The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric.

Efficiency of pseudo-spectral algorithms with Anderson mixing for the SCFT of periodic block-copolymer phases

This study examines the numerical accuracy, computational cost, and memory requirements of self-consistent field theory (SCFT) calculations when the diffusion equations are solved with various pseudo-spectral methods and the mean field equations are iterated with Anderson mixing. The different methods are tested on the triply-periodic gyroid and spherical phases of a diblock-copolymer melt over a range of intermediate segregations. Anderson mixing is found to be somewhat less effective than when combined with the full-spectral method, but it nevertheless functions admirably well provided that a large number of histories is used. Of the different pseudo-spectral algorithms, the 4th-order one of Ranjan, Qin and Morse performs best, although not quite as efficiently as the full-spectral method.

Wind-driven mixing below the oceanic mixed layer

This study describes the turbulent processes in the upper ocean boundary layer forced by a constant surface stress in the absence of the Coriolis force using large-eddy simulation. The boundary layer that develops has a two-layer structure, a well-mixed layer above a stratified shear layer. The depth of the mixed layer is approximately constant, whereas the depth of the shear layer increases with time. The turbulent momentum flux varies approximately linearly from the surface to the base of the shear layer. There is a maximum in the production of turbulence through shear at the base of the mixed layer. The magnitude of the shear production increases with time. The increase is mainly a result of the increase in the turbulent momentum flux at the base of the mixed layer due to the increase in the depth of the boundary layer. The length scale for the shear turbulence is the boundary layer depth. A simple scaling is proposed for the magnitude of the shear production that depends on the surface forcing and the average mixed layer current. The scaling can be interpreted in terms of the divergence of a mean kinetic energy flux. A simple bulk model of the boundary layer is developed to obtain equations describing the variation of the mixed layer and boundary layer depths with time. The model shows that the rate at which the boundary layer deepens does not depend on the stratification of the thermocline. The bulk model shows that the variation in the mixed layer depth is small as long as the surface buoyancy flux is small.

Symmetry breaking, mixing, instability, and low frequency variability in a minimal Lorenz-like system

Starting from the classical Saltzman two-dimensional convection equations, we derive via a severe spectral truncation a minimal 10 ODE system which includes the thermal effect of viscous dissipation. Neglecting this process leads to a dynamical system which includes a decoupled generalized Lorenz system. The consideration of this process breaks an important symmetry and couples the dynamics of fast and slow variables, with the ensuing modifications to the structural properties of the attractor and of the spectral features. When the relevant nondimensional number (Eckert number Ec) is different from zero, an additional time scale of O(Ec−1) is introduced in the system, as shown with standard multiscale analysis and made clear by several numerical evidences. Moreover, the system is ergodic and hyperbolic, the slow variables feature long-term memory with 1/f3/2 power spectra, and the fast variables feature amplitude modulation. Increasing the strength of the thermal-viscous feedback has a stabilizing effect, as both the metric entropy and the Kaplan-Yorke attractor dimension decrease monotonically with Ec. The analyzed system features very rich dynamics: it overcomes some of the limitations of the Lorenz system and might have prototypical value in relevant processes in complex systems dynamics, such as the interaction between slow and fast variables, the presence of long-term memory, and the associated extreme value statistics. This analysis shows how neglecting the coupling of slow and fast variables only on the basis of scale analysis can be catastrophic. In fact, this leads to spurious invariances that affect essential dynamical properties (ergodicity, hyperbolicity) and that cause the model losing ability in describing intrinsically multiscale processes.

Quantitative analysis of mannitol polymorphs: FT-Raman spectroscopy

Mannitol is a polymorphic excipient which is usually used in pharmaceutical products as the beta form, although other polymorphs (alpha and delta) are common contaminants. Binary mixtures containing beta and delta mannitol were prepared to quantify the concentration of the beta form using FT-Raman spectroscopy. Spectral regions characteristic of each form were selected and peak intensity ratios of beta peaks to delta peaks were calculated. Using these ratios, a correlation curve was established which was then validated by analysing further samples of known composition. The results indicate that levels down to 2% beta could be quantified using this novel, non-destructive approach. Potential errors associated with quantitative studies using FT-Raman spectroscopy were also researched. The principal source of variability arose from inhomogeneities on mixing of the samples; a significant reduction of these errors was observed by reducing and controlling the particle size range. The results show that FT-Raman spectroscopy can be used to rapidly and accurately quantitate polymorphic mixtures.

Carbon and nitrogen isotopic ratios of urine and faeces as novel nutritional biomarkers of meat and fish intake

Purpose Meat and fish consumption are associated with changes in the risk of chronic diseases. Intake is mainly assessed using self-reporting, as no true quantitative nutritional biomarker is available. The measurement of plasma fatty acids, often used as an alternative, is expensive and time-consuming. As meat and fish differ in their stable isotope ratios, δ13C and δ15N have been proposed as biomarkers. However, they have never been investigated in controlled human dietary intervention studies. Objective In a short-term feeding study, we investigated the suitability of δ13C and δ15N in blood, urine and faeces as biomarkers of meat and fish intake. Methods The dietary intervention study (n = 14) followed a randomised cross-over design with three eight-day dietary periods (meat, fish and half-meat–half-fish). In addition, 4 participants completed a vegetarian control period. At the end of each period, 24-h urine, fasting venous blood and faeces were collected and their δ13C and δ15N analysed. Results There was a significant difference between diets in isotope ratios in faeces and urine samples, but not in blood samples (Kruskal–Wallis test, p < 0.0001). In pairwise comparisons, δ13C and δ15N were significantly higher in urine and faecal samples following a fish diet when compared with all other diets, and significantly lower following a vegetarian diet. There was no significant difference in isotope ratio between meat and half-meat–half-fish diets for blood, urine or faecal samples. Conclusions The results of this study show that urinary and faecal δ13C and δ15N are suitable candidate biomarkers for short-term meat and fish intake.

Seasonal temperature variability of the Neoglacial (3300–2500 BP) and Roman Warm Period (2500–1600 BP) reconstructed from oxygen isotope ratios of limpet shells (Patella vulgata), Northwest Scotland

Seasonal sea-surface temperaturevariability for the Neoglacial (3300–2500 BP) and Roman WarmPeriod (RWP; 2500–1600 BP), which correspond to the Bronze and Iron Ages, respectively, was estimated using oxygen isotope ratios obtained from high-resolution samples micromilled from radiocarbon-dated, archaeological limpet (Patella vulgata) shells. The coldest winter months recorded in Neoglacial shells averaged 6.6 ± 0.3 °C, and the warmest summer months averaged 14.7 ± 0.4 °C. One Neoglacial shell captured a year without a summer, which may have resulted from a dust veil from a volcanic eruption in the Katla volcanic system in Iceland. RWP shells record average winter and summer monthly temperatures of 6.3 ± 0.1 °C and 13.3 ± 0.3 °C, respectively. These results capture a cooling transition from the Neoglacial to RWP, which is further supported by earlier studies of pine history in Scotland, pollen type analyses in northeast Scotland, and European glacial events. The cooling transition observed at the boundary between the Neoglacial and RWP in our study also agrees with the abrupt climate deterioration at 2800–2700 BP (also referred to as the Subboreal/Subatlantic transition) and therefore may have been driven by decreased solar radiation and weakened North Atlantic Oscillation conditions.

Synergistic effects of mixing cocksfoot and sainfoin on in vitro rumen fermentation: role of condensed tannins

Some bioactive secondary metabolites in forage legumes can cause digestive interactions, so that the rumen fermentation pattern of a mixture of forages can differ from the average values of its components. The objective of this study was to investigate the potential role of condensed tannins (CT) on the synergistic effects between one grass species, cocksfoot, and one CT-containing legume species, sainfoin, on in vitro rumen fermentation characteristics. Cocksfoot and sainfoin in different proportions (in g/kg, 1000:0, 750:250, 500:500, 250:750 and 0:1000) were incubated under anaerobic conditions in culture bottles containing buffered rumen fluid from sheep. Incubations were carried out using artificial saliva with and without polyethylene glycol (PEG), which binds and thus inactivates CT. Rumen fermentation parameters describing the degradation and the fate of the energetic and nitrogenous substrates were measured at 3.5 and 24 h. At the early fermentation stage, when the sainfoin level increased from 0 to 1000 g/kg, the ammonia concentration in the medium quadratically decreased from 3.20 to 0.53 mmol/l in absence of PEG (P<0.01) but not in its presence. This result demonstrates that sainfoin CT decreased the rumen degradation of the proteins in the whole mixture, including the proteins in cocksfoot, rather than just the proteins in sainfoin. Interestingly, the total gas and methane productions were lower in mixtures incubated in absence of PEG than in presence of PEG (P<0.001) while no significant PEG effect was observed on digestibility. At the late fermentation stage, a positive quadratic effect on dry matter digestibility was detected without PEG (P<0.05), indicating a synergistic action of cocksfoot plus sainfoin on plant substrate degradation due to CT. The presence of PEG increased gas production (P<0.001) and NH3-N concentration in the medium (P<0.001). Our results suggest that CT could allow a better utilization of plant substrates in mixtures by the rumen ecosystem by improving the partitioning of degraded substrates toward lower gas losses, and decreasing the protein degradation.

Oxygen isotope ratios in the shell of Mytilus edulis: archives of glacier meltwater in Greenland?

Melting of the Greenland Ice Sheet (GrIS) is accelerating and will contribute significantly to global sea level rise during the 21st century. Instrumental data on GrIS melting only cover the last few decades, and proxy data extending our knowledge into the past are vital for validating models predicting the influence of ongoing climate change. We investigated a potential meltwater proxy in Godthåbsfjord (West Greenland), where glacier meltwater causes seasonal excursions with lower oxygen isotope water (δ18Ow) values and salinity. The blue mussel (Mytilus edulis) potentially records these variations, because it precipitates its shell calcite in oxygen isotopic equilibrium with ambient seawater. As M. edulis shells are known to occur in raised shorelines and archaeological shell middens from previous Holocene warm periods, this species may be ideal in reconstructing past meltwater dynamics. We investigate its potential as a palaeo-meltwater proxy. First, we confirmed that M. edulis shell calcite oxygen isotope (δ18Oc) values are in equilibrium with ambient water and generally reflect meltwater conditions. Subsequently we investigated if this species recorded the full range of δ18Ow values occurring during the years 2007 to 2010. Results show that δ18Ow values were not recorded at very low salinities (< ~ 19), because the mussels appear to cease growing. This implies that Mytilus edulis δ18Oc values are suitable in reconstructing past meltwater amounts in most cases, but care has to be taken that shells are collected not too close to a glacier, but rather in the mid-region or mouth of the fjord. The focus of future research will expand on the geographical and temporal range of the shell measurements by sampling mussels in other fjords in Greenland along a south–north gradient, and by sampling shells from raised shorelines and archaeological shell middens from prehistoric settlements in Greenland.

Stirring and mixing in two-dimensional divergent flow

While stirring and mixing properties in the stratosphere are reasonably well understood in the context of balanced (slow) dynamics, as is evidenced in numerous studies of chaotic advection, the strongly enhanced presence of high-frequency gravity waves in the mesosphere gives rise to a significant unbalanced (fast) component to the flow. The present investigation analyses result from two idealized shallow-water numerical simulations representative of stratospheric and mesospheric dynamics on a quasi-horizontal isentropic surface. A generalization of the Hua–Klein Eulerian diagnostic to divergent flow reveals that velocity gradients are strongly influenced by the unbalanced component of the flow. The Lagrangian diagnostic of patchiness nevertheless demonstrates the persistence of coherent features in the zonal component of the flow, in contrast to the destruction of coherent features in the meridional component. Single-particle statistics demonstrate t2 scaling for both the stratospheric and mesospheric regimes in the case of zonal dispersion, and distinctive scaling laws for the two regimes in the case of meridional dispersion. This is in contrast to two-particle statistics, which in the mesospheric (unbalanced) regime demonstrate a more rapid approach to Richardson’s t3 law in the case of zonal dispersion and is evidence of enhanced meridional dispersion.