experiments. The CFD provides a cost effective methodology to gain detailed information up to the microscopic level. The main objectives in this project are to: (i) develop a predictive model using ANSYS FLUENT (CFD) commercial code to simulate the flow hydrodynamics, mass transfer, reactions and heat transfer in a large scale dual fluidized bed system for combined gas separation and steam reforming processes (ii) implement a suitable adsorption models in the CFD code, through a user defined function, to predict selective separation of a gas from a mixture (iii) develop a model for dimethyl ether steam reforming (DME-SR) to predict hydrogen production (iv) carry out detailed parametric analysis in order to establish ideal operating conditions for future industrial application. The project has originated from a real industrial case problem in collaboration with the industrial partner Dow Corning (UK) and jointly funded by the Engineering and Physical Research Council (UK) and Dow Corning. The research examined gas separation by adsorption in a bubbling bed, as part of a dual fluidized bed system. The adsorption process was simulated based on the kinetics derived from the experimental data produced as part of a separate PhD project completed under the same fund. The kinetic model was incorporated in FLUENT CFD tool as a pseudo-first order rate equation; some of the parameters for the pseudo-first order kinetics were obtained using MATLAB. The modelling of the DME adsorption in the designed bubbling bed was performed for the first time in this project and highlights the novelty in the investigations. The simulation results were analysed to provide understanding of the flow hydrodynamic, reactor design and optimum operating condition for efficient separation. Bubbling bed validation by estimation of bed expansion and the solid and gas distribution from simulation agreed well with trends seen in the literatures. Parametric analysis on the adsorption process demonstrated that increasing fluidizing velocity reduced adsorption of DME. This is as a result of reduction in the gas residence time which appears to have much effect compared to the solid residence time. The removal efficiency of DME from the bed was found to be more than 88%. Simulation of the DME-SR in FLUENT CFD was conducted using selected kinetics from literature and implemented in the model using an in-house developed user defined function. The validation of the kinetics was achieved by simulating a case to replicate an experimental study of a laboratory scale bubbling bed by Vicente et al [1]. Good agreement was achieved for the validation of the models, which was then applied in the DME-SR in the large scale riser section of the dual fluidized bed system. This is the first study to use the selected DME-SR kinetics in a circulating fluidized bed (CFB) system and for the geometry size proposed for the project. As a result, the simulation produced the first detailed data on the spatial variation and final gas product in such an industrial scale fluidized bed system. The simulation results provided insight in the flow hydrodynamic, reactor design and optimum operating condition. The solid and gas distribution in the CFB was observed to show good agreement with literatures. The parametric analysis showed that the increase in temperature and steam to DME molar ratio increased the production of hydrogen due to the increased DME conversions, whereas the increase in the space velocity has been found to have an adverse effect. Increasing temperature between 200 oC to 350 oC increased DME conversion from 47% to 99% while hydrogen yield increased substantially from 11% to 100%. The CO2 selectivity decreased from 100% to 91% due to the water gas shift reaction favouring CO at higher temperatures. The higher conversions observed as the temperature increased was reflected on the quantity of unreacted DME and methanol concentrations in the product gas, where both decreased to very low values of 0.27 mol% and 0.46 mol% respectively at 350 °C. Increasing the steam to DME molar ratio from 4 to 7.68 increased the DME conversion from 69% to 87%, while the hydrogen yield increased from 40% to 59%. The CO2 selectivity decreased from 100% to 97%. The decrease in the space velocity from 37104 ml/g/h to 15394 ml/g/h increased the DME conversion from 87% to 100% while increasing the hydrogen yield from 59% to 87%. The parametric analysis suggests an operating condition for maximum hydrogen yield is in the region of 300 oC temperatures and Steam/DME molar ratio of 5. The analysis of the industrial sponsor’s case for the given flow and composition of the gas to be treated suggests that 88% of DME can be adsorbed from the bubbling and consequently producing 224.4t/y of hydrogen in the riser section of the dual fluidized bed system. The process also produces 1458.4t/y of CO2 and 127.9t/y of CO as part of the product gas. The developed models and parametric analysis carried out in this study provided essential guideline for future design of DME-SR at industrial level and in particular this work has been of tremendous importance for the industrial collaborator in order to draw conclusions and plan for future potential implementation of the process at an industrial scale.

Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA. © 2004 Taylor and Francis Ltd.

Three-dimensional finite element analysis of the effects of anisotropy on bone mechanical properties measured by nanoindentation

A three-dimensional finite element analysis (FEA) model with elastic-plastic anisotropy was built to investigate the effects of anisotropy on nanoindentation measurements for cortical bone. The FEA model has demonstrated a capability to capture the cortical bone material response under the indentation process. By comparison with the contact area obtained from monitoring the contact profile in FEA simulations, the Oliver-Pharr method was found to underpredict or overpredict the contact area due to the effects of anisotropy. The amount of error (less than 10% for cortical bone) depended on the indentation orientation. The indentation modulus results obtained from FEA simulations at different surface orientations showed a trend similar to experimental results and were also similar to moduli calculated from a mathematical model. The Oliver-Pharr method has been shown to be useful for providing first-order approximations in the analysis of anisotropic mechanical properties of cortical bone, although the indentation modulus is influenced by anisotropy.

Bayesian precalibration of a large stochastic microsimulation model

Calibration of stochastic traffic microsimulation models is a challenging task. This paper proposes a fast iterative probabilistic precalibration framework and demonstrates how it can be successfully applied to a real-world traffic simulation model of a section of the M40 motorway and its surrounding area in the U.K. The efficiency of the method stems from the use of emulators of the stochastic microsimulator, which provides fast surrogates of the traffic model. The use of emulators minimizes the number of microsimulator runs required, and the emulators' probabilistic construction allows for the consideration of the extra uncertainty introduced by the approximation. It is shown that automatic precalibration of this real-world microsimulator, using turn-count observational data, is possible, considering all parameters at once, and that this precalibrated microsimulator improves on the fit to observations compared with the traditional expertly tuned microsimulation. © 2000-2011 IEEE.

Evaluation of 100G DP-QPSK long-haul transmission performance using second order co-pumped Raman laser based amplification

We present, for the first time, a detailed investigation of the impact of second order co-propagating Raman pumping on long-haul 100G WDM DP-QPSK coherent transmission of up to 7082 km using Raman fibre laser based configurations. Signal power and noise distributions along the fibre for each pumping scheme were characterised both numerically and experimentally. Based on these pumping schemes, the Q factor penalties versus co-pump power ratios were experimentally measured and quantified. A significant Q factor penalty of up to 4.15 dB was observed after 1666 km using symmetric bidirectional pumping, compared with counter-pumping only. Our results show that whilst using co-pumping minimises the intra-cavity signal power variation and amplification noise, the Q factor penalty with co-pumping was too great for any advantage to be seen. The relative intensity noise (RIN) characteristics of the induced fibre laser and the output signal, and the intra-cavity RF spectra of the fibre laser are also presented. We attribute the Q factor degradation to RIN induced penalty due to RIN being transferred from the first order fibre laser and second order co-pump to the signal. More importantly, there were two different fibre lasing regimes contributing to the amplification. It was random distributed feedback lasing when using counter-pumping only and conventional Fabry-Perot cavity lasing when using all bidirectional pumping schemes. This also results in significantly different performances due to different laser cavity lengths for these two classes of laser.

Representing spray zone with cross flow as a well-mixed compartment in a high shear granulator

The spray zone is an important region to control nucleation of granules in a high shear granulator. In this study, a spray zone with cross flow is quantified as a well-mixed compartment in a high shear granulator. Granulation kinetics is quantitatively derived at both particle-scale and spray zone-scale. Two spatial decay rates, DGSDR (droplet-granule spatial decay rate) ζDG and DPSDR (droplet-primary particle spatial decay rate) ζDP, which are functions of volume fraction and diameter of particulate species within the powder bed, are defined to simplify the deduction. It is concluded that in cross flow, explicit analytical results show that the droplet concentration is subject to exponential decay with depth which produces a numerically infinite depth of spray zone in a real penetration process. In a well-mixed spray zone, the depth of the spray zone is 4/(ζDG + ζDP) and π2/3(ζDG + ζDP) in cuboid and cylinder shape, respectively. The first-order droplet-based collision rates of, nucleation rate B0 and rewetting rate RW0 are uncorrelated with the flow pattern and shape of the spray zone. The second-order droplet-based collision rate, nucleated granule-granule collision rate RGG, is correlated with the mixing pattern. Finally, a real formulation case of a high shear granulation process is used to estimate the size of the spray zone. The results show that the spray zone is a thin layer at the powder bed surface. We present, for the first time, the spray zone as a well-mixed compartment. The granulation kinetics of a well-mixed spray zone could be integrated into a Population Balance Model (PBM), particularly to aid development of a distributed model for product quality prediction.