The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks

Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.

Utilizing Wide-Area Signals for off-center SVCs to damp interarea oscillations

Wide-Area Measurement Systems (WAMS) provide the opportunity of utilizing remote signals from different locations for the enhancement of power system stability. This paper focuses on the implementation of remote measurements as supplementary signals for off-center Static Var Compensators (SVCs) to damp inter-area oscillations. Combination of participation factor and residue method is used for the selection of most effective stabilizing signal. Speed difference of two generators from separate areas is identified as the best stabilizing signal and used as a supplementary signal for lead-lag controller of SVCs. Time delays of remote measurements and control signals is considered. Wide-Area Damping Controller (WADC) is deployed in Matlab Simulink framework and is tested under different operating conditions. Simulation results reveal that the proposed WADC improve the dynamic characteristic of the system significantly.

A Near-Infrared Reflectance Spectroscopy Method for Direct Analysis of Several Chemical Components and Properties of Fruit, for Example, Chinese Hawthorn

Near-infrared spectroscopy (NIRS) calibrations were developed for the discrimination of Chinese hawthorn (Crataegus pinnatifida Bge. var. major) fruit from three geographical regions as well as for the estimation of the total sugar, total acid, total phenolic content, and total antioxidant activity. Principal component analysis (PCA) was used for the discrimination of the fruit on the basis of their geographical origin. Three pattern recognition methods, linear discriminant analysis, partial least-squares-discriminant analysis, and back-propagation artificial neural networks, were applied to classify and compare these samples. Furthermore, three multivariate calibration models based on the first derivative NIR spectroscopy, partial least-squares regression, back-propagation artificial neural networks, and least-squares-support vector machines, were constructed for quantitative analysis of the four analytes, total sugar, total acid, total phenolic content, and total antioxidant activity, and validated by prediction data sets.

Wide area controls for transient and dynamic stability enhancement

This paper presents a study done into the effectiveness of using local acceleration measurements vs. remote angle measurements in providing stabilising control via SVCs following large disturbances. The system studied was an analogue of the Queensland-New South Wales Interconnection (QNI) and involved the control of an existing Static Var Compensators (SVC) at Sydney West. This study is placed in the context of wide area controls for large systems using aggregated models for groups of machines.

Benthic shift in a Solomon Islands' lagoon : corals to cyanobacteria

In June 2011 a large phytoplankton bloom resulted in a catastrophic mortality event that affected a large coastal embayment in the Solomon Islands. This consisted of an area in excess of 20 km2 of reef and soft sandy habitats in Marovo Lagoon, the largest double barrier lagoon in the world. This embayment is home to over 1200 people leading largely subsistence lifestyles depending on the impacted reefs for majority of their protein needs. A toxic diatom (Psuedo-nitzchia spp.) and toxic dinoflagellate (Pyrodinium bahamense var. compressum) reached concentrations of millions of cells per litre. The senescent phytoplankton bloom led to complete de-oxygenation of the water column that reportedly caused substantial mortality of marine animal life in the immediate area within a rapid timeframe (24 h). Groups affected included holothurians, crabs and reef and pelagic fish species. Dolphins, reptiles and birds were also found dead within the area, indicating algal toxin accumulation in the food chain. Deep reefs and sediments, whilst initially unaffected, have now been blanketed in large cyanobacterial mats which have negatively impacted live coral cover especially within the deep reef zone (> 6 m depth). Reef recovery within the deep zone has been extremely slow and may indicate an alternative state for the system.

An R2R3 MYB transcription factor determines red petal colour in an Actinidia (kiwifruit) hybrid population

Background Red colour in kiwifruit results from the presence of anthocyanin pigments. Their expression, however, is complex, and varies among genotypes, species, tissues and environments. An understanding of the biosynthesis, physiology and genetics of the anthocyanins involved, and the control of their expression in different tissues, is required. A complex, the MBW complex, consisting of R2R3-MYB and bHLH transcription factors together with a WD-repeat protein, activates anthocyanin 3-O-galactosyltransferase (F3GT1) to produce anthocyanins. We examined the expression and genetic control of anthocyanins in flowers of Actinidia hybrid families segregating for red and white petal colour. Results Four inter-related backcross families between Actinidia chinensis Planch. var. chinensis and Actinidia eriantha Benth. were identified that segregated 1:1 for red or white petal colour. Flower pigments consisted of five known anthocyanins (two delphinidin-based and three cyanidin-based) and three unknowns. Intensity and hue differed in red petals from pale pink to deep magenta, and while intensity of colour increased with total concentration of anthocyanin, no association was found between any particular anthocyanin data and hue. Real time qPCR demonstrated that an R2R3 MYB, MYB110a, was expressed at significant levels in red-petalled progeny, but not in individuals with white petals. A microsatellite marker was developed that identified alleles that segregated with red petal colour, but not with ovary, stamen filament, or fruit flesh colour in these families. The marker mapped to chromosome 10 in Actinidia. The white petal phenotype was complemented by syringing Agrobacterium tumefaciens carrying Actinidia 35S::MYB110a into the petal tissue. Red pigments developed in white petals both with, and without, co-transformation with Actinidia bHLH partners. MYB110a was shown to directly activate Actinidia F3GT1 in transient assays. Conclusions The transcription factor, MYB110a, regulates anthocyanin production in petals in this hybrid population, but not in other flower tissues or mature fruit. The identification of delphinidin-based anthocyanins in these flowers provides candidates for colour enhancement in novel fruits.

Cascade multilevel static synchronous compensator configuration for wind farms

Modulation and control of a cascade multilevel static synchronous compensator (STATCOM) configuration to improve the quality of voltage generated by wind power systems are presented. The proposed STATCOM configuration needs only four dc-link capacitors and 24 switches to synthesise nine-level operation. In addition to that, switching losses are further reduced by splitting the voltage source inverter of the STATCOM into two units called the `bulk inverter` and the `conditioning inverter`. The high-power bulk inverter is operated at low frequency whereas the low-power conditioning inverter is operated at high frequency to suppress harmonics produced by the bulk inverter. Fluctuations at the point of common coupling voltage, caused by sudden wind changes, are suppressed by controlling reactive power of the STATCOM. Simulation and experimental results are presented to verify the efficacy of the proposed modulation and control techniques used in the STATCOM.

Does the price of oil interact with clean energy prices in the stock market?

In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of oil. In contrast to the previous studies, we find a positive relationship between oil prices and clean energy prices after structural breaks. There also appears to be a similarity in terms of the market response to both clean energy stock prices and technology stock prices. © 2013 Elsevier B.V.

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011. Understanding the price behavior of commodity prices and the volatility transmission mechanism between these markets and the stock exchanges are crucial for each participant, including governments, traders, portfolio managers, consumers, and producers. For return and volatility spillover, the results show significant transmission among the S&P 500 and commodity markets. The past shocks and volatility of the S&P 500 strongly influenced the oil and gold markets. This study finds that the highest conditional correlations are between the S&P 500 and gold index and the S&P 500 and WTI index. We also analyze the optimal weights and hedge ratios for commodities/S&P 500 portfolio holdings using the estimates for each index. Overall, our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity and commodity markets. © 2013 Elsevier B.V.

Soil N2O emissions under N2-fixing legumes and N-fertilised canola: A reappraisal of emissions factor calculations

Introducing nitrogen (N)-fixing legumes into cereal-based crop rotations reduces synthetic fertiliser-N use and may mitigate soil emissions of nitrous oxide (N2O). Current IPCC calculations assume 100% of legume biomass N as the anthropogenic N input and use 1% of this as an emission factor (EF)—the percentage of input N emitted as N2O. However, legumes also utilise soil inorganic N, so legume-fixed N is typically less than 100% of legume biomass N. In two field experiments, we measured soil N2O emissions from a black Vertosol in sub-tropical Australia for 12 months after sowing of chickpea (Cicer arietinum L.), canola (Brassica napus L.), faba bean (Vicia faba L.), and field pea (Pisum sativum L.). Cumulative N2O emissions from N-fertilised canola (624 g N2O-N ha−1) greatly exceeded those from chickpea (127 g N2O-N ha−1) in Experiment 1. Similarly, N2O emitted from canola (385 g N2O-N ha−1) in Experiment 2 was significantly greater than chickpea (166 g N2O-N ha−1), faba bean (166 g N2O-N ha−1) or field pea (135 g N2O-N ha−1). Highest losses from canola were recorded during the growing season, whereas 75% of the annual N2O losses from the legumes occurred post-harvest. Legume N2-fixation provided 37–43% (chickpea), 54% (field pea) and 64% (faba bean) of total plant biomass N. Using only fixed-N inputs, we calculated EFs for chickpea (0.13–0.31%), field pea (0.18%) and faba bean (0.04%) that were significantly less than N-fertilised canola (0.48–0.78%) (P < 0.05), suggesting legume-fixed N is a less emissive form of N input to the soil than fertiliser N. Inputs of legume-fixed N should be more accurately quantified to properly gauge the potential for legumes to mitigate soil N2O emissions. EF’s from legume crops need to be revised and should include a factor for the proportion of the legume’s N derived from the atmosphere.

Dynamic analysis of small signal voltage instability decoupled from angle instability

This paper presents a methodology for dynamic analysis of short term small signal voltage instability in a multi-machine power system. The formulation of the problem is done by decoupling the angle instability from the voltage instability. The method is based on the incremental reactive current flow network (IRCFN), where the incremental reactive current injection at each bus is related to the incremental voltage magnitude at all the buses. Small signal stability using the eigenvalue analysis is illustrated utilizing a single-machine load bus (SMLB) and three-machine system examples. The role of a static var compensator (SVC) at the load bus is also examined.

Non-invasive assessment of pineapple and mango fruit quality using near infra-red spectroscopy

The potential of near infra-red (NIR) spectroscopy for non-invasive measurement of fruit quality of pineapple (Ananas comosus var. Smooth Cayenne) and mango (Magnifera indica var. Kensington) fruit was assessed. A remote reflectance fibre optic probe, placed in contact with the fruit skin surface in a light-proof box, was used to deliver monochromatic light to the fruit, and to collect NIR reflectance spectra (760–2500 nm). The probe illuminated and collected reflected radiation from an area of about 16 cm2. The NIR spectral attributes were correlated with pineapple juice Brix and with mango flesh dry matter (DM) measured from fruit flesh directly underlying the scanned area. The highest correlations for both fruit were found using the second derivative of the spectra (d2 log 1/R) and an additive calibration equation. Multiple linear regression (MLR) on pineapple fruit spectra (n = 85) gave a calibration equation using d2 log 1/R at wavelengths of 866, 760, 1232 and 832 nm with a multiple coefficient of determination (R2) of 0.75, and a standard error of calibration (SEC) of 1.21 °Brix. Modified partial least squares (MPLS) regression analysis yielded a calibration equation with R2 = 0.91, SEC = 0.69, and a standard error of cross validation (SECV) of 1.09 oBrix. For mango, MLR gave a calibration equation using d2 log 1/R at 904, 872, 1660 and 1516 nm with R2 = 0.90, and SEC = 0.85% DM and a bias of 0.39. Using MPLS analysis, a calibration equation with R2 = 0.98, SEC = 0.54 and SECV = 1.19 was obtained. We conclude that NIR technology offers the potential to assess fruit sweetness in intact whole pineapple and DM in mango fruit, respectively, to within 1° Brix and 1% DM, and could be used for the grading of fruit in fruit packing sheds.

Modernismens förespråkare : Gösta Stenman och hans konstsalong

This dissertation, based on material from Stenman s vast private archive, examines the role played by Swedish-speaking Finnish art dealer Gösta Stenman (1888-1947) and his art gallery, Stenmans Konstsalong, in the Finnish and Swedish art worlds from 1911 to 1947. This archive is examined here for the first time. The analytical framework used for this empirical study derives from Pierre Bourdieu s sociological theories. An art-sociological approach allows for the inclusion of more mechanisms at work in the art world than are typically embraced in such inquiries. This approach provides a fuller understanding of how Stenman attained his standing and central role in the art world in Finland as well as Sweden; enabling us to appreciate how he came to occupy such a prominent position in current art historical writing. All of these issues constitute new areas of research. Taking his cues from the contemporary art world of Paris, Stenman became the year 1914 a modern art dealer like no other in the Nordic countries. This dissertation represents the first academic investigation into his operations, strategies, and objectives, offering insight into not only the art dealer himself but also the functioning of the art market one of the most vital aspects of the art world. A by-product of this work, is that the modern art market in Finland is portrayed, including essential issues related to its growth and development as well as how it altered the conditions under which art could be produced, exhibited and promoted and what this entailed for the art world at large, artists and patrons alike. This first systematic analysis of the operations of Stenman s Konstsalong offers greater understanding of the art worlds of Sweden and Finland in the early twentieth century. The work also looks at how an agent of the art market could move between the fields of art in Sweden and Finland. The manner in which Stenman promoted individual artists, including his relationships with Tyko Sallinen, Helene Schjerfbeck, Juho Mäkelä, Jalmari Ruokokoski, Siri Derkert, Esther Kjerner, Eva Bagge, and many others, also falls within this purview. Stenman s contract with Sallinen from 1913 stands out as a new phenomenon in Finnish art promotion, whereby an artistic career became established via a far-sighted, strategic promotional program. The case study of Stenman s promotion of Schjerfbeck in Sweden provides evidence of the increasingly advanced nature of Stenman s strategies. The title of the dissertation, The Promoter of Modernism, attempts to convey that Stenman was the consummate modernist, modern in his thoughts, his actions, and his approach to art. Keywords: Gösta Stenman, Stenmans konstsalong, Stenmans dotter, art market, modernism, collecting, Novembergruppen, Helene Schjerfbeck, Tyko Sallinen, Juho Mäkelä, Jalmari Ruokokoski, Wäinö Aaltonen, Siri Derkert, Åke Göransson, Esther Kjerner, Eva Bagge.

Filosofins renässans eller modern mystik : Bergsondebatten i Finland

The study examines the debate in Finland at the beginning of the 20th century surrounding the philosophy of Henri Bergson. Both within as well as outside of academic philosophy Bergsonism was adapted to the philosophical and cultural landscape in Finland by a process of selective appropriation. The ambiguous relationship between the sender and the receiver is accentuated in reference to philosophical celebrities such as Bergson, whose reputations spread more quickly than the content of their philosophy and whose names are drawn into the political and social discourse. As a philosophical movement the aim of Bergsonism was to create a scientific philosophy of life as an alternative to both idealism and modern empirical and antimetaphysical currents, during a period when European philosophy was searching for new guidelines after the collapse of the idealistic system philosophies of the 19th century. This reorientation is examined from a Finnish viewpoint and in the light of the process of intellectual importation. The study examines how elements from an international discourse were appropriated within the philosophical field in Finland against a background of changes in the role of the university and the educated elites as well as the position of philosophy within the disciplinary hierarchy. Philosophical reception was guided by expectations that had arisen in a national context, for example when Bergsonism in Finland was adjusted to a moral and educational ideal of self-cultivation, and often served as a means for philosophers to internationalize their own views in order to strengthen their position on the national stage. The study begins with some introductory remarks on the international circulation of ideas from the point of view of the periphery. The second section presents an overview of the shaping of the philosophical field at the turn of the 20th century, the naturalism and positivism of the late 19th century that were the objects of Bergson s critique, and an introduction to the attempts of a philosophy of life to make its way between idealism and naturalism. The third and main section of the study begins with a brief presentation of the main features of the philosophy of Bergson, followed by a closer examination of the different comments and analyses that it gave rise to in Finland. The final section addresses the ideological implications of Bergsonism within the framework of a political annexation of the philosophy of life at the beginning of the 20th century.

New Perspectives on the Roman Coinage on the Eastern Limes in the Late Republican and Roman Imperial Period

The Ph.D. thesis discusses the monetary development in Roman Syria and Judaea in the Late Republican and the Early Imperial Period, from a numismatic, archaeological and historical point of view. In effect, the work focuses on the 1st century B.C. to the 1st century A.D., that is, the assumed time of introduction of Roman denarii to the region. The work benefits from the silver coin hoards of Khirbet Qumran recently published by the author. Though discovered as early as 1955 at Qumran, where the famous Dead Sea Scrolls had been found prior to that in 1947, most hoards remained unpublished until 2007. A second important source utilized is the so-called Tax Law from Palmyra in Syria. Its significance lies in the fact that Palmyra used to be one of the most important cities on the Silk Road, along which luxury goods were transported into the Roman Empire and Rome itself. During the research conducted, studies of the provincial coinage of Judaea (A.D. 6-66) shed new light on the authority of the Roman governors in economic and monetary matters in eastern Mediterranean regions. Furthermore, a new suggestion as to the length of the mandate period of Pontius Pilate is made. The extent of Emperor Augustus monetary reforms as well as the military history of Judaea are discussed in the light of new analytical studies, which show that the production of Roman base metal coins appears to have been a highly controlled process, contrary to popular opinion. Statistical calculations related to the coin alloy revealed striking similarities with Roman and other local metalwork found in Israel; a fact previously unknown. Results indicate that both Roman and local metalwork consisted of outstandingly systematized practises and may have exploited the same metal sources. Information: Kenneth Lönnqvist (*25.7.1962) has studied at the University of Helsinki since 1981. Furthermore, Lönnqvist has lived in the Mediterranean countries and the Near East, and made research there at various scientific institutions and universities for ca. 7 years. Contact and sales of thesis: kenneth.lonnqvist@helsinki.fi