Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a result suggests that both natural gas futures and ETF products within and beyond the country might be considered when constructing optimal dynamic hedging strategies for natural gas spot prices.

Data analysis of collapse mechanisms of a 3D printed groin vault in shaking table testing

The aim of this novel experimental study is to investigate the behaviour of a 2m x 2m model of a masonry groin vault, which is built by the assembly of blocks made of a 3D-printed plastic skin filled with mortar. The choice of the groin vault is due to the large presence of this vulnerable roofing system in the historical heritage. Experimental tests on the shaking table are carried out to explore the vault response on two support boundary conditions, involving four lateral confinement modes. The data processing of markers displacement has allowed to examine the collapse mechanisms of the vault, based on the arches deformed shapes. There then follows a numerical evaluation, to provide the orders of magnitude of the displacements associated to the previous mechanisms. Given that these displacements are related to the arches shortening and elongation, the last objective is the definition of a critical elongation between two diagonal bricks and consequently of a diagonal portion. This study aims to continue the previous work and to take another step forward in the research of ground motion effects on masonry structures.

Flexural strength and hardness of direct and indirect composites

The objective of this study was to evaluate the flexural strength (σf) and hardness (H) of direct and indirect composites, testing the hypotheses that direct resin composites produce higher σf and H values than indirect composites and that these properties are positively related. Ten bar-shaped specimens (25 mm x 2 mm x 2 mm) were fabricated for each direct [D250 - Filtek Z250 (3M-Espe) and D350 - Filtek Z350 (3M-Espe)] and indirect [ISin - Sinfony (3M-Espe) and IVM - VitaVM LC (Vita Zahnfabrik)] materials, according to the manufacturer's instructions and ISO4049 specifications. The σf was tested in three-point bending using a universal testing machine (EMIC DL 2000) at a crosshead speed of 0.5 mm/min (ISO4049). Knoop hardness (H) was measured on the specimens' fragments resultant from the σf test and calculated as H = 14.2P/l², where P is the applied load (0.1 kg; dwell time = 15 s) and l is the longest diagonal of the diamond shaped indent (ASTM E384). The data were statistically analyzed using Anova and Tukey tests (α = 0.05). The mean σf and standard deviation values (MPa) and statistical grouping were: D250 - 135.4 ± 17.6a; D350 - 123.7 ± 11.1b; ISin - 98.4 ± 6.4c; IVM - 73.1 ± 4.9d. The mean H and standard deviation values (kg/mm²) and statistical grouping were: D250 - 98.12 ± 1.8a; D350 - 86.5 ± 1.9b; ISin - 28.3 ± 0.9c; IVM - 30.8 ± 1.0c. The direct composite systems examined produce higher mean σf and H values than the indirect composites, and the mean values of these properties were positively correlated (r = 0.91), confirming the study hypotheses.

Array-CGH testing in spontaneous abortions with normal karyotypes

In about 50% of first trimester spontaneous abortion the cause remains undetermined after standard cytogenetic investigation. We evaluated the usefulness of array-CGH in diagnosing chromosome abnormalities in products of conception from first trimester spontaneous abortions. Cell culture was carried out in short- and long-term cultures of 54 specimens and cytogenetic analysis was successful in 49 of them. Cytogenetic abnormalities (numerical and structural) were detected in 22 (44.89%) specimens. Subsequent, array-CGH based on large insert clones spaced at ~1 Mb intervals over the whole genome was used in 17 cases with normal G-banding karyotype. This revealed chromosome aneuplodies in three additional cases, giving a final total of 51% cases in which an abnormal karyotype was detected. In keeping with other recently published works, this study shows that array-CGH detects abnormalities in a further ~10% of spontaneous abortion specimens considered to be normal using standard cytogenetic methods. As such, array-CGH technique may present a suitable complementary test to cytogenetic analysis in cases with a normal karyotype.

Treadmill exercise testing of asymptomatic men and women without evidence of heart disease

The aim of this study was to test the hypothesis of differences in performance including differences in ST-T wave changes between healthy men and women submitted to an exercise stress test. Two hundred (45.4%) men and 241 (54.6%) women (mean age: 38.7 ± 11.0 years) were submitted to an exercise stress test. Physiologic and electrocardiographic variables were compared by the Student t-test and the chi-square test. To test the hypothesis of differences in ST-segment changes, data were ranked with functional models based on weighted least squares. To evaluate the influence of gender and age on the diagnosis of ST-segment abnormality, a logistic model was adjusted; P < 0.05 was considered to be significant. Rate-pressure product, duration of exercise and estimated functional capacity were higher in men (P < 0.05). Sixteen (6.7%) women and 9 (4.5%) men demonstrated ST-segment upslope ≥0.15 mV or downslope ≥0.10 mV; the difference was not statistically significant. Age increase of one year added 4% to the chance of upsloping of segment ST ≥0.15 mV or downsloping of segment ST ≥0.1 mV (P = 0.03; risk ratio = 1.040, 95% confidence interval (CI) = 1.002-1.080). Heart rate recovery was higher in women (P < 0.05). The chance of women showing an increase of systolic blood pressure ≤30 mmHg was 85% higher (P = 0.01; risk ratio = 1.85, 95%CI = 1.1-3.05). No significant difference in the frequency of ST-T wave changes was observed between men and women. Other differences may be related to different physical conditioning.

Estimating HIV-1 incidence using the serologic testing algorithm for recent HIV infections at HIV counseling and testing centers in the city of São Paulo, Brazil

The network of HIV counseling and testing centers in São Paulo, Brazil is a major source of data used to build epidemiological profiles of the client population. We examined HIV-1 incidence from November 2000 to April 2001, comparing epidemiological and socio-behavioral data of recently-infected individuals with those with long-standing infection. A less sensitive ELISA was employed to identify recent infection. The overall incidence of HIV-1 infection was 0.53/100/year (95% CI: 0.31-0.85/100/year): 0.77/100/year for males (95% CI: 0.42-1.27/100/year) and 0.22/100/ year (95% CI: 0.05-0.59/100/year) for females. Overall HIV-1 prevalence was 3.2% (95% CI: 2.8-3.7%), being 4.0% among males (95% CI: 3.3-4.7%) and 2.1% among females (95% CI: 1.6-2.8%). Recent infections accounted for 15% of the total (95% CI: 10.2-20.8%). Recent infection correlated with being younger and male (p = 0.019). Therefore, recent infection was more common among younger males and older females.

Development and mechanical testing of a short intramedullary nail for fixation of femoral rotational osteotomy in cerebral palsy patients

Background: Rotational osteotomy is frequently indicated to correct excessive femoral anteversion in cerebral palsy patients. Angled blade plate is the standard fixation device used when performed in the proximal femur, but extensile exposure is required for plate accommodation. The authors developed a short locked intramedullary nail to be applied percutaneously in the fixation of femoral rotational osteotomies in children with cerebral palsy and evaluated its mechanical properties. Methods: The study was divided into three stages. In the first part, a prototype was designed and made based on radiographic measurements of the femoral medullary canal of ten-year-old patients. In the second, synthetic femoral models based on rapid-prototyping of 3D reconstructed images of patients with cerebral palsy were obtained and were employed to adjust the nail prototype to the morphological changes observed in this disease. In the third, rotational osteotomies were simulated using synthetic femoral models stabilized by the nail and by the AO-ASIF fixed-angle blade plate. Mechanical testing was done comparing both devices in bending-compression and torsion. Results: The authors observed proper adaptation of the nail to normal and morphologically altered femoral models, and during the simulated osteotomies. Stiffness in bending-compression was significantly higher in the group fixed by the plate (388.97 +/- 57.25 N/mm) than in that fixed by the nail (268.26 +/- 38.51 N/mm) as torsional relative stiffness was significantly higher in the group fixed by the plate (1.07 +/- 0.36 Nm/degrees) than by the nail (0.35 +/- 0.13 Nm/degrees). Conclusions: Although the device presented adequate design and dimension to fit into the pediatric femur, mechanical tests indicated that the nail was less stable than the blade plate in bending-compression and torsion. This may be a beneficial property, and it can be attributed to the more flexible fixation found in intramedullary devices.

TESTING THE DISTANCE-DUALITY RELATION WITH GALAXY CLUSTERS AND TYPE Ia SUPERNOVAE

In this Letter, we propose a new and model-independent cosmological test for the distance-duality (DD) relation, eta = D(L)(z)(1 + z)(-2)/D(A)(z) = 1, where D(L) and D(A) are, respectively, the luminosity and angular diameter distances. For D(L) we consider two sub-samples of Type Ia supernovae (SNe Ia) taken from Constitution data whereas D(A) distances are provided by two samples of galaxy clusters compiled by De Filippis et al. and Bonamente et al. by combining Sunyaev-Zeldovich effect and X-ray surface brightness. The SNe Ia redshifts of each sub-sample were carefully chosen to coincide with the ones of the associated galaxy cluster sample (Delta z < 0.005), thereby allowing a direct test of the DD relation. Since for very low redshifts, D(A)(z) approximate to D(L)(z), we have tested the DD relation by assuming that. is a function of the redshift parameterized by two different expressions: eta(z) = 1 + eta(0)z and eta(z) = 1 +eta(0)z/(1 + z), where eta(0) is a constant parameter quantifying a possible departure from the strict validity of the reciprocity relation (eta(0) = 0). In the best scenario (linear parameterization), we obtain eta(0) = -0.28(-0.44)(+0.44) (2 sigma, statistical + systematic errors) for the De Filippis et al. sample (elliptical geometry), a result only marginally compatible with the DD relation. However, for the Bonamente et al. sample (spherical geometry) the constraint is eta(0) = -0.42(-0.34)(+0.34) (3 sigma, statistical + systematic errors), which is clearly incompatible with the duality-distance relation.

Cyclic variability of the circumstellar disk of the Be star zeta Tauri II. Testing the 2D global disk oscillation model

Context. About 2/3 of the Be stars present the so-called V/R variations, a phenomenon characterized by the quasi-cyclic variation in the ratio between the violet and red emission peaks of the HI emission lines. These variations are generally explained by global oscillations in the circumstellar disk forming a one-armed spiral density pattern that precesses around the star with a period of a few years. Aims. This paper presents self-consistent models of polarimetric, photometric, spectrophotometric, and interferometric observations of the classical Be star zeta Tauri. The primary goal is to conduct a critical quantitative test of the global oscillation scenario. Methods. Detailed three-dimensional, NLTE radiative transfer calculations were carried out using the radiative transfer code HDUST. The most up-to-date research on Be stars was used as input for the code in order to include a physically realistic description for the central star and the circumstellar disk. The model adopts a rotationally deformed, gravity darkened central star, surrounded by a disk whose unperturbed state is given by a steady-state viscous decretion disk model. It is further assumed that this disk is in vertical hydrostatic equilibrium. Results. By adopting a viscous decretion disk model for zeta Tauri and a rigorous solution of the radiative transfer, a very good fit of the time-average properties of the disk was obtained. This provides strong theoretical evidence that the viscous decretion disk model is the mechanism responsible for disk formation. The global oscillation model successfully fitted spatially resolved VLTI/AMBER observations and the temporal V/R variations in the H alpha and Br gamma lines. This result convincingly demonstrates that the oscillation pattern in the disk is a one-armed spiral. Possible model shortcomings, as well as suggestions for future improvements, are also discussed.

Testing Evolutionary and Dispersion Scenarios for the Settlement of the New World

Background: Discussion surrounding the settlement of the New World has recently gained momentum with advances in molecular biology, archaeology and bioanthropology. Recent evidence from these diverse fields is found to support different colonization scenarios. The currently available genetic evidence suggests a ""single migration'' model, in which both early and later Native American groups derive from one expansion event into the continent. In contrast, the pronounced anatomical differences between early and late Native American populations have led others to propose more complex scenarios, involving separate colonization events of the New World and a distinct origin for these groups. Methodology/Principal Findings: Using large samples of Early American crania, we: 1) calculated the rate of morphological differentiation between Early and Late American samples under three different time divergence assumptions, and compared our findings to the predicted morphological differentiation under neutral conditions in each case; and 2) further tested three dispersal scenarios for the colonization of the New World by comparing the morphological distances among early and late Amerindians, East Asians, Australo-Melanesians and early modern humans from Asia to geographical distances associated with each dispersion model. Results indicate that the assumption of a last shared common ancestor outside the continent better explains the observed morphological differences between early and late American groups. This result is corroborated by our finding that a model comprising two Asian waves of migration coming through Bering into the Americas fits the cranial anatomical evidence best, especially when the effects of diversifying selection to climate are taken into account. Conclusions: We conclude that the morphological diversity documented through time in the New World is best accounted for by a model postulating two waves of human expansion into the continent originating in East Asia and entering through Beringia.

Testing Lorentz Invariance and CPT Conservation with NuMI Neutrinos in the MINOS Near Detector

A search for a sidereal modulation in the MINOS near detector neutrino data was performed. If present, this signature could be a consequence of Lorentz and CPT violation as predicted by the effective field theory called the standard-model extension. No evidence for a sidereal signal in the data set was found, implying that there is no significant change in neutrino propagation that depends on the direction of the neutrino beam in a sun-centered inertial frame. Upper limits on the magnitudes of the Lorentz and CPT violating terms in the standard-model extension lie between 10(-4) and 10(-2) of the maximum expected, assuming a suppression of these signatures by a factor of 10(-17).

Testing for large extra dimensions with neutrino oscillations

We consider a model where sterile neutrinos can propagate in a large compactified extra dimension giving rise to Kaluza-Klein (KK) modes and the standard model left-handed neutrinos are confined to a 4-dimensional spacetime brane. The KK modes mix with the standard neutrinos modifying their oscillation pattern. We examine former and current experiments such as CHOOZ, KamLAND, and MINOS to estimate the impact of the possible presence of such KK modes on the determination of the neutrino oscillation parameters and simultaneously obtain limits on the size of the largest extra dimension. We found that the presence of the KK modes does not essentially improve the quality of the fit compared to the case of the standard oscillation. By combining the results from CHOOZ, KamLAND, and MINOS, in the limit of a vanishing lightest neutrino mass, we obtain the stronger bound on the size of the extra dimension as similar to 1.0(0.6) mu m at 99% C.L. for normal (inverted) mass hierarchy. If the lightest neutrino mass turns out to be larger, 0.2 eV, for example, we obtain the bound similar to 0.1 mu m. We also discuss the expected sensitivities on the size of the extra dimension for future experiments such as Double CHOOZ, T2K, and NO nu A.

Testing the interaction between dark energy and dark matter via the latest observations

Cosmological analyses based on currently available observations are unable to rule out a sizeable coupling between dark energy and dark matter. However, the signature of the coupling is not easy to grasp, since the coupling is degenerate with other cosmological parameters, such as the dark energy equation of state and the dark matter abundance. We discuss possible ways to break such degeneracy. Based on the perturbation formalism, we carry out the global fitting by using the latest observational data and get a tight constraint on the interaction between dark sectors. We find that the appropriate interaction can alleviate the coincidence problem.

TESTING STATISTICAL HYPOTHESIS ON RANDOM TREES AND APPLICATIONS TO THE PROTEIN CLASSIFICATION PROBLEM

Efficient automatic protein classification is of central importance in genomic annotation. As an independent way to check the reliability of the classification, we propose a statistical approach to test if two sets of protein domain sequences coming from two families of the Pfam database are significantly different. We model protein sequences as realizations of Variable Length Markov Chains (VLMC) and we use the context trees as a signature of each protein family. Our approach is based on a Kolmogorov-Smirnov-type goodness-of-fit test proposed by Balding et at. [Limit theorems for sequences of random trees (2008), DOI: 10.1007/s11749-008-0092-z]. The test statistic is a supremum over the space of trees of a function of the two samples; its computation grows, in principle, exponentially fast with the maximal number of nodes of the potential trees. We show how to transform this problem into a max-flow over a related graph which can be solved using a Ford-Fulkerson algorithm in polynomial time on that number. We apply the test to 10 randomly chosen protein domain families from the seed of Pfam-A database (high quality, manually curated families). The test shows that the distributions of context trees coming from different families are significantly different. We emphasize that this is a novel mathematical approach to validate the automatic clustering of sequences in any context. We also study the performance of the test via simulations on Galton-Watson related processes.