Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates

Reducible diffusions (RDs) are nonlinear transformations of analytically solvable Basic Diffusions (BDs). Hence, by construction RDs are analytically tractable and flexible diffusion processes. Existing literature on RDs has mostly focused on time-homogeneous transformations, which to a significant extent fail to explore the full potential of RDs from both theoretical and practical points of view. In this paper, we propose flexible and economically justifiable time variations to the transformations of RDs. Concentrating on the Constant Elasticity Variance (CEV) RDs, we consider nonlinear dynamics for our time-varying transformations with both deterministic and stochastic designs. Such time variations can greatly enhance the flexibility of RDs while maintaining sufficient tractability of the resulting models. In the meantime, our modeling approach enjoys the benefits of classical inferential techniques such as the Maximum Likelihood (ML). Our application to the UK and the US short-term interest rates suggests that from an empirical point of view time-varying transformations are highly relevant and statistically significant. We expect that the proposed models can describe more truthfully the dynamic time-varying behavior of economic and financial variables and potentially improve out-of-sample forecasts significantly.

Scyphozoan jellyfish provide short-term reproductive habitat for hyperiid amphipods in a temperate near-shore environment

Hyperiid amphipods (Order Amphipoda, Suborder Hyperiidea) are known to infest gelatinous zooplankton. However, the temporal backdrop to these associations is less clear, given that data are often gathered during discrete sampling events rather than over time. In general, hyperiids are considered to be pelagic: however, for individuals associated with metagenic jellyfishes in temperate shallow shelf seas, this may not always be the case, as the majority of their gelatinous hosts are present in the water column from spring to the onset of autumn. Here, we explored the temporal patterns of colonisation and overall duration of the association between Hyperia galba and 3 scyphozoan jellyfish species (Aurelia aurita, Cyanea capillata and C. lamarckii) in a temperate coastal system (Strangford Lough, Northern Ireland) during 2010 and 2012. Concomitantly, we used carbon and nitrogen stable isotope ratios to examine whether hyperiid infestation represented a permanent association with their host or was part of a more complex life history. We found that jellyfish were colonised by H. galba ca. 2 mo after they are first observed in the lough and that H. galba reached 100% prevalence in the different jellyfish species shortly before the medusae of each species disappeared from the water column. It is possible that some jellyfish overwintered in deeper water, prolonging the association between H. galba and their hosts. However, all the medusae sampled during the spring and early summer (whether they were newly emerged or had overwintered from the previous season) were not infected with hyperiids, suggesting that such behaviour was uncommon or that individuals had become dissociated from their host during the winter. Further evidence of temporary association came from stable isotope data, where δ13C and δ15N isotope ratios were indicative of feeding outside of their host prior to jellyfish colonisation. In combination, these findings suggest alternating habitat associations for H. galba, with the amphipods spending the majority of the year outside of the 3 scyphozoan species considered here.

Seasonal variation in month of diagnosis in children with type 1 diabetes registered in 23 European centers during 1989-2008: little short-term influence of sunshine hours or average temperature

BACKGROUND: The month of diagnosis in childhood type 1 diabetes shows seasonal variation.

OBJECTIVE: We describe the pattern and investigate if year-to-year irregularities are associated with meteorological factors using data from 50 000 children diagnosed under the age of 15 yr in 23 population-based European registries during 1989-2008.

METHODS: Tests for seasonal variation in monthly counts aggregated over the 20 yr period were performed. Time series regression was used to investigate if sunshine hour and average temperature data were predictive of the 240 monthly diagnosis counts after taking account of seasonality and long term trends.

RESULTS: Significant sinusoidal pattern was evident in all but two small centers with peaks in November to February and relative amplitudes ranging from ±11 to ±38% (median ±17%). However, most centers showed significant departures from a sinusoidal pattern. Pooling results over centers, there was significant seasonal variation in each age-group at diagnosis, with least seasonal variation in those under 5 yr. Boys showed greater seasonal variation than girls, particularly those aged 10-14 yr. There were no differences in seasonal pattern between four 5-yr sub-periods. Departures from the sinusoidal trend in monthly diagnoses in the period were significantly associated with deviations from the norm in average temperature (0.8% reduction in diagnoses per 1 °C excess) but not with sunshine hours.

CONCLUSIONS: Seasonality was consistently apparent throughout the period in all age-groups and both sexes, but girls and the under 5 s showed less marked variation. Neither sunshine hour nor average temperature data contributed in any substantial way to explaining departures from the sinusoidal pattern.

System flexibility provision using short term grid scale storage

This paper presents a novel analysis of the utilisation of small grid scale energy storage to mitigate negative system operational impacts due to high penetrations of wind power. This was investigated by artificially lowering the minimum stable generation level of a gas thermal generating unit coupled to a storage device over a five hour storage charging window using a unit commitment and economic dispatch model. The key findings of the analysis were a 0.18% reduction in wind curtailment, a 2.35 MW/min reduction in the ramping rate required to be met by all generators in the test system during a representative period and a total generation cost reduction of €6.5 million.

An ultra-short-term wind power prediction method using “offline classification and optimization, online model matching” based on time series features

The applicability of ultra-short-term wind power prediction (USTWPP) models is reviewed. The USTWPP method proposed extracts featrues from historical data of wind power time series (WPTS), and classifies every short WPTS into one of several different subsets well defined by stationary patterns. All the WPTS that cannot match any one of the stationary patterns are sorted into the subset of nonstationary pattern. Every above WPTS subset needs a USTWPP model specially optimized for it offline. For on-line application, the pattern of the last short WPTS is recognized, then the corresponding prediction model is called for USTWPP. The validity of the proposed method is verified by simulations.

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Price declines over the previous quarter lead to stronger reversals across the subsequent two months. We explain this finding based on the dual notions that liquidity provision can influence reversals, and agents that act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks, and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance accounts for the link between return reversals and past returns.

Microstructural evolution and mechanical properties of short-term thermally exposed 9/12Cr heat-resistant steels

The microstructural evolution during short-term (up to 3000 hours) thermal exposure of three 9/12Cr heat-resistant steels was studied, as well as the mechanical properties after exposure. The tempered martensitic lath structure, as well as the precipitation of carbide and MX type carbonitrides in the steel matrix, was stable after 3000 hours of exposure at 873 K (600 °C). A microstructure observation showed that during the short-term thermal exposure process, the change of mechanical properties was caused mainly by the formation and growth of Laves-phase precipitates in the steels. On thermal exposure, with an increase of cobalt and tungsten contents, cobalt could promote the segregation of tungsten along the martensite lath to form Laves phase, and a large size and high density of Laves-phase precipitates along the grain boundaries could lead to the brittle intergranular fracture of the steels.

Cyclosporin A and short-term methotrexate versus cyclosporin A as graft versus host disease prophylaxis in patients with severe aplastic anemia given allogeneic bone marrow transplantation from an HLA-identical sibling:results of a GITMO/EBMT randomized trial

A randomized trial was carried out comparing cyclosporin A (CsA) and short-term methotrexate (MTX) versus CsA alone for graft versus host disease (GVHD) prophylaxis in patients with severe aplastic anemia (SAA) undergoing allogeneic bone marrow transplantation (BMT) from a compatible sibling. Seventy-one patients (median age, 19 years; range, 4-46 years) were randomized to receive either CsA and MTX or CsA alone for the first 3 weeks after BMT. Subsequently, both groups received CsA orally, with gradual drug reduction until discontinuation 8 to 12 months after BMT. Patients randomized in both arms had comparable characteristics and received the same preparative regimen (ie, cyclophosphamide 200 mg/kg over 4 days). The median time for neutrophil engraftment was 17 days (range, 11-31 days) and 12 days (range, 4-45 days) for patients in the CsA/MTX group and the CsA alone group, respectively (P =.01). No significant difference was observed in the probability of either grade 2, grade 3, or grade 4 acute GVHD or chronic GVHD developing in the 2 groups. The Kaplan-Meier estimates of 1-year transplantation-related mortality rates for patients given either CsA/MTX or CsA alone were 3% and 15%, respectively (P =.07). With a median follow-up of 48 months from BMT, the 5-year survival probability is 94% for patients in the CsA/MTX group and 78% for those in the CsA alone group (P =. 05). These data indicate that the use of CsA with MTX is associated with improved survival in patients with SAA who receive transplants from compatible siblings. (Blood. 2000;96:1690-1697)

RAIN EVENTS INFLUENCE SHORT-TERM FEEDING PREFERENCES IN THE SNAIL CEPAEA NEMORALIS

Terrestrial gastropods are both herbivores and detritivores, but the ratio between these two modes of feeding can be highly variable over time. While previous studies have examined long-term seasonal patterns in the consumption of fresh material, mechanisms explaining short-term variation in dietary preferences have not been explored. We used faecal analysis to determine how short-term variation in weather affects the ratio of herbivory to detritivory in the land snail Cepaea nemoralis. Averaged across sampling dates, c. 9% of the faeces were composed of fresh plant material, with the remainder consisting of plant litter and soil. Temperature, relative humidity and soil moisture did not affect the proportional consumption of fresh material; however, snails consumed more soil with increasing temperature. If there had not been a recent precipitation event, the mean proportion of fresh material in the faeces more than doubled on average; however, this increase only occurred in areas of low herbaceous cover. Our results suggest that an increased proportion of snails consume fresh material during dry periods to compensate for water losses. Moreover, our study highlights that studies of dietary composition in the field need to account for short-term variation in feeding
preferences caused by weather.

A novel TRNSYS type for short-term borehole heat exchanger simulation: B2G model

Models of ground source heat pump (GSHP) systems are used as an aid for the correct design and optimization of the system. For this purpose, it is necessary to develop models which correctly reproduce the dynamic thermal behavior of each component in a short-term basis. Since the borehole heat exchanger (BHE) is one of the main components, special attention should be paid to ensuring a good accuracy on the prediction of the short-term response of the boreholes. The BHE models found in literature which are suitable for short-term simulations usually present high computational costs. In this work, a novel TRNSYS type implementing a borehole-to-ground (B2G) model, developed for modeling the short-term dynamic performance of a BHE with low computational cost, is presented. The model has been validated against experimental data from a GSHP system located at Universitat Politècnica de València, Spain. Validation results show the ability of the model to reproduce the short-term behavior of the borehole, both for a step-test and under normal operating conditions.

SHORT-TERM EFFECTS OF SALINITY ON SOME PHYSIOLOGICAL PARAMETERS OF YOUNG OLIVE TREES OF ARBEQUINA, COBRANÇOSA AND GALEGA VARIETIES

SHORT-TERM EFFECTS OF SALINITY ON SOME PHYSIOLOGICAL PARAMETERS OF YOUNG OLIVE TREES OF ARBEQUINA, COBRANÇOSA AND GALEGA VARIETIES Ana Elisa Rato1,4, Renato Coelho1, Margarida Vaz1, Teresa Carola2, Dália Barbosa2, Nádia Silva1, José dos Santos2, Lourenço Machado2, João Godinho2, Luzia Ruas2, Margarida Barradas2, Hernani Pereira2, Sara Porfírio4 1 ICAAM, Universidade de Évora, Apartado 94, 7002-554 Évora, Portugal 2 Master students, Universidade de Évora, Apartado 94, 7002-554 Évora, Portugal 3 Ph.D. student, Universidade de Évora, Apartado 94, 7002-554 Évora, Portugal 4 aerato@uevora.pt Due to the desertification in some regions, the interest in plant’s tolerance to salinity has been increasing, as this response is determining for plant survival in stress conditions. This work reports the investigation of tolerance to salt in two year-old olive trees (Olea europaea L.) of three varieties, Arbequina, Cobrançosa and Galega vulgar. Plants were grown in 10 L plastic pots containing approximately 9 Kg of a sandy granitic soil, on a greenhouse. For 3 months (from the beginning of February to the end of April 2012), they were subjected to three levels of salinity in the irrigation water, 0 mM, 80 mM and 200 mM NaCl (6 plants per salinity level in a total of 18 plants of each variety),. Stomatal conductance (gs) and relative leaf chlorophyll content were assessed on each plant in February, March and April. Mid-day leaf water potential () and soil salinity were measured at the end of the experiment (April). On average, concerning all treatments and dates of determination, stomatal conductance of Arbequina and Galega vulgar was quite similar, around 40 mmol m-2 s-1, but Cobrançosa had a value of gs 36% higher, almost 50% higher (61 mmol m-2 s-1) when compared with the controls (0 mM salt) of the other two varieties. In percentage of controls, there was little difference in gs between varieties and between salinities during February and March. In contrast, in April, after about 90 days of exposure to salt, there was a clear decrease in gs with salt irrigation, proportional to salt concentration. Compared with controls, plants irrigated with 200 mM salt showed around 80% (Arbequina) or 85% (Cobrançosa and Galega vulgar) decrease in gs. Chlorophyll content of leaves showed less than 5% difference between varieties on the average of all treatments and dates of determination. During the course of this experiment, the salinity levels used did not show any relevant effect on chlorophyll content. Overall, at the end of the experimental period (April), leaf water potential () at midday was significantly higher in Cobrançosa (-1,4 MPa) than in Galega vulgar (-1,7 MPa) or Arbequina (-1,8 MPa), and salt decreased  of control plants (-1,25 MPa) by an average 30% (with 80 mM) and 65% (with 200 mM). At the end of the experiment, salinity in the soil irrigated with 0 mM, 80 mM or 200 mM NaCl was, on average of all varieties, 0,2 mS, 1,0 mS or 2,0 mS, respectively. Soil salinity was quite similar in Arbequina and Galega vulgar but about 35% lower in the pots of Cobrançosa, on average of all salt-irrigation levels. Plants of Cobrançosa had higher stomatal conductance, however they showed higher water potential and lower salinity in the soil. These apparently contradictory results seem to suggest that Cobrançosa responds to salt differently from the other two varieties. This issue needs further investigation.