Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Structural identification of hindered amine light stabilisers in coil coatings using electrospray ionisation tandem mass spectrometry

Hindered amine light stabilisers (HALS) are the most effective antioxidants currently available for polymer systems in post-production, in-service applications, yet the mechanism of their action is still not fully understood. Structural characterisation of HALS in polymer matrices, particularly the identification of structural modifications brought about by oxidative conditions, is critical to aid mechanistic understanding of the prophylactic effects of these molecules. In this work, electrospray ionisation tandem mass spectrometry (ESI-MS/MS) was applied to the analysis of a suite of commercially available 2,2,6,6-tetramethylpiperidine-based HALS. Fragmentation mechanisms for the \[M + H](+) ions are proposed, which provide a rationale for the product ions observed in the MS/MS and MS(3) mass spectra of N-H, N-CH(3), N-C(O)CH(3) and N-OR containing HALS (where R is an alkyl substituent). A common product ion at m/z 123 was identified for the group of antioxidants containing N-H, N-CH3 or N-C(0)CH3 functionality, and this product ion was employed in precursor ion scans on a triple quadrupole mass spectrometer to identify the HALS species present in a crude extract from of a polyester-based coil coating. Using MS/MS, two degradation products were unambiguously identified. This technique provides a simple and selective approach to monitoring HALS structures within complex matrices. Copyright (C) 2010 John Wiley & Sons, Ltd.

Predicting emotional exhaustion among haemodialysis nurses : a structural equation model using Kanter’s structural empowerment theory

Aim To test an explanatory model of the relationships between the nursing work environment, job satisfaction, job stress and emotional exhaustion for haemodialysis nurses, drawing on Kanter's theory of organizational empowerment. Background Understanding the organizational predictors of burnout (emotional exhaustion) in haemodialysis nurses is critical for staff retention and improving nurse and patient outcomes. Previous research has demonstrated high levels of emotional exhaustion among haemodialysis nurses, yet the relationships between nurses' work environment, job satisfaction, stress and emotional exhaustion in this population are poorly understood. Design A cross-sectional online survey. Methods 417 nurses working in haemodialysis units completed an online survey between October 2011–April 2012 using validated measures of the work environment, job satisfaction, job stress and emotional exhaustion. Results Overall, the structural equation model demonstrated adequate fit and we found partial support for the hypothesized relationships. Nurses' work environment had a direct positive effect on job satisfaction, explaining 88% of the variance. Greater job satisfaction, in turn, predicted lower job stress, explaining 82% of the variance. Job satisfaction also had an indirect effect on emotional exhaustion by mitigating job stress. However, job satisfaction did not have a direct effect on emotional exhaustion. Conclusion The work environment of haemodialysis nurses is pivotal to the development of job satisfaction. Nurses' job satisfaction also predicts their level of job stress and emotional exhaustion. Our findings suggest staff retention can be improved by creating empowering work environments that promote job satisfaction among haemodialysis nurses.

A comparison of spatially explicit landscape representation methods and their relationship to stream condition

1. Biodiversity, water quality and ecosystem processes in streams are known to be influenced by the terrestrial landscape over a range of spatial and temporal scales. Lumped attributes (i.e. per cent land use) are often used to characterise the condition of the catchment; however, they are not spatially explicit and do not account for the disproportionate influence of land located near the stream or connected by overland flow. 2. We compared seven landscape representation metrics to determine whether accounting for the spatial proximity and hydrological effects of land use can be used to account for additional variability in indicators of stream ecosystem health. The landscape metrics included the following: a lumped metric, four inverse-distance-weighted (IDW) metrics based on distance to the stream or survey site and two modified IDW metrics that also accounted for the level of hydrologic activity (HA-IDW). Ecosystem health data were obtained from the Ecological Health Monitoring Programme in Southeast Queensland, Australia and included measures of fish, invertebrates, physicochemistry and nutrients collected during two seasons over 4 years. Linear models were fitted to the stream indicators and landscape metrics, by season, and compared using an information-theoretic approach. 3. Although no single metric was most suitable for modelling all stream indicators, lumped metrics rarely performed as well as other metric types. Metrics based on proximity to the stream (IDW and HA-IDW) were more suitable for modelling fish indicators, while the HA-IDW metric based on proximity to the survey site generally outperformed others for invertebrates, irrespective of season. There was consistent support for metrics based on proximity to the survey site (IDW or HA-IDW) for all physicochemical indicators during the dry season, while a HA-IDW metric based on proximity to the stream was suitable for five of the six physicochemical indicators in the post-wet season. Only one nutrient indicator was tested and results showed that catchment area had a significant effect on the relationship between land use metrics and algal stable isotope ratios in both seasons. 4. Spatially explicit methods of landscape representation can clearly improve the predictive ability of many empirical models currently used to study the relationship between landscape, habitat and stream condition. A comparison of different metrics may provide clues about causal pathways and mechanistic processes behind correlative relationships and could be used to target restoration efforts strategically.

A finite volume scheme with preconditioned Lanczos method for two-dimensional space-fractional reaction–diffusion equations

Fractional differential equations have been increasingly used as a powerful tool to model the non-locality and spatial heterogeneity inherent in many real-world problems. However, a constant challenge faced by researchers in this area is the high computational expense of obtaining numerical solutions of these fractional models, owing to the non-local nature of fractional derivatives. In this paper, we introduce a finite volume scheme with preconditioned Lanczos method as an attractive and high-efficiency approach for solving two-dimensional space-fractional reaction–diffusion equations. The computational heart of this approach is the efficient computation of a matrix-function-vector product f(A)bf(A)b, where A A is the matrix representation of the Laplacian obtained from the finite volume method and is non-symmetric. A key aspect of our proposed approach is that the popular Lanczos method for symmetric matrices is applied to this non-symmetric problem, after a suitable transformation. Furthermore, the convergence of the Lanczos method is greatly improved by incorporating a preconditioner. Our approach is show-cased by solving the fractional Fisher equation including a validation of the solution and an analysis of the behaviour of the model.

Vertical displacement measurement using fibre Bragg grating (FBG) sensors for structural health monitoring of bridges

This thesis developed a practical, cost effective, easy-to-use method for measuring the vertical displacements of bridges using fiber Bragg grating (FBG) sensors, which includes the curvature and inclination approaches. These approaches were validated by the numerical simulation tests on a full scale bridge and the laboratory-based tests. In doing so, a novel frictionless FBG inclination sensor with extremely high sensitivity and resolution has also been developed and validated.

Integrating object locations in the memory representation of a spatial layout

The present study investigated how object locations learned separately are integrated and represented as a single spatial layout in memory. Two experiments were conducted in which participants learned a room-sized spatial layout that was divided into two sets of five objects. Results suggested that integration across sets was performed efficiently when it was done during initial encoding of the environment but entailed cost in accuracy when it was attempted at the time of memory retrieval. These findings suggest that, once formed, spatial representations in memory generally remain independent and integrating them into a single representation requires additional cognitive processes.

Deterministic control of structural and optical properties of plasma-grown vertical graphene nanosheet networks via nitrogen gas variation

The effect of nitrogen on the growth of vertically oriented graphene nanosheets on catalyst-free silicon and glass substrates in a plasma-assisted process is studied. Different concentrations of nitrogen were found to act as versatile control knobs that could be used to tailor the length, number density and structural properties of the nanosheets. Nanosheets with different structural characteristics exhibit markedly different optical properties. The nanosheet samples were treated with a bovine serum albumin protein solution to investigate the effects of this variation on the optical properties for biosensing through confocal micro-Raman spectroscopy and UV-Vis spectrophotometry. © 2012 Optical Society of America.

Influence of jet inclination on structural loading in an experimentally simulated microburst

Steady and pulsed flow stationary impinging jets have been employed to simulate the wind field produced by a thunderstorm microburst. The effect on the low level wind field due to jet inclination with respect to the impingement surface has been studied. A single point velocity time history has been compared to the full-scale Andrews AFB microburst for model validation. It was found that for steady flow, jet inclination increased the radial extent of high winds but did not increase the magnitude of these winds when compared to the perpendicular impingement case. It was found that for inclined pulsed flow the design wind conditions could increase compared to perpendicular impingement. It was found that the location of peak winds was affected by varying the outlet conditions.

Composition-dependent structural and electronic properties of α-(Si1−xCx)3N4

The highly unusual structural and electronic properties of the α-phase of (Si1-xCx)3N4 are determined by density functional theory (DFT) calculations using the Generalized Gradient Approximation (GGA). The electronic properties of α-(Si 1-xCx)3N4 are found to be very close to those of α-C3N4. The bandgap of α-(Si 1-xCx)3N4 significantly decreases as C atoms are substituted by Si atoms (in most cases, smaller than that of either α-Si3N4 or α-C3N4) and attains a minimum when the ratio of C to Si is close to 2. On the other hand, the bulk modulus of α-(Si1-xCx)3N 4 is found to be closer to that of α-Si3N 4 than of α-C3N4. Plasma-assisted synthesis experiments of CNx and SiCN films are performed to verify the accuracy of the DFT calculations. TEM measurements confirm the calculated lattice constants, and FT-IR/XPS analysis confirms the formation and lengths of C-N and Si-N bonds. The results of DFT calculations are also in a remarkable agreement with the experiments of other authors.

Structural, optical and electrical properties of Al-doped ZnO transparent conducting oxide for solar cell applications

Al-doped zinc oxide (AZO) thin films are deposited onto glass substrates using radio-frequency reactive magnetron sputtering and the improvements in their physical properties by post-synthesis thermal treatment are reported. X-ray diffraction spectra show that the structure of films can be controlled by adjusting the annealing temperatures, with the best crystallinity obtained at 400°C under a nitrogen atmosphere. These films exhibit improved quality and better optical transmittance as indicated by the UV-Vis spectra. Furthermore, the sheet resistivity is found to decrease from 1.87 × 10-3 to 5.63 × 10-4Ω⋅cm and the carrier mobility increases from 6.47 to 13.43 cm2 ⋅ V-1 ⋅ s-1 at the optimal annealing temperature. Our results demonstrate a simple yet effective way in controlling the structural, optical and electrical properties of AZO thin films, which is important for solar cell applications.

Structural, electronic, and optical properties of wurtzite and rocksalt InN under pressure

Structural stability, electronic, and optical properties of InN under high pressure are studied using the first-principles calculations. The lattice constants and electronic band structure are found consistent with the available experimental and theoretical values. The pressure of the wurtzite-to-rocksalt structural transition is 13.4 GPa, which is in an excellent agreement with the most recent experimental values. The optical characteristics reproduce the experimental data thus justifying the feasibility of our theoretical predictions of the optical properties of InN at high pressures.

The transformation of bureaucracy? Structural change in the Commonwealth public service 1983-93

Commentators have predicted bureaucratic organisations would undergo substantial change as a result of social and economic pressures. We ask whether reforms to the Australian public service over the 1983–93 period exemplify this process. We use the methods of organisational analysis to characterise the direction of change, basing our assessment on the standard structural variables of complexity, formalisation and centralisation, together with a cultural variable. We find evidence that, overall, departments of state in the APS were becoming less bureaucratic in their structure, culture and internal function in the 1983–93 period. However, the effect was not uniform across departments, or unambiguous — formalisation, for example, increased in some respects and decreased in others. Centralisation increased overall, despite devolution of some decision-making.

Structural evolution of nanocrystalline silicon thin films synthesized in high-density, low-temperature reactive plasmas

Silicon thin films with a variable content of nanocrystalline phase were deposited on single-crystal silicon and glass substrates by inductively coupled plasma-assisted chemical vapor deposition using a silane precursor without any hydrogen dilution in the low substrate temperature range from 100 to 300 °C. The structural and optical properties of the deposited films are systematically investigated by Raman spectroscopy, x-ray diffraction, Fourier transform infrared absorption spectroscopy, UV/vis spectroscopy, scanning electron microscopy and high-resolution transmission electron microscopy. It is shown that the structure of the silicon thin films evolves from the purely amorphous phase to the nanocrystalline phase when the substrate temperature is increased from 100 to 150 °C. It is found that the variations of the crystalline fraction fc, bonded hydrogen content CH, optical bandgap ETauc, film microstructure and growth rate Rd are closely related to the substrate temperature. In particular, at a substrate temperature of 300 °C, the nanocrystalline Si thin films of our interest feature a high growth rate of 1.63nms-1, a low hydrogen content of 4.0at.%, a high crystalline fraction of 69.1%, a low optical bandgap of 1.55eV and an almost vertically aligned columnar structure with a mean grain size of approximately 10nm. It is also shown that the low-temperature synthesis of nanocrystalline Si thin films without any hydrogen dilution is attributed to the outstanding dissociation ability of the high-density inductively coupled plasmas and effective plasma-surface interactions during the growth process. Our results offer a highly effective yet simple and environmentally friendly technique to synthesize high-quality nanocrystalline Si films, vitally needed for the development of new-generation solar cells and other emerging nanotechnologies.