Pairs trading profits in commodity futures markets

This study employs a pairs trading investment strategy on daily commodity futures returns. The study reveals that pairs trading in similarly related commodity futures earns statistically significant excess returns with commensurate volatility. The excess returns from pairs trading in commodity futures are unrelated to conventional market risk factors and they are not associated with classic contrarian investing. The evidence of pairs trading reflect compensation to arbitrageurs for enforcing the law of one price in similarly related market efficiency.

Is there timing ability in currency markets? Evidence from ADR issuances

Is there timing ability in the exchange rate markets? We address this question by examining foreign firms' decisions to issue American Depositary Receipts (ADRs). Specifically, we test whether foreign firms consider currency market conditions in their ADR issuance decisions and, in doing so, display some ability to time their local exchange rate market. We study ADR issuances in the U.S. stock market between 1976 and 2003. We find that foreign firms tend to issue ADRs after their local currency has been abnormally strong against the U.S. dollar and before their local currency becomes abnormally weak. This evidence is statistically significant even after controlling for local and U.S. past and future stock market performance and predicable exchange rate movements. Currency market timing is especially significant i) for value companies, relatively small (yet absolutely large) companies issuing relatively large amounts of ADRs, companies with higher currency exposure, manufacturing companies, and emerging market companies, ii) during currency crises (when mispricings are rife) and after the integration of the issuer's local financial market with the world capital markets, iii) when the ADR issue raises capital for the issuing firm (Level III ADR), and iv) regardless of the identity of the underwriting investment bank. Currency market timing is also economically significant since it translates into total savings for the issuing firms of about $646 million (or 1.86% of the total capital-raising ADR issue volume). In contrast, we find no evidence of currency timing ability in a control sample made of non-capital raising ADRs (Level II ADRs). These findings suggest that some companies may have, at least occasionally, private information about foreign exchange.

Scale-dependent fracture mode in Cu-Ni laminate composites

Fracture behavior of Cu-Ni laminate composites has been investigated by tensile testing. It was found that as the individual layer thickness decreases from 100 to 20nm, the resultant fracture angle of the Cu-Ni laminate changes from 72 degrees to 50 degrees. Cross-sectional observations reveal that the fracture of the Ni layers transforms from opening to shear mode as the layer thickness decreases while that of the Cu layers keeps shear mode. Competition mechanisms were proposed to understand the variation in fracture mode of the metallic laminate composites associated with length scale.

Application of autologous periosteal cells for the regeneration of class III furcation defects in Beagle dogs

The aim of this study was to evaluate the healing of class III furcation defects following transplantation of autogenous periosteal cells combined with b-tricalcium phosphate (b-TCP). Periosteal cells obtained from Beagle dogs’ periosteum explant cultures, were inoculated onto the surface of b-TCP. Class III furcation defects were created in the mandibular premolars. Three experimental groups were used to test the defects’ healing: group A, b-TCP seeded with periosteal cells were transplanted into the defects; group B, b-TCP alone was used for defect filling; and group C, the defect was without filling materials. Twelve weeks post surgery, the tissue samples were collected for histology, immunohistology and X-ray examination. It was found that both the length of newly formed periodontal ligament and the area of newly formed alveolar bone in group A, were significantly increased compared with both group B and C. Furthermore, both the proportion of newly formed periodontal ligament and newly formed alveolar bone in group A were much higher than those of group B and C. The quantity of cementum and its percentage in the defects (group A) were also significantly higher than those of group C. These results indicate that autogenous periosteal cells combined with b-TCP application can improve periodontal tissue regeneration in class III furcation defects.

An integrated rail track degradation model

There has been a worldwide trend to increase axle loads and train speeds. This means that railway track degradation will be accelerated, and track maintenance costs will be increased significantly. There is a need to investigate the consequences of increasing traffic load. The aim of the research is to develop a model for the analysis of physical degradation of railway tracks in response to changes in traffic parameters, especially increased axle loads and train speeds. This research has developed an integrated track degradation model (ITDM) by integrating several models into a comprehensive framework. Mechanistic relationships for track degradation hav~ ?een used wherever possible in each of the models contained in ITDM. This overcc:mes the deficiency of the traditional statistical track models which rely heavily on historical degradation data, which is generally not available in many railway systems. In addition statistical models lack the flexibility of incorporating future changes in traffic patterns or maintenance practices. The research starts with reviewing railway track related studies both in Australia and overseas to develop a comprehensive understanding of track performance under various traffic conditions. Existing railway related models are then examined for their suitability for track degradation analysis for Australian situations. The ITDM model is subsequently developed by modifying suitable existing models, and developing new models where necessary. The ITDM model contains four interrelated submodels for rails, sleepers, ballast and subgrade, and track modulus. The rail submodel is for rail wear analysis and is developed from a theoretical concept. The sleeper submodel is for timber sleepers damage prediction. The submodel is developed by modifying and extending an existing model developed elsewhere. The submodel has also incorporated an analysis for the likelihood of concrete sleeper cracking. The ballast and subgrade submodel is evolved from a concept developed in the USA. Substantial modifications and improvements have been made. The track modulus submodel is developed from a conceptual method. Corrections for more global track conditions have been made. The integration of these submodels into one comprehensive package has enabled the interaction between individual track components to be taken into account. This is done by calculating wheel load distribution with time and updating track conditions periodically in the process of track degradation simulation. A Windows-based computer program ~ssociated with ITDM has also been developed. The program enables the user to carry out analysis of degradation of individual track components and to investigate the inter relationships between these track components and their deterioration. The successful implementation of this research has provided essential information for prediction of increased maintenance as a consequence of railway trackdegradation. The model, having been presented at various conferences and seminars, has attracted wide interest. It is anticipated that the model will be put into practical use among Australian railways, enabling track maintenance planning to be optimized and potentially saving Australian railway systems millions of dollars in operating costs.

Climate variability and hemorrhagic fever with renal syndrome transmission in northeastern China

Background: The transmission of hemorrhagic fever with renal syndrome (HFRS) is influenced by climatic variables. However, few studies have examined the quantitative relationship between climate variation and HFRS transmission. ---------- Objective: We examined the potential impact of climate variability on HFRS transmission and developed climate-based forecasting models for HFRS in northeastern China. ---------- Methods: We obtained data on monthly counts of reported HFRS cases in Elunchun and Molidawahaner counties for 1997–2007 from the Inner Mongolia Center for Disease Control and Prevention and climate data from the Chinese Bureau of Meteorology. Cross-correlations assessed crude associations between climate variables, including rainfall, land surface temperature (LST), relative humidity (RH), and the multivariate El Niño Southern Oscillation (ENSO) index (MEI) and monthly HFRS cases over a range of lags. We used time-series Poisson regression models to examine the independent contribution of climatic variables to HFRS transmission. ----------- Results: Cross-correlation analyses showed that rainfall, LST, RH, and MEI were significantly associated with monthly HFRS cases with lags of 3–5 months in both study areas. The results of Poisson regression indicated that after controlling for the autocorrelation, seasonality, and long-term trend, rainfall, LST, RH, and MEI with lags of 3–5 months were associated with HFRS in both study areas. The final model had good accuracy in forecasting the occurrence of HFRS. ---------- Conclusions: Climate variability plays a significant role in HFRS transmission in northeastern China. The model developed in this study has implications for HFRS control and prevention.

Manipulating double-decker molecules at the liquid-solid interface

We have used a scanning tunneling microscope to manipulate heteroleptic phthalocyaninato, naphthalocyaninato, porphyrinato double-decker molecules at the liquid/solid interface between 1-phenyloctane solvent and graphite. We employed nano-grafting of phthalocyanines with eight octyl chains to place these molecules into a matrix of heteroleptic double-decker molecules; the overlayer structure is epitaxial on graphite. We have also used nano-grafting to place double-decker molecules in matrices of single-layer phthalocyanines with octyl chains. Rectangular scans with a scanning tunneling microscope at low bias voltage resulted in the removal of the adsorbed doubledecker molecular layer and substituted the double-decker molecules with bilayer-stacked phthalocyanines from phenyloctane solution. Single heteroleptic double-decker molecules with lutetium sandwiched between naphthalocyanine and octaethylporphyrin were decomposed with voltage pulses from the probe tip; the top octaethylporphyrin ligand was removed and the bottom naphthalocyanine ligand remained on the surface. A domain of decomposed molecules was formed within the double-decker molecular domain, and the boundary of the decomposed molecular domain self-cured to become rectangular. We demonstrated a molecular “sliding block puzzle” with cascades of double-decker molecules on the graphite surface.

Predicting single-vehicle fatal crashes for two-lane rural highways in Southeastern United States

The rural two-lane highway in the southeastern United States is frequently associated with a disproportionate number of serious and fatal crashes and as such remains a focus of considerable safety research. The Georgia Department of Transportation spearheaded a regional fatal crash analysis to identify various safety performances of two-lane rural highways and to offer guidance for identifying suitable countermeasures with which to mitigate fatal crashes. The fatal crash data used in this study were compiled from Alabama, Georgia, Mississippi, and South Carolina. The database, developed for an earlier study, included 557 randomly selected fatal crashes from 1997 or 1998 or both (this varied by state). Each participating state identified the candidate crashes and performed physical or video site visits to construct crash databases with enhance site-specific information. Motivated by the hypothesis that single- and multiple-vehicle crashes arise from fundamentally different circumstances, the research team applied binary logit models to predict the probability that a fatal crash is a single-vehicle run-off-road fatal crash given roadway design characteristics, roadside environment features, and traffic conditions proximal to the crash site. A wide variety of factors appears to influence or be associated with single-vehicle fatal crashes. In a model transferability assessment, the authors determined that lane width, horizontal curvature, and ambient lighting are the only three significant variables that are consistent for single-vehicle run-off-road crashes for all study locations.

Reduction of nitroaromatic compounds on supported gold nanoparticles by visible and ultraviolet light

Shedding light: Nitroaromatic compounds on gold nanoparticles (3 wt %) supported on ZrO2 can be reduced directly to the corresponding azo compounds when illuminated with visible light or ultraviolet light at 40 °C (see picture). The process occurs with high selectivity and at ambient temperature and pressure, and enables the selection of intermediates that are unstable in thermal reactions.

Formation of one-dimensional capped ZnO nanoparticle assemblies at the air/water interface

The self-assembling behavior and microscopic structure of zinc oxide nanoparticle Langmuir-Blodgett monolayer films were investigated for the case of zinc oxide nanoparticles coated with a hydrophobic layer of dodecanethiol. Evolution of nanoparticle film structure as a function of surface pressure (π) at the air-water interface was monitored in situ using Brewster’s angle microscopy, where it was determined that π=16 mN/m produced near-defect-free monolayer films. Transmission electron micrographs of drop-cast and Langmuir-Schaefer deposited films of the dodecanethiol-coated zinc oxide nanoparticles revealed that the nanoparticle preparation method yielded a microscopic structure that consisted of one-dimensional rodlike assemblies of nanoparticles with typical dimensions of 25 x 400 nm, encased in the organic dodecanethiol layer. These nanoparticle-containing rodlike micelles were aligned into ordered arrangements of parallel rods using the Langmuir-Blodgett technique.

Local adjustment and global adaptation of control periods for QoC management of control systems

Linking real-time schedulability directly to the Quality of Control (QoC), the ultimate goal of a control system, a hierarchical feedback QoC management framework with the Fixed Priority (FP) and the Earliest-Deadline-First (EDF) policies as plug-ins is proposed in this paper for real-time control systems with multiple control tasks. It uses a task decomposition model for continuous QoC evaluation even in overload conditions, and then employs heuristic rules to adjust the period of each of the control tasks for QoC improvement. If the total requested workload exceeds the desired value, global adaptation of control periods is triggered for workload maintenance. A sufficient stability condition is derived for a class of control systems with delay and period switching of the heuristic rules. Examples are given to demonstrate the proposed approach.

In situ preparation and protein delivery of silicate/alginate composite microspheres with core-shell structure

It is predicted that with increased life expectancy in the developed world, there will be a greater demand for synthetic materials to repair or regenerate lost, injured or diseased bone (Hench & Thompson 2010). There are still few synthetic materials having true bone inductivity, which limits their application for bone regeneration, especially in large-size bone defects. To solve this problem, growth factors, such as bone morphogenetic proteins (BMPs), have been incorporated into synthetic materials in order to stimulate de novo bone formation in the center of large-size bone defects. The greatest obstacle with this approach is that the rapid diffusion of the protein from the carrier material, leading to a precipitous loss of bioactivity; the result is often insufficient local induction or failure of bone regeneration (Wei et al. 2007). It is critical that the protein is loaded in the carrier material in conditions which maintains its bioactivity (van de Manakker et al. 2009). For this reason, the efficient loading and controlled release of a protein from a synthetic material has remained a significant challenge. The use of microspheres as protein/drug carriers has received considerable attention in recent years (Lee et al. 2010; Pareta & Edirisinghe 2006; Wu & Zreiqat 2010). Compared to macroporous block scaffolds, the chief advantage of microspheres is their superior protein-delivery properties and ability to fill bone defects with irregular and complex shapes and sizes. Upon implantation, the microspheres are easily conformed to the irregular implant site, and the interstices between the particles provide space for both tissue and vascular ingrowth, which are important for effective and functional bone regeneration (Hsu et al. 1999). Alginates are natural polysaccharides and their production does not have the implicit risk of contamination with allo or xeno-proteins or viruses (Xie et al. 2010). Because alginate is generally cytocompatible, it has been used extensively in medicine, including cell therapy and tissue engineering applications (Tampieri et al. 2005; Xie et al. 2010; Xu et al. 2007). Calcium cross-linked alginate hydrogel is considered a promising material as a delivery matrix for drugs and proteins, since its gel microspheres form readily in aqueous solutions at room temperature, eliminating the need for harsh organic solvents, thereby maintaining the bioactivity of proteins in the process of loading into the microspheres (Jay & Saltzman 2009; Kikuchi et al. 1999). In addition, calcium cross-linked alginate hydrogel is degradable under physiological conditions (Kibat PG et al. 1990; Park K et al. 1993), which makes alginate stand out as an attractive candidate material for the protein carrier and bone regeneration (Hosoya et al. 2004; Matsuno et al. 2008; Turco et al. 2009). However, the major disadvantages of alginate microspheres is their low loading efficiency and also rapid release of proteins due to the mesh-like networks of the gel (Halder et al. 2005). Previous studies have shown that a core-shell structure in drug/protein carriers can overcome the issues of limited loading efficiencies and rapid release of drug or protein (Chang et al. 2010; Molvinger et al. 2004; Soppimath et al. 2007). We therefore hypothesized that introducing a core-shell structure into the alginate microspheres could solve the shortcomings of the pure alginate. Calcium silicate (CS) has been tested as a biodegradable biomaterial for bone tissue regeneration. CS is capable of inducing bone-like apatite formation in simulated body fluid (SBF) and its apatite-formation rate in SBF is faster than that of Bioglass® and A-W glass-ceramics (De Aza et al. 2000; Siriphannon et al. 2002). Titanium alloys plasma-spray coated with CS have excellent in vivo bioactivity (Xue et al. 2005) and porous CS scaffolds have enhanced in vivo bone formation ability compared to porous β-tricalcium phosphate ceramics (Xu et al. 2008). In light of the many advantages of this material, we decided to prepare CS/alginate composite microspheres by combining a CS shell with an alginate core to improve their protein delivery and mineralization for potential protein delivery and bone repair applications

Multiscale analysis of protein functions and stochastic modelling of gene transcriptional regulatory networks

Genomic and proteomic analyses have attracted a great deal of interests in biological research in recent years. Many methods have been applied to discover useful information contained in the enormous databases of genomic sequences and amino acid sequences. The results of these investigations inspire further research in biological fields in return. These biological sequences, which may be considered as multiscale sequences, have some specific features which need further efforts to characterise using more refined methods. This project aims to study some of these biological challenges with multiscale analysis methods and stochastic modelling approach. The first part of the thesis aims to cluster some unknown proteins, and classify their families as well as their structural classes. A development in proteomic analysis is concerned with the determination of protein functions. The first step in this development is to classify proteins and predict their families. This motives us to study some unknown proteins from specific families, and to cluster them into families and structural classes. We select a large number of proteins from the same families or superfamilies, and link them to simulate some unknown large proteins from these families. We use multifractal analysis and the wavelet method to capture the characteristics of these linked proteins. The simulation results show that the method is valid for the classification of large proteins. The second part of the thesis aims to explore the relationship of proteins based on a layered comparison with their components. Many methods are based on homology of proteins because the resemblance at the protein sequence level normally indicates the similarity of functions and structures. However, some proteins may have similar functions with low sequential identity. We consider protein sequences at detail level to investigate the problem of comparison of proteins. The comparison is based on the empirical mode decomposition (EMD), and protein sequences are detected with the intrinsic mode functions. A measure of similarity is introduced with a new cross-correlation formula. The similarity results show that the EMD is useful for detection of functional relationships of proteins. The third part of the thesis aims to investigate the transcriptional regulatory network of yeast cell cycle via stochastic differential equations. As the investigation of genome-wide gene expressions has become a focus in genomic analysis, researchers have tried to understand the mechanisms of the yeast genome for many years. How cells control gene expressions still needs further investigation. We use a stochastic differential equation to model the expression profile of a target gene. We modify the model with a Gaussian membership function. For each target gene, a transcriptional rate is obtained, and the estimated transcriptional rate is also calculated with the information from five possible transcriptional regulators. Some regulators of these target genes are verified with the related references. With these results, we construct a transcriptional regulatory network for the genes from the yeast Saccharomyces cerevisiae. The construction of transcriptional regulatory network is useful for detecting more mechanisms of the yeast cell cycle.

Calibration and operational analysis of variable speed limits for high flow condition

Variable Speed Limits (VSL) is a control tool of Intelligent Transportation Systems (ITS) which can enhance traffic safety and which has the potential to contribute to traffic efficiency. This study presents the results of a calibration and operational analysis of a candidate VSL algorithm for high flow conditions on an urban motorway of Queensland, Australia. The analysis was done using a framework consisting of a microscopic simulation model combined with runtime API and a proposed efficiency index. The operational analysis includes impacts on speed-flow curve, travel time, speed deviation, fuel consumption and emission.

Mechanism of p-nitrophenol adsorption from aqueous solution by HDTMA+-pillared montmorillonite : implications for water purification

HDTMA+ pillared montmorillonites were obtained by pillaring different amounts of the surfactant hexadecyltrimethylammonium bromide (HDTMAB) into sodium montmorillonite (Na-Mt) in an aqueous solution. The optimum conditions and batch kinetics of sorption of p-nitrophenol from aqueous solutions were reported. The solu-tion pH had a very important effect on the sorption of p-nitrophenol. The maximum p-nitrophenol absorption/adsorption occurs when solution pH (7.15~7.35) is approx-imately equal to the pKa (7.16) of the p-nitrophenol ion deprotonation reaction. X-ray diffraction analysis showed that surfactant cations had been pillared into the interlayer and the p-nitrophenol affected the arrangement of surfactant. With the increased con-centration of surfactant cations, the arrangement of HDTMA+ within the clay inter-layer changes and the sorption of p-nitrophenol increases. HDTMA+ pillared mont-morillonites are more effective than Na-Mt for the adsorption of p-nitrophenol from aqueous solutions. The Langmuir, Freundlich and dual-mode sorption were tested to fit the sorption isotherms.