Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

Factors affecting the stability analysis of earth dam slopes subjected to reservoir drawdown

The drawdown of reservoirs can significantly affect the stability of upstream slopes of earth dams. This is due to the removal of the balancing hydraulic forces acting on the dams and the undrained condition within the upstream slope soils. In such scenarios, the stability of the slopes can be influenced by a range of factors including drawdown rates, slope inclination and soil properties. This paper investigates the effects of drawdown rate, saturated hydraulic conductivity and unsaturated shear strength of dam materials on the stability of the upstream slope of an earth dam. In this study, the analysis of pore-water pressure changes within the upstream slope during reservoir drawdown was coupled with the slope stability analysis using the general limit equilibrium method. The results of the analysis suggested that a decrease in the reservoir water level caused the stability of the upstream slope to decrease. The dam embankment constructed with highly permeable soil was found to be more stable during drawdown scenarios, compared to others. Further, lower drawdown rates resulted in a higher safety factor for the upstream slope. Also, the safety factor of the slope calculated using saturated shear strength properties of the dam materials was slightly higher than that calculated using unsaturated shear strength properties. In general, for all the scenarios analysed, the lowest safety factor was found to be at the reservoir water level of about 2/3 of drawdown regime.

Mechanism Analysis of Landslide of a Layered Slope Induced by Drawdown of Water Level

The frequent drawdown of water level of Yangtze River will greatly influence the stability of the widely existing slopes in the Three Gorges reservoir zone, especially those layered ones. Apart from the fluctuating speed of water level, the different geological materials will also play important roles in the failure of slopes. Thus, it must be first to study the mechanism of such a landslide caused by drawdown of water level.A new experimental setup is designed to study the performance of a layered slope under the drawdown of water level. The pattern of landslide of a layered slope induced by drawdown of water level has been explored by means of simulating experiments. The influence of fluctuating speed of water level on the stability of the layered slope is probed,especially the whole process of deformation and development of landslide of the slope versus time. The experimental results show that the slope is stable during the water level rising, and the sliding body occurs in the upper layer of the slope under a certain drawdown speed of water level. In the process of slope failure, some new small sliding body will develop on the main sliding body, and the result is that they speed up the disassembly of the whole slope.Based on the simulating experiment on landslide of a layered slope induced by drawdown of water level, the stress and displacement field of the slope are calculated.The seepage velocity, the pore water pressure, and the gradient of pore water head are also calculated for the whole process of drawdown of water level. The computing results are in good agreement with the experimental results. Accordingly, the mechanism of deformation and landslide of the layered slope induced by drawdown of water level is analyzed. It may provide basis for treating this kind of layered slopes in practical engineering.

Analysis of flow near a dug well in an unconfined aquifer

A numerical analysis of flow to a dug well in an unconfined aquifer is made, taking into account well storage, elastic storage release, gravity drainage, anisotropy, partial penetration, vertical flow and seepage surface at the well face, and treating the water table in the aquifer and water level in the well as unknown boundaries. The pumped discharge is maintained constant. The solution is obtained by a two-level iterative scheme. The effects of governing parameters on the drawdown, development of seepage surface and contribution from aquifer flow to the total discharge are discussed. The degree of anisotropy and partial penetration are found to be the parameters which affect the flow characteristics most significantly. The effect of anisotropy on the development of seepage surface is very pronounced.

Figure 5. Trace metal analysis of sediment core PS1506-1

An increase in whole ocean alkalinity during glacial periods could account, in part, for the drawdown of atmospheric CO2 into the ocean. Such an increase was inevitable due to the near elimination of shelf area for the burial of coral reef alkalinity. We present evidence, based on down-core measurements of benthic foraminiferal B/Ca and Mg/Ca from a core in the Weddell Sea, that the deep ocean carbonate ion concentration, [CO3 2-], was elevated by ~25 µmol/kg during each glacial period of the last 800 kyrs. The heterogeneity of the preservation histories in the different ocean basins reflects control of the carbonate chemistry of the deep glacial ocean in the Atlantic and Pacific by the changing ventilation and chemistry of Weddell Sea waters. These waters are more corrosive than interglacial northern sourced waters, but not as undersaturated as interglacial southern sourced waters. Our inferred increase in whole ocean alkalinity can be reconciled with reconstructions of glacial saturation horizon depth and the carbonate budget, if carbonate burial rates also increased above the saturation horizon as a result of enhanced pelagic calcification. The Weddell records display low [CO3 2-] during deglaciations and peak interglacial warmth, coincident with maxima in %CaCO3 in the Atlantic and Pacific Oceans. Should the burial rate of alkalinity in the more alkaline glacial deepwaters outstrip the rate of alkalinity supply, then pelagic carbonate production by the coccolithophores, at the end of the glacial maximum could drive a decrease in ocean [CO3 2-] and act to trigger the deglacial rise in pCO2.

Dating paleochannel iron ore by (U-Th)/He analysis of supergene goethite, Hamersley province, Australia

(U-Th)/He dating of late-stage authigenic goethite, combined with corrections for diffusive loss of He-4 by the He-4/He-3 methodology, reveals strong correlation between a sample's age and its depth in ferruginized channel sediments from the Yandicoogina deposit, Western Australia. Corrected ages, ranging from ca. 18 Ma near the surface to ca. 5 Ma at the bottom of the profile, indicate that ferruginization of the aggraded channels becomes progressively younger with depth. This trend is consistent with goethite precipitation at the groundwater-atmosphere interface during water table drawdown driven by the aridification of Western Australia during the Neogene. The results demonstrate that the (U-Th)/He system is ideal for dating goethite if diffusive loss corrections are applied. The approach is suitable for dating weathering reactions on Earth and should also be suitable for dating Fe oxyhydroxides in the Martian regolith.

Raman microscopy of formamide-intercalated kaolinites treated by controlled-rate thermal analysis technology

Raman spectroscopy of formamide-intercalated kaolinites treated using controlled-rate thermal analysis technology (CRTA), allowing the separation of adsorbed formamide from intercalated formamide in formamide-intercalated kaolinites, is reported. The Raman spectra of the CRTA-treated formamide-intercalated kaolinites are significantly different from those of the intercalated kaolinites, which display a combination of both intercalated and adsorbed formamide. An intense band is observed at 3629 cm-1, attributed to the inner surface hydroxyls hydrogen bonded to the formamide. Broad bands are observed at 3600 and 3639 cm-1, assigned to the inner surface hydroxyls, which are hydrogen bonded to the adsorbed water molecules. The hydroxyl-stretching band of the inner hydroxyl is observed at 3621 cm-1 in the Raman spectra of the CRTA-treated formamide-intercalated kaolinites. The results of thermal analysis show that the amount of intercalated formamide between the kaolinite layers is independent of the presence of water. Significant differences are observed in the CO stretching region between the adsorbed and intercalated formamide.

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α ∈ (0, 1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.

Determination of preventive maintenance lead time using hybrid analysis

The time for conducting Preventive Maintenance (PM) on an asset is often determined using a predefined alarm limit based on trends of a hazard function. In this paper, the authors propose using both hazard and reliability functions to improve the accuracy of the prediction particularly when the failure characteristic of the asset whole life is modelled using different failure distributions for the different stages of the life of the asset. The proposed method is validated using simulations and case studies.

Hydrazine-hydrate intercalated halloysite under controlled-rate thermal analysis conditions

The thermal behaviour of halloysite fully expanded with hydrazine-hydrate has been investigated in nitrogen atmosphere under dynamic heating and at a constant, pre-set decomposition rate of 0.15 mg min-1. Under controlled-rate thermal analysis (CRTA) conditions it was possible to resolve the closely overlapping decomposition stages and to distinguish between adsorbed and bonded reagent. Three types of bonded reagent could be identified. The loosely bonded reagent amounting to 0.20 mol hydrazine-hydrate per mol inner surface hydroxyl is connected to the internal and external surfaces of the expanded mineral and is present as a space filler between the sheets of the delaminated mineral. The strongly bonded (intercalated) hydrazine-hydrate is connected to the kaolinite inner surface OH groups by the formation of hydrogen bonds. Based on the thermoanalytical results two different types of bonded reagent could be distinguished in the complex. Type 1 reagent (approx. 0.06 mol hydrazine-hydrate/mol inner surface OH) is liberated between 77 and 103°C. Type 2 reagent is lost between 103 and 227°C, corresponding to a quantity of 0.36 mol hydrazine/mol inner surface OH. When heating the complex to 77°C under CRTA conditions a new reflection appears in the XRD pattern with a d-value of 9.6 Å, in addition to the 10.2 Ĺ reflection. This new reflection disappears in contact with moist air and the complex re-expands to the original d-value of 10.2 Å in a few h. The appearance of the 9.6 Å reflection is interpreted as the expansion of kaolinite with hydrazine alone, while the 10.2 Å one is due to expansion with hydrazine-hydrate. FTIR (DRIFT) spectroscopic results showed that the treated mineral after intercalation/deintercalation and heat treatment to 300°C is slightly more ordered than the original (untreated) clay.