Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Energy use of buildings at urban scale: A case study of london school buildings

The diversity of non-domestic buildings at urban scale poses a number of difficulties to develop building stock models. This research proposes an engineering-based bottom-up stock model in a probabilistic manner to address these issues. School buildings are used for illustrating the application of this probabilistic method. Two sampling-based global sensitivity methods are used to identify key factors affecting building energy performance. The sensitivity analysis methods can also create statistical regression models for inverse analysis, which are used to estimate input information for building stock energy models. The effects of different energy saving measures are analysed by changing these building stock input distributions.

Urban canyon influence on building natural ventilation

The natural ventilation of a building, flanked by others forming urban canyons and driven by the combined forces of wind and thermal buoyancy, has been studied experimentally at small scale. The aim was to improve our understanding of the effect of the urban canyon geometry on passive building ventilation. The steady ventilation of an isolated building was observed to change dramatically, both in terms of the thermal stratification and airflow rate, when placed within the confines of urban canyons. The ventilation flows and internal stratifications observed at small scale are presented for a range of canyon widths (building densities) and wind speeds. Two typical opening arrangements are considered. Flanking an otherwise isolated building with others of similar geometry as in a typical urban canyon was shown to reverse the effect of wind on the thermally-driven ventilation. As a consequence, neglecting the surrounding geometry when designing naturally-ventilated buildings may result in poor ventilation. Further implications are discussed.

Designing Inclusive Futures

This book is the result of the fourth CWUAAT workshop held in Cambridge, England in April 2008.

Thorium energy futures

The potential for thorium as an alternative or supplement to uranium in fission power generation has long been recognised, and several reactors, of various types, have already operated using thorium-based fuels. Accelerator Driven Subcritical (ADS) systems have benefits and drawbacks when compared to conventional critical thorium reactors, for both solid and molten salt fuels. None of the four options - liquid or solid, with or without an accelerator - can yet be rated as better or worse than the other three, given today's knowledge. We outline the research that will be necessary to lead to an informed choice. Copyright © 2012 by IEEE.

Tomorrow's cities: a framework to assess urban resilience

Urbanisation is one of the great driving forces of the twenty-first century. Cities generate both productivity and creativity, and the benefits offered by high-density living and working contribute to sustainability. Cities comprise multiple components, forming both static and dynamic systems that are interconnected directly and indirectly on a number of levels. Bringing together large numbers of people within a complex system can lead to vulnerability from a wide range of hazards, threats and trends. The key to reducing this vulnerability is the identification of critical systems and determination of the implications of their failure and their interconnectivities with other systems. One emerging approach to these challenges focuses on building resilience – defined here as the degree to which a system can continue to function effectively in a changing environment. This paper puts forward a framework designed to help engineers, planners and designers to support cities in understanding the hazards, threats and trends that can make them vulnerable, and identify focus areas for building resilience into the systems, which allow it to function and prosper. Four case studies of cities whose resilience was tested by recent extreme weather events are presented, seeking to demonstrate the application of the proposed framework.

The accumulation of alkylphenols in submersed plants in spring in urban lake, China

The concentrations of alkylphenols (APs) were investigated in water, sediments and submersed macrophytes from the Moon Lake, Wuhan city, China. The water samples contained APs, ranging up to 26.4 mu g l(-1) for nonylphenol (NP) and 0.68 mu g l(-1) for octylphenol (OP). APs were found in the sediment samples with concentrations ranging from 4.08 to 14.8 for NP and from 0.22 to 1.25 mu g l(-1) dry weight for OP. The samples from the site near former sewage inlet showed the highest concentrations of APs in both water and sediments. The results of distribution pattern and dynamics of NP and OP in submersed macrophytes of the Moon Lake showed that the two pollutants were all found in Myriophyllum verticillatum, Elodea nuttallii, Ceratophyllum oryzetorum, and Potamageton crispus collected from the Moon Lake. For NP, M. verticillatum had the highest capacity of accumulation, followed by E. nuttallii, C. oryzetorum and P. crispus. However the distribution pattern of OP differed from that of NP, and the highest amount of accumulation was observed in E. nuttallii, followed by M. verticillatum, P. crispus, and C. oryzetorum. The temporal pattern of APs was also observed in submersed macrophytes from March to May, and the highest accumulation period was in May. (c) 2008 Elsevier Ltd. All rights reserved.

Response of macrozoobenthos communities to ecological engineering remediation in a hypertrophic urban lake

The relationship of macrozoobenthos communities with some environmental variables, and their response to the ongoing restoration measures were studied in a small hypertrophic urban lake near the Yangzte River, China. Twenty taxa including 9 oligochaetes, 7 insects, 2 mollusks and two other animals were found during March 2005 to May 2006. The reappearance of some indigenous macrozoobenthos species showed that the ecological engineering remediation carried out was helpful for the recovery of the macrozoobenthos communities. Through canonical correspondence analysis (CCA), it was detected that temperature (T), conductivity (COND), Secchi depth/deep (SD/Deep), TN, total suspended solids (SS) and chemical oxygen demand (CODcr) were significant environmental factors that influenced the pattern of macrozoobenthos. Limnodrilus hoffmeisteri, Tanypus sp. and Alocinma longicornis could be used as potential bio-indicators in monitoring the development of ecological restoration.

Distribution of 25 semi-volatile organic compounds of two urban lakes in Wuhan, China

In this study, the levels of 25 semi-volatile organic compounds (SVOCs) were measured in samples of water, suspended particulate matter (SPM) and sediment from two urban lakes in Wuhan, China. The total concentrations of 25 SVOCs varied from 529.4 to 2168.9 ng/L, 120.7 to 22543.7 ng/g dry weight and 1577.3 to 61579.6 ng/g dry wt. in water, SPM and sediment, respectively. The concentration of SVOCs in SPM was 9-10 times higher than that in water, and the concentration of SVOCs in sediment 1.5-2 times higher than that in SPM. The level of total SVOC25 in the samples from Moshuihu Lake was higher than that in Yuehu Lake. Among the 25 SVOCs, phthalate compounds were on the highest level in all observed samples ranging between 441.9-1831.2 ng/L, 116.3-17566.8 ng/g, dry wt. and 6432.8-48177.6 ng/g dry wt. in water, SPM and sediment, respectively. Bis(2-ethylhexyl)phthalate, the predominant component of the analyzed pollutants, was in the range from 246.7 to 537.5 ng/l, 51.2 to 15540.0 ng/g dry wt. and 468.2 to 45010.3 ng/g dry wt. in water, SPM and sediment, respectively. The content of PAHs, dinitrotoluene and isophoton in sediment was higher than that in water and SPM at most of the locations. The possible sources of the pollutants and their inter-relation with human activities were discussed.

City versus national energy use: implications for urban energy policy and strategies

The global trend towards urbanization means that over half of the world's population now lives in cities. Cities use energy in different proportions to national energy use averages, typically corresponding to whether a country is industrialized or developing. Cities in industrialized countries tend to use less energy per capita than the national average while cities in developing countries use more. This paper looks at existing World Bank data in respect to urban energy consumption, the emissions inventory work done by New York City, and discusses how this data highlights the need for a focus on: energy policy for buildings in industrialized cities; masterplanning and new construction standards in developing cities; and how urban energy policy can become more effective in reducing urban greenhouse gas emissions.