Financialization, crisis and commodity correlation dynamics

Stronger investor interest in commodities may create closer integration with conventional asset markets. We estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variables and time, using double smooth transition conditional correlation (DSTCC–GARCH) models. Most correlations begin the 1990s near zero but closer integration emerges around the early 2000s and reaches peaks during the recent crisis. Diversification benefits to investors across equity, bond and stock markets were significantly reduced. Increases in VIX and financial traders’ short open interest raise futures returns volatility for many commodities. Higher VIX also increases commodity returns correlation with equity returns for about half the pairs, indicating closer integration.

Evaluation of strain energy based damage indices for flexural crack detection of RC beams

Vibration Based Damage Identification Techniques which use modal data or their functions, have received significant research interest in recent years due to their ability to detect damage in structures and hence contribute towards the safety of the structures. In this context, Strain Energy Based Damage Indices (SEDIs), based on modal strain energy, have been successful in localising damage in structuers made of homogeneous materials such as steel. However, their application to reinforced concrete (RC) structures needs further investigation due to the significant difference in the prominent damage type, the flexural crack. The work reported in this paper is an integral part of a comprehensive research program to develop and apply effective strain energy based damage indices to assess damage in reinforced concrete flexural members. This research program established (i) a suitable flexural crack simulation technique, (ii) four improved SEDI's and (iii) programmable sequentional steps to minimise effects of noise. This paper evaluates and ranks the four newly developed SEDIs and existing seven SEDIs for their ability to detect and localise flexural cracks in RC beams. Based on the results of the evaluations, it recommends the SEDIs for use with single and multiple vibration modes.

The correlation between electric field emission phenomenon and Schottky contact reverse bias characteristics in nanostructured systems

Two different morphologies of nanotextured molybdenum oxide were deposited by thermal evaporation. By measuring their field emission (FE) properties, an enhancement factor was extracted. Subsequently, these films were coated with a thin layer of Pt to form Schottky contacts. The current-voltage (I-V) characteristics showed low magnitude reverse breakdown voltages, which we attributed to the localized electric field enhancement. An enhancement factor was obtained from the I-V curves. We will show that the enhancement factor extracted from the I-V curves is in good agreement with the enhancement factor extracted from the FE measurements.

Managing memory and reducing I/O cost for correlation matrix calculation in bioinformatics

The generation of a correlation matrix from a large set of long gene sequences is a common requirement in many bioinformatics problems such as phylogenetic analysis. The generation is not only computationally intensive but also requires significant memory resources as, typically, few gene sequences can be simultaneously stored in primary memory. The standard practice in such computation is to use frequent input/output (I/O) operations. Therefore, minimizing the number of these operations will yield much faster run-times. This paper develops an approach for the faster and scalable computing of large-size correlation matrices through the full use of available memory and a reduced number of I/O operations. The approach is scalable in the sense that the same algorithms can be executed on different computing platforms with different amounts of memory and can be applied to different problems with different correlation matrix sizes. The significant performance improvement of the approach over the existing approaches is demonstrated through benchmark examples.

Quantifying spatial structure in experimental observations and agent-based simulations using pair-correlation functions

We define a pair-correlation function that can be used to characterize spatiotemporal patterning in experimental images and snapshots from discrete simulations. Unlike previous pair-correlation functions, the pair-correlation functions developed here depend on the location and size of objects. The pair-correlation function can be used to indicate complete spatial randomness, aggregation or segregation over a range of length scales, and quantifies spatial structures such as the shape, size and distribution of clusters. Comparing pair-correlation data for various experimental and simulation images illustrates their potential use as a summary statistic for calibrating discrete models of various physical processes.

In the blink of an eye : the circadian effects on ocular and subjective indices of driver sleepiness

Driver sleepiness contributes substantially to fatal and severe crashes and the contribution it makes to less serious crashes is likely to as great or greater. Currently, drivers’ awareness of sleepiness (subjective sleepiness) remains a critical component for the mitigation of sleep-related crashes. Nonetheless, numerous calls have been made for technological monitors of drivers’ physiological sleepiness levels so drivers can be ‘alerted’ when approaching high levels of sleepiness. Several physiological indices of sleepiness show potential as a reliable metric to monitor drivers’ sleepiness levels, with eye blink indices being a promising candidate. However, extensive evaluations of eye blink measures are lacking including the effects that the endogenous circadian rhythm can have on eye blinks. To examine the utility of ocular measures, 26 participants completed a simulated driving task while physiological measures of blink rate and duration were recorded after partial sleep restriction. To examine the circadian effects participants were randomly assigned to complete either a morning or an afternoon session of the driving task. The results show subjective sleepiness levels increased over the duration of the task. The blink duration index was sensitive to increases in sleepiness during morning testing, but was not sensitive during afternoon testing. This finding suggests that the utility of blink indices as a reliable metric for sleepiness are still far from specific. The subjective measures had the largest effect size when compared to the blink measures. Therefore, awareness of sleepiness still remains a critical factor for driver sleepiness and the mitigation of sleep-related crashes.

Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Fractal dimension of dried foods : a correlation between microstructure and porosity

The quality of dried food is affected by a number of factors including quality of raw material, initial microstructure, and drying conditions. The structure of the food materials goes through deformations due to the simultaneous effect of heat and mass transfer during the drying process. Shrinkage and changes in porosity, microstructure and appearance are some of the most remarkable features that directly influence overall product quality. Porosity and microstructure are the important material properties in relation to the quality attributes of dried foods. Fractal dimension (FD) is a quantitative approach of measuring surface, pore characteristics, and microstructural changes [1]. However, in the field of fractal analysis, there is a lack of research in developing relationship between porosity, shrinkage and microstructure of different solid food materials in different drying process and conditions [2-4]. Establishing a correlation between microstructure and porosity through fractal dimension during convective drying is the main objective of this work.

Spectroscopic correlation analysis of NMR-based metabonomics in exercise science

Spectroscopic studies of complex clinical fluids have led to the application of a more holistic approach to their chemical analysis becoming more popular and widely employed. The efficient and effective interpretation of multidimensional spectroscopic data relies on many chemometric techniques and one such group of tools is represented by so-called correlation analysis methods. Typical of these techniques are two-dimensional correlation analysis and statistical total correlation spectroscopy (STOCSY). Whilst the former has largely been applied to optical spectroscopic analysis, STOCSY was developed and has been applied almost exclusively to NMR metabonomic studies. Using a 1H NMR study of human blood plasma, from subjects recovering from exhaustive exercise trials, the basic concepts and applications of these techniques are examined. Typical information from their application to NMR-based metabonomics is presented and their value in aiding interpretation of NMR data obtained from biological systems is illustrated. Major energy metabolites are identified in the NMR spectra and the dynamics of their appearance and removal from plasma during exercise recovery are illustrated and discussed. The complementary nature of two-dimensional correlation analysis and statistical total correlation spectroscopy are highlighted.

Age-dependence of the average and equivalent refractive indices of the crystalline lens

Lens average and equivalent refractive indices are required for purposes such as lens thickness estimation and optical modeling. We modeled the refractive index gradient as a power function of the normalized distance from lens center. Average index along the lens axis was estimated by integration. Equivalent index was estimated by raytracing through a model eye to establish ocular refraction, and then backward raytracing to determine the constant refractive index yielding the same refraction. Assuming center and edge indices remained constant with age, at 1.415 and 1.37 respectively, average axial refractive index increased (1.408 to 1.411) and equivalent index decreased (1.425 to 1.420) with age increase from 20 to 70 years. These values agree well with experimental estimates based on different techniques, although the latter show considerable scatter. The simple model of index gradient gives reasonable estimates of average and equivalent lens indices, although refinements in modeling and measurements are required.

Tumour necrosis is an independent prognostic marker in non-small cell lung cancer : correlation with biological variables

Background Tumour necrosis (TN) is recognized to be a consequence of chronic cellular hypoxia. TN and hypoxia correlate with poor prognosis in solid tumours. Methods In a retrospective study the prognostic implications of the extent of TN was evaluated in non-small cell lung cancer (NSCLC) and correlated with clinicopathological variables and expression of epidermal growth factor receptor, Bcl-2, p53 and matrix metalloproteinase-9 (MMP-9). Tissue specimens from 178 surgically resected cases of stage I-IIIA NSCLC with curative intent were studied. The specimens were routinely processed, formalin-fixed and paraffin-embedded. TN was graded as extensive or either limited or absent by two independent observers; disagreements were resolved using a double-headed microscope. The degree of reproducibility was estimated by re-interpreting 40 randomly selected cases after a 4 month interval. Results Reproducibility was attained in 36/40 cases, Kappa score=0.8 P<0.001. TN correlated with T-stage (P=0.001), platelet count (P=0.004) and p53 expression (P=0.031). Near significant associations of TN with N-stage (P=0.063) and MMP-9 expression (P=0.058) were seen. No association was found with angiogenesis (P=0.98). On univariate (P=0.0016) and multivariate analysis (P=0.023) TN was prognostic. Conclusion These results indicate that extensive TN reflects an aggressive tumour phenotype in NSCLC and may improve the predictive power of the TMN staging system. The lack of association between TN and angiogenesis may be important although these variables were not evaluated on serial sections. © 2002 Elsevier Science Ireland Ltd. All rights reserved.

The use of acoustic indices to determine avian species richness in audio-recordings of the environment

Interpreting acoustic recordings of the natural environment is an increasingly important technique for ecologists wishing to monitor terrestrial ecosystems. Technological advances make it possible to accumulate many more recordings than can be listened to or interpreted, thereby necessitating automated assistance to identify elements in the soundscape. In this paper we examine the problem of estimating avian species richness by sampling from very long acoustic recordings. We work with data recorded under natural conditions and with all the attendant problems of undefined and unconstrained acoustic content (such as wind, rain, traffic, etc.) which can mask content of interest (in our case, bird calls). We describe 14 acoustic indices calculated at one minute resolution for the duration of a 24 hour recording. An acoustic index is a statistic that summarizes some aspect of the structure and distribution of acoustic energy and information in a recording. Some of the indices we calculate are standard (e.g. signal-to-noise ratio), some have been reported useful for the detection of bioacoustic activity (e.g. temporal and spectral entropies) and some are directed to avian sources (spectral persistence of whistles). We rank the one minute segments of a 24 hour recording in descending order according to an "acoustic richness" score which is derived from a single index or a weighted combination of two or more. We describe combinations of indices which lead to more efficient estimates of species richness than random sampling from the same recording, where efficiency is defined as total species identified for given listening effort. Using random sampling, we achieve a 53% increase in species recognized over traditional field surveys and an increase of 87% using combinations of indices to direct the sampling. We also demonstrate how combinations of the same indices can be used to detect long duration acoustic events (such as heavy rain and cicada chorus) and to construct long duration (24 h) spectrograms.

Discomfort glare in open plan green buildings

This study presents the largest-known, investigation on discomfort glare with 493 surveys collected from five green buildings in Brisbane, Australia. The study was conducted on full-time employees, working under their everyday lighting conditions, all of whom had no affiliation with the research institution. The survey consisted of a specially tailored questionnaire to assess potential factors relating to discomfort glare. Luminance maps extracted from high dynamic range (HDR) images were used to capture the luminous environment of the occupants. Occupants who experienced glare on their monitor and/or electric glare were excluded from analysis leaving 419 available surveys. Occupants were more sensitive to glare than any of the tested indices accounted for. A new index, the UGP was developed to take into account the scope of results in the investigation. The index is based on a linear transformation of the UGR to calculate a probability of disturbed persons. However all glare indices had some correlation to discomfort, and statistically there was no difference between the DGI, UGR and CGI. The UGP broadly reflects the demographics of the working population in Australia and the new index is applicable to open plan green buildings.

The evaluation of a clinical scar scale for porcine burn scars

This study describes the evaluation of a clinical scar scale for our porcine burn scars, which includes scar cosmetic outcome, colour, height and hair, supplemented with reference porcine scar photographs representing each scar outcome and scar colour scores. A total of 72 porcine burn scars at week 6 after burn were rated in vivo and/or on photographs. Good agreements were achieved for both intra-rater reliability (correlation is 0.86-0.98) and inter-rater reliability (ICC=80-85%). The results showed statistically significant correlations for each pair in this clinical scar scale (p<0.01), with the best correlation found between scar cosmetic outcome and scar colour. A multivariate principle components analysis revealed that this clinical scar assessment was highly correlated with scar histology, wound size, and re-epithelialisation data (p<0.001). More severe scars are clinically characterised by darker purple colouration, more elevation, no presence of hair, histologically by thicker scar tissue, thinner remaining normal dermis, are more likely to have worse contraction, and slower re-epithelialisation. This study demonstrates that our clinical scar scale is a reliable, independent and valuable tool for assessing porcine burn outcome and truthfully reflects scar appearance and function. To our knowledge, this is the first study demonstrating a high correlation between clinical scar assessment and scar histology, wound contraction and re-epithelialisation data on porcine burn scars. We believe that the successful use of porcine scar scales is invaluable for assessing potential human burn treatments.

Thromboxane synthase expression and correlation with VEGF and angiogenesis in non-small cell lung cancer

Background Thromboxane synthase (TXS) metabolizes prostaglandin H2 into thromboxanes, which are biologically active on cancer cells. TXS over-expression has been reported in a range of cancers, and associated with angiogenesis and poor outcome. TXS has been identified as a potential therapeutic target in NSCLC. This study examines a link between TXS expression, angiogenesis, and survival in NSCLC. Methods TXS and VEGF metabolite levels were measured in NSCLC serum samples (n=46) by EIA. TXB2 levels were correlated with VEGF. A 204-patient TMA was stained for TXS, VEGF, and CD-31 expression. Expression was correlated with a range of clinical parameters, including overall survival. TXS expression was correlated with VEGF and CD-31. Stable TXS clones were generated and the effect of overexpression on tumor growth and angiogenesis markers was examined in-vitro and in-vivo (xenograft mouse model). Results Serum TXB2 levels were correlated with VEGF (p<0.05). TXS and VEGF were expressed to a varying degree in NSCLC tissue. TXS was associated with VEGF (p<0.0001) and microvessel density (CD-31; p<0.05). TXS and VEGF expression levels were higher in adenocarcinoma (p<0.0001) and female patients (p<0.05). Stable overexpression of TXS increased VEGF secretion in-vitro. While no significant association with patient survival was observed for either TXS or VEGF in our patient cohort, TXS overexpression significantly (p<0.05) increased tumor growth in-vivo. TXS overexpression was also associated with higher levels of VEGF, microvessel density, and reduced apoptosis in xenograft tumors. Conclusion TXS promotes tumor growth in-vivo in NSCLC, an effect which is at least partly mediated through increased tumor angiogenesis.