Chemical ageing and transformation of diffusivity in semi-solid multi-component organic aerosol particles

Recent experimental evidence underlines the importance of reduced diffusivity in amorphous semi-solid or glassy atmospheric aerosols. This paper investigates the impact of diffusivity on the ageing of multi-component reactive organic particles representative of atmospheric cooking aerosols. We apply and extend the recently developed KM-SUB model in a study of a 12-component mixture containing oleic and palmitoleic acids. We demonstrate that changes in the diffusivity may explain the evolution of chemical loss rates in ageing semi-solid particles, and we resolve surface and bulk processes under transient reaction conditions considering diffusivities altered by oligomerisation. This new model treatment allows prediction of the ageing of mixed organic multi-component aerosols over atmospherically relevant time scales and conditions. We illustrate the impact of changing diffusivity on the chemical half-life of reactive components in semisolid particles, and we demonstrate how solidification and crust formation at the particle surface can affect the chemical transformation of organic aerosols.

The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decisionmaking.

A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics

Persistence of volatility in futures markets

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another

Diallyl disulphide, a beneficial component of garlic oil, causes a redistribution of cell-cycle growth phases, induces apoptosis and enhances butyrate-induced apoptosis in colorectal adenocarcinoma cells (HT-29)

Colon cancer is a leading and expanding cause of death worldwide. A major contributory factor to this disease is diet composition; some components are beneficial (e.g. dietary fibre) whilst others are detrimental (e.g. alcohol). Garlic oil is a prominent dietary constituent that prevents the development of colorectal cancer. This effect is believed to be mainly due to diallyl disulphide (DADS), which selectively induces redox stress in cancerous (rather than normal) cells which leads to apoptotic cell death. However, the detailed mechanism by which DADS causes apoptosis remains unclear. We show that DADS-treatment of colonic adenocarcinoma cells (HT-29) initiates a cascade of molecular events characteristic of apoptosis. These include a decrease in cellular proliferation, translocation of phosphatidylserine to the plasma-membrane outer-layer, activation of caspase-3, genomic-DNA fragmentation and G2/M phase cell-cycle arrest. Short-chain fatty acids (SCFAs), particularly butyrate (abundantly produced in the gut by bacterial fermentation of dietary polysaccharides), enhance colonic cell integrity but, in contrast, inhibit colonic-cancer cell growth. Combining DADS with butyrate augmented the effect of butyrate on HT-29 cells. These results suggest that the anti-cancerous properties of DADS afford greater benefit when supplied with other favourable dietary factors (SCFA/polysaccharides) that likewise reduce colonic tumour development.

Chemical ageing and transformation of diffusivity in semi-solid multi-component organic aerosol particles

Recent experimental evidence underlines the importance of reduced diffusivity in amorphous semi-solid or glassy atmospheric aerosols. This paper investigates the impact of diffusivity on the ageing of multi-component reactive organic particles approximating atmospheric cooking aerosols. We apply and extend the recently developed KMSUB model in a study of a 12-component mixture containing oleic and palmitoleic acids. We demonstrate that changes in the diffusivity may explain the evolution of chemical loss rates in ageing semi-solid particles, and we resolve surface and bulk processes under transient reaction conditions considering diffusivities altered by oligomerisation. This new model treatment allows prediction of the ageing of mixed organic multi-component aerosols over atmospherically relevant timescales and conditions. We illustrate the impact of changing diffusivity on the chemical half-life of reactive components in semi-solid particles, and we demonstrate how solidification and crust formation at the particle surface can affect the chemical transformation of organic aerosols.