Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Causality in crude oil prices

Crude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market. The market share of low-quality crudes is increasing due to the depletion of old fields and increasing demand. This is unnerving the practitioners and affecting the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks (Montepeque, 2005). In this article, we apply Granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends. Our results indicate that some of the old benchmarks are still relevant while others can be disregarded. Our results also interestingly show that the low-quality Mediterranean Russian Urals crude, introduced in the late 1990s, has emerged recently as a significant driver of global prices. © 2011 Taylor & Francis.

The effect of weathering processes on the vertical turbulent dispersion characteristics of crude oil spilled on the sea

Since the Exxon Valdez accident in 1987, renewed interest has come forth to better understand and predict the fate and transport of crude oil lost to marine environments. The short-term fate of an Arabian Crude oil was simulated in laboratory experiments using artificial seawater. The time-dependent changes in the rheological and chemical properties of the oil under the influence of natural weathering processes were characterized, including dispersion behavior of the oil under simulated ocean turbulence. Methodology included monitoring the changes in the chemical composition of the oil by Gas Chromatography/Mass Spectrometry (GCMS), toxicity evaluations for the oil dispersions by Microtox analysis, and quantification of dispersed soluble aromatics by fluorescence spectrometry. Results for this oil show a sharp initial increase in viscosity, due to evaporative losses of lower molecular weight hydrocarbons, with the formation of stable water-in-oil emulsions occurring within one week. Toxicity evaluations indicate a decreased EC-50 value (higher toxicity) occurring after the oil has weathered eight hours, with maximum toxicity being observed after weathering seven days. Particle charge distributions, determined by electrophoretic techniques using a Coulter DELSA 440, reveal that an unstable oil dispersion exists within the size range of 1.5 to 2.5 um, with recombination processes being observed between sequential laser runs of a single sample.

Forecasting the term structure of volatility of crude oil price changes

Peer reviewed

An Investigation of Presumptive Synergism of Oil Palm Bunch Ash and Sawdust Amendments in Remediation of crude oil Spiked Soil

Presumed synergistic effect of combined amendment of crude oil spiked soil with oil palm bunch ash and sawdust was carried out in a laboratory experiment. Two kilogram (2 kg) of sandy soil was placed in each of five plastic vessels labeled TA, TB, TC, TD and TE. TA was left in its natural state while the others were each polluted with 6.7% v/w of crude oil. TB was not given any remediation amendment. TC and TD were each amended with 13.3% of oil palm bunch ash and sawdust respectively while TE was amended with 13.3% each of oil palm bunch ash and sawdust. The setups were replicated five times and watered twice weekly. Results showed that soil pH increased from 8.7±0.04 to 10.5±0.06, 5.3±0.01 to 8.5±0.04 and 5.6±0.18 to 11.5±0.15 for TC, TD and TE respectively. Percentage total petroleum hydrocarbon contents reduced by 65% for TC, TD and 52% for TE. Total organic carbon increased from 7.6±0.7 to 8.5±0.5%%, reduced from 4.0±0.1% to 3.7±0.3% and from 4.1±0.1% to 2.2±1.0% TC, TD and TE respectively. Total nitrogen increased from 0.66±0.1 to 0.69±0.0% for TC, remained nearly the same for TD and reduced from 0.4±0.0 to 0.2±0.0% for TE while average phosphorus increased from 0.4±0.0 to 23.0±4.2 mg/kg, 0.3±0.0 to 1.8±0.4 mg/kg and from 0.2±1.0 mg/kg to 52.6±4.6 mg/kg for TC, TD and TE respectively. Conclusively, combined amendment with oil palm bunch ash and sawdust did not induce synergism in soil total petroleum hydrocarbon content reduction.

Political economy of low sulfurization and air pollution control policy in Japan : SOx emission reduction by fuel conversion

In the early stages of the development of Japan’s environmental policy, sulfur oxide (SOx) emissions, which seriously damage health, was the most important air pollution problem. In the second half of the 1960s and the first half of the 1970s, the measures against SOx emissions progressed quickly, and these emissions were reduced drastically. The most important factor of the reduction was the conversion to a low-sulfur fuel for large-scale fuel users, such as the electric power industry. However, industries started conversion to low-sulfur fuel not due to environmental concerns, but simply to reduce costs. Furthermore, the interaction among the various interests of the electric power industry, oil refineries, the central government, local governments, and citizens over the energy and environmental policies led to the measures against SOx emissions by fuel conversion.

The Mutagenic Potential Caused by the Emissions from Combustion of Crude Glycerin and Diesel Fuel

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

H-1 low- and high-field NMR study of the effects of plasma treatment on the oil and water fractions in crude heavy oil

The chemical and physical properties of a Brazilian heavy oil submitted to plasma treatment were investigated by H-1 low-and high-field nuclear magnetic resonance (NMR) combined to the characterization of rheological properties, thermogravimetry and measurement of basic sediments and water (BSW) content. The crude oil was treated in a dielectric barrier discharge plasma reactor, using natural gas, CO2 or H-2 as working gas. The results indicated a large drop in the water content of the plasma-treated samples as compared to the crude oil, giving rise to a reduction in the viscosity. No significant chemical change was produced in the oil portion itself, as observed by H-1 NMR. The water contents determined by H-1 low-field NMR analyses agreed well with those obtained by BSW, indicating the low-field NMR methods as a useful tool for following the effects of plasma treatments on heavy oils, allowing the separation of the effects caused on the water and oil fractions. (C) 2011 Elsevier Ltd. All rights reserved.

Petroleomics By Electrospray Ionization Ft-icr Mass Spectrometry Coupled To Partial Least Squares With Variable Selection Methods: Prediction Of The Total Acid Number Of Crude Oils.

Negative-ion mode electrospray ionization, ESI(-), with Fourier transform ion cyclotron resonance mass spectrometry (FT-ICR MS) was coupled to a Partial Least Squares (PLS) regression and variable selection methods to estimate the total acid number (TAN) of Brazilian crude oil samples. Generally, ESI(-)-FT-ICR mass spectra present a power of resolution of ca. 500,000 and a mass accuracy less than 1 ppm, producing a data matrix containing over 5700 variables per sample. These variables correspond to heteroatom-containing species detected as deprotonated molecules, [M - H](-) ions, which are identified primarily as naphthenic acids, phenols and carbazole analog species. The TAN values for all samples ranged from 0.06 to 3.61 mg of KOH g(-1). To facilitate the spectral interpretation, three methods of variable selection were studied: variable importance in the projection (VIP), interval partial least squares (iPLS) and elimination of uninformative variables (UVE). The UVE method seems to be more appropriate for selecting important variables, reducing the dimension of the variables to 183 and producing a root mean square error of prediction of 0.32 mg of KOH g(-1). By reducing the size of the data, it was possible to relate the selected variables with their corresponding molecular formulas, thus identifying the main chemical species responsible for the TAN values.

Fractionation and interesterification of palm (Elaeis guineensis) oil from Peruvian Amazon

In the present work, the physical and chemical characteristics of the fruit of the oily palm coming from the river basin of the Manitf (Region Loreto - Peru) were studied. Also, the fractionation of the palm oil and the interesterification of mixtures of palm oil/estearin was carried out. Physico- chemical properties of the crude oil and of the products obtained and fatty acids were analysed by gas chromatography The level of saturated fatty acids increased from 51,17% in the palm oil to 54,31% in the stearin. The best products for the food industry were the interesterified samples as they had melting points close to 37 degrees C.

Application of Fluorescence to the Study of Crude Petroleum

Crude petroleum oils are complex mixtures of different compounds (mainly organic), which are obtained from an extensive range of different geological sources. The fluorescence of crude petroleum oils derives largely from the aromatic hydrocarbon fraction, and this fluorescence emission is strongly influenced by the chemical composition (e.g., fluorophore and quencher concentrations) and physical characteristics (e.g., viscosity and optical density) of the oil. The fluorescence spectroscopy (FS) is increasingly used in petroleum technology due the availability of better optical detection techniques, because FS offers high sensitivity, good diagnostic potential, and relatively simple instrumentation. In this work we analyzed crude petroleum at different dilution in Nujol, a transparent mineral oil. The main objective of this work was to verify the possibility to measure crude oil emission spectroscopic without use of volatile solvents. The mixtures of nujol with different -crude oil concentrations were measured with a 10 mm optical path cuvette thus simplifying the fluorescence spectroscopy signal detection. The emission spectra were obtained by exciting the samples with a 400 W Xenon lamp at 350 nm, 450 nm and 532 nm. The emissions of the samples were collected perpendicularly with the excitation axis.

Weathering of hydrocarbons in mangrove sediments: testing the effects of using dispersants to treat oil spills

This field study was a combined chemical and biological investigation of the relative effects of using dispersants to treat oil spills impacting mangrove habitats. The aim of the chemistry was to determine whether dispersant affected the short- or long-term composition of a medium range crude oil (Gippsland) stranded in a tropical mangrove environment in Queensland, Australia. Sediment cores from three replicate plots of each treatment (oil only and oil plus dispersant) were analyzed for total hydrocarbons and for individual molecular markers (alkanes, aromatics, triterpanes, and steranes). Sediments were collected at 2 days, then 1, 7, 13 and 22 months post-spill. Over this time, oil in the six treated plots decreased exponentially from 36.6 +/- 16.5 to 1.2 +/- 0.8 mg/g dry wt. There was no statistical difference in initial oil concentrations, penetration of oil to depth, or in the rates of oil dissipation between oiled or dispersed oil plots. At 13 months, alkanes were >50% degraded, aromatics were similar to 30% degraded based upon ratios of labile to resistant markers. However, there was no change in the triterpane or sterane biomarker signatures of the retained oil. This is of general forensic interest for pollution events. The predominant removal processes were evaporation (less than or equal to 27%) and dissolution (greater than or equal to 56%), with a lag-phase of 1 month before the start of significant microbial degradation (less than or equal to 7%). The most resistant fraction of the oil that remained after 7 months (the higher molecular weight hydrocarbons) correlated with the initial total organic carbon content of the soil. Removal rate in the Queensland mangroves was significantly faster than that observed in the Caribbean and was related to tidal flushing. (C) 1999 Elsevier Science Ltd. All rights reserved.

The macroeconomic effects of (different) oil shocks: A VAR approach

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

First day of an oil spill on the open sea: early mass transfers of hydrocarbons to air and water.

During the first hours after release of petroleum at sea, crude oil hydrocarbons partition rapidly into air and water. However, limited information is available about very early evaporation and dissolution processes. We report on the composition of the oil slick during the first day after a permitted, unrestrained 4.3 m(3) oil release conducted on the North Sea. Rapid mass transfers of volatile and soluble hydrocarbons were observed, with >50% of ≤C17 hydrocarbons disappearing within 25 h from this oil slick of <10 km(2) area and <10 μm thickness. For oil sheen, >50% losses of ≤C16 hydrocarbons were observed after 1 h. We developed a mass transfer model to describe the evolution of oil slick chemical composition and water column hydrocarbon concentrations. The model was parametrized based on environmental conditions and hydrocarbon partitioning properties estimated from comprehensive two-dimensional gas chromatography (GC×GC) retention data. The model correctly predicted the observed fractionation of petroleum hydrocarbons in the oil slick resulting from evaporation and dissolution. This is the first report on the broad-spectrum compositional changes in oil during the first day of a spill at the sea surface. Expected outcomes under other environmental conditions are discussed, as well as comparisons to other models.

Generalist hydrocarbon-degrading bacterial communities in the oil-polluted water column of the North Sea.

The aim of this work was to determine the effect of light crude oil on bacterial communities during an experimental oil spill in the North Sea and in mesocosms (simulating a heavy, enclosed oil spill), and to isolate and characterize hydrocarbon-degrading bacteria from the water column. No oil-induced changes in bacterial community (3 m below the sea surface) were observed 32 h after the experimental spill at sea. In contrast, there was a decrease in the dominant SAR11 phylotype and an increase in Pseudoalteromonas spp. in the oiled mesocosms (investigated by 16S rRNA gene analysis using denaturing gradient gel electrophoresis), as a consequence of the longer incubation, closer proximity of the samples to oil, and the lack of replenishment with seawater. A total of 216 strains were isolated from hydrocarbon enrichment cultures, predominantly belonging to the genus Pseudoaltero monas; most strains grew on PAHs, branched and straight-chain alkanes, as well as many other carbon sources. No obligate hydrocarbonoclastic bacteria were isolated or detected, highlighting the potential importance of cosmopolitan marine generalists like Pseudoalteromonas spp. in degrading hydrocarbons in the water column beneath an oil slick, and revealing the susceptibility to oil pollution of SAR11, the most abundant bacterial clade in the surface ocean.