The effects of non-trading on the illiquidity ratio

Using a simulation analysis we show that non-trading can cause an overstatement of the observed illiquidity ratio. Our paper shows how this overstatement can be eliminated with a very simple adjustment to the Amihud illiquidity ratio. We find that the adjustment improves the relationship between the illiquidity ratio and measures of illiquidity calculated from transaction data. Asset pricing tests show that without the adjustment, illiquidity premia estimates can be understated by more than 17% for NYSE securities and by more than 24% for NASDAQ securities.

Sorghum Crop Modeling and Its Utility in Agronomy and Breeding

Crop models are simplified mathematical representations of the interacting biological and environmental components of the dynamic soil–plant–environment system. Sorghum crop modeling has evolved in parallel with crop modeling capability in general, since its origins in the 1960s and 1970s. Here we briefly review the trajectory in sorghum crop modeling leading to the development of advanced models. We then (i) overview the structure and function of the sorghum model in the Agricultural Production System sIMulator (APSIM) to exemplify advanced modeling concepts that suit both agronomic and breeding applications, (ii) review an example of use of sorghum modeling in supporting agronomic management decisions, (iii) review an example of the use of sorghum modeling in plant breeding, and (iv) consider implications for future roles of sorghum crop modeling. Modeling and simulation provide an avenue to explore consequences of crop management decision options in situations confronted with risks associated with seasonal climate uncertainties. Here we consider the possibility of manipulating planting configuration and density in sorghum as a means to manipulate the productivity–risk trade-off. A simulation analysis of decision options is presented and avenues for its use with decision-makers discussed. Modeling and simulation also provide opportunities to improve breeding efficiency by either dissecting complex traits to more amenable targets for genetics and breeding, or by trait evaluation via phenotypic prediction in target production regions to help prioritize effort and assess breeding strategies. Here we consider studies on the stay-green trait in sorghum, which confers yield advantage in water-limited situations, to exemplify both aspects. The possible future roles of sorghum modeling in agronomy and breeding are discussed as are opportunities related to their synergistic interaction. The potential to add significant value to the revolution in plant breeding associated with genomic technologies is identified as the new modeling frontier.

Southern Hemisphere Summer Mesopause Responses to El Niño-Southern Oscillation

In the Southern Hemisphere (SH) polar region, satellite observations reveal a significant upper-mesosphere cooling and a lower-thermosphere warming during warm ENSO events in December. An opposite pattern is observed in the tropical mesopause region. The observed upper-mesosphere cooling agrees with a climate model simulation. Analysis of the simulation suggests that enhanced planetary wave (PW) dissipation in the Northern Hemisphere (NH) high-latitude stratosphere during El Nino strengthens the Brewer-Dobson circulation and cools the equatorial stratosphere. This increases the magnitude of the SH stratosphere meridional temperature gradient and thus causes the anomalous stratospheric easterly zonal wind and early breakdown of the SH stratospheric polar vortex. The resulting perturbation to gravity wave (GW) filtering causes anomalous SH mesospheric eastward GW forcing and polar upwelling and cooling. In addition, constructive inference of ENSO and quasi-biennial oscillation (QBO) could lead to stronger stratospheric easterly zonal wind anomalies at the SH high latitudes in November and December and early breakdown of the SH stratospheric polar vortex during warm ENSO events in the easterly QBO phase (defined by the equatorial zonal wind at similar to 25 hPa). This would in turn cause much more SH mesospheric eastward GW forcing and much colder polar temperatures, and hence it would induce an early onset time of SH summer polar mesospheric clouds (PMCs). The opposite mechanism occurs during cold ENSO events in the westerly QBO phase. This implies that ENSO together with QBO could significantly modulate the breakdown time of SH stratospheric polar vortex and the onset time of SH PMC.

Invisible walls: Do psychological barriers really exist in stock index levels?

We investigate whether the levels of a stock market index contain any evidence of a behavioural bias depending on the proximity of the index level to 'psychological barriers'. These are certain index levels (usually in multiples of 100) at which the market tends to stick before breaking out either up or down. Extant behavioural finance literature has attributed this to investors' subjective perception of 'something special' about certain index levels where in fact no rational economic basis exists for such a perception. We carry out an empirical analysis of the NASDAQ Composite index and find that barrier effects are indeed present in that stock index. We employ simulation analysis to validate of our obtained results.

Comparison of scoring systems for invasive pests using ROC analysis and Monte Carlo simulation

Different international plant protection organisations advocate different schemes for conducting pest risk assessments. Most of these schemes use structured questionnaire in which experts are asked to score several items using an ordinal scale. The scores are then combined using a range of procedures, such as simple arithmetic mean, weighted averages, multiplication of scores, and cumulative sums. The most useful schemes will correctly identify harmful pests and identify ones that are not. As the quality of a pest risk assessment can depend on the characteristics of the scoring system used by the risk assessors (i.e., on the number of points of the scale and on the method used for combining the component scores), it is important to assess and compare the performance of different scoring systems. In this article, we proposed a new method for assessing scoring systems. Its principle is to simulate virtual data using a stochastic model and, then, to estimate sensitivity and specificity values from these data for different scoring systems. The interest of our approach was illustrated in a case study where several scoring systems were compared. Data for this analysis were generated using a probabilistic model describing the pest introduction process. The generated data were then used to simulate the outcome of scoring systems and to assess the accuracy of the decisions about positive and negative introduction. The results showed that ordinal scales with at most 5 or 6 points were sufficient and that the multiplication-based scoring systems performed better than their sum-based counterparts. The proposed method could be used in the future to assess a great diversity of scoring systems.

Assessing of circuit breaker restrike risks using computer simulation and wavelet analysis

A breaker restrike is an abnormal arcing phenomenon, leading to a possible breaker failure. Eventually, this failure leads to interruption of the transmission and distribution of the electricity supply system until the breaker is replaced. Before 2008, there was little evidence in the literature of monitoring techniques based on restrike measurement and interpretation produced during switching of capacitor banks and shunt reactor banks in power systems. In 2008 a non-intrusive radiometric restrike measurement method and a restrike hardware detection algorithm were developed by M.S. Ramli and B. Kasztenny. However, the limitations of the radiometric measurement method are a band limited frequency response as well as limitations in amplitude determination. Current restrike detection methods and algorithms require the use of wide bandwidth current transformers and high voltage dividers. A restrike switch model using Alternative Transient Program (ATP) and Wavelet Transforms which support diagnostics are proposed. Restrike phenomena become a new diagnostic process using measurements, ATP and Wavelet Transforms for online interrupter monitoring. This research project investigates the restrike switch model Parameter „A. dielectric voltage gradient related to a normal and slowed case of the contact opening velocity and the escalation voltages, which can be used as a diagnostic tool for a vacuum circuit-breaker (CB) at service voltages between 11 kV and 63 kV. During current interruption of an inductive load at current quenching or chopping, a transient voltage is developed across the contact gap. The dielectric strength of the gap should rise to a point to withstand this transient voltage. If it does not, the gap will flash over, resulting in a restrike. A straight line is fitted through the voltage points at flashover of the contact gap. This is the point at which the gap voltage has reached a value that exceeds the dielectric strength of the gap. This research shows that a change in opening contact velocity of the vacuum CB produces a corresponding change in the slope of the gap escalation voltage envelope. To investigate the diagnostic process, an ATP restrike switch model was modified with contact opening velocity computation for restrike waveform signature analyses along with experimental investigations. This also enhanced a mathematical CB model with the empirical dielectric model for SF6 (sulphur hexa-fluoride) CBs at service voltages above 63 kV and a generalised dielectric curve model for 12 kV CBs. A CB restrike can be predicted if there is a similar type of restrike waveform signatures for measured and simulated waveforms. The restrike switch model applications are used for: computer simulations as virtual experiments, including predicting breaker restrikes; estimating the interrupter remaining life of SF6 puffer CBs; checking system stresses; assessing point-on-wave (POW) operations; and for a restrike detection algorithm development using Wavelet Transforms. A simulated high frequency nozzle current magnitude was applied to an Equation (derived from the literature) which can calculate the life extension of the interrupter of a SF6 high voltage CB. The restrike waveform signatures for a medium and high voltage CB identify its possible failure mechanism such as delayed opening, degraded dielectric strength and improper contact travel. The simulated and measured restrike waveform signatures are analysed using Matlab software for automatic detection. Experimental investigation of a 12 kV vacuum CB diagnostic was carried out for the parameter determination and a passive antenna calibration was also successfully developed with applications for field implementation. The degradation features were also evaluated with a predictive interpretation technique from the experiments, and the subsequent simulation indicates that the drop in voltage related to the slow opening velocity mechanism measurement to give a degree of contact degradation. A predictive interpretation technique is a computer modeling for assessing switching device performance, which allows one to vary a single parameter at a time; this is often difficult to do experimentally because of the variable contact opening velocity. The significance of this thesis outcome is that it is a non-intrusive method developed using measurements, ATP and Wavelet Transforms to predict and interpret a breaker restrike risk. The measurements on high voltage circuit-breakers can identify degradation that can interrupt the distribution and transmission of an electricity supply system. It is hoped that the techniques for the monitoring of restrike phenomena developed by this research will form part of a diagnostic process that will be valuable for detecting breaker stresses relating to the interrupter lifetime. Suggestions for future research, including a field implementation proposal to validate the restrike switch model for ATP system studies and the hot dielectric strength curve model for SF6 CBs, are given in Appendix A.