Episodic nonstationarity in exchange rates

We examine a method recently proposed by Hinich and Patterson (mimeo, University of Texas at Austin, 1995) for testing the validity of specifying a GARCH error structure for financial time series data in the context of a set of ten daily Sterling exchange rates. The results demonstrate that there are statistical structures present in the data that cannot be captured by a GARCH model, or any of its variants. This result has important implications for the interpretation of the recent voluminous literature which attempts to model financial asset returns using this family of models.

Linear and non-linear (non-)forecastability of high-frequency exchange rates

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

Considering the Feasibility of Semantic Model Design in the Built-Environment

Building Information Modeling (BIM) is the process of structuring, capturing, creating, and managing a digital representation of physical and/or functional characteristics of a built space [1]. Current BIM has limited ability to represent dynamic semantics, social information, often failing to consider building activity, behavior and context; thus limiting integration with intelligent, built-environment management systems. Research, such as the development of Semantic Exchange Modules, and/or the linking of IFC with semantic web structures, demonstrates the need for building models to better support complex semantic functionality. To implement model semantics effectively, however, it is critical that model designers consider semantic information constructs. This paper discusses semantic models with relation to determining the most suitable information structure. We demonstrate how semantic rigidity can lead to significant long-term problems that can contribute to model failure. A sufficiently detailed feasibility study is advised to maximize the value from the semantic model. In addition we propose a set of questions, to be used during a model’s feasibility study, and guidelines to help assess the most suitable method for managing semantics in a built environment.

Effects of orange juice formulation on prebiotic functionality using an in vitro colonic model sytem

A three-stage continuous fermentative colonic model system was used to monitor in vitro the effect of different orange juice formulations on prebiotic activity. Three different juices with and without Bimuno, a GOS mixture containing galactooligosaccharides (B-GOS) were assessed in terms of their ability to induce a bifidogenic microbiota. The recipe development was based on incorporating 2.75g B-GOS into a 250 ml serving of juice (65°Brix of concentrate juice). Alongside the production of B-GOS juice, a control juice - orange juice without any additional Bimuno and a positive control juice, containing all the components of Bimuno (glucose, galactose and lactose) in the same relative proportions with the exception of B-GOS were developed. Ion Exchange Chromotography analysis was used to test the maintenance of bimuno components after the production process. Data showed that sterilisation had no significant effect on concentration of B-GOS and simple sugars. The three juice formulations were digested under conditions resembling the gastric and small intestinal environments. Main bacterial groups of the faecal microbiota were evaluated throughout the colonic model study using 16S rRNA-based fluorescence in situ hybridization (FISH). Potential effects of supplementation of the juices on microbial metabolism were studied measuring short chain fatty acids (SCFAs) using gas chromatography. Furthermore, B-GOS juices showed positive modulations of the microbiota composition and metabolic activity. In particular, numbers of faecal bifidobacteria and lactobacilli were significantly higher when B-GOS juice was fermented compared to controls. Furthermore, fermentation of B-GOS juice resulted in an increase in Roseburia subcluster and concomitantly increased butyrate production, which is of potential benefit to the host. In conclusion, this study has shown B-GOS within orange juice can have a beneficial effect on the fecal microbiota.

Joint data assimilation of satellite reflectance and net ecosystem exchange data constrains ecosystem carbon fluxes at a high-elevation subalpine forest

We utilized an ecosystem process model (SIPNET, simplified photosynthesis and evapotranspiration model) to estimate carbon fluxes of gross primary productivity and total ecosystem respiration of a high-elevation coniferous forest. The data assimilation routine incorporated aggregated twice-daily measurements of the net ecosystem exchange of CO2 (NEE) and satellite-based reflectance measurements of the fraction of absorbed photosynthetically active radiation (fAPAR) on an eight-day timescale. From these data we conducted a data assimilation experiment with fifteen different combinations of available data using twice-daily NEE, aggregated annual NEE, eight-day f AP AR, and average annual fAPAR. Model parameters were conditioned on three years of NEE and fAPAR data and results were evaluated to determine the information content from the different combinations of data streams. Across the data assimilation experiments conducted, model selection metrics such as the Bayesian Information Criterion and Deviance Information Criterion obtained minimum values when assimilating average annual fAPAR and twice-daily NEE data. Application of wavelet coherence analyses showed higher correlations between measured and modeled fAPAR on longer timescales ranging from 9 to 12 months. There were strong correlations between measured and modeled NEE (R2, coefficient of determination, 0.86), but correlations between measured and modeled eight-day fAPAR were quite poor (R2 = −0.94). We conclude that this inability to determine fAPAR on eight-day timescale would improve with the considerations of the radiative transfer through the plant canopy. Modeled fluxes when assimilating average annual fAPAR and annual NEE were comparable to corresponding results when assimilating twice-daily NEE, albeit at a greater uncertainty. Our results support the conclusion that for this coniferous forest twice-daily NEE data are a critical measurement stream for the data assimilation. The results from this modeling exercise indicate that for this coniferous forest, average annuals for satellite-based fAPAR measurements paired with annual NEE estimates may provide spatial detail to components of ecosystem carbon fluxes in proximity of eddy covariance towers. Inclusion of other independent data streams in the assimilation will also reduce uncertainty on modeled values.

Impact of Interbasin Exchange on the Atlantic Overturning Circulation

The ther mohaline exchange between the Atlantic and the Souther n Ocean is analyzed, using a dataset based on WOCE hydrographic data. It is shown that the salt and heat transports brought about by the South Atlantic subtropical gyre play an essential role in the Atlantic heat and salt budgets. It is found that on average the exported North Atlantic Deep W ater (NADW) is fresher than the retur n flows (basically composed of ther mocline and inter mediate water), indicating that the overtur ning circulation (OC) exports freshwater from the Atlantic. The sensitivity of the OC to interbasin fluxes of heat and salt is studied in a 2 D model, representing the Atlantic between 60 8 N and 30 8 S. The model is forced by mixed boundar y conditions at the sur face, and by realistic fluxes of heat and salt at its 30 8 S boundar y. The model circulation tur ns out to be ver y sensitive to net buoyancy fluxes through the sur face. Both net sur face cooling and net sur face saltening are sources of potential energy and impact positively on the circulation strength. The vertical distributions of the lateral fluxes tend to stabilize the stratification, and, as they extract potential energy from the system, tend to weaken the flow . These results imply that a change in the composition of the NADW retur n transports, whether by a change in the ratio ther mocline/inter mediate water , o r by a change in their ther mohaline characteristics, might influence the Atlantic OC considerably . It is also shown that the circulation is much more sensitive to changes in the shape of the lateral buoyancy flux than to changes in the shape of the sur face buoyancy flux, as the latter does not explicitly impact on the potential energy of the system. It is concluded that interocean fluxes of heat and salt are important for the strength and operation of the Atlantic ther mohaline circulation, and should be correctly represented in models that are used for climate sensitivity studies.

An empirical model comparison for valuing crack spread options

In this paper, we investigate the pricing of crack spread options. Particular emphasis is placed on the question of whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we contrast a bivariate GARCH volatility model for cointegrated underlyings with the alternative of modeling the crack spread directly. Conducting an empirical analysis of crude oil/heating oil and crude oil/gasoline crack spread options traded on the New York Mercantile Exchange, the more simplistic univariate approach is found to be superior with respect to option pricing performance.

Adsorption Isotherms for Removal of Linoleic Acid from Ethanolic Solutions Using the Strong Anion Exchange Resin Amberlyst A26 OH

Adsorption isotherms for the removal of linoleic acid from aqueous ethanol were measured using a strong anion exchange resin (Amberlyst A26 OH). The data for linoleic acid were compared with previously published results for oleic acid. The equilibrium data were correlated using the Langmuir and Freundlich isotherms. Lower average deviations between experimental and calculated results were obtained with the Langmuir model. The capacity of the resin for adsorbing linoleic acid was evaluated at different water contents in ethanol, 100 w = 0.50 to 15.27, and at 298.15 K. The water content in ethanol does not influence significantly the equilibrium behavior, and the strong anion exchange resin has a good performance in the removal of linoleic acid from the liquid phase.

A singular integro-differential equation model for dryout in LMFBR boiler tubes

A 2D steady model for the annular two-phase flow of water and steam in the steam-generating boiler pipes of a liquid metal fast breeder reactor is proposed The model is based on thin-layer lubrication theory and thin aerofoil theory. The exchange of mass between the vapour core and the liquid film due to evaporation of the liquid film is accounted for using some simple thermodynamics models, and the resultant change of phase is modelled by proposing a suitable Stefan problem Appropriate boundary conditions for the now are discussed The resulting non-lineal singular integro-differential equation for the shape of the liquid film free surface is solved both asymptotically and numerically (using some regularization techniques) Predictions for the length to the dryout point from the entry of the annular regime are made The influence of both the traction tau provided by the fast-flowing vapour core on the liquid layer and the mass transfer parameter eta on the dryout length is investigated

D (sJ) (2317) meson production at RHIC

We study the production of D (sJ) (2317) mesons in relativistic heavy ion collisions using the quark coalescence model. The predicted D (sJ) (2317) abundance depends sensitively on the quark structure of the D (sJ) (2317) meson. We have also evaluated the absorption cross sections of the D (sJ) (2317) meson by pi, rho, kaon and K* in a phenomenological hadronic model. We find that the final yield of D (sJ) (2317) mesons remains sensitive to its initial number produced from the quark-gluon plasma, providing thus the possibility of studying the quark structure of the D (sJ) (2317) meson and its production mechanism in relativistic heavy ion collisions.

QCD sum rules study of the meson Z(+)(4430)

We use QCD sum rules to study the recently observed meson Z(+)(4430), considered as a D*D-1 molecule with J(P) = 0(-). We consider the contributions of condensates up to dimension eight and work at leading order in alpha(s). We get m(Z) = (4.40 +/- 0.10) GeV in a very good agreement with the experimental value. We also make predictions for the analogous mesons Z(s) and Z(bb) considered as D-s*D-1 and B*B-1 molecules, respectively. For Z(s) we predict mZ(s) = (4.70 +/- 0.06) GeV, which is above the D-s* D-1 threshold, indicating that it is probably a very broad state and, therefore, difficult to observe experimentally. For Z(bb) we predict m(Zbb) = (10.74 +/- 0.12) GeV, in agreement with quark model predictions. (c) 2008 Elsevier B.V. All rights reserved.

Perpendicular exchange bias in IrMn/Pt/[Co/Pt](3) multilayers with cone magnetization

The perpendicular exchange bias and magnetic anisotropy were investigated in IrMn/Pt/[Co/Pt](3) multilayers through the analysis of in-plane and out-of-plane magnetization hysteresis loops. A phenomenological model was used to simulate the in-plane curves and the effective perpendicular anisotropies were obtained employing the area method. The canted state anisotropy was introduced by taking into account the first and second uniaxial anisotropy terms of the ferromagnet with the corresponding uniaxial anisotropy direction allowed to make a nonzero angle with the film`s normal. This angle, obtained from the fittings, was of approximately 15 degrees for IrMn/[Co/Pt](3) film and decreases with the introduction of Pt in the IrMn/Pt/[Co/Pt](3) system, indicating that the Pt interlayer leads to a predominant perpendicular anisotropy. A maximum of the out-of-plane anisotropy was found between 0.5 and 0.6 nm of Pt, whereas a maximum of the perpendicular exchange bias was found at 0.3 nm. These results are very similar to those obtained for IrMn/Cu/[Co/Pt](3) system; however, the decrease of the exchange bias with the spacer thickness is more abrupt and the enhacement of the perpendicular anisotropy is higher for the case of Cu spacer as compared with that of Pt spacer. The existence of a maximum in the perpendicular exchange bias as a function of the Pt layer thickness was attributed to the predominance of the enhancement of exchange bias due to more perpendicular Co moment orientation over the exponential decrease of the ferromagnetic/antiferromagnetic exchange coupling and, consequently, of the exchange-bias field. (C) 2011 Elsevier B.V. All rights reserved.

Effects of Side-Chain and Electron Exchange Correlation on the Band Structure of Perylene Diimide Liquid Crystals: A Density Functional Study

The structural and electronic properties of perylene diimide liquid crystal PPEEB are studied using ab initio methods based on the density functional theory (I)FT). Using available experimental crystallographic data as a guide, we propose a detailed structural model for the packing of solid PPEEB. We find that due to the localized nature of the band edge wave function, theoretical approaches beyond the standard method, such as hybrid functional (PBE0), are required to correctly characterize the band structure of this material. Moreover, unlike previous assumptions, we observe the formation of hydrogen bonds between the side chains of different molecules, which leads to a dispersion of the energy levels. This result indicates that the side chains of the molecular crystal not only are responsible for its structural conformation but also can be used for tuning the electronic and optical properties of these materials.

Energy and system size dependence of phi meson production in Cu plus Cu and Au plus Au collisions

We study the beam-energy and system-size dependence of phi meson production (using the hadronic decay mode phi -> K(+) K(-)) by comparing the new results from Cu + Cu collisions and previously reported Au + Au collisions at root s(NN) = 62.4 and 200 GeV measured in the STAR experiment at RHIC. Data presented in this Letter are from mid-rapidity (vertical bar y vertical bar < 0.5) for 0.4 < p(T) < 5 GeV/c. At a given beam energy, the transverse momentum distributions for phi mesons are observed to be similar in yield and shape for Cu + Cu and Au + Au colliding systems with similar average numbers of participating nucleons. The phi meson yields in nucleus-nucleus collisions, normalized by the average number of participating nucleons, are found to be enhanced relative to those from p + p collisions. The enhancement for phi mesons lies between strange hadrons having net strangeness = 1 (K(-) and <(A)over bar>) and net strangeness = 2 (Xi). The enhancement for phi mesons is observed to be higher at root s(NN) = 200 GeV compared to 62.4 GeV. These observations for the produced phi(s (s) over bar) mesons clearly suggest that, at these collision energies, the source of enhancement of strange hadrons is related to the formation of a dense partonic medium in high energy nucleus-nucleus collisions and cannot be alone due to canonical suppression of their production in smaller systems. (C) 2009 Elsevier B.V. All rights reserved.

Analysis of Agonist and Antagonist Effects on Thyroid Hormone Receptor Conformation by Hydrogen/Deuterium Exchange

Thyroid hormone receptors (TRs) are ligand-gated transcription factors with critical roles in development and metabolism. Although x-ray structures of TR ligand-binding domains (LBDs) with agonists are available, comparable structures without ligand (apo-TR) or with antagonists are not. It remains important to understand apo-LBD conformation and the way that it rearranges with ligands to develop better TR pharmaceuticals. In this study, we conducted hydrogen/deuterium exchange on TR LBDs with or without agonist (T(3)) or antagonist (NH(3)). Both ligands reduce deuterium incorporation into LBD amide hydrogens, implying tighter overall folding of the domain. As predicted, mass spectroscopic analysis of individual proteolytic peptides after hydrogen/deuterium exchange reveals that ligand increases the degree of solvent protection of regions close to the buried ligand-binding pocket. However, there is also extensive ligand protection of other regions, including the dimer surface at H10-H11, providing evidence for allosteric communication between the ligand-binding pocket and distant interaction surfaces. Surprisingly, C-terminal activation helix H12, which is known to alter position with ligand, remains relatively protected from solvent in all conditions suggesting that it is packed against the LBD irrespective of the presence or type of ligand. T(3), but not NH(3), increases accessibility of the upper part of H3-H5 to solvent, and we propose that TR H12 interacts with this region in apo-TR and that this interaction is blocked by T(3) but not NH(3.) We present data from site-directed mutagenesis experiments and molecular dynamics simulations that lend support to this structural model of apo-TR and its ligand-dependent conformational changes. (Molecular Endocrinology 25: 15-31, 2011)