Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.

A novel bogie design made of glass fibre reinforced plastic

This paper presents a completely new design of a bogie-frame made of glass fibre reinforced composites and its performance under various loading conditions predicted by finite element analysis. The bogie consists of two frames, with one placed on top of the other, and two axle ties connecting the axles. Each frame consists of two side arms and a transom between. The top frame is thinner and more compliant and has a higher curvature compared with the bottom frame. Variable vertical stiffness can be achieved before and after the contact between the two frames at the central section of the bogie to cope with different load levels. Finite element analysis played a very important role in the design of this structure. Stiffness and stress levels of the full scale bogie presented in this paper under various loading conditions have been predicted by using Marc provided by MSC Software. In order to verify the finite element analysis (FEA) models, a fifth scale prototype of the bogie has been made and tested under quasi-static loading conditions. Results of testing on the fifth scale bogie have been used to fine tune details like contact and friction in the fifth scale FEA models. These conditions were then applied to the full scale models. Finite element analysis results show that the stress levels in all directions are low compared with material strengths.

Testing of fibre composite leaf spring for heavy axle loads

This paper presents the results of quasi-static and dynamic testing of glass fiber-reinforced polyester leaf suspension for rail freight vehicles named Euroleaf. The principal elements of the suspension's design and manufacturing process are initially summarized. Comparison between quasi-static tests and finite element predictions are then presented. The Euroleaf suspension have been mounted on a tipper wagon and tested dynamically at tare and full load on a purpose-built shaker rig. A shaker rig dynamic testing methodology has been pioneered for rail vehicles, which follows closely road vehicle suspension dynamic testing methodology. The use and evaluation of this methodology have demonstrated that the Euroleaf suspension is dynamically much softer than steel suspensions even though it is statically much stiffer. As a consequence, the suspension dynamic loading at laden loading conditions is reduced compared to the most advanced steel leaf suspension over shaker rig track tests.

Composite control of non-linear singularly perturbed systems: a geometric approach

Using a geometric approach, a composite control—the sum of a slow control and a fast control—is derived for a general class of non-linear singularly perturbed systems. A new and simpler method of composite control design is proposed whereby the fast control is completely designed at the outset. The slow control is then free to be chosen such that the slow integral manifold of the original system approximates a desired design manifold to within any specified order of ε accuracy.

Composite control of non-linear singularly perturbed systems: a geometric approach

Using a geometric approach, a composite control—the sum of a slow control and a fast control—is derived for a general class of non-linear singularly perturbed systems. A new and simpler method of composite control design is proposed whereby the fast control is completely designed at the outset. The slow control is then free to be chosen such that the slow integral manifold of the original system approximates a desired design manifold to within any specified order of ε accuracy.

Linking pesticide exposure and spatial dynamics: An individual-based model of wood mouse (Apodemus sylvaticus) populations in agricultural landscapes

The wood mouse is a common and abundant species in agricultural landscape and is a focal species in pesticide risk assessment. Empirical studies on the ecology of the wood mouse have provided sufficient information for the species to be modelled mechanistically. An individual-based model was constructed to explicitly represent the locations and movement patterns of individual mice. This together with the schedule of pesticide application allows prediction of the risk to the population from pesticide exposure. The model included life-history traits of wood mice as well as typical landscape dynamics in agricultural farmland in the UK. The model obtains a good fit to the available population data and is fit for risk assessment purposes. It can help identify spatio-temporal situations with the largest potential risk of exposure and enables extrapolation from individual-level endpoints to population-level effects. Largest risk of exposure to pesticides was found when good crop growth in the “sink” fields coincided with high “source” population densities in the hedgerows. Keywords: Population dynamics, Pesticides, Ecological risk assessment, Habitat choice, Agent-based model, NetLogo

Granular flow in the marginal ice zone

The region of sea ice near the edge of the sea ice pack is known as the marginal ice zone (MIZ), and its dynamics are complicated by ocean wave interaction with the ice cover, strong gradients in the atmosphere and ocean and variations in sea ice rheology. This paper focuses on the role of sea ice rheology in determining the dynamics of the MIZ. Here, sea ice is treated as a granular material with a composite rheology describing collisional ice floe interaction and plastic interaction. The collisional component of sea ice rheology depends upon the granular temperature, a measure of the kinetic energy of flow fluctuations. A simplified model of the MIZ is introduced consisting of the along and across momentum balance of the sea ice and the balance equation of fluctuation kinetic energy. The steady solution of these equations is found to leading order using elementary methods. This reveals a concentrated region of rapid ice flow parallel to the ice edge, which is in accordance with field observations, and previously called the ice jet. Previous explanations of the ice jet relied upon the existence of ocean currents beneath the ice cover. We show that an ice jet results as a natural consequence of the granular nature of sea ice.

Reconstruction of geomagnetic activity and near-Earth interplanetary conditions over the past 167 yr – Part 1: A new geomagnetic data composite

We present a new composite of geomagnetic activity which is designed to be as homogeneous in its construction as possible. This is done by only combining data that, by virtue of the locations of the source observatories used, have similar responses to solar wind and IMF (interplanetary magnetic field) variations. This will enable us (in Part 2, Lockwood et al., 2013a) to use the new index to reconstruct the interplanetary magnetic field, B, back to 1846 with a full analysis of errors. Allowance is made for the effects of secular change in the geomagnetic field. The composite uses interdiurnal variation data from Helsinki for 1845–1890 (inclusive) and 1893–1896 and from Eskdalemuir from 1911 to the present. The gaps are filled using data from the Potsdam (1891–1892 and 1897–1907) and the nearby Seddin observatories (1908–1910) and intercalibration achieved using the Potsdam–Seddin sequence. The new index is termed IDV(1d) because it employs many of the principles of the IDV index derived by Svalgaard and Cliver (2010), inspired by the u index of Bartels (1932); however, we revert to using one-day (1d) means, as employed by Bartels, because the use of near-midnight values in IDV introduces contamination by the substorm current wedge auroral electrojet, giving noise and a dependence on solar wind speed that varies with latitude. The composite is compared with independent, early data from European-sector stations, Greenwich, St Petersburg, Parc St Maur, and Ekaterinburg, as well as the composite u index, compiled from 2–6 stations by Bartels, and the IDV index of Svalgaard and Cliver. Agreement is found to be extremely good in all cases, except two. Firstly, the Greenwich data are shown to have gradually degraded in quality until new instrumentation was installed in 1915. Secondly, we infer that the Bartels u index is increasingly unreliable before about 1886 and overestimates the solar cycle amplitude between 1872 and 1883 and this is amplified in the proxy data used before 1872. This is therefore also true of the IDV index which makes direct use of the u index values.

Non-steady state heat conduction in composite walls

The problem of heat conduction in one-dimensional piecewise homogeneous composite materials is examined by providing an explicit solution of the one-dimensional heat equation in each domain. The location of the interfaces is known, but neither temperature nor heat flux are prescribed there. Instead, the physical assumptions of their continuity at the interfaces are the only conditions imposed. The problem of two semi-infinite domains and that of two finite-sized domains are examined in detail. We indicate also how to extend the solution method to the setting of one finite-sized domain surrounded on both sides by semi-infinite domains, and on that of three finite-sized domains.

Characterization and antimicrobial efficacy against E. coli of a helium/air plasma at atmospheric pressure created in a plastic package

A plasma source, sustained by the application of a floating high voltage (±15 kV) to parallel-plate electrodes at 50 Hz, has been achieved in a helium/air mixture at atmospheric pressure (P = 105 Pa) contained in a zip-locked plastic package placed in the electrode gap. Some of the physical and antimicrobial properties of this apparatus were established with a view to ascertain its performance as a prototype for the disinfection of fresh produce. The current–voltage (I–V) and charge–voltage (Q–V) characteristics of the system were measured as a function of gap distance d, in the range (3 × 103 ≤ Pd ≤ 1.0 × 104 Pa m). The electrical measurements showed this plasma source to exhibit the characteristic behaviour of a dielectric barrier discharge in the filamentary mode and its properties could be accurately interpreted by the two-capacitance in series model. The power consumed by the discharge and the reduced field strength were found to decrease quadratically from 12.0 W to 4.5 W and linearly from 140 Td to 50 Td, respectively, in the range studied. Emission spectra of the discharge were recorded on a relative intensity scale and the dominant spectral features could be assigned to strong vibrational bands in the 2+ and 1− systems of N2 and ${\rm N}_2^+$ , respectively, with other weak signatures from the NO and OH radicals and the N+, He and O atomic species. Absolute spectral intensities were also recorded and interpreted by comparison with the non-equilibrium synthetic spectra generated by the computer code SPECAIR. At an inter-electrode gap of 0.04 m, this comparison yielded typical values for the electron, vibrational and translational (gas) temperatures of (4980 ± 100) K, (2700 ± 200) K and (300 ± 100) K, respectively and an electron density of 1.0 × 1017 m−3. A Boltzmann plot also provided a value of (3200 ± 200 K) for the vibrational temperature. The antimicrobial efficacy was assessed by studying the resistance of both Escherichia coli K12 its isogenic mutants in soxR, soxS, oxyR, rpoS and dnaK selected to identify possible cellular responses and targets related with 5 min exposure to the active gas in proximity of, but not directly in, the path of the discharge filaments. Both the parent strain and mutants populations were significantly reduced by more than 1.5 log cycles in these conditions, showing the potential of the system. Post-treatment storage studies showed that some transcription regulators and specific genes related to oxidative stress play an important role in the E. coli repair mechanism and that plasma exposure affects specific cell regulator systems.

“Normality is threatened by the Monster”: Robin Wood, Romero and zombies

A tribute to Robin Wood, focusing on his influence on horror criticism, and more specifically, on his appraisal of George A. Romero as ‘a great and audacious filmmaker’ through detailed consideration of his zombie movies. The article considers the key elements of his extraordinary influence on horror criticism, and a detailed examination of the monster which most directly responds to horror’s potential ambivalence: the zombie. In order to consider the ambivalence in the relationship between normality and the monster – that central and most important component of Wood’s horror criticism – created by Romero’s zombies, analysis focuses on the materiality of the films through close attention to the bodies on-screen.