Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage

In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying parameters or structural breaks in these pricing relationships. Compared to previous studies, we find stronger evidence of seasonality in the basis, which supports the theory of storage. The power of the basis to forecast subsequent price changes is also strengthened, while results on the presence of a risk premium are inconclusive. In addition, we show that the forecasting power of commodity futures cannot be attributed to the extent to which they exhibit seasonality. We find that in most cases where structural breaks occur, only changes in the intercepts and not the slopes are detected, illustrating that the forecast power of the basis is stable over different economic environments.

Spectral theory of some non-selfadjoint linear differential operators

We give a characterisation of the spectral properties of linear differential operators with constant coefficients, acting on functions defined on a bounded interval, and determined by general linear boundary conditions. The boundary conditions may be such that the resulting operator is not selfadjoint. We associate the spectral properties of such an operator $S$ with the properties of the solution of a corresponding boundary value problem for the partial differential equation $\partial_t q \pm iSq=0$. Namely, we are able to establish an explicit correspondence between the properties of the family of eigenfunctions of the operator, and in particular whether this family is a basis, and the existence and properties of the unique solution of the associated boundary value problem. When such a unique solution exists, we consider its representation as a complex contour integral that is obtained using a transform method recently proposed by Fokas and one of the authors. The analyticity properties of the integrand in this representation are crucial for studying the spectral theory of the associated operator.

A unified theory of balance in the extratropics

Many physical systems exhibit dynamics with vastly different time scales. Often the different motions interact only weakly and the slow dynamics is naturally constrained to a subspace of phase space, in the vicinity of a slow manifold. In geophysical fluid dynamics this reduction in phase space is called balance. Classically, balance is understood by way of the Rossby number R or the Froude number F; either R ≪ 1 or F ≪ 1. We examined the shallow-water equations and Boussinesq equations on an f -plane and determined a dimensionless parameter _, small values of which imply a time-scale separation. In terms of R and F, ∈= RF/√(R^2+R^2 ) We then developed a unified theory of (extratropical) balance based on _ that includes all cases of small R and/or small F. The leading-order systems are ensured to be Hamiltonian and turn out to be governed by the quasi-geostrophic potential-vorticity equation. However, the height field is not necessarily in geostrophic balance, so the leading-order dynamics are more general than in quasi-geostrophy. Thus the quasi-geostrophic potential-vorticity equation (as distinct from the quasi-geostrophic dynamics) is valid more generally than its traditional derivation would suggest. In the case of the Boussinesq equations, we have found that balanced dynamics generally implies hydrostatic balance without any assumption on the aspect ratio; only when the Froude number is not small and it is the Rossby number that guarantees a timescale separation must we impose the requirement of a small aspect ratio to ensure hydrostatic balance.

Self-organized 40Hz synchronization in a physiological theory of EEG

We present evidence that large-scale spatial coherence of 40 Hz oscillations can emerge dynamically in a cortical mean field theory. The simulated synchronization time scale is about 150 ms, which compares well with experimental data on large-scale integration during cognitive tasks. The same model has previously provided consistent descriptions of the human EEG at rest, with tranquilizers, under anesthesia, and during anesthetic-induced epileptic seizures. The emergence of coherent gamma band activity is brought about by changing just one physiological parameter until cortex becomes marginally unstable for a small range of wavelengths. This suggests for future study a model of dynamic computation at the edge of cortical stability.

Wavelet-based ULF wave diagnosis of substorm expansion phase onset

Using a discrete wavelet transform with a Meyer wavelet basis, we present a new quantitative algorithm for determining the onset time of Pi1 and Pi2 ULF waves in the nightside ionosphere with ∼20- to 40-s resolution at substorm expansion phase onset. We validate the algorithm by comparing both the ULF wave onset time and location to the optical onset determined by the Imager for Magnetopause-to-Aurora Global Exploration (IMAGE)–Far Ultraviolet Imager (FUV) instrument. In each of the six events analyzed, five substorm onsets and one pseudobreakup, the ULF onset is observed prior to the global optical onset observed by IMAGE at a station closely conjugate to the optical onset. The observed ULF onset times expand both latitudinally and longitudinally away from an epicenter of ULF wave power in the ionosphere. We further discuss the utility of the algorithm for diagnosing pseudobreakups and the relationship of the ULF onset epicenter to the meridians of elements of the substorm current wedge. The importance of the technique for establishing the causal sequence of events at substorm onset, especially in support of the multisatellite Time History of Events and Macroscale Interactions During Substorms (THEMIS) mission, is also described.

A unified theory of available potential energy

Traditional derivations of available potential energy, in a variety of contexts, involve combining some form of mass conservation together with energy conservation. This raises the questions of why such constructions are required in the first place, and whether there is some general method of deriving the available potential energy for an arbitrary fluid system. By appealing to the underlying Hamiltonian structure of geophysical fluid dynamics, it becomes clear why energy conservation is not enough, and why other conservation laws such as mass conservation need to be incorporated in order to construct an invariant, known as the pseudoenergy, that is a positive‐definite functional of disturbance quantities. The available potential energy is just the non‐kinetic part of the pseudoenergy, the construction of which follows a well defined algorithm. Two notable features of the available potential energy defined thereby are first, that it is a locally defined quantity, and second, that it is inherently definable at finite amplitude (though one may of course always take the small‐amplitude limit if this is appropriate). The general theory is made concrete by systematic derivations of available potential energy in a number of different contexts. All the well known expressions are recovered, and some new expressions are obtained. The possibility of generalizing the concept of available potential energy to dynamically stable basic flows (as opposed to statically stable basic states) is also discussed.

Modeling ocean primary production: sensitivity to spectral resolution of attenuation and absorption of light

Modeling the vertical penetration of photosynthetically active radiation (PAR) through the ocean, and its utilization by phytoplankton, is fundamental to simulating marine primary production. The variation of attenuation and absorption of light with wavelength suggests that photosynthesis should be modeled at high spectral resolution, but this is computationally expensive. To model primary production in global 3d models, a balance between computer time and accuracy is necessary. We investigate the effects of varying the spectral resolution of the underwater light field and the photosynthetic efficiency of phytoplankton (α∗), on primary production using a 1d coupled ecosystem ocean turbulence model. The model is applied at three sites in the Atlantic Ocean (CIS (∼60°N), PAP (∼50°N) and ESTOC (∼30°N)) to include the effect of different meteorological forcing and parameter sets. We also investigate three different methods for modeling α∗ – as a fixed constant, varying with both wavelength and chlorophyll concentration [Bricaud, A., Morel, A., Babin, M., Allali, K., Claustre, H., 1998. Variations of light absorption by suspended particles with chlorophyll a concentration in oceanic (case 1) waters. Analysis and implications for bio-optical models. J. Geophys. Res. 103, 31033–31044], and using a non-spectral parameterization [Anderson, T.R., 1993. A spectrally averaged model of light penetration and photosynthesis. Limnol. Oceanogr. 38, 1403–1419]. After selecting the appropriate ecosystem parameters for each of the three sites we vary the spectral resolution of light and α∗ from 1 to 61 wavebands and study the results in conjunction with the three different α∗ estimation methods. The results show modeled estimates of ocean primary productivity are highly sensitive to the degree of spectral resolution and α∗. For accurate simulations of primary production and chlorophyll distribution we recommend a spectral resolution of at least six wavebands if α∗ is a function of wavelength and chlorophyll, and three wavebands if α∗ is a fixed value.

Another Waltz? Methodological rhetoric and practice in theory of international politics

Although Theory of International Politics is a standard-bearer for explanatory theory in international relations (IR), Waltz’s methodology has been subject to numerous quite disparate analyses. One reason why it has proved hard to pin down is that too little attention has been paid to how, in practice, Waltz approaches real-world problems. Despite his neopositivist rhetoric, Waltz applies neorealism in a notably loose, even indeterminate, fashion. There is therefore a disjunction between what he says and what he does. This is partly explained by his unsatisfactory attempt to reconcile his avowed neopositivism with his belief that international politics is characterized by organized complexity. The inconsistencies thus created also help to make sense of why competing interpretations of his methodology have emerged. Some aspects of his work do point beyond these particular methodological travails in ways that will continue to be of interest to IR theorists, but its most enduring methodological lesson may be that rhetoric and practice do not necessarily fit harmoniously together.

Testing the expectations theory of the term structure in threshold models

We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the spread. The nonlinear system is tested against a linear system, and the results of testing the expectations theory in both models are contrasted. We find that the results of tests of the implications of the expectations theory depend on the size and sign of the spread. The long maturity spread predicts future changes of the short rate only when it is high.

Reduced-order modeling of light transport in tissue for real-time monitoring of brain hemodynamics using diffuse optical tomography

This paper proposes a new reconstruction method for diffuse optical tomography using reduced-order models of light transport in tissue. The models, which directly map optical tissue parameters to optical flux measurements at the detector locations, are derived based on data generated by numerical simulation of a reference model. The reconstruction algorithm based on the reduced-order models is a few orders of magnitude faster than the one based on a finite element approximation on a fine mesh incorporating a priori anatomical information acquired by magnetic resonance imaging. We demonstrate the accuracy and speed of the approach using a phantom experiment and through numerical simulation of brain activation in a rat's head. The applicability of the approach for real-time monitoring of brain hemodynamics is demonstrated through a hypercapnic experiment. We show that our results agree with the expected physiological changes and with results of a similar experimental study. However, by using our approach, a three-dimensional tomographic reconstruction can be performed in ∼3  s per time point instead of the 1 to 2 h it takes when using the conventional finite element modeling approach

Compensation between resolved wave driving and parameterized orographic gravity wave driving of the Brewer–Dobson circulation and its response to climate change

Following recent findings, the interaction between resolved (Rossby) wave drag and parameterized orographic gravity wave drag (OGWD) is investigated, in terms of their driving of the Brewer–Dobson circulation (BDC), in a comprehensive climate model. To this end, the parameter that effectively determines the strength of OGWD in present-day and doubled CO2 simulations is varied. The authors focus on the Northern Hemisphere during winter when the largest response of the BDC to climate change is predicted to occur. It is found that increases in OGWD are to a remarkable degree compensated by a reduction in midlatitude resolved wave drag, thereby reducing the impact of changes in OGWD on the BDC. This compensation is also found for the response to climate change: changes in the OGWD contribution to the BDC response to climate change are compensated by opposite changes in the resolved wave drag contribution to the BDC response to climate change, thereby reducing the impact of changes in OGWD on the BDC response to climate change. By contrast, compensation does not occur at northern high latitudes, where resolved wave driving and the associated downwelling increase with increasing OGWD, both for the present-day climate and the response to climate change. These findings raise confidence in the credibility of climate model projections of the strengthened BDC.

Workaround motivation model (WAMM): an adaptation of the Theory of Interpersonal Behaviour

The study of workarounds (WA) has increased in importance due to their impact on patient safety and efficiency. However, there are no adequate theories to explain the motivation to create and use a workaround in a healthcare sitting. Although theories of technology acceptance help to understand the reasons to accept or reject technology, they fail to explain drivers for alternatives. Also workarounds involve creators and performers that have different motivations. Models such as Theory of Planned Behaviour (TPB) or Theory of Reasoned Action (TRA) can help to explain the role of workaround users, but lack explanation of workaround creators’ dynamics. Our aim is to develop a theoretical foundation to explain workaround motivation behaviour models with norms that relate to sanctions to provide an integrated Workaround Motivation Model; WAMM. The development of WAMM model is explained in this paper based on workaround cases as part of further research to establish the model.

The effect of light exposure on the degradation of latent fingerprints on brass surfaces: the use of silver electroless deposition as a visualization technique

We have studied the degradation of sebaceous fingerprints on brass surfaces using silver electroless deposition (SED) as a visualization technique. We have stored fingerprints on brass squares either (i) in a locked dark cupboard or (ii) in glass-filtered natural daylight for periods of 3 h, 24 h, 1 week, 3 weeks, and 6 weeks. We find that fingerprints on brass surfaces degrade much more rapidly when kept in the light than they do under dark conditions with a much higher proportion of high-quality prints found after 3 or 6 weeks of aging when stored in the dark. This process is more marked than for similar fingerprints on black PVC surfaces. Identifiable prints can be achieved on brass surfaces using both SED and cyanoacrylate fuming (CFM). SED is quick and straightforward to perform. CFM is more time-consuming but is versatile and can be applied to a wider range of metal surfaces than SED, for example brass surfaces which have been coated by a lacquer.