Young, Leslie
2012-10-01
Pluto's varying subsolar latitude and heliocentric distance leads to large variations in the surface volatile distribution and surface pressure. I present results of new volatile transport models (Young 2012a, b). The models include insolation, thermal emission, subsurface conduction, heating of a volatile slab, internal heat flux, latent heat of sublimation, and strict global mass balance. Numeric advances include initial conditions that allow for rapid convergence, efficient computation with matrix arithmetic, and stable Crank-Nicholson timesteps for both bare and volatile-covered areas. Runs of the model show six distinct seasons on Pluto. (1) As Pluto approaches perihelion, the volatiles on the old winter pole (the Rotational North Pole, RNP) becomes more directly illuminated , and the pressure and albedo rise rapidly. (2) When a new ice cap forms on the Rotational South Pole, RSP, volatiles are exchanged between poles. The pressure and albedo change more slowly. (3) When all volatiles have sublimed from the RNP, the albedo and pressure drop rapidly. (4-6) A similar pattern is repeated near aphelion with a reversal of the roles and the poles. I will compare results with earlier Pluto models of Hansen and Paige (1996), show the dependence on parameters such as substrate inertia, and make predictions for the New Horizons flyby of Pluto in 2015. This work was supported, in part, by funding from NASA Planetary Atmospheres Grant NNG06GF32G and the Spitzer project (JPL research support Agreement 1368573). Hansen, C. J. and D. A. Paige 1996. Seasonal Nitrogen Cycles on Pluto. Icarus 120, 247-265. Young, L. A. 2012a. Volatile transport on inhomogeneous surfaces: I - Analytic expressions, with application to Pluto’s day. Icarus, in press Young, L. A. 2012b. Volatile transport on inhomogeneous surfaces: II. Numerical calculations, with application to Pluto's season. In preparation.
Alternative Asymmetric Stochastic Volatility Models
M. Asai (Manabu); M.J. McAleer (Michael)
2010-01-01
textabstractThe stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is
Consistent ranking of volatility models
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger
2006-01-01
We show that the empirical ranking of volatility models can be inconsistent for the true ranking if the evaluation is based on a proxy for the population measure of volatility. For example, the substitution of a squared return for the conditional variance in the evaluation of ARCH-type models can...... variance in out-of-sample evaluations rather than the squared return. We derive the theoretical results in a general framework that is not specific to the comparison of volatility models. Similar problems can arise in comparisons of forecasting models whenever the predicted variable is a latent variable....
Stochastic Volatility and DSGE Models
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...
A Fractionally Integrated Wishart Stochastic Volatility Model
M. Asai (Manabu); M.J. McAleer (Michael)
2013-01-01
textabstractThere has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of
Dynamic Factor Models for the Volatility Surface
DEFF Research Database (Denmark)
van der Wel, Michel; Ozturk, Sait R.; Dijk, Dick van
The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine desirable...
Volatile Transport in Pluto's Super Seasons
Earle, Alissa M.; Binzel, Richard; Young, Leslie; Stern, S. Alan; Olkin, Catherine B.; Ennico, Kimberly; Moore, Jeffrey M.; Weaver, Harold A.; NASA New Horizons Composition Team, The NASA New Horizons GGI Team
2016-10-01
The data returned from NASA's New Horizons' reconnaissance of the Pluto system shows striking albedo variations from polar to equatorial latitudes as well as sharp boundaries for longitudinal variations. Pluto has a high obliquity (currently around 119 degrees) which varies by more than 23 degrees (between roughly 103 and 127 degrees) over a period of less than 3 million years. These obliquity properties, combined with Pluto's orbital regression in longitude of perihelion (360 degrees over 3.7 million years), create epochs of "Super Seasons" on Pluto. A "Super Season" occurs, for example, when Pluto happens to be pole-on towards the Sun at the same time as perihelion. In such a case, one pole experiences a short, intense summer (relative to its long-term average) followed by a longer than average period of winter darkness. By complement, the other pole experiences a much longer, but less intense summer and short winter season. We explore the relationship between albedo variations and volatile transport for the current epoch as well as historical epochs during which Pluto experienced these "Super Seasons". Our investigation suggests Pluto's orbit creates the potential for runaway albedo variations, particularly in the equatorial region, which would create and support stark longitudinal contrasts like the ones we see between the informally named Tombaugh and Cthulhu Regios.This work was supported by the NASA New Horizons mission.
CAM Stochastic Volatility Model for Option Pricing
Directory of Open Access Journals (Sweden)
Wanwan Huang
2016-01-01
Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.
Modeling volatility using state space models.
Timmer, J; Weigend, A S
1997-08-01
In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).
Stochastic volatility models and Kelvin waves
Energy Technology Data Exchange (ETDEWEB)
Lipton, Alex [Merrill Lynch, Mlfc Main, 2 King Edward Street, London EC1A 1HQ (United Kingdom); Sepp, Artur [Merrill Lynch, 4 World Financial Center, New York, NY 10080 (United States)], E-mail: Alex_Lipton@ml.com, E-mail: Artur_Sepp@ml.com
2008-08-29
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Stochastic volatility models and Kelvin waves
Lipton, Alex; Sepp, Artur
2008-08-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Stochastic volatility models and Kelvin waves
International Nuclear Information System (INIS)
Lipton, Alex; Sepp, Artur
2008-01-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics
Some recent developments in stochastic volatility modelling
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.
2002-01-01
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation...
Volatility estimation using a rational GARCH model
Directory of Open Access Journals (Sweden)
Tetsuya Takaishi
2018-03-01
Full Text Available The rational GARCH (RGARCH model has been proposed as an alternative GARCHmodel that captures the asymmetric property of volatility. In addition to the previously proposedRGARCH model, we propose an alternative RGARCH model called the RGARCH-Exp model thatis more stable when dealing with outliers. We measure the performance of the volatility estimationby a loss function calculated using realized volatility as a proxy for true volatility and compare theRGARCH-type models with other asymmetric type models such as the EGARCH and GJR models.We conduct empirical studies of six stocks on the Tokyo Stock Exchange and find that a volatilityestimation using the RGARCH-type models outperforms the GARCH model and is comparable toother asymmetric GARCH models.
Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael
2017-01-01
markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using t...
Modelling of volatility in monetary transmission mechanism
Energy Technology Data Exchange (ETDEWEB)
Dobešová, Anna; Klepáč, Václav; Kolman, Pavel [Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 61300, Brno (Czech Republic); Bednářová, Petra [Institute of Technology and Business, Okružní 517/10, 370 01, České Budějovice (Czech Republic)
2015-03-10
The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches.
Modelling of volatility in monetary transmission mechanism
International Nuclear Information System (INIS)
Dobešová, Anna; Klepáč, Václav; Kolman, Pavel; Bednářová, Petra
2015-01-01
The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches
News Impact Curve for Stochastic Volatility Models
Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe
2012-01-01
This paper proposes a new method to compute the news impact curve for stochastic volatility (SV) models. The new method incorporates the joint movement of return and volatility, which has been ignored by the extant literature, by simply adding a couple of steps to the Bayesian MCMC estimation procedures for SV models. This simple procedure is versatile and applicable to various SV type models. Contrary to the monotonic news impact functions in the extant literature, the new method gives a U-s...
Transport of volatile organic compounds across the capillary fringe
McCarthy, Kathleen A.; Johnson, Richard L.
1993-01-01
Physical experiments were conducted to investigate the transport of a dissolved volatile organic compound (trichloroethylene, TCE) from shallow groundwater to the unsaturated zone under a variety of conditions including changes in the soil moisture profile and water table position. Experimental data indicated that at moderate groundwater velocities (0.1 m/d), vertical mechanical dispersion was negligible and molecular diffusion was the dominant vertical transport mechanism. Under these conditions, TCE concentrations decreased nearly 3 orders of magnitude across the capillary fringe and soil gas concentrations remained low relative to those of underlying groundwater. Data collected during a water table drop showed a short-term increase in concentrations throughout most of the unsaturated zone, but these concentrations quickly declined and approached initial values after the water table was returned to its original level. In the deep part of the unsaturated zone, the water table drop resulted in a long-term decrease in concentrations, illustrating the effects of hysteresis in the soil moisture profile. A two-dimensional random walk advection-diffusion model was developed to simulate the experimental conditions, and numerical simulations agreed well with experimental data. A simpler, one-dimensional finite-difference diffusion-dispersion model was also developed. One-dimensional simulations based on molecular diffusion also agreed well with experimental data. Simulations which incorporated mechanical dispersion tended to overestimate flux across the capillary fringe. Good agreement between the one- and two-dimensional models suggested that a simple, one-dimensional approximation of vertical transport across the capillary fringe can be useful when conditions are appropriate.
Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)
2017-01-01
markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The
Modeling and forecasting petroleum futures volatility
International Nuclear Information System (INIS)
Sadorsky, Perry
2006-01-01
Forecasts of oil price volatility are important inputs into macroeconometric models, financial market risk assessment calculations like value at risk, and option pricing formulas for futures contracts. This paper uses several different univariate and multivariate statistical models to estimate forecasts of daily volatility in petroleum futures price returns. The out-of-sample forecasts are evaluated using forecast accuracy tests and market timing tests. The TGARCH model fits well for heating oil and natural gas volatility and the GARCH model fits well for crude oil and unleaded gasoline volatility. Simple moving average models seem to fit well in some cases provided the correct order is chosen. Despite the increased complexity, models like state space, vector autoregression and bivariate GARCH do not perform as well as the single equation GARCH model. Most models out perform a random walk and there is evidence of market timing. Parametric and non-parametric value at risk measures are calculated and compared. Non-parametric models outperform the parametric models in terms of number of exceedences in backtests. These results are useful for anyone needing forecasts of petroleum futures volatility. (author)
Transport and Fate of Volatile Organic Chemical in Soils
DEFF Research Database (Denmark)
Petersen, Lis Wollesen
Recently much attention has been paid to the behavior of volatile organic chemicals (VOCs) in the environment. This is due to the fact that the environmental pollution with these hazardous chemicals has drastically increased during the last decades. The present study is limited to consider...... the transport and fate of VOCs in the gaseous phase, thus contributing to the overall understanding of VOCs behavior in soil, which eventually will facilitate future cleanup....
Modelling oil price volatility with structural breaks
International Nuclear Information System (INIS)
Salisu, Afees A.; Fasanya, Ismail O.
2013-01-01
In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility. - Highlights: ► We analyze oil price volatility using NP (2010) and LN (2010) tests. ► We modify the LN (2010) to account for leverage effects in oil price. ► We find two structural breaks that reflect major global crisis in the oil market. ► We find evidence of persistence and leverage effects in oil price volatility. ► Leverage effects and structural breaks are fundamental in oil price modelling.
The influence of surface roughness on volatile transport on the Moon
Prem, P.; Goldstein, D. B.; Varghese, P. L.; Trafton, L. M.
2018-01-01
The Moon and other virtually airless bodies provide distinctive environments for the transport and sequestration of water and other volatiles delivered to their surfaces by various sources. In this work, we conduct Monte Carlo simulations of water vapor transport on the Moon to investigate the role of small-scale roughness (unresolved by orbital measurements) in the migration and cold-trapping of volatiles. Observations indicate that surface roughness, combined with the insulating nature of lunar regolith and the absence of significant exospheric heat flow, can cause large variations in temperature over very small scales. Surface temperature has a strong influence on the residence time of migrating water molecules on the lunar surface, which in turn affects the rate and magnitude of volatile transport to permanently shadowed craters (cold traps) near the lunar poles, as well as exospheric structure and the susceptibility of migrating molecules to photodestruction. Here, we develop a stochastic rough surface temperature model suitable for simulations of volatile transport on a global scale, and compare the results of Monte Carlo simulations of volatile transport with and without the surface roughness model. We find that including small-scale temperature variations and shadowing leads to a slight increase in cold-trapping at the lunar poles, accompanied by a slight decrease in photodestruction. Exospheric structure is altered only slightly, primarily at the dawn terminator. We also examine the sensitivity of our results to the temperature of small-scale shadows, and the energetics of water molecule desorption from the lunar regolith - two factors that remain to be definitively constrained by other methods - and find that both these factors affect the rate at which cold trap capture and photodissociation occur, as well as exospheric density and longevity.
Modeling of Volatility with Non-linear Time Series Model
Kim Song Yon; Kim Mun Chol
2013-01-01
In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto-Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied.
Arsenic volatilization in model anaerobic biogas digesters
International Nuclear Information System (INIS)
Mestrot, Adrien; Xie, Wan-Ying; Xue, Ximei; Zhu, Yong-Guan
2013-01-01
Highlights: • Arsenic is volatilized form all model anaerobic digesters, including the non-treated ones. • Volatile As species can be identified and quantified in all digesters. • Non-arsenic treated digesters volatilization rates are higher than Roxarsone treated ones. - Abstract: Arsenic is a class 1 non-threshold carcinogen which is highly ubiquitous. Arsenic undergoes many different transformations (biotic or abiotic) between and within environmental compartments, leading to a number of different chemical species possessing different properties and toxicities. One specific transformation is As biotic volatilization which is coupled with As biomethylation and has been scarcely studied due to inherent sampling issues. Arsenic methylation/volatilization is also linked with methanogenesis and occurs in anaerobic environments. In China, rice straw and animal manure are very often used to produce biogas and both can contain high amounts of As, especially if the rice is grown in areas with heavy mining or smelting industries and if Roxarsone is fed to the animals. Roxarsone is an As-containing drug which is widely used in China to control coccidian intestinal parasites, to improve feed efficiency and to promote rapid growth. Previous work has shown that this compound degrades to inorganic As under anaerobic conditions. In this study the focus is on biotic transformations of As in small microcosms designed as biogas digester models (BDMs) using recently validated As traps, thus, enabling direct quantification and identification of volatile As species. It is shown that although there was a loss of soluble As in the BDMs, their conditions favored biomethylation. All reactors produced volatile As, especially the monomethylarsonic acid spiked ones with 413 ± 148 ng As (mean ± SD, n = 3) which suggest that the first methylation step, from inorganic As, is a limiting factor. The most abundant species was trimethylarsine, but the toxic arsine was present in the
Modelling volatility by variance decomposition
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the condit...
Recent developments in volatility modeling and applications
Directory of Open Access Journals (Sweden)
A. Thavaneswaran
2006-01-01
Full Text Available In financial modeling, it has been constantly pointed out that volatility clustering and conditional nonnormality induced leptokurtosis observed in high frequency data. Financial time series data are not adequately modeled by normal distribution, and empirical evidence on the non-normality assumption is well documented in the financial literature (details are illustrated by Engle (1982 and Bollerslev (1986. An ARMA representation has been used by Thavaneswaran et al., in 2005, to derive the kurtosis of the various class of GARCH models such as power GARCH, non-Gaussian GARCH, nonstationary and random coefficient GARCH. Several empirical studies have shown that mixture distributions are more likely to capture heteroskedasticity observed in high frequency data than normal distribution. In this paper, some results on moment properties are generalized to stationary ARMA process with GARCH errors. Application to volatility forecasts and option pricing are also discussed in some detail.
Volatility in GARCH Models of Business Tendency Index
Wahyuni, Dwi A. S.; Wage, Sutarman; Hartono, Ateng
2018-01-01
This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.
Takaishi, Tetsuya
2018-06-01
The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen-Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri
We introduce a multivariate GARCH model that utilizes and models realized measures of volatility and covolatility. The realized measures extract information contained in high-frequency data that is particularly beneficial during periods with variation in volatility and covolatility. Applying the ...
International Nuclear Information System (INIS)
Beahm, E.C.; Shockley, W.E.
1984-01-01
The ultimate aim of this program is to couple experimental aqueous iodine volatilities to a fission product release model. Iodine partition coefficients, for inorganic iodine, have been measured during hydrolysis and radiolysis. The hydrolysis experiments have illustrated the importance of reaction time on iodine volatility. However, radiolysis effects can override hydrolysis in determining iodine volatility. In addition, silver metal in radiolysis samples can react to form silver iodide accompanied by a decrease in iodine volatility. Experimental data are now being coupled to an iodine transport and release model that was developed in the Federal Republic of Germany
Volatile Transport on Pluto: First Results from the 2013 Observing Season
Buratti, B. J.; Dalba, P. A.; Hicks, M.; Chu, D.; O'Neill, A.; Chesley, J. P.
2013-12-01
With the New Horizons spacecraft due to encounter Pluto in slightly less than two years, close scrutiny of this dwarf ice planet has begun in earnest. Ground-based observations are especially critical for context and for a larger temporal excursion. Seasonal transport of volatiles should occur on Pluto, and this transport should be detectable through changes in its rotational light curve, once all variations due to viewing geometry have been modeled. Giving the steady increase observed in Pluto's atmospheric pressure over the past two decades, associated sublimation of frost from the surface has likely occurred, as predicted by volatile transport models. Rotational light curves of Pluto through time have been created for static frost models based on images from the Hubble Space Telescope. These models, which account for changes in viewing geometry, have been compared with observed light curves obtained between 1950 and 2013. No evidence for transport was evident prior to 2000. Observations from 2002 (Buie et al., 2010, Astron. J. 139, 1128) and 2007-2008 (Hicks et al. 2008, B.A.A.S. 40, 460) suggest changes in the frost pattern on Pluto's surface. New observations of Pluto's light curve from the 2013 season from Table Mountain Observatory show no evidence for the large transport of volatiles on Pluto's surface. Our data are the first measurement of a large opposition surge on Pluto similar to that seen on other icy bodies. Both Buie et al. (2010) and our observations from the 2012-2013 seasons show that Pluto is becoming more red in color. This observation makes sense if nitrogen is being removed from the surface to uncover a red, photolyzed substrate of methane. Funded by NASA.
Directory of Open Access Journals (Sweden)
J. Ma
2010-08-01
Full Text Available In the first part of this study for revisiting the cold condensation effect on global distribution of semi-volatile organic chemicals (SVOCs, the atmospheric transport of SVOCs to the Arctic in the mid-troposphere in a mean meridional atmospheric circulation over the Northern Hemisphere was simulated by a two-dimensional (2-D atmospheric transport model. Results show that under the mean meridional atmospheric circulation the long-range atmospheric transport of SVOCs from warm latitudes to the Arctic occurs primarily in the mid-troposphere. Although major sources are in low and mid-latitude soils, the modeled air concentration of SVOCs in the mid-troposphere is of the same order as or higher than that near the surface, demonstrating that the mid-troposphere is an important pathway and reservoir of SVOCs. The cold condensation of the chemicals is also likely to take place in the mid-troposphere over a source region of SVOCs in warm low latitudes through interacting with clouds. We demonstrate that the temperature dependent vapour pressure and atmospheric degradation rate of SVOCs exhibit similarities between lower atmosphere over the Arctic and the mid-troposphere over a tropical region. Frequent occurrence of atmospheric ascending motion and convection over warm latitudes carry the chemicals to a higher altitude where some of these chemicals may partition onto solid or aqueous phase through interaction with atmospheric aerosols, cloud water droplets and ice particles, and become more persistent at lower temperatures. Stronger winds in the mid-troposphere then convey solid and aqueous phase chemicals to the Arctic where they sink by large-scale descending motion and wet deposition. Using calculated water droplet-air partitioning coefficient of several persistent organic semi-volatile chemicals under a mean air temperature profile from the equator to the North Pole we propose that clouds are likely important sorbing media for SVOCs and pathway of
Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
DEFF Research Database (Denmark)
Dahl, Christian Møller; Iglesias, Emma M.
In this paper a new GARCH-M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the GARCH......, we provide an empirical illustration showing the empirical relevance of the GARCH-AR model based on modelling a wide range of leading US stock return series....
International Nuclear Information System (INIS)
Filley, T.; Tomasko, D.
1992-04-01
Part I of this paper presents the development and application of a numerical model for determining the fate and transport of volatile organic compounds (VOCS) in the unsaturated zone resulting from forced volatilization and gaseous advection-dispersion of organic vapor in a multipartitioned three-dimensional environment. The model allows for single-component transport in the gas and water phases. The hydrocarbon is assumed to be in specific retention and, therefore, immobile. Partitioning of the hydrocarbon between the oil, water, gas, and soil is developed as rate-limited functions that are incorporated into sink/source terms in the transport equations. The code for the model was developed specifically to investigate in-situ volatilization (ISV) remedial strategies, predict the extent of cleanup from information obtained at a limited number of measurement locations, and to help design ISV remedial systems. Application of the model is demonstrated for a hypothetical one-dimensional ISV system. Part II of this paper will present the analysis of an existing ISV system using the full three-dimensional capability of the model
International Nuclear Information System (INIS)
Gulisashvili, Archil; Stein, Elias M.
2010-01-01
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the implied volatility in the Stein-Stein and the Heston model are obtained.
A Range-Based Multivariate Model for Exchange Rate Volatility
Tims, Ben; Mahieu, Ronald
2003-01-01
textabstractIn this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into two independent latent factors, which are interpreted as the underlying currency specific components. Due to the normality of logarithmic volatilities the model can be estimated conveniently with standard Kalman filter techniques. Our resu...
Estimation and prediction under local volatility jump-diffusion model
Kim, Namhyoung; Lee, Younhee
2018-02-01
Volatility is an important factor in operating a company and managing risk. In the portfolio optimization and risk hedging using the option, the value of the option is evaluated using the volatility model. Various attempts have been made to predict option value. Recent studies have shown that stochastic volatility models and jump-diffusion models reflect stock price movements accurately. However, these models have practical limitations. Combining them with the local volatility model, which is widely used among practitioners, may lead to better performance. In this study, we propose a more effective and efficient method of estimating option prices by combining the local volatility model with the jump-diffusion model and apply it using both artificial and actual market data to evaluate its performance. The calibration process for estimating the jump parameters and local volatility surfaces is divided into three stages. We apply the local volatility model, stochastic volatility model, and local volatility jump-diffusion model estimated by the proposed method to KOSPI 200 index option pricing. The proposed method displays good estimation and prediction performance.
Tavasszy, L.A.; Jong, G. de
2014-01-01
Freight Transport Modelling is a unique new reference book that provides insight into the state-of-the-art of freight modelling. Focusing on models used to support public transport policy analysis, Freight Transport Modelling systematically introduces the latest freight transport modelling
Emission of volatile organic compounds from petunia flowers is facilitated by an ABC transporter.
Adebesin, Funmilayo; Widhalm, Joshua R; Boachon, Benoît; Lefèvre, François; Pierman, Baptiste; Lynch, Joseph H; Alam, Iftekhar; Junqueira, Bruna; Benke, Ryan; Ray, Shaunak; Porter, Justin A; Yanagisawa, Makoto; Wetzstein, Hazel Y; Morgan, John A; Boutry, Marc; Schuurink, Robert C; Dudareva, Natalia
2017-06-30
Plants synthesize a diversity of volatile molecules that are important for reproduction and defense, serve as practical products for humans, and influence atmospheric chemistry and climate. Despite progress in deciphering plant volatile biosynthesis, their release from the cell has been poorly understood. The default assumption has been that volatiles passively diffuse out of cells. By characterization of a Petunia hybrida adenosine triphosphate-binding cassette (ABC) transporter, PhABCG1, we demonstrate that passage of volatiles across the plasma membrane relies on active transport. PhABCG1 down-regulation by RNA interference results in decreased emission of volatiles, which accumulate to toxic levels in the plasma membrane. This study provides direct proof of a biologically mediated mechanism of volatile emission. Copyright © 2017 The Authors, some rights reserved; exclusive licensee American Association for the Advancement of Science. No claim to original U.S. Government Works.
Exposure to volatile organic compounds: Comparison among different transportation modes
Do, Duc Hoai; Van Langenhove, Herman; Chigbo, Stephen Izuchukwu; Amare, Abebech Nuguse; Demeestere, Kristof; Walgraeve, Christophe
2014-09-01
The increasing trend of promoting public transportation (bus tram, metro, train) and more environmental friendly and sustainable non fossil-fuel alternatives (walking, cycling etc) as substitutes for auto vehicles brings forward new questions with regard to pollutant levels to which commuters are exposed. In this study, three transportation modes (tram, auto vehicle and bicycle) are studied and concentration levels of 84 volatile organic compounds (VOCs) (hydrocarbons, aromatic hydrocarbons, oxygen containing hydrocarbons, terpenes and halogenated compounds) are measured along a route in the city of Ghent, Belgium. The concentration levels are obtained by active sampling on Tenax TA sorbent tubes followed by thermal desorption gas chromatography mass spectrometry (TD-GC-MS) using deuterated toluene as an internal standard. The median total VOC concentrations for the tram mode (33 μg/m³) is 1.7 times higher than that of the bicycle mode (20 μg/m³) and 1.5 times higher than for the car mode (22 μg/m³). It is found that aromatic hydrocarbons account for a significant proportion in the total VOCs concentration (TVOCs) being as high as 41-57%, 59-72% and 58-72% for the tram, car and bicycle respectively. In all transportation modes, there was a high (r > 0.6) degree of correlation between BTEX compounds, isopropylbenzene, n-propylbenzene, 1,3,5-trimethylbenzene and 1,2,4-trimethylbenzene. When comparing time weighed average concentrations along a fixed route in Ghent, it is found that commuters using the tram mode experience the highest TVOCs concentration levels. However, next to the concentration level to which commuters are exposed, the physical activity level involving the mode of transportation is important to assess the exposure to toxic VOCs. It is proven that the commuter using a bicycle (4.3 ± 1.5 μg) inhales seven and nine times more benzene compared to the commuter using the car and tram respectively, when the same route is followed.
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order...... structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations....... In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach....
Estimation of Stochastic Volatility Models by Nonparametric Filtering
DEFF Research Database (Denmark)
Kanaya, Shin; Kristensen, Dennis
2016-01-01
/estimated volatility process replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps and market microstructure noise. The resulting estimators of the stochastic volatility model will carry additional biases...... and variances due to the first-step estimation, but under regularity conditions we show that these vanish asymptotically and our estimators inherit the asymptotic properties of the infeasible estimators based on observations of the volatility process. A simulation study examines the finite-sample properties...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
2013-01-01
to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...
A Range-Based Multivariate Model for Exchange Rate Volatility
B. Tims (Ben); R.J. Mahieu (Ronald)
2003-01-01
textabstractIn this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into two independent latent factors, which are
A supply and demand based volatility model for energy prices
International Nuclear Information System (INIS)
Kanamura, Takashi
2009-01-01
This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)
A supply and demand based volatility model for energy prices
Energy Technology Data Exchange (ETDEWEB)
Kanamura, Takashi [J-POWER, 15-1, Ginza 6-Chome, Chuo-ku, Tokyo 104-8165 (Japan)
2009-09-15
This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)
Can clouds enhance long-range transport of low volatile, ionizable and surface-active chemicals?
DEFF Research Database (Denmark)
Franco, Antonio; Trapp, Stefan
2011-01-01
Atmospheric partitioning and transport of low volatile organic compounds is strongly influenced by the presence of water (e.g. clouds) and its deposition velocity (e.g. rainfall, snow). It was identified that the assumption of continuous rainfall underestimates the residence time and the transport....... The longer residence time predicted for some compounds in the LMT is due to the capacity of clouds to sorb non-volatile molecules in the liquid water and at the interface of cloud droplets. The efficiency of wet deposition to remove low volatile organic pollutants from the atmosphere is limited primarily...
Maximum likelihood approach for several stochastic volatility models
International Nuclear Information System (INIS)
Camprodon, Jordi; Perelló, Josep
2012-01-01
Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log-price dynamics. We apply this method to the simplest versions of the expOU, the OU and the Heston stochastic volatility models and we study their performance in terms of the log-price probability, the volatility probability, and its Mean First-Passage Time. The approach has some predictive power on the future returns amplitude by only knowing the current volatility. The assumed models do not consider long-range volatility autocorrelation and the asymmetric return-volatility cross-correlation but the method still yields very naturally these two important stylized facts. We apply the method to different market indices and with a good performance in all cases. (paper)
Modeling returns volatility: Realized GARCH incorporating realized risk measure
Jiang, Wei; Ruan, Qingsong; Li, Jianfeng; Li, Ye
2018-06-01
This study applies realized GARCH models by introducing several risk measures of intraday returns into the measurement equation, to model the daily volatility of E-mini S&P 500 index futures returns. Besides using the conventional realized measures, realized volatility and realized kernel as our benchmarks, we also use generalized realized risk measures, realized absolute deviation, and two realized tail risk measures, realized value-at-risk and realized expected shortfall. The empirical results show that realized GARCH models using the generalized realized risk measures provide better volatility estimation for the in-sample and substantial improvement in volatility forecasting for the out-of-sample. In particular, the realized expected shortfall performs best for all of the alternative realized measures. Our empirical results reveal that future volatility may be more attributable to present losses (risk measures). The results are robust to different sample estimation windows.
A Jump-Diffusion Model with Stochastic Volatility and Durations
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
jumps in two ways: as exogenous sampling intervals, and through the interaction with volatility. We adopt a bivariate Ornstein-Ulenbeck process to model intraday volatility and conditional duration. We develop a MCMC algorithm for the inference on irregularly spaced multivariate processes with jumps...
A novel Monte Carlo approach to hybrid local volatility models
A.W. van der Stoep (Anton); L.A. Grzelak (Lech Aleksander); C.W. Oosterlee (Cornelis)
2017-01-01
textabstractWe present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant.
Asymptotic formulae for implied volatility in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatovic, Aleksandar
2009-01-01
In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions.
The fractional volatility model: An agent-based interpretation
Vilela Mendes, R.
2008-06-01
Based on the criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are reviewed and extended to account for leverage effects. Using agent-based models, one tries to find which agent strategies and (or) properties of the financial institutions might be responsible for the features of the fractional volatility model.
A Jump Diffusion Model for Volatility and Duration
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
by the market microstructure theory. Traditional measures of volatility do not utilize durations. I adopt a jump diffusion process to model the persistence of intraday volatility and conditional duration, and their interdependence. The jump component is disentangled from the continuous part of the price......, volatility and conditional duration process. I develop a MCMC algorithm for the inference of irregularly spaced multivariate process with jumps. The algorithm provides smoothed estimates of the latent variables such as spot volatility, jump times and jump sizes. I apply this model to IBM data and I find...... meaningful relationship between volatility and conditional duration. Also, jumps play an important role in the total variation, but the jump variation is smaller than traditional measures that use returns sampled at lower frequency....
On changes of measure in stochastic volatility models
Directory of Open Access Journals (Sweden)
Bernard Wong
2006-01-01
models. This had led many researchers to “assume the condition away,” even though the condition is not innocuous, and nonsensical results can occur if it is in fact not satisfied. We provide an applicable theorem to check the conditions for a general class of Markovian stochastic volatility models. As an example we will also provide a detailed analysis of the Stein and Stein and Heston stochastic volatility models.
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to r...
Directory of Open Access Journals (Sweden)
María Sánchez
2016-11-01
Full Text Available The action consists of moving with small kicks a tin of cola refresh -without Brand-from a point of the city up to other one. During the path I avoid bollards, the slope differences between sidewalks, pedestrians, parked motorcycles, etc. Volatility wants to say exactly that the money is getting lost. That the money is losing by gentlemen and by ladies who are neither financial sharks, nor big businessmen… or similarly, but ingenuous people, as you or as me, who walk down the street.
Literature study of volatile radioiodine release from ion-exchange resins during transportation
International Nuclear Information System (INIS)
Wren, J.C.
1991-02-01
A transport package is currently being developed by Ontario Hydro to carry used filters and ion-exchange columns from the Pickering and Darlington Nuclear Generating Stations to the Bruce Nuclear Generating Station for disposal. The main reason that the transport package must be licensed is the possibility that volatile radionuclides being transported in the package might be released during transport accidents. Of particular concern is the iodine that might become volatile due to the degradation of the ion exchange resin. This report reviews the literature on the thermal and radiolytic degradation of ion exchange resins and provides calculations to estimate the fraction of volatile iodine as a function of time under postulated accident conditions
Can producer currency pricing models generate volatile real exchange rates?
Povoledo, L.
2012-01-01
If the elasticities of substitution between traded and nontraded and between Home and Foreign traded goods are sufficiently low, then the real exchange rate generated by a model with full producer currency pricing is as volatile as in the data.
Antoine Jacquier; Martin Keller-Ressel; Aleksandar Mijatovic
2011-01-01
Let $\\sigma_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\\in\\bbR$ and $S_0$ is the current value of the underlying. We show that $\\sigma_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to infinity, given by the formula $\\sigma_\\infty(x)=\\sqrt{2}(h^*(x)^{1/2}+(h^*(x)-x)^{1/2})$, for $x$ in some compact neighbourhood of zero in the class of affine stochastic volatility models. The function $h^*$ is the convex dual of the limiting cumulant gen...
International Nuclear Information System (INIS)
McGraw, M.
2000-01-01
The UZ Colloid Transport model development plan states that the objective of this Analysis/Model Report (AMR) is to document the development of a model for simulating unsaturated colloid transport. This objective includes the following: (1) use of a process level model to evaluate the potential mechanisms for colloid transport at Yucca Mountain; (2) Provide ranges of parameters for significant colloid transport processes to Performance Assessment (PA) for the unsaturated zone (UZ); (3) Provide a basis for development of an abstracted model for use in PA calculations
Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm
International Nuclear Information System (INIS)
Takaishi, Tetsuya
2013-01-01
The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. We perform the HMC simulations of the SV model for two liquid stock returns traded on the Tokyo Stock Exchange and measure the volatilities of those stock returns. Then we calculate the accuracy of the volatility measurement using the realized volatility as a proxy of the true volatility and compare the SV model with the GARCH model which is one of other volatility models. Using the accuracy calculated with the realized volatility we find that empirically the SV model performs better than the GARCH model.
A model for the release of low-volatility fission products in oxidizing conditions
International Nuclear Information System (INIS)
Cox, D.S.; Hunt, C.E.L.; Liu, Z.; Keller, N.A.; Barrand, R.D.; O'Connor, R.F.
1991-07-01
A thermodynamic and kinetic model has been developed for calculating low-volatility fission-product releases from UO 2 at high temperatures in oxidizing conditions. Volatilization of the UO 2 matrix is assumed to be the rate controlling process. Oxidation kinetics of the UO 2 are modelled by either interfacial rate control, gas phase oxidant transport control, or solid-state diffusion of oxygen. The vapour pressure of UO 3 in equilibrium with the oxidizing fuel is calculated from thermodynamic data, and volatilization rates are determined using a model for forced convective mass transport. Low-volatility fission-product releases are calculated from the volume of vapourized fuel. Model calculations are conservative compared to experimental data for Zr, La, Ce and Nb fission-product releases from irradiated UO 2 exposed to air at 1973-2350 K. The implications of this conservatism are discussed in terms of possible rate control by processes other than convective mass transport of UO 3 . Coefficients for effective surface area (based on experimental data) and for heterogeneous rate controlling reaction kinetics are introduced to facilitate agreement between calculations and the experimental data.
Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan
Munazza Jabeen; Saud Ahmad Khan
2014-01-01
What drives volatility in foreign exchange market in Pakistan? This paper undertakes an analysis of modelling exchange rate volatility in Pakistan by potential macroeconomic fundamentals well-known in the economic literature. For this, monthly data on Pak Rupee exchange rates in the terms of major currencies (US Dollar, British Pound, Canadian Dollar and Japanese Yen) and macroeconomics fundamentals is taken from April, 1982 to November, 2011. The results show thatthe PKR-USD exchange rate vo...
Exponential GARCH Modeling with Realized Measures of Volatility
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Huang, Zhuo
returns and volatility. We apply the model to DJIA stocks and an exchange traded fund that tracks the S&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications......We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...
Modeling energy price dynamics: GARCH versus stochastic volatility
International Nuclear Information System (INIS)
Chan, Joshua C.C.; Grant, Angelia L.
2016-01-01
We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1,1) and SV with an AR(1) log-volatility process, as well as more flexible models with jumps, volatility in mean, leverage effects, and t distributed and moving average innovations. We find that: (1) SV models generally compare favorably to their GARCH counterparts; (2) the jump component and t distributed innovations substantially improve the performance of the standard GARCH, but are unimportant for the SV model; (3) the volatility feedback channel seems to be superfluous; (4) the moving average component markedly improves the fit of both GARCH and SV models; and (5) the leverage effect is important for modeling crude oil prices—West Texas Intermediate and Brent—but not for other energy prices. Overall, the SV model with moving average innovations is the best model for all nine series. - Highlights: • We compare a variety of GARCH and SV models for fitting nine series of energy prices. • We find that SV models generally compare favorably to their GARCH counterparts. • The SV model with moving average innovations is the best model for all nine series.
Modeling and predicting historical volatility in exchange rate markets
Lahmiri, Salim
2017-04-01
Volatility modeling and forecasting of currency exchange rate is an important task in several business risk management tasks; including treasury risk management, derivatives pricing, and portfolio risk evaluation. The purpose of this study is to present a simple and effective approach for predicting historical volatility of currency exchange rate. The approach is based on a limited set of technical indicators as inputs to the artificial neural networks (ANN). To show the effectiveness of the proposed approach, it was applied to forecast US/Canada and US/Euro exchange rates volatilities. The forecasting results show that our simple approach outperformed the conventional GARCH and EGARCH with different distribution assumptions, and also the hybrid GARCH and EGARCH with ANN in terms of mean absolute error, mean of squared errors, and Theil's inequality coefficient. Because of the simplicity and effectiveness of the approach, it is promising for US currency volatility prediction tasks.
Volatility modeling of asset returns | Babayemi | International Journal ...
African Journals Online (AJOL)
This research was carried out using the daily close share price of Nestle Nigeria Plc to identify and model its volatility of returns in the Nigerian Stock Exchange Market. The result of the study showed that basic Generalized Conditionally Heteroskedastic Model (GARCH (1,1)) model (with Gaussian Error Assumptions) best ...
Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
Directory of Open Access Journals (Sweden)
Hojin Lee
2009-12-01
Full Text Available We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast. Contrary to prior evidence, however, the results in this paper suggest that no asymmetric GARCH model is superior to basic GARCH(1,1 model. It is our prior knowledge that, for equity returns, it is unlikely that positive and negative shocks have the same impact on the volatility. In order to reflect this intuition, we implement three diagnostic tests for volatility models: the Sign Bias Test, the Negative Size Bias Test, and the Positive Size Bias Test and the tests against the alternatives of QGARCH and GJR-GARCH. The asymmetry test results indicate that the sign and the size of the unexpected return shock do not influence current volatility differently which contradicts our presumption that there are asymmetric effects in the stock market volatility. This result is in line with various diagnostic tests which are designed to determine whether the GARCH(1,1 volatility estimates adequately represent the data. The diagnostic tests in section 2 indicate that the GARCH(1,1 model for weekly KOSPI returns is robust to the misspecification test. We also investigate two representative asymmetric GARCH models, QGARCH and GJR-GARCH model, for our out-of-sample forecasting performance. The out-of-sample forecasting ability test reveals that no single model is clearly outperforming. It is seen that the GJR-GARCH and QGARCH model give mixed results in forecasting ability on all four criteria across all forecast horizons considered. Also, the predictive accuracy test of Diebold and Mariano based on both absolute and squared prediction errors suggest that the forecasts from the linear and asymmetric GARCH models need not be significantly different from each other.
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...
Modelling of transport phenomena
International Nuclear Information System (INIS)
Itoh, Kimitaka; Itoh, Sanae; Fukuyama, Atsushi.
1993-09-01
In this review article, we discuss key features of the transport phenomena and theoretical modelling to understand them. Experimental observations have revealed the nature of anomalous transport, i.e., the enhancement of the transport coefficients by the gradients of the plasma profiles, the pinch phenomena, the radial profile of the anomalous transport coefficients, the variation of the transport among the Bohm diffusion, Pseudo-classical confinement, L-mode and variety of improved confinement modes, and the sudden jumps such as L-H transition. Starting from the formalism of the transport matrix, the modelling based on the low frequency instabilities are reviewed. Theoretical results in the range of drift wave frequency are examined. Problems in theories based on the quasilinear and mixing-length estimates lead to the renewal of the turbulence theory, and the physics picture of the self-sustained turbulence is discussed. The theory of transport using the fluid equation of plasma is developed, showing that the new approach is very promising in explaining abovementioned characteristics of anomalous transport in both L-mode and improved confinement plasmas. The interference of the fluxes is the key to construct the physics basis of the bifurcation theory for the L-H transition. The present status of theories on the mechanisms of improved confinement is discussed. Modelling on the nonlocal nature of transport is briefly discussed. Finally, the impact of the anomalous transport on disruptive phenomena is also described. (author) 95 refs
Kirti AREKAR; Rinku JAIN
2017-01-01
The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e. banking & IT sector in Bombay stock exchange (BSE) by using average decline model. The average degeneration process in volatility has being used after very high and low stock returns. The results of this study explain significant decline in...
GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model
International Nuclear Information System (INIS)
Takaishi, Tetsuya
2015-01-01
The realized stochastic volatility (RSV) model that utilizes the realized volatility as additional information has been proposed to infer volatility of financial time series. We consider the Bayesian inference of the RSV model by the Hybrid Monte Carlo (HMC) algorithm. The HMC algorithm can be parallelized and thus performed on the GPU for speedup. The GPU code is developed with CUDA Fortran. We compare the computational time in performing the HMC algorithm on GPU (GTX 760) and CPU (Intel i7-4770 3.4GHz) and find that the GPU can be up to 17 times faster than the CPU. We also code the program with OpenACC and find that appropriate coding can achieve the similar speedup with CUDA Fortran
Bao, Zhongwen; Haberer, Christina; Maier, Uli; Beckingham, Barbara; Amos, Richard T; Grathwohl, Peter
2015-12-15
Soil-atmosphere exchange is important for the environmental fate and atmospheric transport of many semi-volatile organic compounds (SVOCs). This study focuses on modeling the vapor phase exchange of semi-volatile hydrophobic organic pollutants between soil and the atmosphere using the multicomponent reactive transport code MIN3P. MIN3P is typically applied to simulate aqueous and vapor phase transport and reaction processes in the subsurface. We extended the code to also include an atmospheric boundary layer where eddy diffusion takes place. The relevant processes and parameters affecting soil-atmosphere exchange were investigated in several 1-D model scenarios and at various time scales (from years to centuries). Phenanthrene was chosen as a model compound, but results apply for other hydrophobic organic compounds as well. Gaseous phenanthrene was assumed to be constantly supplied to the system during a pollution period and a subsequent regulation period (with a 50% decline in the emission rate). Our results indicate that long-term soil-atmosphere exchange of phenanthrene is controlled by the soil compartment - re-volatilization thus depends on soil properties. A sensitivity analysis showed that accumulation and transport in soils in the short term is dominated by diffusion, whereas in the long term groundwater recharge and biodegradation become relevant. As expected, sorption causes retardation and slows down transport and biodegradation. If atmospheric concentration is reduced (e.g. after environmental regulations), re-volatilization from soil to the atmosphere occurs only for a relatively short time period. Therefore, the model results demonstrate that soils generally are sinks for atmospheric pollutants. The atmospheric boundary layer is only relevant for time scales of less than one month. The extended MIN3P code can also be applied to simulate fluctuating concentrations in the atmosphere, for instance due to temperature changes in the topsoil. Copyright
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
S. Peiris (Shelton); M. Asai (Manabu); M.J. McAleer (Michael)
2016-01-01
textabstractIn recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility
Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
R. Tansuchat (Roengchai); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)
2009-01-01
textabstractThis paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat,
Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); R. Tansuchat (Roengchai)
2012-01-01
textabstractThis paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat,
Nonparametric volatility density estimation for discrete time models
Es, van Bert; Spreij, P.J.C.; Zanten, van J.H.
2005-01-01
We consider discrete time models for asset prices with a stationary volatility process. We aim at estimating the multivariate density of this process at a set of consecutive time instants. A Fourier-type deconvolution kernel density estimator based on the logarithm of the squared process is proposed
A Simplified Model for Volatile-N Oxidation
DEFF Research Database (Denmark)
Hansen, Stine; Glarborg, Peter
2010-01-01
In solid fuel flames, NO is largely formed from the oxidation of volatile nitrogen compounds such as HCN and NH3. To be able to model the nitrogen chemistry in these flames, it is necessary to have an adequate model for volatile-N oxidation. Simple global models for oxidation of HCN and NH3 from...... the literature should be used cautiously, since their predictive capabilities are limited, particularly under reducing conditions. Models for HCN/NH3/NO conversion based on the systematic reduction of a detailed chemical kinetic model offer high accuracy but rely on input estimates of combustion intermediates...... for the sub-bituminous and bituminous coals, especially at lower temperatures. The semiempirical correlations for estimating radical concentrations may also be useful in combination with models for other trace species, such as sulfur oxides, organic species, etc....
Modelling and Forecasting Multivariate Realized Volatility
DEFF Research Database (Denmark)
Chiriac, Roxana; Voev, Valeri
. We provide an empirical application of the model, in which we show by means of stochastic dominance tests that the returns from an optimal portfolio based on the model's forecasts second-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies...
Cheong, Chin Wen
2008-02-01
This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model combined with sudden changes is developed to study the possibility of structural change in the empirical data sets. Our empirical results showed substantial reduction in fractional differencing parameters after the inclusion of structural change during the Asian financial and currency crises. Moreover, the fractionally integrated model with sudden change in volatility performed better in the estimation and specification evaluations.
A forecast comparison of volatility models
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger
2005-01-01
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is outpe......We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1...... snooping (RC). Our empirical results show that the RC lacks power to an extent that makes it unable to distinguish "good" and "bad" models in our analysis....
A Computer Model for Analyzing Volatile Removal Assembly
Guo, Boyun
2010-01-01
A computer model simulates reactional gas/liquid two-phase flow processes in porous media. A typical process is the oxygen/wastewater flow in the Volatile Removal Assembly (VRA) in the Closed Environment Life Support System (CELSS) installed in the International Space Station (ISS). The volatile organics in the wastewater are combusted by oxygen gas to form clean water and carbon dioxide, which is solved in the water phase. The model predicts the oxygen gas concentration profile in the reactor, which is an indicator of reactor performance. In this innovation, a mathematical model is included in the computer model for calculating the mass transfer from the gas phase to the liquid phase. The amount of mass transfer depends on several factors, including gas-phase concentration, distribution, and reaction rate. For a given reactor dimension, these factors depend on pressure and temperature in the reactor and composition and flow rate of the influent.
Modelling and Forecasting Multivariate Realized Volatility
DEFF Research Database (Denmark)
Halbleib, Roxana; Voev, Valeri
2011-01-01
This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical appl...
Practical Volatility Modeling for Financial Market Risk Management
Shamiri, Ahmed; Shaari, Abu Hassan; Isa, Zaidi
2007-01-01
Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the censored likelihood functions to compute the tail minimum of the KLIC, to compare the performance of a de...
Directory of Open Access Journals (Sweden)
Kirti AREKAR
2017-12-01
Full Text Available The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e. banking & IT sector in Bombay stock exchange (BSE by using average decline model. The average degeneration process in volatility has being used after very high and low stock returns. The results of this study explain significant decline in volatility fluctuations, attention, and level between epochs of pre and post particularly high stock returns.
International Nuclear Information System (INIS)
Duffie, D.
1999-01-01
This chapter with 58 references reviews the modelling and empirical behaviour of volatility in energy prices. Constant volatility and stochastic volatility are discussed. Markovian models of stochastic volatility are described and the different classes of Markovian stochastic volatility model are examined including auto-regressive volatility, option implied and forecasted volatility, Garch volatility, Egarch volatility, multivariate Garch volatility, and stochastic volatility and dynamic hedging policies. Other volatility models and option hedging are considered. The performance of several stochastic volatility models as applied to heating oil, light oil, natural gas, electricity and light crude oil are compared
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
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Shelton Peiris
2017-12-01
Full Text Available This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV components in order to develop the General Long Memory SV (GLMSV model. We examine the corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample properties via Monte Carlo experiments. We provide empirical evidence by applying the GLMSV model to three exchange rate return series and conjecture that the results of out-of-sample forecasts adequately confirm the use of GLMSV model in certain financial applications.
2014-06-01
Volatility in price of critical materials used in transportation projects, such as asphalt cement, leads to : considerable uncertainty about project cost. This uncertainty may lead to price speculation and inflated : bid prices submitted by highway c...
Modelling Time-Varying Volatility in Financial Returns
DEFF Research Database (Denmark)
Amado, Cristina; Laakkonen, Helinä
2014-01-01
The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and their implications for the capital markets. We contribute to this literature by using a modified...... version of the time-varying GARCH model of Amado and Teräsvirta (2013) to analyze whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into two time-varying conditional components: the first...... being captured by a stable GARCH(1,1) process and the second driven by the level of uncertainty in the financial market....
Modelling electricity futures prices using seasonal path-dependent volatility
International Nuclear Information System (INIS)
Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana
2016-01-01
Highlights: • A no-arbitrage term structure model is applied to the electricity market. • Volatility parameters of the HJM model are estimated by using German data. • The model captures the seasonal price behaviour. • Electricity futures prices are forecasted. • Call options are evaluated according to different strike prices. - Abstract: The liberalization of electricity markets gave rise to new patterns of futures prices and the need of models that could efficiently describe price dynamics grew exponentially, in order to improve decision making for all of the agents involved in energy issues. Although there are papers focused on modelling electricity as a flow commodity by using Heath et al. (1992) approach in order to price futures contracts, the literature is scarce on attempts to consider a seasonal volatility as input to models. In this paper, we propose a futures price model that allows looking into observed stylized facts in the electricity market, in particular stochastic price variability, and periodic behavior. We consider a seasonal path-dependent volatility for futures returns that are modelled in Heath et al. (1992) framework and we obtain the dynamics of futures prices. We use these series to price the underlying asset of a call option in a risk management perspective. We test the model on the German electricity market, and we find that it is accurate in futures and option value estimates. In addition, the obtained results and the proposed methodology can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.
Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
DEFF Research Database (Denmark)
Lunde, Asger; Brix, Anne Floor
to the performance of the GMM estimator based on conditional moments of integrated volatility from Bollerslev and Zhou (2002). The case where the observed log-price process is contaminated by i.i.d. market microstructure (MMS) noise is also investigated. First, the impact of MMS noise on the parameter estimates from......In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared...... to correctly account for the noise are investigated. Our Monte Carlo study shows that the estimator based on PBEFs outperforms the GMM estimator, both in the setting with and without MMS noise. Finally, an empirical application investigates the possible challenges and general performance of applying the PBEF...
Health risks in international container and bulk cargo transport due to volatile toxic compounds
DEFF Research Database (Denmark)
Baur, Xaver; Budnik, Lygia T; Zhao, Zhiwei
2015-01-01
To ensure the preservation and quality of the goods, physical (i.e. radiation) or chemical pest control is needed. The dark side of such consents may bear health risks in international transport and production sharing. In fact, between 10% and 20% of all containers arriving European harbors were...... with lethal outcome, occur not only during the fumigation, but also during freight transport (on bulk carriers and other transport vessels), as well as in the logistic lines during loading and unloading. Risk occupations include dock-workers, seafarers, inspectors, as well as the usually uninformed workers...... of importing enterprises that unload the products. Bystanders as well as vulnerable consumers may also be at risk. Ongoing studies focus on the release of these toxic volatile substances from various goods. It was shown that the half-lives of the off-gassing process range between minutes and months, depending...
J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)
2016-01-01
textabstractThe paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993),
Dynamics Model Applied to Pricing Options with Uncertain Volatility
Directory of Open Access Journals (Sweden)
Lorella Fatone
2012-01-01
model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.
Reiss, P.
2018-05-01
Chemical analysis of lunar soil samples often involves thermal processing to extract their volatile constituents, such as loosely adsorbed water. For the characterization of volatiles and their bonding mechanisms it is important to determine their desorption temperature. However, due to the low thermal diffusivity of lunar regolith, it might be difficult to reach a uniform heat distribution in a sample that is larger than only a few particles. Furthermore, the mass transport through such a sample is restricted, which might lead to a significant delay between actual desorption and measurable outgassing of volatiles from the sample. The entire volatiles extraction process depends on the dynamically changing heat and mass transfer within the sample, and is influenced by physical parameters such as porosity, tortuosity, gas density, temperature and pressure. To correctly interpret measurements of the extracted volatiles, it is important to understand the interaction between heat transfer, sorption, and gas transfer through the sample. The present paper discusses the molecular kinetics and mechanisms that are involved in the thermal extraction process and presents a combined parametrical computation model to simulate this process. The influence of water content on the gas diffusivity and thermal diffusivity is discussed and the issue of possible resorption of desorbed molecules within the sample is addressed. Based on the multi-physical computation model, a case study for the ProSPA instrument for in situ analysis of lunar volatiles is presented, which predicts relevant dynamic process parameters, such as gas pressure and process duration.
Leverage effect in financial markets: the retarded volatility model.
Bouchaud, J P; Matacz, A; Potters, M
2001-11-26
We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.
A model of ammonia volatilization from a grazing livestock farm
Hutchings, N. J.; Sommer, S. G.; Jarvis, S. C.
A dynamic model was developed to predict the ammonia volatilization from grazing livestock farms and to allow potential control measures to be evaluated. The relationships within the model were based on the underlying physical and chemical processes but empirically based factors were used to reduce the demand for input data and where the understanding of the underlying processes was inadequate. On a daily basis, the model simulates the partitioning of dietary nitrogen into dung and urine and its subsequent fate within the pasture or the slurry handling system. The fate of dry matter and water added in dung, urine and from other sources is also predicted. The model illustrates the indirect interactions between ammonia sources, highlights the influence of slurry management on ammonia losses, stresses the need for integrated, whole farm measurements and demonstrates that assessments of the impact of control measures may be misleading unless considered at the scale of the whole farm.
Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices
Awalludin, S. A.; Ulfah, S.; Soro, S.
2018-01-01
In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.
Health risks in international container and bulk cargo transport due to volatile toxic compounds.
Baur, Xaver; Budnik, Lygia Therese; Zhao, Zhiwei; Bratveit, Magne; Djurhuus, Rune; Verschoor, Louis; Rubino, Federico Maria; Colosio, Claudio; Jepsen, Jorgen R
2015-01-01
To ensure the preservation and quality of the goods, physical (i.e. radiation) or chemical pest control is needed. The dark side of such consents may bear health risks in international transport and production sharing. In fact, between 10% and 20% of all containers arriving European harbors were shown to contain volatile toxic substances above the exposure limit values. Possible exposure to these toxic chemicals may occur not only for the applicators but also the receiver by off gassing from products, packing materials or transport units like containers. A number of intoxications, some with lethal outcome, occur not only during the fumigation, but also during freight transport (on bulk carriers and other transport vessels), as well as in the logistic lines during loading and unloading. Risk occupations include dock-workers, seafarers, inspectors, as well as the usually uninformed workers of importing enterprises that unload the products. Bystanders as well as vulnerable consumers may also be at risk. Ongoing studies focus on the release of these toxic volatile substances from various goods. It was shown that the half-lives of the off-gassing process range between minutes and months, depending on the toxic substance, its chemical reactivity, concentration, the temperature, the contaminated matrix (goods and packing materials), and the packing density in the transport units. Regulations on declaration and handling dangerous goods are mostly not followed. It is obvious that this hazardous situation in freight transport urgently requires preventive steps. In order to improve awareness and relevant knowledge there is a need for more comprehensive information on chemical hazards and a broader implementation of the already existing regulations and guidelines, such as those from ILO, IMO, and national authorities. It is also necessary to have regular controls by the authorities on a worldwide scale, which should be followed by sanctions in case of disregarding regulations
Fluxes of biogenic volatile organic compounds measured and modelled above a Norway spruce forest
Juráň, Stanislav; Fares, Silvano; Pallozzi, Emanuele; Guidolotti, Gabriele; Savi, Flavia; Alivernini, Alessandro; Calfapietra, Carlo; Večeřová, Kristýna; Křůmal, Kamil; Večeřa, Zbyněk; Cudlín, Pavel; Urban, Otmar
2016-04-01
Fluxes of biogenic volatile organic compounds (BVOCs) were investigated at Norway spruce forest at Bílý Kříž in Beskydy Mountains of the Czech Republic during the summer 2014. A proton-transfer-reaction-time-of-flight mass spectrometer (PTR-TOF-MS, Ionicon Analytik, Austria) has been coupled with eddy-covariance system. Additionally, Inverse Lagrangian Transport Model has been used to derive fluxes from concentration gradient of various monoterpenes previously absorbed into n-heptane by wet effluent diffusion denuder with consequent quantification by gas chromatography with mass spectrometry detection. Modelled data cover each one day of three years with different climatic conditions and previous precipitation patterns. Model MEGAN was run to cover all dataset with monoterpene fluxes and measured basal emission factor. Highest fluxes measured by eddy-covariance were recorded during the noon hours, represented particularly by monoterpenes and isoprene. Inverse Lagrangian Transport Model suggests most abundant monoterpene fluxes being α- and β-pinene. Principal component analysis revealed dependencies of individual monoterpene fluxes on air temperature and particularly global radiation; however, these dependencies were monoterpene specific. Relationships of monoterpene fluxes with CO2 flux and relative air humidity were found to be negative. MEGAN model correlated to eddy-covariance PTR-TOF-MS measurement evince particular differences, which will be shown and discussed. Bi-directional fluxes of oxygenated short-chain volatiles (methanol, formaldehyde, acetone, acetaldehyde, formic acid, acetic acid, methyl vinyl ketone, methacrolein, and methyl ethyl ketone) were recorded by PTR-TOF-MS. Volatiles of anthropogenic origin as benzene and toluene were likely transported from the most benzene polluted region in Europe - Ostrava city and adjacent part of Poland around Katowice, where metallurgical and coal mining industries are located. Those were accumulated during
International Nuclear Information System (INIS)
Nomikos, Nikos K.; Soldatos, Orestes A.
2010-01-01
In this paper we examine the importance of mean reversion and spikes in the stochastic behaviour of the underlying asset when pricing options on power. We propose a model that is flexible in its formulation and captures the stylized features of power prices in a parsimonious way. The main feature of the model is that it incorporates two different speeds of mean reversion to capture the differences in price behaviour between normal and spiky periods. We derive semi-closed form solutions for European option prices using transform analysis and then examine the properties of the implied volatilities that the model generates. We find that the presence of jumps generates prominent volatility skews which depend on the sign of the mean jump size. We also show that mean reversion reduces the volatility smile as time to maturity increases. In addition, mean reversion induces volatility skews particularly for ITM options, even in the absence of jumps. Finally, jump size volatility and jump intensity mainly affect the kurtosis and thus the curvature of the smile with the former having a more important role in making the volatility smile more pronounced and thus increasing the kurtosis of the underlying price distribution.
No-arbitrage, leverage and completeness in a fractional volatility model
Vilela Mendes, R.; Oliveira, M. J.; Rodrigues, A. M.
2015-02-01
When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied.
Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
Directory of Open Access Journals (Sweden)
Wen Xu
2016-10-01
Full Text Available Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate likelihood obtained via Rao-Blackwellized particle filters. Monte Carlo studies reveal the good and stable performance of our particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic volatility exists, our approach can be better than the maximum likelihood estimator which neglects stochastic volatility and generalized method of moments (GMM estimators.
Chin, Wen Cheong; Lee, Min Cherng; Yap, Grace Lee Ching
2016-01-01
High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhancement of jump-robust estimators. The breakpoints in the volatility are captured by dummy variables after the detection by Bai-Perron sequential multi breakpoints procedure. In order to further deal with possible abrupt jump in the volatility, the jump-robust volatility estimators are composed by using the nearest neighbor truncation approach, namely the minimum and median realized volatility. Under the structural break improvements in both the models and volatility estimators, the empirical findings show that the modified HAR model provides the best performing in-sample and out-of-sample forecast evaluations as compared with the standard HAR models. Accurate volatility forecasts have direct influential to the application of risk management and investment portfolio analysis.
Modelling pesticide volatilization after soil application using the mechanistic model Volt'Air
Bedos, Carole; Génermont, Sophie; Le Cadre, Edith; Garcia, Lucas; Barriuso, Enrique; Cellier, Pierre
Volatilization of pesticides participates in atmospheric contamination and affects environmental ecosystems including human welfare. Modelling at relevant time and spatial scales is needed to better understand the complex processes involved in pesticide volatilization. Volt'Air-Pesticides has been developed following a two-step procedure to study pesticide volatilization at the field scale and at a quarter time step. Firstly, Volt'Air-NH 3 was adapted by extending the initial transfer of solutes to pesticides and by adding specific calculations for physico-chemical equilibriums as well as for the degradation of pesticides in soil. Secondly, the model was evaluated in terms of 3 pesticides applied on bare soil (atrazine, alachlor, and trifluralin) which display a wide range of volatilization rates. A sensitivity analysis confirmed the relevance of tuning to K h. Then, using Volt'Air-Pesticides, environmental conditions and emission fluxes of the pesticides were compared to fluxes measured under 2 environmental conditions. The model fairly well described water temporal dynamics, soil surface temperature, and energy budget. Overall, Volt'Air-Pesticides estimates of the order of magnitude of the volatilization flux of all three compounds were in good agreement with the field measurements. The model also satisfactorily simulated the decrease in the volatilization rate of the three pesticides during night-time as well as the decrease in the soil surface residue of trifluralin before and after incorporation. However, the timing of the maximum flux rate during the day was not correctly described, thought to be linked to an increased adsorption under dry soil conditions. Thanks to Volt'Air's capacity to deal with pedo-climatic conditions, several existing parameterizations describing adsorption as a function of soil water content could be tested. However, this point requires further investigation. Practically speaking, Volt'Air-Pesticides can be a useful tool to make
Modelling multicomponent solute transport in structured soils
Beinum, van G.W.
2007-01-01
The mobility of contaminants in soil is an important factor in determining their ability to spread into the wider environment. For non-volatile substances, transport within the soil is generally dominated by transport of dissolved fractions in the soil water phase, via either diffusion or
Stochastic volatility of volatility in continuous time
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Veraart, Almut
This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility...... of volatility can be defined both non-parametrically, where we link it to the quadratic variation of the stochastic variance process, and parametrically, where we propose two new SV models which allow for stochastic volatility of volatility. In addition, we show that volatility of volatility can be estimated...
Volatile particles formation during PartEmis: a modelling study
Directory of Open Access Journals (Sweden)
X. Vancassel
2004-01-01
Full Text Available A modelling study of the formation of volatile particles in a combustor exhaust has been carried out in the frame of the PartEmis European project. A kinetic model has been used in order to investigate nucleation efficiency of the H2O-H2SO4 binary mixture in the sampling system. A value for the fraction of the fuel sulphur S(IV converted into S(VI has been indirectly deduced from comparisons between model results and measurements. In the present study, ranges between roughly 2.5% and 6%, depending on the combustor settings and on the value assumed for the parameter describing sulphuric acid wall losses. Soot particles hygroscopicity has also been investigated as their activation is a key parameter for contrail formation. Growth factors of monodisperse particles exposed to high relative humidity (95% have been calculated and compared with experimental results. The modelling study confirms that the growth factor increases as the soot particle size decreases.
Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model
International Nuclear Information System (INIS)
Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie
2008-01-01
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein–Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein–Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force, toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones index data
Stochastic models of intracellular transport
Bressloff, Paul C.
2013-01-09
The interior of a living cell is a crowded, heterogenuous, fluctuating environment. Hence, a major challenge in modeling intracellular transport is to analyze stochastic processes within complex environments. Broadly speaking, there are two basic mechanisms for intracellular transport: passive diffusion and motor-driven active transport. Diffusive transport can be formulated in terms of the motion of an overdamped Brownian particle. On the other hand, active transport requires chemical energy, usually in the form of adenosine triphosphate hydrolysis, and can be direction specific, allowing biomolecules to be transported long distances; this is particularly important in neurons due to their complex geometry. In this review a wide range of analytical methods and models of intracellular transport is presented. In the case of diffusive transport, narrow escape problems, diffusion to a small target, confined and single-file diffusion, homogenization theory, and fractional diffusion are considered. In the case of active transport, Brownian ratchets, random walk models, exclusion processes, random intermittent search processes, quasi-steady-state reduction methods, and mean-field approximations are considered. Applications include receptor trafficking, axonal transport, membrane diffusion, nuclear transport, protein-DNA interactions, virus trafficking, and the self-organization of subcellular structures. © 2013 American Physical Society.
Extreme-Strike and Small-time Asymptotics for Gaussian Stochastic Volatility Models
Zhang, Xin
2016-01-01
Asymptotic behavior of implied volatility is of our interest in this dissertation. For extreme strike, we consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Loève expansion for the integrated variance, and using sharp estimates of the density of a general second-chaos variable, we derive asymptotics for the asset price density for large or smal...
Modeling and Forecasting the Implied Volatility of the WIG20 Index
Buszkowska-Khemissi, Eliza; Płuciennik, Piotr
2007-01-01
The implied volatility is one of the most important notions in the financial market. It informs about the volatility forecasted by the participans of the market. In this paper we calculate the daily implied volatility from options on the WIG20 index. First we test the long memory property of the time series obtained in such a way, and then we model and forcast it as ARFIMA process
Modelling Ballast Water Transport
Digital Repository Service at National Institute of Oceanography (India)
Jayakumar, S.; Babu, M.T.; Vethamony, P.
Ballast water discharges in the coastal environs have caused a great concern over the recent periods as they account for transporting marine organisms from one part of the world to the other. The movement of discharged ballast water as well...
Takaishi, Tetsuya; Chen, Ting Ting
2016-08-01
We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatility. The impact of trading volumes or number of transactions on volatility is measured using the generalized autoregressive conditional heteroscedasticity (GARCH) model. We find that the GARCH effects, that is, persistence of volatility, is not always removed by adding trading volumes or number of transactions, indicating that trading volumes and number of transactions do not adequately represent the rate of information arrivals.
Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
Ismail, Nuraini; Ismail, Mohd Tahir; Karim, Samsul Ariffin Abdul; Hamzah, Firdaus Mohamad
2015-10-01
Due to the tremendous growth of Islamic unit trust in Malaysia since it was first introduced on 12th of January 1993 through the fund named Tabung Ittikal managed by Arab-Malaysian Securities, vast studies have been done to evaluate the performance of Islamic unit trust offered in Malaysia's capital market. Most of the studies found that one of the factors that affect the performance of the fund is the volatility level. Higher volatility produces better performance of the fund. Thus, we believe that a strategy must be set up by the fund managers in order for the fund to perform better. By using a series of net asset value (NAV) data of three different types of fund namely CIMB-IDEGF, CIMB-IBGF and CIMB-ISF from a fund management company named CIMB Principal Asset Management Berhad over a six years period from 1st January 2008 until 31st December 2013, we model and forecast the volatility of these Islamic unit trusts. The study found that the best fitting models for CIMB-IDEGF, CIMB-IBGF and CIMB-ISF are ARCH(4), GARCH(3,3) and GARCH(3,1) respectively. Meanwhile, the fund that is expected to be the least volatile is CIMB-IDEGF and the fund that is expected to be the most volatile is CIMB-IBGF.
Transport and sorption of volatile organic compounds and water vapor in porous media
Energy Technology Data Exchange (ETDEWEB)
Lin, Tsair-Fuh [Univ. of California, Berkeley, CA (United States)
1995-07-01
To gain insight on the controlling mechanisms for VOC transport in porous media, the relations among sorbent properties, sorption equilibrium and intraparticle diffusion processes were studied at the level of individual sorbent particles and laboratory columns for soil and activated carbon systems. Transport and sorption of VOCs and water vapor were first elucidated within individual dry soil mineral grains. Soil properties, sorption capacity, and sorption rates were measured for 3 test soils; results suggest that the soil grains are porous, while the sorption isotherms are nonlinear and adsorption-desorption rates are slow and asymmetric. An intragranular pore diffusion model coupled with the nonlinear Freundlich isotherm was developed to describe the sorption kinetic curves. Transport of benzene and water vapor within peat was studied; partitioning and sorption kinetics were determined with an electrobalance. A dual diffusion model was developed. Transport of benzene in dry and moist soil columns was studied, followed by gaseous transport and sorption in activated carbon. The pore diffusion model provides good fits to sorption kinetics for VOCs to soil and VOC to granular activated carbon and activated carbon fibers. Results of this research indicate that: Intraparticle diffusion along with a nonlinea sorption isotherm are responsible for the slow, asymmetric sorption-desorption. Diffusion models are able to describe results for soil and activated carbon systems; when combined with mass transfer equations, they predict column breakthrough curves for several systems. Although the conditions are simplified, the mechanisms should provide insight on complex systems involving transport and sorption of vapors in porous media.
VOLATILE TRANSPORT INSIDE SUPER-EARTHS BY ENTRAPMENT IN THE WATER-ICE MATRIX
Energy Technology Data Exchange (ETDEWEB)
Levi, A.; Podolak, M. [Department of Geophysics and Planetary Science, Tel Aviv University, Tel Aviv 69978 (Israel); Sasselov, D., E-mail: amitlevi.planetphys@gmail.com [Harvard-Smithsonian Center for Astrophysics, 60 Garden Street, Cambridge, MA 02138 (United States)
2013-05-20
Whether volatiles can be entrapped in a background matrix composing planetary envelopes and be dragged via convection to the surface is a key question in understanding atmospheric fluxes, cycles, and composition. In this paper, we consider super-Earths with an extensive water mantle (i.e., water planets), and the possibility of entrapment of methane in their extensive water-ice envelopes. We adopt the theory developed by van der Waals and Platteeuw for modeling solid solutions, often used for modeling clathrate hydrates, and modify it in order to estimate the thermodynamic stability field of a new phase called methane filled ice Ih. We find that in comparison to water ice VII the filled ice Ih structure may be stable not only at the high pressures but also at the high temperatures expected at the core-water mantle transition boundary of water planets.
Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); C. Lim (Christine)
2010-01-01
textabstractThis paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use symmetric and asymmetric conditional
Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); C. Lim (Christine)
2011-01-01
textabstractThis paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use symmetric and asymmetric conditional
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
M.P.E. Martens (Martin); D.J.C. van Dijk (Dick); M.D. de Pooter (Michiel)
2004-01-01
textabstractThe sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts,
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Huang, Zhuo (Albert); Shek, Howard Howan
GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these models. In this paper we introduce a new framework for the joint modeling of returns and realized measures of volatility. The Realized GARCH...... framework nests most GARCH models as special cases and is, in many ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH specifications. This class of models has several attractive features. It retains the simplicity and tractability...... to latent volatility. This equation facilitates a simple modeling of the dependence between returns and future volatility that is commonly referred to as the leverage effect. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads...
M. Asai (Manabu); M.J. McAleer (Michael)
2016-01-01
textabstractThe paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency
Probabilistic transport models for fusion
International Nuclear Information System (INIS)
Milligen, B.Ph. van; Carreras, B.A.; Lynch, V.E.; Sanchez, R.
2005-01-01
A generalization of diffusive (Fickian) transport is considered, in which particle motion is described by probability distributions. We design a simple model that includes a critical mechanism to switch between two transport channels, and show that it exhibits various interesting characteristics, suggesting that the ideas of probabilistic transport might provide a framework for the description of a range of unusual transport phenomena observed in fusion plasmas. The model produces power degradation and profile consistency, as well as a scaling of the confinement time with system size reminiscent of the gyro-Bohm/Bohm scalings observed in fusion plasmas, and rapid propagation of disturbances. In the present work we show how this model may also produce on-axis peaking of the profiles with off-axis fuelling. It is important to note that the fluid limit of a simple model like this, characterized by two transport channels, does not correspond to the usual (Fickian) transport models commonly used for modelling transport in fusion plasmas, and behaves in a fundamentally different way. (author)
Röring, Johan
2017-01-01
Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. Two kinds of volatility derivatives are volatility swaps and variance swaps. The problem with volatility swaps and variance swaps is that they require estimations of the future variance and volati...
Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications
Directory of Open Access Journals (Sweden)
Raúl Merino
2017-01-01
Full Text Available We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.
A process-based emission model of volatile organic compounds from silage sources on farms
DEFF Research Database (Denmark)
Bonifacio, H. F.; Rotz, C. A.; Hafner, S. D.
2017-01-01
Silage on dairy farms can emit large amounts of volatile organic compounds (VOCs), a precursor in the formation of tropospheric ozone. Because of the challenges associated with direct measurements, process-based modeling is another approach for estimating emissions of air pollutants from sources...... was evaluated using ethanol and methanol emissions measured from conventional silage piles (CSP), silage bags (SB), total mixed rations (TMR), and loose corn silage (LCS) at a commercial dairy farm in central California. With transport coefficients for ethanol refined using experimental data from our previous......% if feeds were delivered as four feedings per day rather than as one. Reducing the exposed face of storage can also be useful. Simulated use of silage bags resulted in 90% and 18% reductions in emissions from the storage face and whole farm, respectively....
Modeling the Volatility of Exchange Rates: GARCH Models
Directory of Open Access Journals (Sweden)
Fahima Charef
2017-03-01
Full Text Available The modeling of the dynamics of the exchange rate at a long time remains a financial and economic research center. In our research we tried to study the relationship between the evolution of exchange rates and macroeconomic fundamentals. Our empirical study is based on a series of exchange rates for the Tunisian dinar against three currencies of major trading partners (dollar, euro, yen and fundamentals (the terms of trade, the inflation rate, the interest rate differential, of monthly data, from jan 2000 to dec-2014, for the case of the Tunisia. We have adopted models of conditional heteroscedasticity (ARCH, GARCH, EGARCH, TGARCH. The results indicate that there is a partial relationship between the evolution of the Tunisian dinar exchange rates and macroeconomic variables.
Modeling dissolution and volatilization of LNAPL sources migrating on the groundwater table.
Kim, Jeongkon; Corapcioglu, M Yavuz
2003-08-01
A vertically averaged two-dimensional model was developed to describe areal spreading and migration of light nonaqueous-phase liquids (LNAPLs) introduced into the subsurface by spills or leaks from underground storage tanks. The NAPL transport model was coupled with two-dimensional contaminant transport models to predict contamination of soil gas and groundwater resulting from a LNAPL migrating on the water table. Numerical solutions were obtained by using the finite-difference method. Simulations and sensitivity analyses were conducted with a LNAPL of pure benzene to study LNAPL migration and groundwater contamination. The model was applied to subsurface contamination by jet fuel. Results indicated that LNAPL migration were affected mostly by volatilization. The generation and movement of the dissolved plume was affected by the geology of the site and the free-product plume. Most of the spilled mass remained as a free LNAPL phase 20 years after the spill. The migration of LNAPL for such a long period resulted in the contamination of both groundwater and a large volume of soil.
System Convergence in Transport Modelling
DEFF Research Database (Denmark)
Rich, Jeppe; Nielsen, Otto Anker; Cantarella, Guilio E.
2010-01-01
A fundamental premise of most applied transport models is the existence and uniqueness of an equilibrium solution that balances demand x(t) and supply t(x). The demand consists of the people that travel in the transport system and on the defined network, whereas the supply consists of the resulting...... level-of-service attributes (e.g., travel time and cost) offered to travellers. An important source of complexity is the congestion, which causes increasing demand to affect travel time in a non-linear way. Transport models most often involve separate models for traffic assignment and demand modelling...... iterating between a route-choice (demand) model and a time-flow (supply) model. It is generally recognised that a simple iteration scheme where the level-of-service level is fed directly to the route-choice and vice versa may exhibit an unstable pattern and lead to cyclic unstable solutions. It can be shown...
Transport modelling for ergodic configurations
International Nuclear Information System (INIS)
Runov, A.; Kasilov, S.V.; McTaggart, N.; Schneider, R.; Bonnin, X.; Zagorski, R.; Reiter, D.
2004-01-01
The effect of ergodization, either by additional coils like in TEXTOR-dynamic ergodic divertor (DED) or by intrinsic plasma effects like in W7-X, defines the need for transport models that are able to describe the ergodic configuration properly. A prerequisite for this is the concept of local magnetic coordinates allowing a correct discretization with minimized numerical errors. For these coordinates the appropriate full metric tensor has to be known. To study the transport in complex edge geometries (in particular for W7-X) two possible methods are used. First, a finite-difference discretization of the transport equations on a custom-tailored grid in local magnetic coordinates is used. This grid is generated by field-line tracing to guarantee an exact discretization of the dominant parallel transport (thus also minimizing the numerical diffusion problem). The perpendicular fluxes are then interpolated in a plane (a toroidal cut), where the interpolation problem for a quasi-isotropic system has to be solved by a constrained Delaunay triangulation (keeping the structural information for magnetic surfaces if they exist) and discretization. All toroidal terms are discretized by finite differences. Second, a Monte Carlo transport model originally developed for the modelling of the DED configuration of TEXTOR is used. A generalization and extension of this model was necessary to be able to handle W7-X. The model solves the transport equations with Monte Carlo techniques making use of mappings of local magnetic coordinates. The application of this technique to W7-X in a limiter-like configuration is presented. The decreasing dominance of parallel transport with respect to radial transport for electron heat, ion heat and particle transport results in increasingly steep profiles for the respective quantities within the islands. (author)
Liao, C M; Liang, H M
2000-05-01
Two models for evaluating the contents and advection of manure moisture on odor causing volatile organic compounds (VOC-odor) volatilization from stored swine manure were studied for their ability to predict the volatilization rate (indoor air concentration) and cumulative exposure dose: a MJ-I model and a MJ-II model. Both models simulating depletion of source contaminant via volatilization and degradation based on an analytical model adapted from the behavior assessment model of Jury et al. In the MJ-I model, manure moisture movement was negligible, whereas in the MJ-II model, time-dependent indoor air concentrations was a function of constant manure moisture contents and steady-state moisture advection. Predicted indoor air concentrations and inhaled doses for the study VOC-odors of p-cresol, toluene, and p-xylene varied by up to two to three orders of magnitude depending on the manure moisture conditions. The sensitivity analysis of both models suggests that when manure moisture movement exists, simply MJ-I model is inherently not sufficient to represent a more generally volatilization process, which can even become stringent as moisture content increases. The conclusion illustrates how one needs to include a wide variety of manure moisture values in order to fully assess the complex volatilization mechanisms that are present in a real situation.
On the economic benefit of utility based estimation of a volatility model
Adam Clements; Annastiina Silvennoinen
2009-01-01
Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and subsequently used in an economic setting such as portfolio allocation. Differences in the criteria under which the model is estimated and applied may inhibit reduce the overall economic benefit of a model in the context of portfolio allocation. Thi...
Modeling VOC transport in simulated waste drums
International Nuclear Information System (INIS)
Liekhus, K.J.; Gresham, G.L.; Peterson, E.S.; Rae, C.; Hotz, N.J.; Connolly, M.J.
1993-06-01
A volatile organic compound (VOC) transport model has been developed to describe unsteady-state VOC permeation and diffusion within a waste drum. Model equations account for three primary mechanisms for VOC transport from a void volume within the drum. These mechanisms are VOC permeation across a polymer boundary, VOC diffusion across an opening in a volume boundary, and VOC solubilization in a polymer boundary. A series of lab-scale experiments was performed in which the VOC concentration was measured in simulated waste drums under different conditions. A lab-scale simulated waste drum consisted of a sized-down 55-gal metal drum containing a modified rigid polyethylene drum liner. Four polyethylene bags were sealed inside a large polyethylene bag, supported by a wire cage, and placed inside the drum liner. The small bags were filled with VOC-air gas mixture and the VOC concentration was measured throughout the drum over a period of time. Test variables included the type of VOC-air gas mixtures introduced into the small bags, the small bag closure type, and the presence or absence of a variable external heat source. Model results were calculated for those trials where the VOC permeability had been measured. Permeabilities for five VOCs [methylene chloride, 1,1,2-trichloro-1,2,2-trifluoroethane (Freon-113), 1,1,1-trichloroethane, carbon tetrachloride, and trichloroethylene] were measured across a polyethylene bag. Comparison of model and experimental results of VOC concentration as a function of time indicate that model accurately accounts for significant VOC transport mechanisms in a lab-scale waste drum
Pricing Volatility Referenced Assets
Directory of Open Access Journals (Sweden)
Alan De Genaro Dario
2006-12-01
Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.
Forecasting Volatility of Dhaka Stock Exchange: Linear Vs Non-linear models
Directory of Open Access Journals (Sweden)
Masudul Islam
2012-10-01
Full Text Available Prior information about a financial market is very essential for investor to invest money on parches share from the stock market which can strengthen the economy. The study examines the relative ability of various models to forecast daily stock indexes future volatility. The forecasting models that employed from simple to relatively complex ARCH-class models. It is found that among linear models of stock indexes volatility, the moving average model ranks first using root mean square error, mean absolute percent error, Theil-U and Linex loss function criteria. We also examine five nonlinear models. These models are ARCH, GARCH, EGARCH, TGARCH and restricted GARCH models. We find that nonlinear models failed to dominate linear models utilizing different error measurement criteria and moving average model appears to be the best. Then we forecast the next two months future stock index price volatility by the best (moving average model.
Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model
Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang
2018-02-01
This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.
Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)
2016-01-01
textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers
Optimal investment models with stochastic volatility: the time ...
African Journals Online (AJOL)
Therefore, a transform is primordial to express the value function in terms of a semilinear PDE with quadratic growth on the derivative term. Some proofs for the existence of smooth solution to this equation have been provided for this equation by Pham [11]. In that paper they illustrated some common stochastic volatility ...
Multivariate time-varying volatility modeling using probabilistic fuzzy systems
Basturk, N.; Almeida, R.J.; Golan, R.; Kaymak, U.
2016-01-01
Methods to accurately analyze financial risk have drawn considerable attention in financial institutions. One difficulty in financial risk analysis is the fact that banks and other financial institutions invest in several assets which show time-varying volatilities and hence time-varying financial
Volatility modeling for IDR exchange rate through APARCH model with student-t distribution
Nugroho, Didit Budi; Susanto, Bambang
2017-08-01
The aim of this study is to empirically investigate the performance of APARCH(1,1) volatility model with the Student-t error distribution on five foreign currency selling rates to Indonesian rupiah (IDR), including the Swiss franc (CHF), the Euro (EUR), the British pound (GBP), Japanese yen (JPY), and the US dollar (USD). Six years daily closing rates over the period of January 2010 to December 2016 for a total number of 1722 observations have analysed. The Bayesian inference using the efficient independence chain Metropolis-Hastings and adaptive random walk Metropolis methods in the Markov chain Monte Carlo (MCMC) scheme has been applied to estimate the parameters of model. According to the DIC criterion, this study has found that the APARCH(1,1) model under Student-t distribution is a better fit than the model under normal distribution for any observed rate return series. The 95% highest posterior density interval suggested the APARCH models to model the IDR/JPY and IDR/USD volatilities. In particular, the IDR/JPY and IDR/USD data, respectively, have significant negative and positive leverage effect in the rate returns. Meanwhile, the optimal power coefficient of volatility has been found to be statistically different from 2 in adopting all rate return series, save the IDR/EUR rate return series.
Modelling of Transport Projects Uncertainties
DEFF Research Database (Denmark)
Salling, Kim Bang; Leleur, Steen
2009-01-01
This paper proposes a new way of handling the uncertainties present in transport decision making based on infrastructure appraisals. The paper suggests to combine the principle of Optimism Bias, which depicts the historical tendency of overestimating transport related benefits and underestimating...... to supplement Optimism Bias and the associated Reference Class Forecasting (RCF) technique with a new technique that makes use of a scenario-grid. We tentatively introduce and refer to this as Reference Scenario Forecasting (RSF). The final RSF output from the CBA-DK model consists of a set of scenario......-based graphs which function as risk-related decision support for the appraised transport infrastructure project....
Anesthetic action of volatile anesthetics by using Paramecium as a model.
Zhou, Miaomiao; Xia, Huimin; Xu, Younian; Xin, Naixing; Liu, Jiao; Zhang, Shihai
2012-06-01
Although empirically well understood in their clinical administration, volatile anesthetics are not yet well comprehended in their mechanism studies. A major conundrum emerging from these studies is that there is no validated model to assess the presumed candidate sites of the anesthetics. We undertook this study to test the hypothesis that the single-celled Paramecium could be anesthetized and served as a model organism in the study of anesthetics. We assessed the motion of Paramecium cells with Expert Vision system and the chemoresponse of Paramecium cells with T-maze assays in the presence of four different volatile anesthetics, including isoflurane, sevoflurane, enflurane and ether. Each of those volatiles was dissolved in buffers to give drug concentrations equal to 0.8, 1.0, and 1.2 EC50, respectively, in clinical practice. We could see that after application of volatile anesthetics, the swimming of the Paramecium cells was accelerated and then suppressed, or even stopped eventually, and the index of the chemoresponse of the Paramecium cells (denoted as I ( che )) was decreased. All of the above impacts were found in a concentration-dependent fashion. The biphasic effects of the clinical concentrations of volatile anesthetics on Paramecium simulated the situation of high species in anesthesia, and the inhibition of the chemoresponse also indicated anesthetized. In conclusion, the findings in our studies suggested that the single-celled Paramecium could be anesthetized with clinical concentrations of volatile anesthetics and therefore be utilized as a model organism to study the mechanisms of volatile anesthetics.
Grunspan, Cyril
2011-01-01
First, we show that implied normal volatility is intimately linked with the incomplete Gamma function. Then, we deduce an expansion on implied normal volatility in terms of the time-value of a European call option. Then, we formulate an equivalence between the implied normal volatility and the lognormal implied volatility with any strike and any model. This generalizes a known result for the SABR model. Finally, we adress the issue of the "breakeven move" of a delta-hedged portfolio.
Modelling dust transport in tokamaks
International Nuclear Information System (INIS)
Martin, J.D.; Martin, J.D.; Bacharis, M.; Coppins, M.; Counsell, G.F.; Allen, J.E.; Counsell, G.F.
2008-01-01
The DTOKS code, which models dust transport through tokamak plasmas, is described. The floating potential and charge of a dust grain in a plasma and the fluxes of energy to and from it are calculated. From this model, the temperature of the dust grain can be estimated. A plasma background is supplied by a standard tokamak edge modelling code (B2SOLPS5.0), and dust transport through MAST (the Mega-Amp Spherical Tokamak) and ITER plasmas is presented. We conclude that micron-radius tungsten dust can reach the separatrix in ITER. (authors)
Methods for testing transport models
International Nuclear Information System (INIS)
Singer, C.; Cox, D.
1991-01-01
Substantial progress has been made over the past year on six aspects of the work supported by this grant. As a result, we have in hand for the first time a fairly complete set of transport models and improved statistical methods for testing them against large databases. We also have initial results of such tests. These results indicate that careful application of presently available transport theories can reasonably well produce a remarkably wide variety of tokamak data
Modelling the Growth and Volatility in Daily International Mass Tourism to Peru
Jose Angelo Divino; Michael McAleer
2009-01-01
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO’s World Heritage List. For the potential negative impacts of mass tourism on the environment, and hence on future international tourism demand, to be managed appropriately require modelling growth rates and volatility adequately. The paper models the growth rate and volatility (or the variability...
Energy Technology Data Exchange (ETDEWEB)
Wolters, A.
2003-07-01
Simulation of pesticide volatilization from plant and soil surfaces as an integral component of pesticide fate models is of utmost importance, especially as part of the PEC (predicted environmental concentrations) models used in the registration procedures for pesticides. Experimentally determined volatilization rates at different scales were compared to model predictions to improve recent approaches included in European registration models. To assess the influence of crucial factors affecting volatilization under well-defined conditions, a laboratory chamber was set-up and validated. Aerodynamic conditions were adjusted to fulfill the requirements of the German guideline on assessing pesticide volatilization for registration purposes. At the semi-field scale, volatilization rates were determined in a wind-tunnel study after soil surface application of pesticides to gleyic cambisol. The following descending order of cumulative volatilization was observed: chlorpyrifos > parathion-methyl > terbuthylazine > fenpropimorph. Parameterization of the models PEARL (pesticide emission assessment at regional and local scales) and PELMO (pesticide leaching model) was performed to mirror the experimental boundary conditions. (orig.)
A Markov switching model of the conditional volatility of crude oil futures prices
International Nuclear Information System (INIS)
Fong, Wai Mun; See, Kim Hock
2002-01-01
This paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance, GARCH dynamics, basis-driven time-varying transition probabilities and conditional leptokurtosis. This flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set-up. We show that regime shifts are clearly present in the data and dominate GARCH effects. Within the high volatility state, a negative basis is more likely to increase regime persistence than a positive basis, a finding which is consistent with previous empirical research on the theory of storage. The volatility regimes identified by our model correlate well with major events affecting supply and demand for oil. Out-of-sample tests indicate that the regime switching model performs noticeably better than non-switching models regardless of evaluation criteria. We conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short-term volatility forecasts
Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets
Directory of Open Access Journals (Sweden)
Erie Febrian
2014-11-01
Full Text Available Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets. This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar's (2006 framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1, GARCH(3,1, and GARCH (1,1, respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.
Numerical modelling of volatiles in the deep mantle
Eichheimer, Philipp; Thielmann, Marcel; Golabek, Gregor J.
2017-04-01
The transport and storage of water in the mantle significantly affects several material properties of mantle rocks and thus water plays a key role in a variety of geodynamical processes (tectonics, magmatism etc.). The processes driving transport and circulation of H2O in subduction zones remain a debated topic. Geological and seismological observations suggest different inflow mechanisms of water e.g. slab bending, thermal cracking and serpentinization (Faccenda et al., 2009; Korenaga, 2017), followed by dehydration of the slab. On Earth both shallow and steep subduction can be observed (Li et al., 2011). However most previous models (van Keken et al., 2008; Wilson et al., 2014) did not take different dip angles and subduction velocities of slabs into account. To which extent these parameters and processes influence the inflow of water still remains unclear. We present 2D numerical models simulating the influence of the various water inflow mechanisms on the mantle with changing dip angle and subduction velocity of the slab over time. The results are used to make predictions regarding the rheological behavior of the mantle wedge, dehydration regimes and volcanism at the surface. References: van Keken, P. E., et al. A community benchmark for subduction zone modeling. Phys. Earth Planet. Int. 171, 187-197 (2008). Faccenda, M., T.V. Gerya, and L. Burlini. Deep slab hydration induced by bending-related variations in tectonic pressure. Nat. Geosci. 2, 790-793 (2009). Korenaga, J. On the extent of mantle hydration caused by plate bending. Earth Planet. Sci. Lett. 457, 1-9 (2017). Wilson, C. R., et al. Fluid flow in subduction zones: The role of solid rheology and compaction pressure. Earth Planet. Sci. Lett. 401, 261-274 (2014). Li, Z. H., Z. Q. Xu, and T. V. Gerya. Flat versus steep subduction: Contrasting modes for the formation and exhumation of high- to ultrahigh-pressure rocks in continental collision zones. Earth Planet. Sci. Lett. 301, 65-77 (2011).
Fusarium oxysporum volatiles enhance plant growth via affecting auxin transport and signaling
Directory of Open Access Journals (Sweden)
Vasileios eBitas
2015-11-01
Full Text Available Volatile organic compounds (VOCs have well-documented roles in plant-plant communication and directing animal behavior. In this study, we examine the less understood roles of VOCs in plant-fungal relationships. Phylogenetically and ecologically diverse strains of Fusarium oxysporum, a fungal species complex that often resides in the rhizosphere of assorted plants, produce volatile compounds that augment shoot and root growth of Arabidopsis thaliana and tobacco. Growth responses of A. thaliana hormone signaling mutants and expression patterns of a GUS reporter gene under the auxin-responsive DR5 promoter supported the involvement of auxin signaling in F. oxysporum volatile-mediated growth enhancement. In addition, 1-naphthylthalamic acid, an inhibitor of auxin efflux, negated F. oxysporum volatile-mediated growth enhancement in both plants. Comparison of the profiles of volatile compounds produced by F. oxysporum strains that differentially affected plant growth suggests that the relative compositions of both growth inhibitory and stimulatory compounds may determine the degree of plant growth enhancement. Volatile-mediated signaling between fungi and plants may represent a potentially conserved, yet mostly overlooked, mechanism underpinning plant-fungus interactions and fungal niche adaption.
Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility
Ma, Feng; Wei, Yu; Huang, Dengshi; Chen, Yixiang
2014-07-01
In this paper, by taking the 5-min high frequency data of the Shanghai Composite Index as example, we compare the forecasting performance of HAR-RV and Multifractal volatility, Realized volatility, Realized Bipower Variation and their corresponding short memory model with rolling windows forecasting method and the Model Confidence Set which is proved superior to SPA test. The empirical results show that, for six loss functions, HAR-RV outperforms other models. Moreover, to make the conclusions more precise and robust, we use the MCS test to compare the performance of their logarithms form models, and find that the HAR-log(RV) has a better performance in predicting future volatility. Furthermore, by comparing the two models of HAR-RV and HAR-log(RV), we conclude that, in terms of performance forecasting, the HAR-log(RV) model is the best model among models we have discussed in this paper.
Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming
Directory of Open Access Journals (Sweden)
Wafa Abdelmalek
2009-01-01
Full Text Available The volatility is a crucial variable in option pricing and hedging strategies. The aim of this paper is to provide some initial evidence of the empirical relevance of genetic programming to volatility's forecasting. By using real data from S&P500 index options, the genetic programming's ability to forecast Black and Scholes-implied volatility is compared between time series samples and moneyness-time to maturity classes. Total and out-of-sample mean squared errors are used as forecasting's performance measures. Comparisons reveal that the time series model seems to be more accurate in forecasting-implied volatility than moneyness time to maturity models. Overall, results are strongly encouraging and suggest that the genetic programming approach works well in solving financial problems.
Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
Mariani, Maria C.; Bhuiyan, Md Al Masum; Tweneboah, Osei K.
2018-02-01
In this study, we develop a technique for estimating the stochastic volatility (SV) of a financial time series by using Ornstein-Uhlenbeck type models. Using the daily closing prices from developed and emergent stock markets, we conclude that the incorporation of stochastic volatility into the time varying parameter estimation significantly improves the forecasting performance via Maximum Likelihood Estimation. Furthermore, our estimation algorithm is feasible with large data sets and have good convergence properties.
An Empirical Application of a Two-Factor Model of Stochastic Volatility
Czech Academy of Sciences Publication Activity Database
Kuchyňka, Alexandr
2008-01-01
Roč. 17, č. 3 (2008), s. 243-253 ISSN 1210-0455 R&D Projects: GA ČR GA402/07/1113; GA MŠk(CZ) LC06075 Institutional research plan: CEZ:AV0Z10750506 Keywords : stochastic volatility * Kalman filter Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2008/E/kuchynka-an empirical application of a two-factor model of stochastic volatility.pdf
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
DEFF Research Database (Denmark)
Halbleib, Roxana; Voev, Valeri
2011-01-01
This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates......, regardless of the type of utility function or return distribution, would be better-off from using this model than from using some standard approaches....
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
DEFF Research Database (Denmark)
Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim
in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data......Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...
Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models
DEFF Research Database (Denmark)
Kokholm, Thomas; Stisen, Martin
2015-01-01
to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...
Modelling of Transport Projects Uncertainties
DEFF Research Database (Denmark)
Salling, Kim Bang; Leleur, Steen
2012-01-01
This paper proposes a new way of handling the uncertainties present in transport decision making based on infrastructure appraisals. The paper suggests to combine the principle of Optimism Bias, which depicts the historical tendency of overestimating transport related benefits and underestimating...... to supplement Optimism Bias and the associated Reference Class Forecasting (RCF) technique with a new technique that makes use of a scenario-grid. We tentatively introduce and refer to this as Reference Scenario Forecasting (RSF). The final RSF output from the CBA-DK model consists of a set of scenario......-based graphs which functions as risk-related decision support for the appraised transport infrastructure project. The presentation of RSF is demonstrated by using an appraisal case concerning a new airfield in the capital of Greenland, Nuuk....
Recovery of time-dependent volatility in option pricing model
Deng, Zui-Cha; Hon, Y. C.; Isakov, V.
2016-11-01
In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).
Perpetual American put options in a level-dependent volatility model
Ekström, Erik
2003-01-01
We find the explicit value of perpetual American put options in the constant elasticity of variance model using the concept of smooth fit. We show that the price is increasing in the volatility and convex in the underlying stock price. Moreover, as the model converges to the standard Black and Scholes model, the value of the put is shown to approach the `correct' limit.
Volatilization of Parathion and Chlorothalonil from a Potato Crop Simulated by the PEARL Model
Leistra, M.; Berg, van den F.
2007-01-01
The volatilization of pesticides from crop canopies in the field should be modeled within the context of evaluating environmental exposure. A model concept based on diffusion through a laminar air-boundary layer was incorporated into the PEARL model (pesticide emission assessment at regional and
DEFF Research Database (Denmark)
Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the condi......The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification...... estimate alternative specifications of the model using a set of daily bipower measures for 7 stock indexes and 16 individual NYSE stocks. The estimates of the jump component confirm that the probability of jumps dramatically increases during the financial crisis. Compared to other realized volatility...... models, the introduction of the jump component provides a sensible improvement in the fit, as well as for in-sample and out-of-sample volatility tail forecasts....
Understanding transport barriers through modelling
International Nuclear Information System (INIS)
Rozhansky, V
2004-01-01
Models of radial electric field formation are discussed and compared with the results of numerical simulations from fluid transport codes and Monte Carlo codes. A comparison of the fluid and Monte Carlo codes is presented. A conclusion is arrived at that all the simulations do not predict any bifurcation of the electric field, i.e. no bifurcation of poloidal rotation from low to high Mach number values is obtained. In most of the simulations, the radial electric field is close to the neoclassical electric field. The deviation from neoclassical electric field at the separatrix due to the existence of a transitional viscous layer is discussed. Scalings for the shear of the poloidal rotation are checked versus simulation results. It is demonstrated that assuming the critical shear to be of the order of 10 5 s -1 , it is possible to obtain a L-H transition power scaling close to that observed in the experiment. The dependence of the threshold on the magnetic field direction, pellet injection, aspect ratio and other factors are discussed on the basis of existing simulations. Transport codes where transport coefficients depend on the turbulence level and scenario simulations of L-H transition are analysed. However, the details of gyrofluid and gyrokinetic modelling should be discussed elsewhere. Simulations of internal transport barrier (ITB) formation are discussed as well as factors responsible for ITB formation
Methods for testing transport models
International Nuclear Information System (INIS)
Singer, C.; Cox, D.
1993-01-01
This report documents progress to date under a three-year contract for developing ''Methods for Testing Transport Models.'' The work described includes (1) choice of best methods for producing ''code emulators'' for analysis of very large global energy confinement databases, (2) recent applications of stratified regressions for treating individual measurement errors as well as calibration/modeling errors randomly distributed across various tokamaks, (3) Bayesian methods for utilizing prior information due to previous empirical and/or theoretical analyses, (4) extension of code emulator methodology to profile data, (5) application of nonlinear least squares estimators to simulation of profile data, (6) development of more sophisticated statistical methods for handling profile data, (7) acquisition of a much larger experimental database, and (8) extensive exploratory simulation work on a large variety of discharges using recently improved models for transport theories and boundary conditions. From all of this work, it has been possible to define a complete methodology for testing new sets of reference transport models against much larger multi-institutional databases
A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models
Directory of Open Access Journals (Sweden)
Raúl Merino
2015-01-01
Full Text Available We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.
Stochastic models of intracellular transport
Bressloff, Paul C.; Newby, Jay M.
2013-01-01
mechanisms for intracellular transport: passive diffusion and motor-driven active transport. Diffusive transport can be formulated in terms of the motion of an overdamped Brownian particle. On the other hand, active transport requires chemical energy, usually
Advanced transport modeling of toroidal plasmas with transport barriers
International Nuclear Information System (INIS)
Fukuyama, A.; Murakami, S.; Honda, M.; Izumi, Y.; Yagi, M.; Nakajima, N.; Nakamura, Y.; Ozeki, T.
2005-01-01
Transport modeling of toroidal plasmas is one of the most important issue to predict time evolution of burning plasmas and to develop control schemes in reactor plasmas. In order to describe the plasma rotation and rapid transition self-consistently, we have developed an advanced scheme of transport modeling based on dynamical transport equation and applied it to the analysis of transport barrier formation. First we propose a new transport model and examine its behavior by the use of conventional diffusive transport equation. This model includes the electrostatic toroidal ITG mode and the electromagnetic ballooning mode and successfully describes the formation of internal transport barriers. Then the dynamical transport equation is introduced to describe the plasma rotation and the radial electric field self-consistently. The formation of edge transport barriers is systematically studied and compared with experimental observations. The possibility of kinetic transport modeling in velocity space is also examined. Finally the modular structure of integrated modeling code for tokamaks and helical systems is discussed. (author)
Stochastic volatility and multi-dimensional modeling in the European energy market
Energy Technology Data Exchange (ETDEWEB)
Vos, Linda
2012-07-01
In energy prices there is evidence for stochastic volatility. Stochastic volatility has effect on the price of path-dependent options and therefore has to be modeled properly. We introduced a multi-dimensional non-Gaussian stochastic volatility model with leverage which can be used in energy pricing. It captures special features of energy prices like price spikes, mean-reversion, stochastic volatility and inverse leverage. Moreover it allows modeling dependencies between different commodities.The derived forward price dynamics based on this multi-variate spot price model, provides a very flexible structure. It includes cotango, backwardation and hump shape forward curves.Alternatively energy prices could be modeled by a 2-factor model consisting of a non-Gaussian stable CARMA process and a non-stationary trend models by a Levy process. Also this model is able to capture special features like price spikes, mean reversion and the low frequency dynamics in the market. An robust L1-filter is introduced to filter out the states of the CARMA process. When applying to German electricity EEX exchange data an overall negative risk-premium is found. However close to delivery a positive risk-premium is observed.(Author)
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
Jiang, G.J.; van der Sluis, P.J.
2000-01-01
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the
A low-bias simulation scheme for the SABR stochastic volatility model
B. Chen (Bin); C.W. Oosterlee (Cornelis); J.A.M. van der Weide
2012-01-01
htmlabstractThe Stochastic Alpha Beta Rho Stochastic Volatility (SABR-SV) model is widely used in the financial industry for the pricing of fixed income instruments. In this paper we develop an lowbias simulation scheme for the SABR-SV model, which deals efficiently with (undesired)
Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model
Directory of Open Access Journals (Sweden)
Abdelkadir BESSEBA
2017-06-01
Full Text Available This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model. Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
M. Asai (Manabu); M.J. McAleer (Michael)
2014-01-01
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, L.A.; Oosterlee, C.W.
2010-01-01
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of
Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm
International Nuclear Information System (INIS)
Takaishi, Tetsuya
2014-01-01
The hybrid Monte Carlo algorithm (HMCA) is applied for Bayesian parameter estimation of the realized stochastic volatility (RSV) model. Using the 2nd order minimum norm integrator (2MNI) for the molecular dynamics (MD) simulation in the HMCA, we find that the 2MNI is more efficient than the conventional leapfrog integrator. We also find that the autocorrelation time of the volatility variables sampled by the HMCA is very short. Thus it is concluded that the HMCA with the 2MNI is an efficient algorithm for parameter estimations of the RSV model
Mathematical modeling of solute transport in the subsurface
International Nuclear Information System (INIS)
Naymik, T.G.
1987-01-01
A review of key works on solute transport models indicates that solute transport processes with the exception of advection are still poorly understood. Solute transport models generally do a good job when they are used to test scientific concepts and hypotheses, investigate natural processes, systematically store and manage data, and simulate mass balance of solutes under certain natural conditions. Solute transport models generally are not good for predicting future conditions with a high degree of certainty, or for determining concentrations precisely. The mathematical treatment of solute transport far surpasses their understanding of the process. Investigations of the extent of groundwater contamination and methods to remedy existing problems show the along-term nature of the hazard. Industrial organic compounds may be immiscible in water, highly volatile, or complexed with inorganic as well as other organic compounds; many remain stable in nature almost indefinitely. In the worst case, future disposal of hazardous waste may be restricted to deep burial, as is proposed for radioactive wastes. For investigations pertinent to transport of radionuclides from a geologic repository, the process cannot be fully understood without adequate thermodynamic and kinetic data bases
Biological transportation networks: Modeling and simulation
Albi, Giacomo; Artina, Marco; Foransier, Massimo; Markowich, Peter A.
2015-01-01
We present a model for biological network formation originally introduced by Cai and Hu [Adaptation and optimization of biological transport networks, Phys. Rev. Lett. 111 (2013) 138701]. The modeling of fluid transportation (e.g., leaf venation
Jansen, R.M.C.; Hofstee, J.W.; Wildt, J.; Vanthoor, B.H.E.; Verstappen, F.W.A.; Takayama, K.; Bouwmeester, H.J.; Henten, van E.J.
2010-01-01
This paper describes a model to calculate the concentrations of (Z)-3-hexenol, a-pinene, a-terpinene, ß-caryophyllene, and methyl salicylate in a greenhouse on the basis of their source and sink behaviour. The model was used to determine whether these volatile organic compounds (VOCs) can be used to
Modelling of radon transport in porous media
van der Graaf, E.R.; de Meijer, R.J.; Katase, A; Shimo, M
1998-01-01
This paper aims to describe the state of the art of modelling radon transport in soil on basis of multiphase radon transport equations. Emphasis is given to methods to obtain a consistent set of input parameters needed For such models. Model-measurement comparisons with the KVI radon transport
Modeling Human Exposure Levels to Airborne Volatile Organic Compounds by the Hebei Spirit Oil Spill
Kim, Jong Ho; Kwak, Byoung Kyu; Ha, Mina; Cheong, Hae-Kwan; Yi, Jongheop
2012-01-01
Objectives The goal was to model and quantify the atmospheric concentrations of volatile organic compounds (VOCs) as the result of the Hebei Spirit oil spill, and to predict whether the exposure levels were abnormally high or not. Methods We developed a model for calculating the airborne concentration of VOCs that are produced in an oil spill accident. The model was applied to a practical situation, namely the Hebei Spirit oil spill. The accuracy of the model was verified by comparing the res...
Directions in Radiation Transport Modelling
Directory of Open Access Journals (Sweden)
P Nicholas Smith
2016-12-01
More exciting advances are on the horizon to increase the power of simulation tools. The advent of high performance computers is allowing bigger, higher fidelity models to be created, if the challenges of parallelization and memory management can be met. 3D whole core transport modelling is becoming possible. Uncertainty quantification is improving with large benefits to be gained from more accurate, less pessimistic estimates of uncertainty. Advanced graphical displays allow the user to assimilate and make sense of the vast amounts of data produced by modern modelling tools. Numerical solvers are being developed that use goal-based adaptivity to adjust the nodalisation of the system to provide the optimum scheme to achieve the user requested accuracy on the results, thus removing the need to perform costly convergence studies in space and angle etc. More use is being made of multi-physics methods in which radiation transport is coupled with other phenomena, such as thermal-hydraulics, structural response, fuel performance and/or chemistry in order to better understand their interplay in reactor cores.
Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models
Directory of Open Access Journals (Sweden)
Z. Rasouli Birami
2016-10-01
Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the
An Hilbert space approach for a class of arbitrage free implied volatilities models
Brace, A.; Fabbri, G.; Goldys, B.
2007-01-01
We present an Hilbert space formulation for a set of implied volatility models introduced in \\cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to be arbitrage free. The arbitrage free conditions give a system of stochastic PDEs for the evolution of the implied volatility surface ${\\hat\\sigma}_t(T,K)$. We will focus on the family obtained fixing a strike $K$ and varying $T$. In order to...
Mathematical Modelling of Supercritical CO2 Extraction of Volatile Oils from Aromatic Plants
Czech Academy of Sciences Publication Activity Database
Grosso, C.; Coelho, J.P.; Pessoa, F.L.P.; Fareleira, J.M.N.A.; Barroso, J.G.; Urieta, J.S.; Palavra, A.F.; Sovová, Helena
2010-01-01
Roč. 65, č. 11 (2010), s. 3579-3590 ISSN 0009-2509 Institutional research plan: CEZ:AV0Z40720504 Keywords : supercritical fluid extraction * modelling * volatile oils Subject RIV: CI - Industrial Chemistry, Chemical Engineering Impact factor: 2.379, year: 2010
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
Bayraktar, Erhan
2007-01-01
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is $C^2$ except at the stopping boundary and that it is $C^1$ everywhere (i.e. the smooth pasting condition always holds).
DEFF Research Database (Denmark)
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
Building on realized variance and bi-power variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability...
Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu
2012-02-01
This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained.
Ammonia volatilization from treatment lagoons varies widely with the total ammonia concentration, pH, temperature, suspended solids, atmospheric ammonia concentration above the water surface, and wind speed. Ammonia emissions were estimated with a process-based mechanistic model integrating ammonia ...
Modelling the Asymmetric Volatility in Hog Prices in Taiwan : The Impact of Joining the WTO
C-L. Chang (Chia-Lin); B-W. Huang (Bing-Wen); M-G. Chen (Meng-Gu)
2010-01-01
textabstractPrices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23
The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Posedel, Petra
We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980) equilibrium asset pricing condition linking the conditional mean and conditional variance of discrete time returns is rei...
Bos, Charles S.
2008-01-01
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing
Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models
Directory of Open Access Journals (Sweden)
Lya Aklimawati
2013-08-01
Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value 2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of 2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading
Up-gradient transport in a probabilistic transport model
DEFF Research Database (Denmark)
Gavnholt, J.; Juul Rasmussen, J.; Garcia, O.E.
2005-01-01
The transport of particles or heat against the driving gradient is studied by employing a probabilistic transport model with a characteristic particle step length that depends on the local concentration or heat gradient. When this gradient is larger than a prescribed critical value, the standard....... These results supplement recent works by van Milligen [Phys. Plasmas 11, 3787 (2004)], which applied Levy distributed step sizes in the case of supercritical gradients to obtain the up-gradient transport. (c) 2005 American Institute of Physics....
Directory of Open Access Journals (Sweden)
Nader Naifar
2016-09-01
Full Text Available The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds yields and stock market (returns and volatility in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity.
Ciarelli, Giancarlo; El Haddad, Imad; Bruns, Emily; Aksoyoglu, Sebnem; Möhler, Ottmar; Baltensperger, Urs; Prévôt, André S. H.
2017-06-01
In this study, novel wood combustion aging experiments performed at different temperatures (263 and 288 K) in a ˜ 7 m3 smog chamber were modelled using a hybrid volatility basis set (VBS) box model, representing the emission partitioning and their oxidation against OH. We combine aerosol-chemistry box-model simulations with unprecedented measurements of non-traditional volatile organic compounds (NTVOCs) from a high-resolution proton transfer reaction mass spectrometer (PTR-MS) and with organic aerosol measurements from an aerosol mass spectrometer (AMS). Due to this, we are able to observationally constrain the amounts of different NTVOC aerosol precursors (in the model) relative to low volatility and semi-volatile primary organic material (OMsv), which is partitioned based on current published volatility distribution data. By comparing the NTVOC / OMsv ratios at different temperatures, we determine the enthalpies of vaporization of primary biomass-burning organic aerosols. Further, the developed model allows for evaluating the evolution of oxidation products of the semi-volatile and volatile precursors with aging. More than 30 000 box-model simulations were performed to retrieve the combination of parameters that best fit the observed organic aerosol mass and O : C ratios. The parameters investigated include the NTVOC reaction rates and yields as well as enthalpies of vaporization and the O : C of secondary organic aerosol surrogates. Our results suggest an average ratio of NTVOCs to the sum of non-volatile and semi-volatile organic compounds of ˜ 4.75. The mass yields of these compounds determined for a wide range of atmospherically relevant temperatures and organic aerosol (OA) concentrations were predicted to vary between 8 and 30 % after 5 h of continuous aging. Based on the reaction scheme used, reaction rates of the NTVOC mixture range from 3.0 × 10-11 to 4. 0 × 10-11 cm3 molec-1 s-1. The average enthalpy of vaporization of secondary organic aerosol
Directory of Open Access Journals (Sweden)
G. Ciarelli
2017-06-01
Full Text Available In this study, novel wood combustion aging experiments performed at different temperatures (263 and 288 K in a ∼ 7 m3 smog chamber were modelled using a hybrid volatility basis set (VBS box model, representing the emission partitioning and their oxidation against OH. We combine aerosol–chemistry box-model simulations with unprecedented measurements of non-traditional volatile organic compounds (NTVOCs from a high-resolution proton transfer reaction mass spectrometer (PTR-MS and with organic aerosol measurements from an aerosol mass spectrometer (AMS. Due to this, we are able to observationally constrain the amounts of different NTVOC aerosol precursors (in the model relative to low volatility and semi-volatile primary organic material (OMsv, which is partitioned based on current published volatility distribution data. By comparing the NTVOC ∕ OMsv ratios at different temperatures, we determine the enthalpies of vaporization of primary biomass-burning organic aerosols. Further, the developed model allows for evaluating the evolution of oxidation products of the semi-volatile and volatile precursors with aging. More than 30 000 box-model simulations were performed to retrieve the combination of parameters that best fit the observed organic aerosol mass and O : C ratios. The parameters investigated include the NTVOC reaction rates and yields as well as enthalpies of vaporization and the O : C of secondary organic aerosol surrogates. Our results suggest an average ratio of NTVOCs to the sum of non-volatile and semi-volatile organic compounds of ∼ 4.75. The mass yields of these compounds determined for a wide range of atmospherically relevant temperatures and organic aerosol (OA concentrations were predicted to vary between 8 and 30 % after 5 h of continuous aging. Based on the reaction scheme used, reaction rates of the NTVOC mixture range from 3.0 × 10−11 to 4. 0 × 10−11 cm3 molec−1 s−1
Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.
2016-11-01
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to reproduce various stylized facts of different markets and different assets with the same set of model parameters. We show that the power-law properties and the scaling of return intervals and other financial variables have a similar origin and could be a result of a general class of non-linear stochastic differential equations derived from a master equation of an agent system that is coupled by herding interactions. Specifically, we find that this approach enables us to recover the volatility return interval statistics as well as volatility probability and spectral densities for the NYSE and FOREX markets, for different assets, and for different time-scales. We find also that the historical S&P500 monthly series exhibits the same volatility return interval properties recovered by our proposed model. Our statistical results suggest that human herding is so strong that it persists even when other evolving fluctuations perturbate the financial system.
Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model
Directory of Open Access Journals (Sweden)
Hojin Lee
2009-06-01
Full Text Available We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008. For various forecasting horizons, historical volatility models with a long memory tend to make more accurate forecasts. Especially, we carefully observe the difference between the EWMA and the GARCH(1,1 model. Our empirical finding that the GARCH model puts too much weight on recent observations relative to those in the past is consistent with prior evidence showing that asset market volatility has a long memory, such as Ding and Granger (1996. The forecasting model with the lowest MSFE and VaR forecast error among the models we consider is the EWMA model in which the forecast volatility for the coming period is a weighted average of recent squared return with exponentially declining weights. In terms of forecast accuracy, it clearly dominates the widely accepted GARCH and rolling window GARCH models. We also present a multiple comparison of the out-of-sample forecasting performance of volatility using the stationary bootstrap of Politis and Romano (1994. We find that the White's reality check for the GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model clearly reject the null hypothesis and there exists a better model than the two benchmark models. On the other hand, when the EWMA model is the benchmark, the White's for all forecasting horizons are very high, which indicates the null hypothesis may not be rejected. The Hansen's report the same results. The GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model are dominated by the best competing model in most of the forecasting horizons. In contrast, the RiskMetrics model seems to be the most preferred. We also consider combining the forecasts generated by averaging the six raw forecasts and a trimmed set of forecasts which calculate the mean of the four forecasts after disregarding the highest and
Modeling the return and volatility of the Greek electricity marginal system price
International Nuclear Information System (INIS)
Theodorou, Petros; Karyampas, Dimitrios
2008-01-01
Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)
Volatility and what Lies Beneath: A Joint Model
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
by fitting VIX option prices and then options on the underlying making the model implementable from a calibration perspective. Finally, the model is implemented and it is shown how it fits VIX index option prices along with European options on S&P 500 for various maturities....... In this paper a model for the joint dynamics of forward variance swap prices and the underlying stock index is proposed. It is shown how options on forward variance swaps, along with options on the underlying can be priced consistently. The calibration of the model is done step-wise, first...
Selection Criteria in Regime Switching Conditional Volatility Models
Directory of Open Access Journals (Sweden)
Thomas Chuffart
2015-05-01
Full Text Available A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a regime switching framework. We focus on two types of models: the Logistic Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and loss functions can lead to misspecification ; BIC sometimes indicates the wrong regime switching framework. Depending on the Data Generating Process used in the experiments, great care is needed when choosing a criterion.
Asymmetric Realized Volatility Risk
Directory of Open Access Journals (Sweden)
David E. Allen
2014-06-01
Full Text Available In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.
Modeling the kinetics of volatilization from glass melts
Beerkens, R.G.C.
2001-01-01
A model description for the evaporation kinetics from glass melts in direct contact with static atmospheres or flowing gas phases is presented. The derived models and equations are based on the solution of the second Ficks' diffusion law and quasi-steady-state mass transfer relations, taking into
Essays on nonparametric econometrics of stochastic volatility
Zu, Y.
2012-01-01
Volatility is a concept that describes the variation of financial returns. Measuring and modelling volatility dynamics is an important aspect of financial econometrics. This thesis is concerned with nonparametric approaches to volatility measurement and volatility model validation.
Directory of Open Access Journals (Sweden)
T. Mochizuki
2016-11-01
Full Text Available To understand the long-range transport of monocarboxylic acids from the Asian continent to the Japanese islands, we collected snowpack samples from a pit sequence (depth ca. 6 m at the Murodo-Daira snowfield near the summit of Mt. Tateyama, central Japan, in 2009 and 2011. Snow samples (n = 16 were analyzed for normal (C1–C10, branched chain (iC4–iC6, aromatic (benzoic and toluic acid isomers, and hydroxyl (glycolic and lactic monocarboxylic acids, together with inorganic ions and dissolved organic carbon (DOC. Acetic acid (C2 was found to be a dominant species (average 125 ng g−1, followed by formic acid (C1 (85.7 ng g−1 and isopentanoic acid (iC5 (20.0 ng g−1. We found a strong correlation (r = 0.88 between formic plus acetic acids and non-sea-salt Ca2+ that is a proxy of Asian dust. Contributions of total monocarboxylic acids to DOC in 2009 (21.2 ± 11.6 % were higher than that in 2011 (3.75 ± 2.62 %, being consistent with higher intensity of Asian dust in 2009 than in 2011. Formic plus acetic acids also showed a positive correlation (r = 0.90 with benzoic acid that is a tracer of automobile exhaust, indicating that monocarboxylic acids and their precursors are largely emitted from anthropogenic sources in China and/or secondarily produced in the atmosphere by photochemical processing. In addition, the ratio of formic plus acetic acids to nss–Ca2+ (0.27 was significantly higher than those (0.00036–0.0018 obtained for reference dust materials of Chinese loess deposits from the Tengger and Gobi deserts. This result suggests that volatile and semi-volatile organic acids are adsorbed on the alkaline dust particles during long-range atmospheric transport. Entrainment of organic acids by dusts is supported by a good correlation (r = 0.87 between formic plus acetic acids and pH of melt snow samples. Our study suggests that Asian alkaline dusts may be a carrier of volatile monocarboxylic
Directory of Open Access Journals (Sweden)
Q. J. Zhang
2013-06-01
Full Text Available Simulations with the chemistry transport model CHIMERE are compared to measurements performed during the MEGAPOLI (Megacities: Emissions, urban, regional and Global Atmospheric POLlution and climate effects, and Integrated tools for assessment and mitigation summer campaign in the Greater Paris region in July 2009. The volatility-basis-set approach (VBS is implemented into this model, taking into account the volatility of primary organic aerosol (POA and the chemical aging of semi-volatile organic species. Organic aerosol is the main focus and is simulated with three different configurations with a modified treatment of POA volatility and modified secondary organic aerosol (SOA formation schemes. In addition, two types of emission inventories are used as model input in order to test the uncertainty related to the emissions. Predictions of basic meteorological parameters and primary and secondary pollutant concentrations are evaluated, and four pollution regimes are defined according to the air mass origin. Primary pollutants are generally overestimated, while ozone is consistent with observations. Sulfate is generally overestimated, while ammonium and nitrate levels are well simulated with the refined emission data set. As expected, the simulation with non-volatile POA and a single-step SOA formation mechanism largely overestimates POA and underestimates SOA. Simulation of organic aerosol with the VBS approach taking into account the aging of semi-volatile organic compounds (SVOC shows the best correlation with measurements. High-concentration events observed mostly after long-range transport are well reproduced by the model. Depending on the emission inventory used, simulated POA levels are either reasonable or underestimated, while SOA levels tend to be overestimated. Several uncertainties related to the VBS scheme (POA volatility, SOA yields, the aging parameterization, to emission input data, and to simulated OH levels can be responsible for
Directory of Open Access Journals (Sweden)
Oliver Lah
2017-06-01
Full Text Available As the recent withdrawal of the United States from the Paris Agreement has shown, political volatility directly affects climate change mitigation policies, in particular in sectors, such as transport associated with long-term investments by individuals (vehicles and by local and national governments (urban form and transport infrastructure and services. There is a large potential for cost-effective solutions to reduce greenhouse gas emissions and to improve the sustainability of the transport sector that is yet unexploited. Considering the cost-effectiveness and the potential for co-benefits, it is hard to understand why efficiency gains and CO2 emission reductions in the transport sector are still lagging behind this potential. Particularly interesting is the fact that there is substantial difference among countries with relatively similar economic performances in the development of their transport CO2 emissions over the past thirty years despite the fact that these countries had relatively similar access to efficient technologies and vehicles. This study aims to explore some well-established political science theories on the particular example of climate change mitigation in the transport sector in order to identify some of the factors that could help explain the variations in success of policies and strategies in this sector. The analysis suggests that institutional arrangements that contribute to consensus building in the political process provide a high level of political and policy stability which is vital to long-term changes in energy end-use sectors that rely on long-term investments. However, there is no direct correlation between institutional structures, e.g., corporatism and success in reducing greenhouse gas emissions in the transport sector. Environmental objectives need to be built into the consensus-based policy structure before actual policy progress can be observed. This usually takes longer in consensus democracies than in
Risk Modeling Approaches in Terms of Volatility Banking Transactions
Directory of Open Access Journals (Sweden)
Angelica Cucşa (Stratulat
2016-01-01
Full Text Available The inseparability of risk and banking activity is one demonstrated ever since banking systems, the importance of the topic being presend in current life and future equally in the development of banking sector. Banking sector development is done in the context of the constraints of nature and number of existing risks and those that may arise, and serves as limiting the risk of banking activity. We intend to develop approaches to analyse risk through mathematical models by also developing a model for the Romanian capital market 10 active trading picks that will test investor reaction in controlled and uncontrolled conditions of risk aggregated with harmonised factors.
Atteia, Olivier; Höhener, Patrick
2010-08-15
Volatilization of toxic organic contaminants from groundwater to the soil surface is often considered an important pathway in risk analysis. Most of the risk models use simplified linear solutions that may overpredict the volatile flux. Although complex numerical models have been developed, their use is restricted to experienced users and for sites where field data are known in great detail. We present here a novel semianalytical model running on a spreadsheet that simulates the volatilization flux and vertical concentration profile in a soil based on the Van Genuchten functions. These widely used functions describe precisely the gas and water saturations and movement in the capillary fringe. The analytical model shows a good accuracy over several orders of magnitude when compared to a numerical model and laboratory data. The effect of barometric pumping is also included in the semianalytical formulation, although the model predicts that barometric pumping is often negligible. A sensitivity study predicts significant fluxes in sandy vadose zones and much smaller fluxes in other soils. Fluxes are linked to the dimensionless Henry's law constant H for H < 0.2 and increase by approximately 20% when temperature increases from 5 to 25 degrees C.
DEFF Research Database (Denmark)
Jensen, Thomas Christian; Møller, Flemming
2010-01-01
in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport...
Adaptation of warrant price with Black Scholes model and historical volatility
Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan
2015-05-01
This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.
Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns
Directory of Open Access Journals (Sweden)
Singh Amanjot
2017-10-01
Full Text Available The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.
Measurement and Modeling of Volatile Particle Emissions from Military Aircraft
2011-10-01
CMAQ – Community multiscale air quality model CMU – Carnegie Mellon University COA – organic aerosol concentration CPC - condensation particle...the aerosol phase when there is free ammonia (or another cation) available to neutralize it [36]. Therefore, we expect that nitrate aerosol...be a critical parameter, with greater nitrate expected during winter. Even less is known about the fate of the complex mixture of organics in the
SATURATED ZONE FLOW AND TRANSPORT MODEL ABSTRACTION
International Nuclear Information System (INIS)
B.W. ARNOLD
2004-01-01
The purpose of the saturated zone (SZ) flow and transport model abstraction task is to provide radionuclide-transport simulation results for use in the total system performance assessment (TSPA) for license application (LA) calculations. This task includes assessment of uncertainty in parameters that pertain to both groundwater flow and radionuclide transport in the models used for this purpose. This model report documents the following: (1) The SZ transport abstraction model, which consists of a set of radionuclide breakthrough curves at the accessible environment for use in the TSPA-LA simulations of radionuclide releases into the biosphere. These radionuclide breakthrough curves contain information on radionuclide-transport times through the SZ. (2) The SZ one-dimensional (I-D) transport model, which is incorporated in the TSPA-LA model to simulate the transport, decay, and ingrowth of radionuclide decay chains in the SZ. (3) The analysis of uncertainty in groundwater-flow and radionuclide-transport input parameters for the SZ transport abstraction model and the SZ 1-D transport model. (4) The analysis of the background concentration of alpha-emitting species in the groundwater of the SZ
Transport Choice Modeling for the Evaluation of New Transport Policies
Directory of Open Access Journals (Sweden)
Ander Pijoan
2018-04-01
Full Text Available Quantifying the impact of the application of sustainable transport policies is essential in order to mitigate effects of greenhouse gas emissions produced by the transport sector. One of the most common approaches used for this purpose is that of traffic modelling and simulation, which consists of emulating the operation of an entire road network. This article presents the results of fitting 8 well known data science methods for transport choice modelling, the area in which more research is needed. The models have been trained with information from Biscay province in Spain in order to match as many of its commuters as possible. Results show that the best models correctly forecast more than 51% of the trips recorded. Finally, the results have been validated with a second data set from the Silesian Voivodeship in Poland, showing that all models indeed maintain their forecasting ability.
Logistics and Transport - a conceptual model
DEFF Research Database (Denmark)
Jespersen, Per Homann; Drewes, Lise
2004-01-01
This paper describes how the freight transport sector is influenced by logistical principles of production and distribution. It introduces new ways of understanding freight transport as an integrated part of the changing trends of mobility. By introducing a conceptual model for understanding...... the interaction between logistics and transport, it points at ways to over-come inherent methodological difficulties when studying this relation...
A laboratory chamber was used to determine transport of a suspected anti-androgenic dicarboximide fungicide, vinclozolin (3,5-dichlorophenyl)-5-methyl-5-vinyl-oxzoli-dine-2,4-dione) and three degradation products from a North Carolina Piedmont aquic hapludult soil following a s...
Energy Technology Data Exchange (ETDEWEB)
Jensen, Thomas C., E-mail: tcj@transport.dtu.d [Department of Transport, Danish Technical University, Bygningstorvet 116 Vest, 2800 Lyngby (Denmark); Moller, Flemming [National Environmental Research Institute, Box 358, Frederiksborgvej 399, 4000 Roskilde (Denmark)
2010-01-15
This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers' risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn.
Energy Technology Data Exchange (ETDEWEB)
Jensen, Thomas C. [Department of Transport, Danish Technical University, Bygningstorvet 116 Vest, 2800 Lyngby (Denmark); Moeller, Flemming [National Environmental Research Institute, Box 358, Frederiksborgvej 399, 4000 Roskilde (Denmark)
2010-01-15
This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers' risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn. (author)
International Nuclear Information System (INIS)
Jensen, Thomas C.; Moeller, Flemming
2010-01-01
This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers' risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn. (author)
RADIONUCLIDE TRANSPORT MODELS UNDER AMBIENT CONDITIONS
Energy Technology Data Exchange (ETDEWEB)
S. Magnuson
2004-11-01
The purpose of this model report is to document the unsaturated zone (UZ) radionuclide transport model, which evaluates, by means of three-dimensional numerical models, the transport of radioactive solutes and colloids in the UZ, under ambient conditions, from the repository horizon to the water table at Yucca Mountain, Nevada.
Coal supply and transportation model (CSTM)
International Nuclear Information System (INIS)
1991-11-01
The Coal Supply and Transportation Model (CSTM) forecasts annual coal supply and distribution to domestic and foreign markets. The model describes US coal production, national and international coal transportation industries. The objective of this work is to provide a technical description of the current version of the model
Tariff Model for Combined Transport
Directory of Open Access Journals (Sweden)
Velimir Kolar
2002-11-01
Full Text Available By analysing the cwTen.t situation on the Croatian transportationmarket, and considering all parameters needed forthe development of combined transport, measures are suggestedin order to improve and stimulate its development. Oneof the first measures is the standardisation and introduction ofunique tariffs for combined transport, and then government incentivefor the organisation and development of combinedtransport means and equipment. A significant role in thisshould be set on adequately defined transport policy.
Biological transportation networks: Modeling and simulation
Albi, Giacomo
2015-09-15
We present a model for biological network formation originally introduced by Cai and Hu [Adaptation and optimization of biological transport networks, Phys. Rev. Lett. 111 (2013) 138701]. The modeling of fluid transportation (e.g., leaf venation and angiogenesis) and ion transportation networks (e.g., neural networks) is explained in detail and basic analytical features like the gradient flow structure of the fluid transportation network model and the impact of the model parameters on the geometry and topology of network formation are analyzed. We also present a numerical finite-element based discretization scheme and discuss sample cases of network formation simulations.
Model for Volatile Incorporation into Soils and Dust on Mars
Clark, B. C.; Yen, A.
2006-12-01
Martian soils with high content of compounds of sulfur and chlorine are ubiquitous on Mars, having been found at all five landing sites. Sulfate and chloride salts are implicated by a variety of evidence, but few conclusive specific identifications have been made. Discovery of jarosite and Mg-Ca sulfates in outcrops at Meridiani Planum (MER mission) and regional-scale beds of kieserite and gypsum (Mars Express mission) notwithstanding, the sulfates in soils are uncertain. Chlorides or other Cl-containing minerals have not been uniquely identified directly by any method. Viking and Pathfinder missions found trends in the elemental analytical data consistent with MgSO4, but Viking results are biased by duricrust samples and Pathfinder by soil contamination of rock surfaces. The Mars Exploration Rovers (MER) missions have taken extensive data on soils with no confirmation of trends implicating any particular cation. In our model of martian dust and soil, the S and Cl are initially incorporated by condensation or chemisorption on grains directly from gas phase molecules in the atmosphere. It is shown by modeling that the coatings thus formed cannot quantitatively explain the apparent elemental composition of these materials, and therefore involve the migration of ions and formation of microscopic weathering rinds. Original cation inventories of unweathered particles are isochemically conserved. Exposed rock surfaces should also have micro rinds, depending upon the length of time of exposure. Martian soils may therefore have unusual chemical properties when interacting with aqueous layers or infused fluids. Potential ramifications to the quantitative accuracy of x-ray fluorescence and Moessbauer spectroscopy on unprocessed samples are also assessed.
Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints
International Nuclear Information System (INIS)
Pham, H.
2002-01-01
This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature
Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility
Directory of Open Access Journals (Sweden)
Xinfeng Ruan
2013-01-01
Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.
Uncertainty calculation in transport models and forecasts
DEFF Research Database (Denmark)
Manzo, Stefano; Prato, Carlo Giacomo
Transport projects and policy evaluations are often based on transport model output, i.e. traffic flows and derived effects. However, literature has shown that there is often a considerable difference between forecasted and observed traffic flows. This difference causes misallocation of (public...... implemented by using an approach based on stochastic techniques (Monte Carlo simulation and Bootstrap re-sampling) or scenario analysis combined with model sensitivity tests. Two transport models are used as case studies: the Næstved model and the Danish National Transport Model. 3 The first paper...... in a four-stage transport model related to different variable distributions (to be used in a Monte Carlo simulation procedure), assignment procedures and levels of congestion, at both the link and the network level. The analysis used as case study the Næstved model, referring to the Danish town of Næstved2...
Czech Academy of Sciences Publication Activity Database
Baruník, Jozef; Kukačka, Jiří
2015-01-01
Roč. 15, č. 6 (2015), s. 959-973 ISSN 1469-7688 R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash Subject RIV: AH - Economics Impact factor: 0.794, year: 2015 http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf
Meteoritic Constraints on Models of the Solar Nebula: The Abundances of Moderately Volatile Elements
Cassen, Patrick; Cuzzi, Jeff (Technical Monitor)
1994-01-01
The "moderately volatile" elements are those which condense (or evaporate) in the temperature range 650 - 1350 K, as a mix of material with solar abundances is cooled (or heated) tinder equilibrium conditions. Their relative abundances in chondritic meteorites are solar (or "cosmic", as defined by the composition of Cl meteorites) to within a factor of several, but vary within that range in a way that correlates remarkably well with condensation temperature, independent of chemical affinity. It has been argued that this correlation reflects a systematically selective process which favored the accretion of refractory material over volatile material from a cooling nebula. Wasson and Chou (Meteoritics 9, 69-94, 1974, and Wasson and co-authors in subsequent papers) suggested that condensation and settling of solids contemporaneously with the cooling and removal of nebular gas could produce the observed abundance patterns, but a quantitative model has been lacking. We show that the abundance patterns of the moderately volatile elements in chondritic meteorites can be produced, in some degree of quantitative detail, by models of the solar nebula that are designed to conform to observations of T Tauri stars and the global conservation laws. For example, even if the local surface density of the nebula is not decreasing, condensation and accretion of solids from radially inflowing gas in a cooling nebula can result in depletions of volatiles, relative to refractories, like those observed, The details of the calculated abundance patterns depend on (but are not especially sensitive to) model parameters, and can exhibit the variations that distinguish the meteorite classes. Thus it appears that nebula characteristics such as cooling rates, radial flow velocities, and particle accumulation rates can be quantitatively constrained by demanding that they conform to meteoritic data; and the models, in turn, can produce testable hypotheses regarding the time and location of the
Modeling unsteady-state VOC transport in simulated waste drums
International Nuclear Information System (INIS)
Liekhus, K.J.; Gresham, G.L.; Peterson, E.S.; Rae, C.; Hotz, N.J.; Connolly, M.J.
1994-01-01
This report is a revision of an EG ampersand G Idaho informal report originally titled Modeling VOC Transport in Simulated Waste Drums. A volatile organic compound (VOC) transport model has been developed to describe unsteady-state VOC permeation and diffusion within a waste drum. Model equations account for three primary mechanisms for VOC transport from a void volume within the drum. These mechanisms are VOC permeation across a polymer boundary, VOC diffusion across an opening in a volume boundary, and VOC solubilization in a polymer boundary. A series of lab-scale experiments was performed in which the VOC concentration was measured in simulated waste drums under different conditions. A lab-scale simulated waste drum consisted of a sized-down 55-gal metal drum containing a modified rigid polyethylene drum liner. Four polyethylene bags were sealed inside a large polyethylene bag, supported by a wire cage, and placed inside the drum liner. The small bags were filled with VOC-air gas mixture and the VOC concentration was measured throughout the drum over a period of time. Test variables included the type of VOC-air gas mixtures introduced into the small bags, the small bag closure type, and the presence or absence of a variable external heat source. Model results were calculated for those trials where the permeability had been measured
Gao, Chloe Y.; Tsigaridis, Kostas; Bauer, Susanne E.
2017-01-01
The gas-particle partitioning and chemical aging of semi-volatile organic aerosol are presented in a newly developed box model scheme, where its effect on the growth, composition, and mixing state of particles is examined. The volatility-basis set (VBS) framework is implemented into the aerosol microphysical scheme MATRIX (Multiconfiguration Aerosol TRacker of mIXing state), which resolves mass and number aerosol concentrations and in multiple mixing-state classes. The new scheme, MATRIX-VBS, has the potential to significantly advance the representation of organic aerosols in Earth system models by improving upon the conventional representation as non-volatile particulate organic matter, often also with an assumed fixed size distribution. We present results from idealized cases representing Beijing, Mexico City, a Finnish forest, and a southeastern US forest, and investigate the evolution of mass concentrations and volatility distributions for organic species across the gas and particle phases, as well as assessing their mixing state among aerosol populations. Emitted semi-volatile primary organic aerosols evaporate almost completely in the intermediate-volatility range, while they remain in the particle phase in the low-volatility range. Their volatility distribution at any point in time depends on the applied emission factors, oxidation by OH radicals, and temperature. We also compare against parallel simulations with the original scheme, which represented only the particulate and non-volatile component of the organic aerosol, examining how differently the condensed-phase organic matter is distributed across the mixing states in the model. The results demonstrate the importance of representing organic aerosol as a semi-volatile aerosol, and explicitly calculating the partitioning of organic species between the gas and particulate phases.
Analysis of volatile phase transport in soils using natural radon gas as a tracer
International Nuclear Information System (INIS)
Chen, C.; Thomas, D.M.
1992-01-01
We have conducted a field study of soil gas transport processes using radon gas as a naturally occurring tracer. The experiment monitored soil gas radon activity, soil moisture, and soil temperature at three depths in the shallow soil column; barometric pressure, rainfall and wind speed were monitored at the soil surface. Linear and multiple regression analysis of the data sets has shown that the gas phase radon activities under natural environmental conditions are influenced by soil moisture content, barometric pressure variations, soil temperature and soil structure. The effect of wind speed on subsurface radon activities under our field conditions has not been demonstrated
A Mercury Model of Atmospheric Transport
Energy Technology Data Exchange (ETDEWEB)
Christensen, Alex B. [Oregon State Univ., Corvallis, OR (United States); Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Chodash, Perry A. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Procassini, R. J. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2018-01-19
Using the particle transport code Mercury, accurate models were built of the two sources used in Operation BREN, a series of radiation experiments performed by the United States during the 1960s. In the future, these models will be used to validate Mercury’s ability to simulate atmospheric transport.
The european Trans-Tools transport model
Rooijen, T. van; Burgess, A.
2008-01-01
The paper presents the use of ArcGIS in the Transtools Transport Model, TRANS-TOOLS, created by an international consortium for the European Commission. The model describe passenger as well as freight transport in Europe with all medium and long distance modes (cars, vans, trucks, train, inland
Dileptons from transport and hydrodynamical models
International Nuclear Information System (INIS)
Huovinen, P.; Koch, V.
2000-01-01
Transport and hydrodynamical models used to describe the expansion stage of a heavy-ion collision at the CERN SPS give different dilepton spectrum even if they are tuned to reproduce the observed hadron spectra. To understand the origin of this difference we compare the dilepton emission from transport and hydrodynamical models using similar initial states in both models. We find that the requirement of pion number conservation in a hydrodynamical model does not change the dilepton emission. Also the mass distribution from the transport model indicates faster cooling and longer lifetime of the fireball
3D neutron transport modelization
International Nuclear Information System (INIS)
Warin, X.
1996-12-01
Some nodal methods to solve the transport equation in 3D are presented. Two nodal methods presented at an OCDE congress are described: a first one is a low degree one called RTN0; a second one is a high degree one called BDM1. The two methods can be made faster with a totally consistent DSA. Some results of parallelization show that: 98% of the time is spent in sweeps; transport sweeps are easily parallelized. (K.A.)
3D neutron transport modelization
Energy Technology Data Exchange (ETDEWEB)
Warin, X.
1996-12-01
Some nodal methods to solve the transport equation in 3D are presented. Two nodal methods presented at an OCDE congress are described: a first one is a low degree one called RTN0; a second one is a high degree one called BDM1. The two methods can be made faster with a totally consistent DSA. Some results of parallelization show that: 98% of the time is spent in sweeps; transport sweeps are easily parallelized. (K.A.). 10 refs.
Optimal transportation networks models and theory
Bernot, Marc; Morel, Jean-Michel
2009-01-01
The transportation problem can be formalized as the problem of finding the optimal way to transport a given measure into another with the same mass. In contrast to the Monge-Kantorovitch problem, recent approaches model the branched structure of such supply networks as minima of an energy functional whose essential feature is to favour wide roads. Such a branched structure is observable in ground transportation networks, in draining and irrigation systems, in electrical power supply systems and in natural counterparts such as blood vessels or the branches of trees. These lectures provide mathematical proof of several existence, structure and regularity properties empirically observed in transportation networks. The link with previous discrete physical models of irrigation and erosion models in geomorphology and with discrete telecommunication and transportation models is discussed. It will be mathematically proven that the majority fit in the simple model sketched in this volume.
Two-point model for divertor transport
International Nuclear Information System (INIS)
Galambos, J.D.; Peng, Y.K.M.
1984-04-01
Plasma transport along divertor field lines was investigated using a two-point model. This treatment requires considerably less effort to find solutions to the transport equations than previously used one-dimensional (1-D) models and is useful for studying general trends. It also can be a valuable tool for benchmarking more sophisticated models. The model was used to investigate the possibility of operating in the so-called high density, low temperature regime
Normalization for Implied Volatility
Fukasawa, Masaaki
2010-01-01
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the gamma swap.
Mathematical modeling of blood-gas kinetics for the volatile organic compounds isoprene and acetone
International Nuclear Information System (INIS)
King, J.
2010-01-01
Breath gas analysis is based on the compelling concept that the exhaled breath levels of endogenously produced volatile organic compounds (VOCs) can provide a direct, non-invasive window to the blood and hence, by inference, to the body. In this sense, breath VOCs are regarded as a comprehensive repository of valuable physiological and clinical information, that might be exploited in such diverse areas as diagnostics, therapeutic monitoring or general dynamic assessments of metabolic function, pharmacodynamics (e.g., in drug testing) and environmental exposure (e.g., in occupational health). Despite this enormous potential, the lack of standardized breath sampling regimes as well as the poor mechanistic understanding of VOC exhalation kinetics could cast a cloud over the widespread use of breath gas analysis in the biomedical sciences. In this context, a primary goal of the present thesis is to provide a better quantitative insight into the breath behavior of two prototypic VOCs, isoprene and acetone. A compartmental modeling framework is developed and validated by virtue of real-time breath measurements of these trace gases during distinct physiological states. In particular, the influence of various hemodynamic and ventilatory parameters on VOC concentrations in exhaled breath is investigated. This approach also complements previous steady state investigations in toxicology. From a phenomenological point of view, both acetone and isoprene concentrations in end-tidal breath are demonstrated to exhibit a reproducible non-steady state behavior during moderate workload challenges on a stationary bicycle. However, these dynamics depart drastically from what is expected on the basis of classical pulmonary inert gas elimination theory. More specifically, the start of exercise is accompanied by an abrupt increase in breath isoprene levels, usually by a factor of 3 to 4 compared with the steady state value during rest. This phase is followed by a gradual decline and the
Model Comparison for Electron Thermal Transport
Moses, Gregory; Chenhall, Jeffrey; Cao, Duc; Delettrez, Jacques
2015-11-01
Four electron thermal transport models are compared for their ability to accurately and efficiently model non-local behavior in ICF simulations. Goncharov's transport model has accurately predicted shock timing in implosion simulations but is computationally slow and limited to 1D. The iSNB (implicit Schurtz Nicolai Busquet electron thermal transport method of Cao et al. uses multigroup diffusion to speed up the calculation. Chenhall has expanded upon the iSNB diffusion model to a higher order simplified P3 approximation and a Monte Carlo transport model, to bridge the gap between the iSNB and Goncharov models while maintaining computational efficiency. Comparisons of the above models for several test problems will be presented. This work was supported by Sandia National Laboratory - Albuquerque and the University of Rochester Laboratory for Laser Energetics.
Modeling pollutant transport using a meshless-lagrangian particle model
International Nuclear Information System (INIS)
Carrington, D.B.; Pepper, D.W.
2002-01-01
A combined meshless-Lagrangian particle transport model is used to predict pollutant transport over irregular terrain. The numerical model for initializing the velocity field is based on a meshless approach utilizing multiquadrics established by Kansa. The Lagrangian particle transport technique uses a random walk procedure to depict the advection and dispersion of pollutants over any type of surface, including street and city canyons
Transportation Sector Model of the National Energy Modeling System. Volume 1
Energy Technology Data Exchange (ETDEWEB)
NONE
1998-01-01
This report documents the objectives, analytical approach and development of the National Energy Modeling System (NEMS) Transportation Model (TRAN). The report catalogues and describes the model assumptions, computational methodology, parameter estimation techniques, model source code, and forecast results generated by the model. The NEMS Transportation Model comprises a series of semi-independent models which address different aspects of the transportation sector. The primary purpose of this model is to provide mid-term forecasts of transportation energy demand by fuel type including, but not limited to, motor gasoline, distillate, jet fuel, and alternative fuels (such as CNG) not commonly associated with transportation. The current NEMS forecast horizon extends to the year 2010 and uses 1990 as the base year. Forecasts are generated through the separate consideration of energy consumption within the various modes of transport, including: private and fleet light-duty vehicles; aircraft; marine, rail, and truck freight; and various modes with minor overall impacts, such as mass transit and recreational boating. This approach is useful in assessing the impacts of policy initiatives, legislative mandates which affect individual modes of travel, and technological developments. The model also provides forecasts of selected intermediate values which are generated in order to determine energy consumption. These elements include estimates of passenger travel demand by automobile, air, or mass transit; estimates of the efficiency with which that demand is met; projections of vehicle stocks and the penetration of new technologies; and estimates of the demand for freight transport which are linked to forecasts of industrial output. Following the estimation of energy demand, TRAN produces forecasts of vehicular emissions of the following pollutants by source: oxides of sulfur, oxides of nitrogen, total carbon, carbon dioxide, carbon monoxide, and volatile organic compounds.
Developments in tokamak transport modeling
International Nuclear Information System (INIS)
Houlberg, W.A.; Attenberger; Lao, L.L.
1981-01-01
A variety of numerical methods for solving the time-dependent fluid transport equations for tokamak plasmas is presented. Among the problems discussed are techniques for solving the sometimes very stiff parabolic equations for particle and energy flow, treating convection-dominated energy transport that leads to large cell Reynolds numbers, optimizing the flow of a code to reduce the time spent updating the particle and energy source terms, coupling the one-dimensional (1-D) flux-surface-averaged fluid transport equations to solutions of the 2-D Grad-Shafranov equation for the plasma geometry, handling extremely fast transient problems such as internal MHD disruptions and pellet injection, and processing the output to summarize the physics parameters over the potential operating regime for reactors. Emphasis is placed on computational efficiency in both computer time and storage requirements
Squillace, P.J.; Moran, M.J.
2007-01-01
Factors associated with sources, transport, and fate of volatile organic compounds (VOCs) in groundwater from aquifers throughout the United States were evaluated using statistical methods. Samples were collected from 1631 wells throughout the conterminous United States between 1996 and 2002 as part of the National Water-Quality Assessment (NAWQA) Program of the U.S. Geological Survey. Water samples from wells completed in aquifers used to supply drinking water were analyzed for more than 50 VOCs. Wells were primarily rural domestic water supplies (1184), followed by public water supplies (216); the remaining wells (231) supplied a variety of uses. The median well depth was 50 meters. Age-date information shows that about 60% of the samples had a fraction of water recharged after 1953. Chloroform, toluene, 1,2,4-trimethylbenzene, and perchloroethene were some of the frequently detected VOCs. Concentrations generally were less than 1 ??g/L. Source factors include, in order of importance, general land-use activity, septic/sewer density, and sites where large concentrations of VOCs are potentially released, such as leaking underground storage tanks. About 10% of all samples had VOC mixtures that were associated with concentrated sources; 20% were associated with dispersed sources. Important transport factors included well/screen depth, precipitation/groundwater recharge, air temperature, and various soil characteristics. Dissolved oxygen was strongly associated with VOCs and represents the fate of many VOCs in groundwater. Well type (domestic or public water supply) was also an important explanatory factor. Results of multiple analyses show the importance of (1) accounting for both dispersed and concentrated sources of VOCs, (2) measuring dissolved oxygen when sampling wells to help explain the fate of VOCs, and (3) limiting the type of wells sampled in monitoring networks to avoid unnecessary variance in the data, or controlling for this variance during data analysis.
Bastani, Ali Foroush; Dastgerdi, Maryam Vahid; Mighani, Abolfazl
2018-06-01
The main aim of this paper is the analytical and numerical study of a time-dependent second-order nonlinear partial differential equation (PDE) arising from the endogenous stochastic volatility model, introduced in [Bensoussan, A., Crouhy, M. and Galai, D., Stochastic equity volatility related to the leverage effect (I): equity volatility behavior. Applied Mathematical Finance, 1, 63-85, 1994]. As the first step, we derive a consistent set of initial and boundary conditions to complement the PDE, when the firm is financed by equity and debt. In the sequel, we propose a Newton-based iteration scheme for nonlinear parabolic PDEs which is an extension of a method for solving elliptic partial differential equations introduced in [Fasshauer, G. E., Newton iteration with multiquadrics for the solution of nonlinear PDEs. Computers and Mathematics with Applications, 43, 423-438, 2002]. The scheme is based on multilevel collocation using radial basis functions (RBFs) to solve the resulting locally linearized elliptic PDEs obtained at each level of the Newton iteration. We show the effectiveness of the resulting framework by solving a prototypical example from the field and compare the results with those obtained from three different techniques: (1) a finite difference discretization; (2) a naive RBF collocation and (3) a benchmark approximation, introduced for the first time in this paper. The numerical results confirm the robustness, higher convergence rate and good stability properties of the proposed scheme compared to other alternatives. We also comment on some possible research directions in this field.
Hozman, J.; Tichý, T.
2017-12-01
Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.
DEFF Research Database (Denmark)
Christoffersen, Peter; Heston, Steven; Jacobs, Kris
variation in the smirk, the model also provides more flexible modeling of the volatility term structure. Our empirical results indicate that the model improves on the benchmark Heston model by 24% in-sample and 23% out-of-sample. The better fit results from improvements in the modeling of the term structure...... dimension as well as the moneyness dimension....
Centrifuge modelling of contaminant transport processes
Culligan, P. J.; Savvidou, C.; Barry, D. A.
1996-01-01
Over the past decade, research workers have started to investigate problems of subsurface contaminant transport through physical modelling on a geotechnical centrifuge. A major advantage of this apparatus is its ability to model complex natural systems in a controlled laboratory environment In this paper, we discusses the principles and scaling laws related to the centrifugal modelling of contaminant transport, and presents four examples of recent work that has bee...
A Sediment Transport Model for Sewers
DEFF Research Database (Denmark)
Mark, Ole; Larsson, Johan; Larsen, Torben
1993-01-01
This paper describes a mathematical model for transport processes in sewers. The model consists of three sub models, a surface model for the description of the buildup and the washoff of sediment particles from the surface area, a morphological model and an advection-dispersion model. The model i...... is being developed as a part of a study being carried out at the University of Aalborg, Denmark and VBB VIAK, Sweden. The project is funded by the Swedish Water and Waste Water Works Association and the Nordic Industrial Foundation.......This paper describes a mathematical model for transport processes in sewers. The model consists of three sub models, a surface model for the description of the buildup and the washoff of sediment particles from the surface area, a morphological model and an advection-dispersion model. The model...
Directory of Open Access Journals (Sweden)
Elisa Alòs
2008-01-01
Full Text Available We obtain a Hull and White type formula for a general jump-diffusion stochastic volatility model, where the involved stochastic volatility process is correlated not only with the Brownian motion driving the asset price but also with the asset price jumps. Towards this end, we establish an anticipative Itô's formula, using Malliavin calculus techniques for Lévy processes on the canonical space. As an application, we show that the dependence of the volatility process on the asset price jumps has no effect on the short-time behavior of the at-the-money implied volatility skew.
Models for Total-Dose Radiation Effects in Non-Volatile Memory
Energy Technology Data Exchange (ETDEWEB)
Campbell, Philip Montgomery; Wix, Steven D.
2017-04-01
The objective of this work is to develop models to predict radiation effects in non- volatile memory: flash memory and ferroelectric RAM. In flash memory experiments have found that the internal high-voltage generators (charge pumps) are the most sensitive to radiation damage. Models are presented for radiation effects in charge pumps that demonstrate the experimental results. Floating gate models are developed for the memory cell in two types of flash memory devices by Intel and Samsung. These models utilize Fowler-Nordheim tunneling and hot electron injection to charge and erase the floating gate. Erase times are calculated from the models and compared with experimental results for different radiation doses. FRAM is less sensitive to radiation than flash memory, but measurements show that above 100 Krad FRAM suffers from a large increase in leakage current. A model for this effect is developed which compares closely with the measurements.
The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models
Directory of Open Access Journals (Sweden)
Younos Vakilolroaya
2014-03-01
Full Text Available The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.
Modeling electrokinetic transport in phenol contaminated soils
Energy Technology Data Exchange (ETDEWEB)
Zorn, R.; Haus, R.; Czurda, K. [Dept. of Applied Geology, Univ. Karlsruhe (Germany)
2001-07-01
Numerical simulations are compared to laboratory experiments of electroremediation in soils contaminated by phenolic pollutants. The developing pH affects the electrokinetic transport behaviour of phenol. It is found that a water chemistry model must be included in an electrokinetic mass transport model to describe the process of electroremediation more accurately, if no buffering system is used at the electrodes. In the case of controlling the pH at the electrode compartments only a simplified chemical reaction model must be included in the numerical code to match the experimental phenolic transport. (orig.)
An evaluation of nodalization/decay heat/ volatile fission product release models in ISAAC code
Energy Technology Data Exchange (ETDEWEB)
Song, Yong Mann; Park, Soo Yong; Kim, Dong Ha
2003-03-01
An ISAAC computer code, which was developed for a Level-2 PSA during 1995, has developed mainly with fundamental models for CANDU-specific severe accident progression and also the accident-analyzing experiences are limited to Level-2 PSA purposes. Hence the system nodalization model, decay model and volatile fission product release model, which are known to affect fission product behavior directly or indirectly, are evaluated to both enhance understanding for basic models and accumulate accident-analyzing experiences. As a research strategy, sensitivity studies of model parameters and sensitivity coefficients are performed. According to the results from core nodalization sensitivity study, an original 3x3 nodalization (per loop) method which groups horizontal fuel channels into 12 representative channels, is evaluated to be sufficient for an optimal scheme because detailed nodalization methods have no large effect on fuel thermal-hydraulic behavior, total accident progression and fission product behavior. As ANSI/ANS standard model for decay heat prediction after reactor trip has no needs for further model evaluation due to both wide application on accident analysis codes and good comparison results with the ORIGEN code, ISAAC calculational results of decay heat are used as they are. In addition, fission product revaporization in a containment which is caused by the embedded decay heat, is demonstrated. The results for the volatile fission product release model are analyzed. In case of early release, the IDCOR model with an in-vessel Te release option shows the most conservative results and for the late release case, NUREG-0772 model shows the most conservative results. Considering both early and late release, the IDCOR model with an in-vessel Te bound option shows mitigated conservative results.
Concept Layout Model of Transportation Terminals
Directory of Open Access Journals (Sweden)
Li-ya Yao
2012-01-01
Full Text Available Transportation terminal is the key node in transport systems. Efficient terminals can improve operation of passenger transportation networks, adjust the layout of public transportation networks, provide a passenger guidance system, and regulate the development of commercial forms, as well as optimize the assembly and distribution of modern logistic modes, among others. This study aims to clarify the relationship between the function and the structure of transportation terminals and establish the function layout design. The mapping mechanism of demand, function, and structure was analyzed, and a quantitative relationship between function and structure was obtained from a design perspective. Passenger demand and terminal structure were decomposed into several demand units and structural elements following the principle of reverse engineering. The relationship maps between these two kinds of elements were then analyzed. Function-oriented concept layout model of transportation terminals was established using the previous method. Thus, a technique in planning and design of transportation structures was proposed. Meaningful results were obtained from the optimization of transportation terminal facilities, which guide the design of the functional layout of transportation terminals and improve the development of urban passenger transportation systems.
Highway and interline transportation routing models
International Nuclear Information System (INIS)
Joy, D.S.; Johnson, P.E.
1994-01-01
The potential impacts associated with the transportation of hazardous materials are important issues to shippers, carriers, and the general public. Since transportation routes are a central characteristic in most of these issues, the prediction of likely routes is the first step toward the resolution of these issues. In addition, US Department of Transportation requirements (HM-164) mandate specific routes for shipments of highway controlled quantities of radioactive materials. In response to these needs, two routing models have been developed at Oak Ridge National Laboratory under the sponsorship of the U.S. Department of Energy (DOE). These models have been designated by DOE's Office of Environmental Restoration and Waste Management, Transportation Management Division (DOE/EM) as the official DOE routing models. Both models, HIGHWAY and INTERLINE, are described
Modelling anisotropic water transport in polymer composite ...
Indian Academy of Sciences (India)
Parameters for Fickian diffusion and polymer relaxation models were determined by .... Water transport process of resin and polymer composite specimens at ..... simulation. ... Kwon Y W and Bang H 1997 Finite element method using matlab.
Nonparametric methods for volatility density estimation
Es, van Bert; Spreij, P.J.C.; Zanten, van J.H.
2009-01-01
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on
Mathematical modeling plasma transport in tokamaks
Energy Technology Data Exchange (ETDEWEB)
Quiang, Ji [Univ. of Illinois, Urbana-Champaign, IL (United States)
1997-01-01
In this work, the author applied a systematic calibration, validation and application procedure based on the methodology of mathematical modeling to international thermonuclear experimental reactor (ITER) ignition studies. The multi-mode plasma transport model used here includes a linear combination of drift wave branch and ballooning branch instabilities with two a priori uncertain constants to account for anomalous plasma transport in tokamaks. A Bayesian parameter estimation method is used including experimental calibration error/model offsets and error bar rescaling factors to determine the two uncertain constants in the transport model with quantitative confidence level estimates for the calibrated parameters, which gives two saturation levels of instabilities. This method is first tested using a gyroBohm multi-mode transport model with a pair of DIII-D discharge experimental data, and then applied to calibrating a nominal multi-mode transport model against a broad database using twelve discharges from seven different tokamaks. The calibrated transport model is then validated on five discharges from JT-60 with no adjustable constants. The results are in a good agreement with experimental data. Finally, the resulting class of multi-mode tokamak plasma transport models is applied to the transport analysis of the ignition probability in a next generation machine, ITER. A reference simulation of basic ITER engineering design activity (EDA) parameters shows that a self-sustained thermonuclear burn with 1.5 GW output power can be achieved provided that impurity control makes radiative losses sufficiently small at an average plasma density of 1.2 X 10^{20}/m^{3} with 50 MW auxiliary heating. The ignition probability of ITER for the EDA parameters, can be formally as high as 99.9% in the present context. The same probability for concept design activity (CDA) parameters of ITER, which has smaller size and lower current, is only 62.6%.
Mathematical modeling plasma transport in tokamaks
International Nuclear Information System (INIS)
Quiang, Ji
1995-01-01
In this work, the author applied a systematic calibration, validation and application procedure based on the methodology of mathematical modeling to international thermonuclear experimental reactor (ITER) ignition studies. The multi-mode plasma transport model used here includes a linear combination of drift wave branch and ballooning branch instabilities with two a priori uncertain constants to account for anomalous plasma transport in tokamaks. A Bayesian parameter estimation method is used including experimental calibration error/model offsets and error bar rescaling factors to determine the two uncertain constants in the transport model with quantitative confidence level estimates for the calibrated parameters, which gives two saturation levels of instabilities. This method is first tested using a gyroBohm multi-mode transport model with a pair of DIII-D discharge experimental data, and then applied to calibrating a nominal multi-mode transport model against a broad database using twelve discharges from seven different tokamaks. The calibrated transport model is then validated on five discharges from JT-60 with no adjustable constants. The results are in a good agreement with experimental data. Finally, the resulting class of multi-mode tokamak plasma transport models is applied to the transport analysis of the ignition probability in a next generation machine, ITER. A reference simulation of basic ITER engineering design activity (EDA) parameters shows that a self-sustained thermonuclear burn with 1.5 GW output power can be achieved provided that impurity control makes radiative losses sufficiently small at an average plasma density of 1.2 X 10 20 /m 3 with 50 MW auxiliary heating. The ignition probability of ITER for the EDA parameters, can be formally as high as 99.9% in the present context. The same probability for concept design activity (CDA) parameters of ITER, which has smaller size and lower current, is only 62.6%
Stochastic model of radioiodine transport
International Nuclear Information System (INIS)
Schwarz, G.; Hoffman, F.O.
1980-01-01
A research project has been underway at the Oak Ridge National Laboratory with the objective to evaluate dose assessment models and to determine the uncertainty associated with the model predictions. This has resulted in the application of methods to propagate uncertainties through models. Some techniques and results related to this problem are discussed
Directory of Open Access Journals (Sweden)
Ü. Niinemets
2010-06-01
Full Text Available In models of plant volatile isoprenoid emissions, the instantaneous compound emission rate typically scales with the plant's emission potential under specified environmental conditions, also called as the emission factor, E_{S}. In the most widely employed plant isoprenoid emission models, the algorithms developed by Guenther and colleagues (1991, 1993, instantaneous variation of the steady-state emission rate is described as the product of E_{S} and light and temperature response functions. When these models are employed in the atmospheric chemistry modeling community, species-specific E_{S} values and parameter values defining the instantaneous response curves are often taken as initially defined. In the current review, we argue that E_{S} as a characteristic used in the models importantly depends on our understanding of which environmental factors affect isoprenoid emissions, and consequently need standardization during experimental E_{S} determinations. In particular, there is now increasing consensus that in addition to variations in light and temperature, alterations in atmospheric and/or within-leaf CO_{2} concentrations may need to be included in the emission models. Furthermore, we demonstrate that for less volatile isoprenoids, mono- and sesquiterpenes, the emissions are often jointly controlled by the compound synthesis and volatility. Because of these combined biochemical and physico-chemical drivers, specification of E_{S} as a constant value is incapable of describing instantaneous emissions within the sole assumptions of fluctuating light and temperature as used in the standard algorithms. The definition of E_{S} also varies depending on the degree of aggregation of E_{S} values in different parameterization schemes (leaf- vs. canopy- or region-scale, species vs. plant functional type levels and various
American options under stochastic volatility
Chockalingam, A.; Muthuraman, K.
2011-01-01
The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility
Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong
2016-01-01
textabstractThe 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 r...
Modeling agricultural commodity prices and volatility in response to anticipated climate change
Lobell, D. B.; Tran, N.; Welch, J.; Roberts, M.; Schlenker, W.
2012-12-01
Food prices have shown a positive trend in the past decade, with episodes of rapid increases in 2008 and 2011. These increases pose a threat to food security in many regions of the world, where the poor are generally net consumers of food, and are also thought to increase risks of social and political unrest. The role of global warming in these price reversals have been debated, but little quantitative work has been done. A particular challenge in modeling these effects is that they require understanding links between climate and food supply, as well as between food supply and prices. Here we combine the anticipated effects of climate change on yield levels and volatility with an empirical competitive storage model to examine how expected climate change might affect prices and social welfare in the international food commodity market. We show that price level and volatility do increase over time in response to decreasing yield, and increasing yield variability. Land supply and storage demand both increase, but production and consumption continue to fall leading to a decrease in consumer surplus, and a corresponding though smaller increase in producer surplus.
Hossain, Md Eftekhar; Rahman, G M Aminur; Freund, Michael S; Jayas, Digvir S; White, Noel D G; Shafai, Cyrus; Thomson, Douglas J
2012-03-21
During storage, grain can experience significant degradation in quality due to a variety of physical, chemical, and biological interactions. Most commonly, these losses are associated with insects or fungi. Continuous monitoring and an ability to differentiate between sources of spoilage are critical for rapid and effective intervention to minimize deterioration or losses. Therefore, there is a keen interest in developing a straightforward, cost-effective, and efficient method for monitoring of stored grain. Sensor arrays are currently used for classifying liquors, perfumes, and the quality of food products by mimicking the mammalian olfactory system. The use of this technology for monitoring of stored grain and identification of the source of spoilage is a new application, which has the potential for broad impact. The main focus of the work described herein is on the fabrication and optimization of a carbon black (CB) polymer sensor array to monitor stored grain model volatiles associated with insect secretions (benzene derivatives) and fungi (aliphatic hydrocarbon derivatives). Various methods of statistical analysis (RSD, PCA, LDA, t test) were used to select polymers for the array that were optimum for distinguishing between important compound classes (quinones, alcohols) and to minimize the sensitivity for other parameters such as humidity. The performance of the developed sensor array was satisfactory to demonstrate identification and separation of stored grain model volatiles at ambient conditions.
Analysing movements in investor’s risk aversion using the Heston volatility model
Directory of Open Access Journals (Sweden)
Alexie ALUPOAIEI
2013-03-01
Full Text Available In this paper we intend to identify and analyze, if it is the case, an “epidemiological” relationship between forecasts of professional investors and short-term developments in the EUR/RON exchange rate. Even that we don’t call a typical epidemiological model as those ones used in biology fields of research, we investigated the hypothesis according to which after the Lehman Brothers crash and implicit the generation of the current financial crisis, the forecasts of professional investors pose a significant explanatory power on the futures short-run movements of EUR/RON. How does it work this mechanism? Firstly, the professional forecasters account for the current macro, financial and political states, then they elaborate forecasts. Secondly, based on that forecasts they get positions in the Romanian exchange market for hedging and/or speculation purposes. But their positions incorporate in addition different degrees of uncertainty. In parallel, a part of their anticipations are disseminated to the public via media channels. Since some important movements are viewed within macro, financial or political fields, the positions of professsional investors from FX derivative market are activated. The current study represents a first step in that direction of analysis for Romanian case. For the above formulated objectives, in this paper different measures of EUR/RON rate volatility have been estimated and compared with implied volatilities. In a second timeframe we called the co-integration and dynamic correlation based tools in order to investigate the relationship between implied volatility and daily returns of EUR/RON exchange rate.
Improving Garch Volatility Forecasts
Klaassen, F.J.G.M.
1998-01-01
Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our model
Hernández-Calderón, Erasto; Aviles-Garcia, Maria Elizabeth; Castulo-Rubio, Diana Yazmín; Macías-Rodríguez, Lourdes; Ramírez, Vicente Montejano; Santoyo, Gustavo; López-Bucio, José; Valencia-Cantero, Eduardo
2018-02-01
Our results show that Sorghum bicolor is able to recognize bacteria through its volatile compounds and differentially respond to beneficial or pathogens via eliciting nutritional or defense adaptive traits. Plants establish beneficial, harmful, or neutral relationships with bacteria. Plant growth promoting rhizobacteria (PGPR) emit volatile compounds (VCs), which may act as molecular cues influencing plant development, nutrition, and/or defense. In this study, we compared the effects of VCs produced by bacteria with different lifestyles, including Arthrobacter agilis UMCV2, Bacillus methylotrophicus M4-96, Sinorhizobium meliloti 1021, the plant pathogen Pseudomonas aeruginosa PAO1, and the commensal rhizobacterium Bacillus sp. L2-64, on S. bicolor. We show that VCs from all tested bacteria, except Bacillus sp. L2-64, increased biomass and chlorophyll content, and improved root architecture, but notheworthy A. agilis induced the release of attractant molecules, whereas P. aeruginosa activated the exudation of growth inhibitory compounds by roots. An analysis of the expression of iron-transporters SbIRT1, SbIRT2, SbYS1, and SbYS2 and genes related to plant defense pathways COI1 and PR-1 indicated that beneficial, pathogenic, and commensal bacteria could up-regulate iron transporters, whereas only beneficial and pathogenic species could induce a defense response. These results show how S. bicolor could recognize bacteria through their volatiles profiles and highlight that PGPR or pathogens can elicit nutritional or defensive traits in plants.
Uncertainty associated with selected environmental transport models
International Nuclear Information System (INIS)
Little, C.A.; Miller, C.W.
1979-11-01
A description is given of the capabilities of several models to predict accurately either pollutant concentrations in environmental media or radiological dose to human organs. The models are discussed in three sections: aquatic or surface water transport models, atmospheric transport models, and terrestrial and aquatic food chain models. Using data published primarily by model users, model predictions are compared to observations. This procedure is infeasible for food chain models and, therefore, the uncertainty embodied in the models input parameters, rather than the model output, is estimated. Aquatic transport models are divided into one-dimensional, longitudinal-vertical, and longitudinal-horizontal models. Several conclusions were made about the ability of the Gaussian plume atmospheric dispersion model to predict accurately downwind air concentrations from releases under several sets of conditions. It is concluded that no validation study has been conducted to test the predictions of either aquatic or terrestrial food chain models. Using the aquatic pathway from water to fish to an adult for 137 Cs as an example, a 95% one-tailed confidence limit interval for the predicted exposure is calculated by examining the distributions of the input parameters. Such an interval is found to be 16 times the value of the median exposure. A similar one-tailed limit for the air-grass-cow-milk-thyroid for 131 I and infants was 5.6 times the median dose. Of the three model types discussed in this report,the aquatic transport models appear to do the best job of predicting observed concentrations. However, this conclusion is based on many fewer aquatic validation data than were availaable for atmospheric model validation
Czech Academy of Sciences Publication Activity Database
Čech, František; Baruník, Jozef
2017-01-01
Roč. 36, č. 1 (2017), s. 181-206 ISSN 0277-6693 R&D Projects: GA ČR GA13-32263S Institutional support: RVO:67985556 Keywords : Multivariate volatility * realized covariance * portfolio optimisation Subject RIV: AH - Economic s OBOR OECD: Economic Theory Impact factor: 0.747, year: 2016 http://library.utia.cas.cz/separaty/2017/E/barunik-0478479.pdf
Cayot, Nathalie; Lafarge, Céline; Bou-Maroun, Elias; Cayot, Philippe
2016-07-22
Dichloromethane is known as a very efficient solvent, but, as other halogenated solvents, is recognized as a hazardous product (CMR substance). The objective of the present work is to propose substitution solvent for the extraction of volatile compounds. The most important physico-chemical parameters in the choice of an appropriate extraction solvent of volatile compounds are reviewed. Various solvents are selected on this basis and on their hazard characteristics. The selected solvents, safer than dichloromethane, are compared using the extraction efficiency of volatile compounds from a model food product able to interact with volatile compounds. Volatile compounds with different hydrophobicity are used. High extraction yields were positively correlated with high boiling points and high Log Kow values of volatile compounds. Mixtures of solvents such as azeotrope propan-2-one/cyclopentane, azeotrope ethyl acetate/ethanol, and mixture ethyl acetate/ethanol (3:1, v/v) gave higher extraction yields than those obtained with dichloromethane. Copyright © 2016 Elsevier B.V. All rights reserved.
Transport properties site descriptive model. Guidelines for evaluation and modelling
International Nuclear Information System (INIS)
Berglund, Sten; Selroos, Jan-Olof
2004-04-01
This report describes a strategy for the development of Transport Properties Site Descriptive Models within the SKB Site Investigation programme. Similar reports have been produced for the other disciplines in the site descriptive modelling (Geology, Hydrogeology, Hydrogeochemistry, Rock mechanics, Thermal properties, and Surface ecosystems). These reports are intended to guide the site descriptive modelling, but also to provide the authorities with an overview of modelling work that will be performed. The site descriptive modelling of transport properties is presented in this report and in the associated 'Strategy for the use of laboratory methods in the site investigations programme for the transport properties of the rock', which describes laboratory measurements and data evaluations. Specifically, the objectives of the present report are to: Present a description that gives an overview of the strategy for developing Site Descriptive Models, and which sets the transport modelling into this general context. Provide a structure for developing Transport Properties Site Descriptive Models that facilitates efficient modelling and comparisons between different sites. Provide guidelines on specific modelling issues where methodological consistency is judged to be of special importance, or where there is no general consensus on the modelling approach. The objectives of the site descriptive modelling process and the resulting Transport Properties Site Descriptive Models are to: Provide transport parameters for Safety Assessment. Describe the geoscientific basis for the transport model, including the qualitative and quantitative data that are of importance for the assessment of uncertainties and confidence in the transport description, and for the understanding of the processes at the sites. Provide transport parameters for use within other discipline-specific programmes. Contribute to the integrated evaluation of the investigated sites. The site descriptive modelling of
Thermal model of spent fuel transport cask
International Nuclear Information System (INIS)
Ahmed, E.E.M.; Rahman, F.A.; Sultan, G.F.; Khalil, E.E.
1996-01-01
The investigation provides a theoretical model to represent the thermal behaviour of the spent fuel elements when transported in a dry shipping cask under normal transport conditions. The heat transfer process in the spent fuel elements and within the cask are modeled which include the radiant heat transfer within the cask and the heat transfer by thermal conduction within the spent fuel element. The model considers the net radiant method for radiant heat transfer process from the inner most heated element to the surrounding spent elements. The heat conduction through fuel interior, fuel-clad interface and on clad surface are also presented. (author) 6 figs., 9 refs
Coupling of transport and geochemical models
International Nuclear Information System (INIS)
Noy, D.J.
1986-01-01
This report considers mass transport in the far-field of a radioactive waste repository, and detailed geochemical modelling of the ground-water in the near-field. A parallel approach to this problem of coupling transport and geochemical codes is the subject of another CEC report (ref. EUR 10226). Both studies were carried out in the framework of the CEC project MIRAGE. (Migration of radionuclides in the geosphere)
Clinton River Sediment Transport Modeling Study
The U.S. ACE develops sediment transport models for tributaries to the Great Lakes that discharge to AOCs. The models developed help State and local agencies to evaluate better ways for soil conservation and non-point source pollution prevention.
Radionuclide Transport Models Under Ambient Conditions
International Nuclear Information System (INIS)
Moridis, G.; Hu, Q.
2001-01-01
The purpose of Revision 00 of this Analysis/Model Report (AMR) is to evaluate (by means of 2-D semianalytical and 3-D numerical models) the transport of radioactive solutes and colloids in the unsaturated zone (UZ) under ambient conditions from the potential repository horizon to the water table at Yucca Mountain (YM), Nevada
Regional transport model of atmospheric sulfates
International Nuclear Information System (INIS)
Rao, K.S.; Thomson, I.; Egan, B.A.
1977-01-01
As part of the Sulfate Regional Experiment (SURE) Design Project, a regional transport model of atmospheric sulfates has been developed. This quasi-Lagrangian three-dimensional grid numerical model uses a detailed SO 2 emission inventory of major anthropogenic sources in the Eastern U.S. region, and observed meteorological data during an episode as inputs. The model accounts for advective transport and turbulent diffusion of the pollutants. The chemical transformation of SO 2 and SO 4 /sup =/ and the deposition of the species at the earth's surface are assumed to be linear processes at specified constant rates. The numerical model can predict the daily average concentrations of SO 2 and SO 4 /sup =/ at all receptor locations in the grid region during the episode. Because of the spatial resolution of the grid, this model is particularly suited to investigate the effect of tall stacks in reducing the ambient concentration levels of sulfur pollutants. This paper presents the formulations and assumptions of the regional sulfate transport model. The model inputs and results are discussed. Isopleths of predicted SO 2 and SO 4 /sup =/ concentrations are compared with the observed ground level values. The bulk of the information in this paper is directed to air pollution meteorologists and environmental engineers interested in the atmospheric transport modeling studies of sulfur oxide pollutants
Commercial Consolidation Model Applied to Transport Infrastructure
Energy Technology Data Exchange (ETDEWEB)
Guilherme de Aragão, J.J.; Santos Fontes Pereira, L. dos; Yamashita, Y.
2016-07-01
Since the 1990s, transport concessions, including public-private partnerships (PPPs), have been increasingly adopted by governments as an alternative for financing and operations in public investments, especially in transport infrastructure. The advantage pointed out by proponents of these models lies in merging the expertise and capital of the private sector to the public interest. Several arrangements are possible and have been employed in different cases. After the duration of the first PPP contracts in transportation, many authors have analyzed the success and failure factors of partnerships. The occurrence of failures in some stages of the process can greatly encumber the public administration, incurring losses to the fiscal responsibility of the competent bodies. This article aims to propose a new commercial consolidation model applied to transport infrastructure to ensure fiscal sustainability and overcome the weaknesses of current models. Initially, a systematic review of the literature covering studies on transport concessions between 1990 and 2015 is offered, where the different approaches between various countries are compared and the critical success factors indicated in the studies are identified. In the subsequent part of the paper, an approach for the commercial consolidation of the infrastructure concessions is presented, where the concessionary is paid following a finalistic performance model, which includes the overall fiscal balance of regional growth. Finally, the papers analyses the usefulness of the model in coping with the critical success factors explained before. (Author)
Regime Switching Vine Copula Models for Global Equity and Volatility Indices
Directory of Open Access Journals (Sweden)
Holger Fink
2017-01-01
Full Text Available For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher moments between different indices tend to vary in time. However, to the best of our knowledge, no one has yet considered a global setup including both equity and implied volatility indices of various continents, and allowing for a changing dependence structure. We aim to close this gap by applying Markov-switching R-vine models to investigate the existence of different, global dependence regimes. In particular, we identify times of “normal” and “abnormal” states within a data set consisting of North-American, European and Asian indices. Our results confirm the existence of joint points in a time at which global regime switching between two different R-vine structures takes place.
Radionuclide Transport Models Under Ambient Conditions
International Nuclear Information System (INIS)
Moridis, G.; Hu, Q.
2000-01-01
The purpose of this Analysis/Model Report (AMR) is to evaluate (by means of 2-D semianalytical and 3-D numerical models) the transport of radioactive solutes and colloids in the unsaturated zone (UZ) under ambient conditions from the potential repository horizon to the water table at Yucca Mountain (YM), Nevada. This is in accordance with the ''AMR Development Plan U0060, Radionuclide Transport Models Under Ambient Conditions'' (CRWMS M and O 1999a). This AMR supports the UZ Flow and Transport Process Model Report (PMR). This AMR documents the UZ Radionuclide Transport Model (RTM). This model considers: the transport of radionuclides through fractured tuffs; the effects of changes in the intensity and configuration of fracturing from hydrogeologic unit to unit; colloid transport; physical and retardation processes and the effects of perched water. In this AMR they document the capabilities of the UZ RTM, which can describe flow (saturated and/or unsaturated) and transport, and accounts for (a) advection, (b) molecular diffusion, (c) hydrodynamic dispersion (with full 3-D tensorial representation), (d) kinetic or equilibrium physical and/or chemical sorption (linear, Langmuir, Freundlich or combined), (e) first-order linear chemical reaction, (f) radioactive decay and tracking of daughters, (g) colloid filtration (equilibrium, kinetic or combined), and (h) colloid-assisted solute transport. Simulations of transport of radioactive solutes and colloids (incorporating the processes described above) from the repository horizon to the water table are performed to support model development and support studies for Performance Assessment (PA). The input files for these simulations include transport parameters obtained from other AMRs (i.e., CRWMS M and O 1999d, e, f, g, h; 2000a, b, c, d). When not available, the parameter values used are obtained from the literature. The results of the simulations are used to evaluate the transport of radioactive solutes and colloids, and
Thermophysical modeling of volatile fission product release from a debris pool
International Nuclear Information System (INIS)
Yun, J. I.; Suh, K. Y.; Kang, C. S.
1999-01-01
A model is described for fission product release from the debris pool in the lower plenum of the reactor pressure vessel. In the pool, turbulent natural convection flow is formed due to homogeneous internal heat generation. Using the best-known correlations, heat transfer at the curved bottom and the top of the pool may be calculated. Volatile fission product gases in the pool nucleate and diffuse to bubbles. Both the homogeneous nucleation and heterogeneous nucleation are considered. The bubble nucleation, growth, coalescence and loss due to rise is modeled pursuant to bubble dynamics. If the pressure and temperature of the pool are very high, homogeneous nucleation that accounts for effect of decrease in the pool pressure can occur. The effect of the bubble-to-pool interfacial tension and the pool pressure on the nucleation rate is investigated in this work
Oil and stock market volatility: A multivariate stochastic volatility perspective
International Nuclear Information System (INIS)
Vo, Minh
2011-01-01
This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction. It offers four major findings. First, the stock and oil futures prices are inter-related. Their correlation follows a time-varying dynamic process and tends to increase when the markets are more volatile. Second, conditioned on the past information, the volatility in each market is very persistent, i.e., it varies in a predictable manner. Third, there is inter-market dependence in volatility. Innovations that hit either market can affect the volatility in the other market. In other words, conditioned on the persistence and the past volatility in their respective markets, the past volatility of the stock (oil futures) market also has predictive power over the future volatility of the oil futures (stock) market. Finally, the model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry. - Research Highlights: → This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility model. → The correlation between the two markets follows a time-varying dynamic process which tends to increase when the markets are more volatile. → The volatility in each market is very persistent. → Innovations that hit either market can affect the volatility in the other market. → The model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry.
Garcia, L; Bedos, C; Génermont, S; Braud, I; Cellier, P
2011-09-01
Ammonia and pesticide volatilization in the field is a surface phenomenon involving physical and chemical processes that depend on the soil surface temperature and water content. The water transfer, heat transfer and energy budget sub models of volatilization models are adapted from the most commonly accepted formalisms and parameterizations. They are less detailed than the dedicated models describing water and heat transfers and surface status. The aim of this work was to assess the ability of one of the available mechanistic volatilization models, Volt'Air, to accurately describe the pedo-climatic conditions of a soil surface at the required time and space resolution. The assessment involves: (i) a sensitivity analysis, (ii) an evaluation of Volt'Air outputs in the light of outputs from a reference Soil-Vegetation-Atmosphere Transfer model (SiSPAT) and three experimental datasets, and (iii) the study of three tests based on modifications of SiSPAT to establish the potential impact of the simplifying assumptions used in Volt'Air. The analysis confirmed that a 5 mm surface layer was well suited, and that Volt'Air surface temperature correlated well with the experimental measurements as well as with SiSPAT outputs. In terms of liquid water transfers, Volt'Air was overall consistent with SiSPAT, with discrepancies only during major rainfall events and dry weather conditions. The tests enabled us to identify the main source of the discrepancies between Volt'Air and SiSPAT: the lack of gaseous water transfer description in Volt'Air. They also helped to explain why neither Volt'Air nor SiSPAT was able to represent lower values of surface water content: current classical water retention and hydraulic conductivity models are not yet adapted to cases of very dry conditions. Given the outcomes of this study, we discuss to what extent the volatilization models can be improved and the questions they pose for current research in water transfer modeling and parameterization
Directory of Open Access Journals (Sweden)
A. Hodzic
2010-06-01
Full Text Available It has been established that observed local and regional levels of secondary organic aerosols (SOA in polluted areas cannot be explained by the oxidation and partitioning of anthropogenic and biogenic VOC precursors, at least using current mechanisms and parameterizations. In this study, the 3-D regional air quality model CHIMERE is applied to estimate the potential contribution to SOA formation of recently identified semi-volatile and intermediate volatility organic precursors (S/IVOC in and around Mexico City for the MILAGRO field experiment during March 2006. The model has been updated to include explicitly the volatility distribution of primary organic aerosols (POA, their gas-particle partitioning and the gas-phase oxidation of the vapors. Two recently proposed parameterizations, those of Robinson et al. (2007 ("ROB" and Grieshop et al. (2009 ("GRI" are compared and evaluated against surface and aircraft measurements. The 3-D model results are assessed by comparing with the concentrations of OA components from Positive Matrix Factorization of Aerosol Mass Spectrometer (AMS data, and for the first time also with oxygen-to-carbon ratios derived from high-resolution AMS measurements. The results show a substantial enhancement in predicted SOA concentrations (2–4 times with respect to the previously published base case without S/IVOCs (Hodzic et al., 2009, both within and downwind of the city leading to much reduced discrepancies with the total OA measurements. Model improvements in OA predictions are associated with the better-captured SOA magnitude and diurnal variability. The predicted production from anthropogenic and biomass burning S/IVOC represents 40–60% of the total measured SOA at the surface during the day and is somewhat larger than that from commonly measured aromatic VOCs, especially at the T1 site at the edge of the city. The SOA production from the continued multi-generation S/IVOC oxidation products continues actively
International Nuclear Information System (INIS)
Song Yu; Dai Wei; Shao Min; Liu Ying; Lu Sihua; Kuster, William; Goldan, Paul
2008-01-01
Identifying the sources of volatile organic compounds (VOCs) is key to reducing ground-level ozone and secondary organic aerosols (SOAs). Several receptor models have been developed to apportion sources, but an intercomparison of these models had not been performed for VOCs in China. In the present study, we compared VOC sources based on chemical mass balance (CMB), UNMIX, and positive matrix factorization (PMF) models. Gasoline-related sources, petrochemical production, and liquefied petroleum gas (LPG) were identified by all three models as the major contributors, with UNMIX and PMF producing quite similar results. The contributions of gasoline-related sources and LPG estimated by the CMB model were higher, and petrochemical emissions were lower than in the UNMIX and PMF results, possibly because the VOC profiles used in the CMB model were for fresh emissions and the profiles extracted from ambient measurements by the two-factor analysis models were 'aged'. - VOCs sources were similar for three models with CMB showing a higher estimate for vehicles
Energy Technology Data Exchange (ETDEWEB)
Song Yu; Dai Wei [Department of Environmental Sciences, Peking University, Beijing 100871 (China); Shao Min [State Joint Key Laboratory of Environmental Simulation and Pollution Control, Peking University, Beijing 100871 (China)], E-mail: mshao@pku.edu.cn; Liu Ying; Lu Sihua [State Joint Key Laboratory of Environmental Simulation and Pollution Control, Peking University, Beijing 100871 (China); Kuster, William; Goldan, Paul [Chemical Sciences Division, NOAA Earth System Research Laboratory, Boulder, CO 80305 (United States)
2008-11-15
Identifying the sources of volatile organic compounds (VOCs) is key to reducing ground-level ozone and secondary organic aerosols (SOAs). Several receptor models have been developed to apportion sources, but an intercomparison of these models had not been performed for VOCs in China. In the present study, we compared VOC sources based on chemical mass balance (CMB), UNMIX, and positive matrix factorization (PMF) models. Gasoline-related sources, petrochemical production, and liquefied petroleum gas (LPG) were identified by all three models as the major contributors, with UNMIX and PMF producing quite similar results. The contributions of gasoline-related sources and LPG estimated by the CMB model were higher, and petrochemical emissions were lower than in the UNMIX and PMF results, possibly because the VOC profiles used in the CMB model were for fresh emissions and the profiles extracted from ambient measurements by the two-factor analysis models were 'aged'. - VOCs sources were similar for three models with CMB showing a higher estimate for vehicles.
Hydrogen recycle modeling in transport codes
International Nuclear Information System (INIS)
Howe, H.C.
1979-01-01
The hydrogen recycling models now used in Tokamak transport codes are reviewed and the method by which realistic recycling models are being added is discussed. Present models use arbitrary recycle coefficients and therefore do not model the actual recycling processes at the wall. A model for the hydrogen concentration in the wall serves two purposes: (1) it allows a better understanding of the density behavior in present gas puff, pellet, and neutral beam heating experiments; and (2) it allows one to extrapolate to long pulse devices such as EBT, ISX-C and reactors where the walls are observed or expected to saturate. Several wall models are presently being studied for inclusion in transport codes
GEOS-5 Chemistry Transport Model User's Guide
Kouatchou, J.; Molod, A.; Nielsen, J. E.; Auer, B.; Putman, W.; Clune, T.
2015-01-01
The Goddard Earth Observing System version 5 (GEOS-5) General Circulation Model (GCM) makes use of the Earth System Modeling Framework (ESMF) to enable model configurations with many functions. One of the options of the GEOS-5 GCM is the GEOS-5 Chemistry Transport Model (GEOS-5 CTM), which is an offline simulation of chemistry and constituent transport driven by a specified meteorology and other model output fields. This document describes the basic components of the GEOS-5 CTM, and is a user's guide on to how to obtain and run simulations on the NCCS Discover platform. In addition, we provide information on how to change the model configuration input files to meet users' needs.
Modelling activity transport behavior in PWR plant
International Nuclear Information System (INIS)
Henshaw, Jim; McGurk, John; Dickinson, Shirley; Burrows, Robert; Hinds, Kelvin; Hussey, Dennis; Deshon, Jeff; Barrios Figueras, Joan Pau; Maldonado Sanchez, Santiago; Fernandez Lillo, Enrique; Garbett, Keith
2012-09-01
The activation and transport of corrosion products around a PWR circuit is a major concern to PWR plant operators as these may give rise to high personnel doses. The understanding of what controls dose rates on ex-core surfaces and shutdown releases has improved over the years but still several questions remain unanswered. For example the relative importance of particle and soluble deposition in the core to activity levels in the plant is not clear. Wide plant to plant and cycle to cycle variations are noted with no apparent explanations why such variations are observed. Over the past few years this group have been developing models to simulate corrosion product transport around a PWR circuit. These models form the basis for the latest version of the BOA code and simulate the movement of Fe and Ni around the primary circuit. Part of this development is to include the activation and subsequent transport of radioactive species around the circuit and this paper describes some initial modelling work in this area. A simple model of activation, release and deposition is described and then applied to explain the plant behaviour at Sizewell B and Vandellos II. This model accounts for activation in the core, soluble and particulate activity movement around the circuit and for activity capture ex-core on both the inner and outer oxides. The model gives a reasonable comparison with plant observations and highlights what controls activity transport in these plants and importantly what factors can be ignored. (authors)
Linking market interaction intensity of 3D Ising type financial model with market volatility
Fang, Wen; Ke, Jinchuan; Wang, Jun; Feng, Ling
2016-11-01
Microscopic interaction models in physics have been used to investigate the complex phenomena of economic systems. The simple interactions involved can lead to complex behaviors and help the understanding of mechanisms in the financial market at a systemic level. This article aims to develop a financial time series model through 3D (three-dimensional) Ising dynamic system which is widely used as an interacting spins model to explain the ferromagnetism in physics. Through Monte Carlo simulations of the financial model and numerical analysis for both the simulation return time series and historical return data of Hushen 300 (HS300) index in Chinese stock market, we show that despite its simplicity, this model displays stylized facts similar to that seen in real financial market. We demonstrate a possible underlying link between volatility fluctuations of real stock market and the change in interaction strengths of market participants in the financial model. In particular, our stochastic interaction strength in our model demonstrates that the real market may be consistently operating near the critical point of the system.
Models in Planning Urban Public Passenger Transport
Directory of Open Access Journals (Sweden)
Gordana Štefančić
2007-07-01
Full Text Available The solving of complex problems in public transport requiresthe usage of models that are based on the estimate of demandin planning the transport routes. The intention is to predictwhat is going to happen in the future, if the proposed solutionsare implemented. In the majority of cases, the publictransport system is formed as a network and stored in the computermemory in order to start the evaluation process by specifYingthe number of trip origins and destinations in each zone.The trip distribution model which is used to calculate the numberof trips between each pair in the zone is based on the overalltravel frictions from zone to zone.
Reactive transport models and simulation with ALLIANCES
International Nuclear Information System (INIS)
Leterrier, N.; Deville, E.; Bary, B.; Trotignon, L.; Hedde, T.; Cochepin, B.; Stora, E.
2009-01-01
Many chemical processes influence the evolution of nuclear waste storage. As a result, simulations based only upon transport and hydraulic processes fail to describe adequately some industrial scenarios. We need to take into account complex chemical models (mass action laws, kinetics...) which are highly non-linear. In order to simulate the coupling of these chemical reactions with transport, we use a classical Sequential Iterative Approach (SIA), with a fixed point algorithm, within the mainframe of the ALLIANCES platform. This approach allows us to use the various transport and chemical modules available in ALLIANCES, via an operator-splitting method based upon the structure of the chemical system. We present five different applications of reactive transport simulations in the context of nuclear waste storage: 1. A 2D simulation of the lixiviation by rain water of an underground polluted zone high in uranium oxide; 2. The degradation of the steel envelope of a package in contact with clay. Corrosion of the steel creates corrosion products and the altered package becomes a porous medium. We follow the degradation front through kinetic reactions and the coupling with transport; 3. The degradation of a cement-based material by the injection of an aqueous solution of zinc and sulphate ions. In addition to the reactive transport coupling, we take into account in this case the hydraulic retroaction of the porosity variation on the Darcy velocity; 4. The decalcification of a concrete beam in an underground storage structure. In this case, in addition to the reactive transport simulation, we take into account the interaction between chemical degradation and the mechanical forces (cracks...), and the retroactive influence on the structure changes on transport; 5. The degradation of the steel envelope of a package in contact with a clay material under a temperature gradient. In this case the reactive transport simulation is entirely directed by the temperature changes and
Brajesh Kumar; Singh, Priyanka
2008-01-01
This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive Conditional Heteroscedasticity in the mean model (GARCH-in-Mean) introduced by Engle et al. (1987). A systematic approach to model volatility in returns is presented. Volatility clustering and asymmetric nature is examined for Indian stock and commodity markets. The risk-r...
DEFF Research Database (Denmark)
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
Stock market volatility clusters in time, carries a risk premium, is fractionally inte- grated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast i......, and the dynamic cross-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate market and VIX volatility indexes....
Schlundt, Cathleen; Tegtmeier, Susann; Lennartz, Sinikka T.; Bracher, Astrid; Cheah, Wee; Krüger, Kirstin; Quack, Birgit; Marandino, Christa A.
2017-09-01
A suite of oxygenated volatile organic compounds (OVOCs - acetaldehyde, acetone, propanal, butanal and butanone) were measured concurrently in the surface water and atmosphere of the South China Sea and Sulu Sea in November 2011. A strong correlation was observed between all OVOC concentrations in the surface seawater along the entire cruise track, except for acetaldehyde, suggesting similar sources and sinks in the surface ocean. Additionally, several phytoplankton groups, such as haptophytes or pelagophytes, were also correlated to all OVOCs, indicating that phytoplankton may be an important source of marine OVOCs in the South China and Sulu seas. Humic- and protein-like fluorescent dissolved organic matter (FDOM) components seemed to be additional precursors for butanone and acetaldehyde. The measurement-inferred OVOC fluxes generally showed an uptake of atmospheric OVOCs by the ocean for all gases, except for butanal. A few important exceptions were found along the Borneo coast, where OVOC fluxes from the ocean to the atmosphere were inferred. The atmospheric OVOC mixing ratios over the northern coast of Borneo were relatively high compared with literature values, suggesting that this coastal region is a local hotspot for atmospheric OVOCs. The calculated amount of OVOCs entrained into the ocean seemed to be an important source of OVOCs to the surface ocean. When the fluxes were out of the ocean, marine OVOCs were found to be enough to control the locally measured OVOC distribution in the atmosphere. Based on our model calculations, at least 0.4 ppb of marine-derived acetone and butanone can reach the upper troposphere, where they may have an important influence on hydrogen oxide radical formation over the western Pacific Ocean.
Modelling of activity transport in PHWR
International Nuclear Information System (INIS)
Veena, S.N.; Rangarajan, S.; Narasimhan, S.V.; Horvath, G.L.
2000-01-01
The modelling of mass and activity transport in PHWR is of importance in predicting the build up of radiation field in and around the Primary Heat Transport system which will consequently help in planning the Dilute Chemical Decontamination and man rem budgeting. Modeling also helps in understanding the different parameters controlling the transport behaviour. Some of the important parameters include coolant chemistry like pH, physical parameters like temperature, the nature of the corrosion film and hence the effect of passivation techniques. VVER code for activity transport uses six nodes for the primary system and is essentially devised for stainless steel system. In the present work though based on this model, major modifications have been incorporated to suit the PHWR conditions. In the code, the PHT system of PHWR is suitably divided into 14 nodes, 5 in-core and 9 out of core nodes based on material and heat transfer properties. This paper describes the mechanisms involved in the various processes like generation of corrosion products, their release as well as their transport into the primary coolant, the activation of inactive corrosion product nuclides and the build up of radiation field due to 60 Co around the PHT system. (author)
Multi-compartment Aerosol Transport Model
Energy Technology Data Exchange (ETDEWEB)
Hubbard, Joshua Allen; Santarpia, Joshua; Brotherton, Christopher M.; Omana, Michael Alexis; Rivera, Danielle; Lucero, Gabriel Anthony
2017-06-01
A simple aerosol transport model was developed for a multi-compartmented cleanroom. Each compartment was treated as a well-mixed volume with ventilating supply and return air. Gravitational settling, intercompartment transport, and leakage of exterior air into the system were included in the model. A set of first order, coupled, ordinary differential equations was derived from the conservation equations of aerosol mass and air mass. The system of ODEs was then solved in MATLAB using pre-existing numerical methods. The model was verified against cases of (1) constant inlet-duct concentration, and (2) exponentially decaying inlet-duct concentration. Numerical methods resulted in normalized error of less than 10 -9 when model solutions were compared to analytical solutions. The model was validated against experimental measurements from a single field test and showed good agreement in the shape and magnitude of the aerosol concentration profile with time.
Numerical models of groundwater flow and transport
International Nuclear Information System (INIS)
Konikow, L.F.
1996-01-01
This chapter reviews the state-of-the-art in deterministic modeling of groundwater flow and transport processes, which can be used for interpretation of isotope data through groundwater flow analyses. Numerical models which are available for this purpose are described and their applications to complex field problems are discussed. The theoretical bases of deterministic modeling are summarized, and advantages and limitations of numerical models are described. The selection of models for specific applications and their calibration procedures are described, and results of a few illustrative case study type applications are provided. (author). 145 refs, 17 figs, 2 tabs
Numerical models of groundwater flow and transport
Energy Technology Data Exchange (ETDEWEB)
Konikow, L F [Geological Survey, Reston, VA (United States)
1996-10-01
This chapter reviews the state-of-the-art in deterministic modeling of groundwater flow and transport processes, which can be used for interpretation of isotope data through groundwater flow analyses. Numerical models which are available for this purpose are described and their applications to complex field problems are discussed. The theoretical bases of deterministic modeling are summarized, and advantages and limitations of numerical models are described. The selection of models for specific applications and their calibration procedures are described, and results of a few illustrative case study type applications are provided. (author). 145 refs, 17 figs, 2 tabs.
Modeling Human Exposure Levels to Airborne Volatile Organic Compounds by the Hebei Spirit Oil Spill
Kim, Jong Ho; Kwak, Byoung Kyu; Ha, Mina; Cheong, Hae-Kwan
2012-01-01
Objectives The goal was to model and quantify the atmospheric concentrations of volatile organic compounds (VOCs) as the result of the Hebei Spirit oil spill, and to predict whether the exposure levels were abnormally high or not. Methods We developed a model for calculating the airborne concentration of VOCs that are produced in an oil spill accident. The model was applied to a practical situation, namely the Hebei Spirit oil spill. The accuracy of the model was verified by comparing the results with previous observation data. The concentrations were compared with the currently used air quality standards. Results Evaporation was found to be 10- to 1,000-fold higher than the emissions produced from a surrounding industrial complex. The modeled concentrations for benzene failed to meet current labor environmental standards, and the concentration of benzene, toluene, ortho- meta- para-xylene were higher than the values specified by air quality standards and guideline values on the ocean. The concentrations of total VOCs were much higher than indoor environmental criteria for the entire Taean area for a few days. Conclusions The extent of airborne exposure was clearly not the same as that for normal conditions. PMID:22468262
Logistics Chains in Freight Transport Modelling
Davydenko, I.Y.
2015-01-01
The flow of trade is not equal to transport flows, mainly due to the fact that warehouses and distribution facilities are used as intermediary stops on the way from production locations to the points of consumption or further rework of goods. This thesis proposes a logistics chain model, which
Neutral gas transport modeling with DEGAS 2
International Nuclear Information System (INIS)
Karney, C.; Stotler, D.
1993-01-01
The authors are currently re-writing the neutral gas transport code, DEGAS, with a view to making it both faster and easier to include new physics. They present model calculations including ionization and charge exchange illustrating the way that reactions are included into DEGAS 2 and its operation on a distributed network of workstations
Climate impact of transportation A model comparison
Girod, B.; Vuuren, D.P. van; Grahn, M.; Kitous, A.; Kim, S.H.; Kyle, P.
2013-01-01
Transportation contributes to a significant and rising share of global energy use and GHG emissions. Therefore modeling future travel demand, its fuel use, and resulting CO2 emission is highly relevant for climate change mitigation. In this study we compare the baseline projections for global
Unreliability effects in public transport modelling.
van Oort, Niels; Brands, Ties; de Romph, Erik; Aceves Flores, Jessica
2015-01-01
Nowadays, transport demand models do not explicitly evaluate the impacts of service reliability of transit. Service reliability of transit systems is adversely experienced by users, as it causes additional travel time and unsecure arrival times. Because of this, travellers are likely to perceive a
Modelling anisotropic water transport in polymer composite
Indian Academy of Sciences (India)
This work reports anisotropic water transport in a polymer composite consisting of an epoxy matrix reinforced with aligned triangular bars made of vinyl ester. By gravimetric experiments, water diffusion in resin and polymer composites were characterized. Parameters for Fickian diffusion and polymer relaxation models were ...
Glucose transport machinery reconstituted in cell models.
Hansen, Jesper S; Elbing, Karin; Thompson, James R; Malmstadt, Noah; Lindkvist-Petersson, Karin
2015-02-11
Here we demonstrate the production of a functioning cell model by formation of giant vesicles reconstituted with the GLUT1 glucose transporter and a glucose oxidase and hydrogen peroxidase linked fluorescent reporter internally. Hence, a simplified artificial cell is formed that is able to take up glucose and process it.
Modeling climate diversity, tidal dynamics and the fate of volatiles on TRAPPIST-1 planets
Turbet, Martin; Bolmont, Emeline; Leconte, Jeremy; Forget, François; Selsis, Franck; Tobie, Gabriel; Caldas, Anthony; Naar, Joseph; Gillon, Michaël
2018-05-01
TRAPPIST-1 planets are invaluable for the study of comparative planetary science outside our solar system and possibly habitability. Both transit timing variations (TTV) of the planets and the compact, resonant architecture of the system suggest that TRAPPIST-1 planets could be endowed with various volatiles today. First, we derived from N-body simulations possible planetary evolution scenarios, and show that all the planets are likely in synchronous rotation. We then used a versatile 3D global climate model (GCM) to explore the possible climates of cool planets around cool stars, with a focus on the TRAPPIST-1 system. We investigated the conditions required for cool planets to prevent possible volatile species to be lost permanently by surface condensation, irreversible burying or photochemical destruction. We also explored the resilience of the same volatiles (when in condensed phase) to a runaway greenhouse process. We find that background atmospheres made of N2, CO, or O2 are rather resistant to atmospheric collapse. However, even if TRAPPIST-1 planets were able to sustain a thick background atmosphere by surviving early X/EUV radiation and stellar wind atmospheric erosion, it is difficult for them to accumulate significant greenhouse gases like CO2, CH4, or NH3. CO2 can easily condense on the permanent nightside, forming CO2 ice glaciers that would flow toward the substellar region. A complete CO2 ice surface cover is theoretically possible on TRAPPIST-1g and h only, but CO2 ices should be gravitationally unstable and get buried beneath the water ice shell in geologically short timescales. Given TRAPPIST-1 planets large EUV irradiation (at least 103 × Titan's flux), CH4 and NH3 are photodissociated rapidly and are thus hard to accumulate in the atmosphere. Photochemical hazes could then sedimentate and form a surface layer of tholins that would progressively thicken over the age of the TRAPPIST-1 system. Regarding habitability, we confirm that few bars of CO2
Cumulus parameterizations in chemical transport models
Mahowald, Natalie M.; Rasch, Philip J.; Prinn, Ronald G.
1995-12-01
Global three-dimensional chemical transport models (CTMs) are valuable tools for studying processes controlling the distribution of trace constituents in the atmosphere. A major uncertainty in these models is the subgrid-scale parametrization of transport by cumulus convection. This study seeks to define the range of behavior of moist convective schemes and point toward more reliable formulations for inclusion in chemical transport models. The emphasis is on deriving convective transport from meteorological data sets (such as those from the forecast centers) which do not routinely include convective mass fluxes. Seven moist convective parameterizations are compared in a column model to examine the sensitivity of the vertical profile of trace gases to the parameterization used in a global chemical transport model. The moist convective schemes examined are the Emanuel scheme [Emanuel, 1991], the Feichter-Crutzen scheme [Feichter and Crutzen, 1990], the inverse thermodynamic scheme (described in this paper), two versions of a scheme suggested by Hack [Hack, 1994], and two versions of a scheme suggested by Tiedtke (one following the formulation used in the ECMWF (European Centre for Medium-Range Weather Forecasting) and ECHAM3 (European Centre and Hamburg Max-Planck-Institut) models [Tiedtke, 1989], and one formulated as in the TM2 (Transport Model-2) model (M. Heimann, personal communication, 1992). These convective schemes vary in the closure used to derive the mass fluxes, as well as the cloud model formulation, giving a broad range of results. In addition, two boundary layer schemes are compared: a state-of-the-art nonlocal boundary layer scheme [Holtslag and Boville, 1993] and a simple adiabatic mixing scheme described in this paper. Three tests are used to compare the moist convective schemes against observations. Although the tests conducted here cannot conclusively show that one parameterization is better than the others, the tests are a good measure of the
Three dimensional transport model for toroidal plasmas
International Nuclear Information System (INIS)
Copenhauer, C.
1980-12-01
A nonlinear MHD model, developed for three-dimensional toroidal geometries (asymmetric) and for high β (β approximately epsilon), is used as a basis for a three-dimensional transport model. Since inertia terms are needed in describing evolving magnetic islands, the model can calculate transport, both in the transient phase before nonlinear saturation of magnetic islands and afterwards on the resistive time scale. In the β approximately epsilon ordering, the plasma does not have sufficient energy to compress the parallel magnetic field, which allows the Alfven wave to be eliminated in the reduced nonlinear equations, and the model then follows the slower time scales. The resulting perpendicular and parallel plasma drift velocities can be identified with those of guiding center theory
Modelling soil transport by wind in drylands
International Nuclear Information System (INIS)
Hassan, M.H.A.
1994-01-01
Understanding the movement of windblown soil particles and the resulting formation of complex surface features are among the most intriguing problems in dryland research. This understanding can only be achieved trough physical and mathematical modelling and must also involve observational data and laboratory experiments. Some current mathematical models that have contributed to the basic understanding of the transportation and deposition of soil particles by wind are presented and solved in these notes. (author). 26 refs, 5 figs
Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); J. Tian (Jiarong)
2016-01-01
textabstractThe 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
Guerra, Lília Ribeiro; de Souza, Alessandra Mendonça Teles; Côrtes, Juliana Alves; Lione, Viviane de Oliveira Freitas; Castro, Helena Carla; Alves, Gutemberg Gomes
2017-12-01
The application of in silico methods is increasing on toxicological risk prediction for human and environmental health. This work aimed to evaluate the performance of three in silico freeware models (OSIRIS v.2.0, LAZAR, and Toxtree) on the prediction of carcinogenicity and mutagenicity of thirty-eight volatile organic compounds (VOC) related to chemical risk assessment for occupational exposure. Theoretical data were compared with assessments available in international databases. Confusion matrices and ROC curves were used to evaluate the sensitivity, specificity, and accuracy of each model. All three models (OSIRIS, LAZAR and Toxtree) were able to identify VOC with a potential carcinogenicity or mutagenicity risk for humans, however presenting differences concerning the specificity, sensitivity, and accuracy. The best predictive performances were found for OSIRIS and LAZAR for carcinogenicity and OSIRIS for mutagenicity, as these softwares presented a combination of negative predictive power and lower risk of false positives (high specificity) for those endpoints. The heterogeneity of results found with different softwares reinforce the importance of using a combination of in silico models to occupational toxicological risk assessment. Copyright © 2017 Elsevier Inc. All rights reserved.
European initiatives for modeling emissions from transport
DEFF Research Database (Denmark)
Joumard, Robert; Hickman, A. John; Samaras, Zissis
1998-01-01
In Europe there have been many cooperative studies into transport emission inventories since the late 80s. These cover the scope of CORINAIR program involving experts from seven European Community laboratories addressing only road transport emissions at national level. These also include the latest...... covered are the composition of the vehicle fleets, emission factors, driving statistics and the modeling approach. Many of the European initiatives aim also at promoting further cooperation between national laboratories and at defining future research needs. An assessment of these future needs...... is presented from a European point of view....
Numerical modelling of ion transport in flames
Han, Jie
2015-10-20
This paper presents a modelling framework to compute the diffusivity and mobility of ions in flames. The (n, 6, 4) interaction potential is adopted to model collisions between neutral and charged species. All required parameters in the potential are related to the polarizability of the species pair via semi-empirical formulas, which are derived using the most recently published data or best estimates. The resulting framework permits computation of the transport coefficients of any ion found in a hydrocarbon flame. The accuracy of the proposed method is evaluated by comparing its predictions with experimental data on the mobility of selected ions in single-component neutral gases. Based on this analysis, the value of a model constant available in the literature is modified in order to improve the model\\'s predictions. The newly determined ion transport coefficients are used as part of a previously developed numerical approach to compute the distribution of charged species in a freely propagating premixed lean CH4/O2 flame. Since a significant scatter of polarizability data exists in the literature, the effects of changes in polarizability on ion transport properties and the spatial distribution of ions in flames are explored. Our analysis shows that changes in polarizability propagate with decreasing effect from binary transport coefficients to species number densities. We conclude that the chosen polarizability value has a limited effect on the ion distribution in freely propagating flames. We expect that the modelling framework proposed here will benefit future efforts in modelling the effect of external voltages on flames. Supplemental data for this article can be accessed at http://dx.doi.org/10.1080/13647830.2015.1090018. © 2015 Taylor & Francis.
Symposium on unsaturated flow and transport modeling
International Nuclear Information System (INIS)
Arnold, E.M.; Gee, G.W.; Nelson, R.W.
1982-09-01
This document records the proceedings of a symposium on flow and transport processes in partially saturated groundwater systems, conducted at the Battelle Seattle Research Center on March 22-24, 1982. The symposium was sponsored by the US Nuclear Regulatory Commission for the purpose of assessing the state-of-the-art of flow and transport modeling for use in licensing low-level nuclear waste repositories in partially saturated zones. The first day of the symposium centered around research in flow through partially saturated systems. Papers were presented with the opportunity for questions following each presentation. In addition, after all the talks, a formal panel discussion was held during which written questions were addressed to the panel of the days speakers. The second day of the Symposium was devoted to solute and contaminant transport in partially saturated media in an identical format. Individual papers are abstracted
Symposium on unsaturated flow and transport modeling
Energy Technology Data Exchange (ETDEWEB)
Arnold, E.M.; Gee, G.W.; Nelson, R.W. (eds.)
1982-09-01
This document records the proceedings of a symposium on flow and transport processes in partially saturated groundwater systems, conducted at the Battelle Seattle Research Center on March 22-24, 1982. The symposium was sponsored by the US Nuclear Regulatory Commission for the purpose of assessing the state-of-the-art of flow and transport modeling for use in licensing low-level nuclear waste repositories in partially saturated zones. The first day of the symposium centered around research in flow through partially saturated systems. Papers were presented with the opportunity for questions following each presentation. In addition, after all the talks, a formal panel discussion was held during which written questions were addressed to the panel of the days speakers. The second day of the Symposium was devoted to solute and contaminant transport in partially saturated media in an identical format. Individual papers are abstracted.
PAT-2 (Plutonium Air Transportable Model 2)
International Nuclear Information System (INIS)
Anderson, J.
1981-01-01
The PAT-2 (Plutonium Air Transportable Model 2) package is designed for the safe transport of plutonium and/or uranium in small quantities, especially as used in international safeguards activities, and especially as transported by air. The PAT-2 package is resistant to severe accidents, including that of a high-speed jet aircraft crash, and is designed to withstand such environments as extreme impact, crushing, puncturing and slashing loads, severe hydrocarbon-fueled fires, and deep underwater immersion, with no escape of contents. The accident environments may be imposed upon the package singly or seqentially. The package meets the requirements of 10 CFR 71 for Fissile Class I packages with a cargo of 15 grams of Pu-239, or other isotopic forms described herein, not to exceed 2 watts of thermal activity. Packaging, operational features, and contents of package, are discussed
Molecular modeling of auxin transport inhibitors
International Nuclear Information System (INIS)
Gardner, G.; Black-Schaefer, C.; Bures, M.G.
1990-01-01
Molecular modeling techniques have been used to study the chemical and steric properties of auxin transport inhibitors. These bind to a specific site on the plant plasma membrane characterized by its affinity for N-1-naphthylphthalamic acid (NPA). A three-dimensional model was derived from critical features of ligands for the NPA receptor, and a suggested binding conformation is proposed. This model, along with three-dimensional structural searching techniques, was then used to search the Abbott corporate database of chemical structures. Of the 467 compounds that satisfied the search criteria, 77 representative molecules were evaluated for their ability to compete for [ 3 H]NPA binding to corn microsomal membranes. Nineteen showed activity that ranged from 16 to 85% of the maximum NPA binding. Four of the most active of these, from chemical classes not included in the original compound set, also inhibited polar auxin transport through corn coleoptile sections
Model prodrugs for the intestinal oligopeptide transporter
DEFF Research Database (Denmark)
Nielsen, C U; Andersen, R; Brodin, Birger
2001-01-01
The human intestinal di/tri-peptide carrier, hPepT1, has been suggested as a target for increasing intestinal transport of low permeability compounds by creating prodrugs designed for the transporter. Model ester prodrugs using the stabilized dipeptides D-Glu-Ala and D-Asp-Ala as pro...... with a pH of approximately 6.0, but still release the model drug at the intercellular and blood pH of approximately 7.4. Even though benzyl alcohol is not a low molecular weight drug molecule, these results indicate that the dipeptide prodrug principle is a promising drug delivery concept. However......, the physico-chemical properties such as electronegativity, solubility, and log P of the drug molecule may also have an influence on the potential of these kinds of prodrugs. The purpose of the present study is to investigate whether the model drug electronegativity, estimated as Taft substitution parameter...
Fractional diffusion models of nonlocal transport
International Nuclear Information System (INIS)
Castillo-Negrete, D. del
2006-01-01
A class of nonlocal models based on the use of fractional derivatives (FDs) is proposed to describe nondiffusive transport in magnetically confined plasmas. FDs are integro-differential operators that incorporate in a unified framework asymmetric non-Fickian transport, non-Markovian ('memory') effects, and nondiffusive scaling. To overcome the limitations of fractional models in unbounded domains, we use regularized FDs that allow the incorporation of finite-size domain effects, boundary conditions, and variable diffusivities. We present an α-weighted explicit/implicit numerical integration scheme based on the Grunwald-Letnikov representation of the regularized fractional diffusion operator in flux conserving form. In sharp contrast with the standard diffusive model, the strong nonlocality of fractional diffusion leads to a linear in time response for a decaying pulse at short times. In addition, an anomalous fractional pinch is observed, accompanied by the development of an uphill transport region where the 'effective' diffusivity becomes negative. The fractional flux is in general asymmetric and, for steady states, it has a negative (toward the core) component that enhances confinement and a positive component that increases toward the edge and leads to poor confinement. The model exhibits the characteristic anomalous scaling of the confinement time, τ, with the system's size, L, τ∼L α , of low-confinement mode plasma where 1<α<2 is the order of the FD operator. Numerical solutions of the model with an off-axis source show that the fractional inward transport gives rise to profile peaking reminiscent of what is observed in tokamak discharges with auxiliary off-axis heating. Also, cold-pulse perturbations to steady sates in the model exhibit fast, nondiffusive propagation phenomena that resemble perturbative experiments
International Nuclear Information System (INIS)
Heydari, Somayeh; Siddiqui, Afzal
2010-01-01
Energy prices are often highly volatile with unexpected spikes. Capturing these sudden spikes may lead to more informed decision-making in energy investments, such as valuing gas-fired power plants, than ignoring them. In this paper, non-linear regime-switching models and models with mean-reverting stochastic volatility are compared with ordinary linear models. The study is performed using UK electricity and natural gas daily spot prices and suggests that with the aim of valuing a gas-fired power plant with and without operational flexibility, non-linear models with stochastic volatility, specifically for logarithms of electricity prices, provide better out-of-sample forecasts than both linear models and regime-switching models.
Directory of Open Access Journals (Sweden)
H. Wöhrnschimmel
2010-09-01
Full Text Available Ambient samples of volatile organic compounds (VOCs were measured between 2000 and 2007 in Southeastern Mexico City, quantifying 13 species (ethane, propane, propylene, butane, acetylene, pentane, hexane, heptane, benzene, octane, toluene, nonane, o-xylene. These time series were analyzed for long-term trends, using linear regression models. A main finding was that the concentrations for several VOC species were decreasing during this period. A receptor model was applied to identify possible VOC sources, as well as temporal patterns in their respective contributions. Domestic use of liquefied petroleum gas (LPG and vehicle exhaust are suggested to be the principal emission sources, contributing together between 70% and 80% to the total of quantified species. Both diurnal and seasonal patterns, as well as a weekend effect were recognized in the modelled source contributions. Furthermore, decreasing trends over time were found for LPG and hot soak (−7.8% and −12.7% per year, respectively, p < 0.01, whereas for vehicle exhaust no significant trend was found.
Modeling SOA formation from the oxidation of intermediate volatility n-alkanes
Directory of Open Access Journals (Sweden)
J. Lee-Taylor
2012-08-01
Full Text Available The chemical mechanism leading to SOA formation and ageing is expected to be a multigenerational process, i.e. a successive formation of organic compounds with higher oxidation degree and lower vapor pressure. This process is here investigated with the explicit oxidation model GECKO-A (Generator of Explicit Chemistry and Kinetics of Organics in the Atmosphere. Gas phase oxidation schemes are generated for the C8–C24 series of n-alkanes. Simulations are conducted to explore the time evolution of organic compounds and the behavior of secondary organic aerosol (SOA formation for various preexisting organic aerosol concentration (COA. As expected, simulation results show that (i SOA yield increases with the carbon chain length of the parent hydrocarbon, (ii SOA yield decreases with decreasing COA, (iii SOA production rates increase with increasing COA and (iv the number of oxidation steps (i.e. generations needed to describe SOA formation and evolution grows when COA decreases. The simulated oxidative trajectories are examined in a two dimensional space defined by the mean carbon oxidation state and the volatility. Most SOA contributors are not oxidized enough to be categorized as highly oxygenated organic aerosols (OOA but reduced enough to be categorized as hydrocarbon like organic aerosols (HOA, suggesting that OOA may underestimate SOA. Results show that the model is unable to produce highly oxygenated aerosols (OOA with large yields. The limitations of the model are discussed.
DEFF Research Database (Denmark)
Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis
The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity......). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq....
Transperitoneal transport of creatinine. A comparison of kinetic models
DEFF Research Database (Denmark)
Fugleberg, S; Graff, J; Joffe, P
1994-01-01
Six kinetic models of transperitoneal creatinine transport were formulated and validated on the basis of experimental results obtained from 23 non-diabetic patients undergoing peritoneal dialysis. The models were designed to elucidate the presence or absence of diffusive, non-lymphatic convective...... including all three forms of transport is superior to other models. We conclude that the best model of transperitoneal creatinine transport includes diffusion, non-lymphatic convective transport and lymphatic convective transport....
Empirical particle transport model for tokamaks
International Nuclear Information System (INIS)
Petravic, M.; Kuo-Petravic, G.
1986-08-01
A simple empirical particle transport model has been constructed with the purpose of gaining insight into the L- to H-mode transition in tokamaks. The aim was to construct the simplest possible model which would reproduce the measured density profiles in the L-regime, and also produce a qualitatively correct transition to the H-regime without having to assume a completely different transport mode for the bulk of the plasma. Rather than using completely ad hoc constructions for the particle diffusion coefficient, we assume D = 1/5 chi/sub total/, where chi/sub total/ ≅ chi/sub e/ is the thermal diffusivity, and then use the κ/sub e/ = n/sub e/chi/sub e/ values derived from experiments. The observed temperature profiles are then automatically reproduced, but nontrivially, the correct density profiles are also obtained, for realistic fueling rates and profiles. Our conclusion is that it is sufficient to reduce the transport coefficients within a few centimeters of the surface to produce the H-mode behavior. An additional simple assumption, concerning the particle mean-free path, leads to a convective transport term which reverses sign a few centimeters inside the surface, as required by the H-mode density profiles
International Nuclear Information System (INIS)
Higgs, Helen; Worthington, Andrew
2008-01-01
It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regime-switching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given day ranges between 5.16% in NSW and 9.44% in Victoria
Modelling contaminant transport in saturated aquifers
International Nuclear Information System (INIS)
Lakshminarayana, V.; Nayak, T.R.
1990-01-01
With the increase in population and industrialization the problem of pollution of groundwater has become critical. The present study deals with modelling of pollutant transport through saturated aquifers. Using this model it is possible to predict the concentration distribution, spatial as well as temporal, in the aquifer. The paper also deals with one of the methods of controlling the pollutant movement, namely by pumping wells. A simulation model is developed to determine the number, location and rate of pumping of a number of wells near the source of pollution so that the concentration is within acceptable limits at the point of interest. (Author) (18 refs., 14 figs., tab.)
Modelling an Ammonium Transporter with SCLS
Directory of Open Access Journals (Sweden)
Angelo Troina
2009-10-01
Full Text Available The Stochastic Calculus of Looping Sequences (SCLS is a recently proposed modelling language for the representation and simulation of biological systems behaviour. It has been designed with the aim of combining the simplicity of notation of rewrite systems with the advantage of compositionality. It also allows a rather simple and accurate description of biological membranes and their interactions with the environment.In this work we apply SCLS to model a newly discovered ammonium transporter. This transporter is believed to play a fundamental role for plant mineral acquisition, which takes place in the arbuscular mycorrhiza, the most wide-spread plant-fungus symbiosis on earth. Due to its potential application in agriculture this kind of symbiosis is one of the main focuses of the BioBITs project. In our experiments the passage of NH3 / NH4+ from the fungus to the plant has been dissected in known and hypothetical mechanisms; with the model so far we have been able to simulate the behaviour of the system under different conditions. Our simulations confirmed some of the latest experimental results about the LjAMT2;2 transporter. The initial simulation results of the modelling of the symbiosis process are promising and indicate new directions for biological investigations.
Modeling the highway transportation of spent fuel
International Nuclear Information System (INIS)
Harrison, I.G.
1986-01-01
There will be a substantial increase in the number of spent fuel shipments on the nation's highway system in the next thirty years. Most of the spent fuel will be moving from reactors to a spent fuel repository. This study develops two models that evaluate the risk and cost of moving the spent fuel. The Minimum Total Transport Risk Model (MTTRM) seeks an efficient solution for this problem by finding the minimum risk path through the network and sending all the spent fuel shipments over this one path. The Equilibrium Transport Risk Model (ETRM) finds an equitable solution by distributing the shipments over a number of paths in the network. This model decreases the risk along individual paths, but increases society's risk because the spent fuel shipments are traveling over more links in the network. The study finds that there is a trade off between path risk and societal risk. As path risk declines, societal risk rises. The cost of shipping also increases as the number of paths expand. The cost and risk of shipping spent fuel from ten reactors to four potential repository sites are evaluated using the MTTRM. The temporary monitored retrievable storage (MRS) facility in Tennessee is found to be the minimum cost and minimum risk solution. When direct shipment to the permanent sites is considered, Deaf Smith, Texas is the least cost and least incident free transport risk location. Yucca Mountain, Nevada is the least risk location when the focus is placed on the potential consequences of an accident
The influence of model resolution on ozone in industrial volatile organic compound plumes.
Henderson, Barron H; Jeffries, Harvey E; Kim, Byeong-Uk; Vizuete, William G
2010-09-01
Regions with concentrated petrochemical industrial activity (e.g., Houston or Baton Rouge) frequently experience large, localized releases of volatile organic compounds (VOCs). Aircraft measurements suggest these released VOCs create plumes with ozone (O3) production rates 2-5 times higher than typical urban conditions. Modeling studies found that simulating high O3 productions requires superfine (1-km) horizontal grid cell size. Compared with fine modeling (4-kmin), the superfine resolution increases the peak O3 concentration by as much as 46%. To understand this drastic O3 change, this study quantifies model processes for O3 and "odd oxygen" (Ox) in both resolutions. For the entire plume, the superfine resolution increases the maximum O3 concentration 3% but only decreases the maximum Ox concentration 0.2%. The two grid sizes produce approximately equal Ox mass but by different reaction pathways. Derived sensitivity to oxides of nitrogen (NOx) and VOC emissions suggests resolution-specific sensitivity to NOx and VOC emissions. Different sensitivity to emissions will result in different O3 responses to subsequently encountered emissions (within the city or downwind). Sensitivity of O3 to emission changes also results in different simulated O3 responses to the same control strategies. Sensitivity of O3 to NOx and VOC emission changes is attributed to finer resolved Eulerian grid and finer resolved NOx emissions. Urban NOx concentration gradients are often caused by roadway mobile sources that would not typically be addressed with Plume-in-Grid models. This study shows that grid cell size (an artifact of modeling) influences simulated control strategies and could bias regulatory decisions. Understanding the dynamics of VOC plume dependence on grid size is the first step toward providing more detailed guidance for resolution. These results underscore VOC and NOx resolution interdependencies best addressed by finer resolution. On the basis of these results, the
Fundamental mass transfer modeling of emission of volatile organic compounds from building materials
Bodalal, Awad Saad
In this study, a mass transfer theory based model is presented for characterizing the VOC emissions from building materials. A 3-D diffusion model is developed to describe the emissions of volatile organic compounds (VOCs) from individual sources. Then the formulation is extended to include the emissions from composite sources (system comprising an assemblage of individual sources). The key parameters for the model (The diffusion coefficient of the VOC in the source material D, and the equilibrium partition coefficient k e) were determined independently (model parameters are determined without the use of chamber emission data). This procedure eliminated to a large extent the need for emission testing using environmental chambers, which is costly, time consuming, and may be subject to confounding sink effects. An experimental method is developed and implemented to measure directly the internal diffusion (D) and partition coefficients ( ke). The use of the method is illustrated for three types of VOC's: (i) Aliphatic Hydrocarbons, (ii) Aromatic Hydrocarbons and ( iii) Aldehydes, through typical dry building materials (carpet, plywood, particleboard, vinyl floor tile, gypsum board, sub-floor tile and OSB). Then correlations for predicting D and ke based solely on commonly available properties such as molecular weight and vapour pressure were proposed for each product and type of VOC. These correlations can be used to estimate the D and ke when direct measurement data are not available, and thus facilitate the prediction of VOC emissions from the building materials using mass transfer theory. The VOC emissions from a sub-floor material (made of the recycled automobile tires), and a particleboard are measured and predicted. Finally, a mathematical model to predict the diffusion coefficient through complex sources (floor adhesive) as a function of time was developed. Then this model (for diffusion coefficient in complex sources) was used to predict the emission rate from
Modeling tritium transport in the environment
International Nuclear Information System (INIS)
Murphy, C.E. Jr.
1986-01-01
A model of tritium transport in the environment near an atmospheric source of tritium is presented in the general context of modeling material cycling in ecosystems. The model was developed to test hypotheses about the process involved in tritium cycling. The temporal and spatial scales of the model were picked to allow comparison to environmental monitoring data collected in the vicinity of the Savannah River Plant. Initial simulations with the model showed good agreement with monitoring data, including atmospheric and vegetation tritium concentrations. The model can also simulate values of tritium in vegetation organic matter if the key parameter distributing the source of organic hydrogen is varied to fit the data. However, because of the lack of independent conformation of the distribution parameter, there is still uncertainty about the role of organic movement of tritium in the food chain, and its effect on the dose to man
Pricing Volatility of Stock Returns with Volatile and Persistent Components
DEFF Research Database (Denmark)
Zhu, Jie
2009-01-01
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock ma...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...
Pricing Volatility of Stock Returns with Volatile and Persistent Components
DEFF Research Database (Denmark)
Zhu, Jie
In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process....... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...
Variational multiscale models for charge transport.
Wei, Guo-Wei; Zheng, Qiong; Chen, Zhan; Xia, Kelin
2012-01-01
This work presents a few variational multiscale models for charge transport in complex physical, chemical and biological systems and engineering devices, such as fuel cells, solar cells, battery cells, nanofluidics, transistors and ion channels. An essential ingredient of the present models, introduced in an earlier paper (Bulletin of Mathematical Biology, 72, 1562-1622, 2010), is the use of differential geometry theory of surfaces as a natural means to geometrically separate the macroscopic domain from the microscopic domain, meanwhile, dynamically couple discrete and continuum descriptions. Our main strategy is to construct the total energy functional of a charge transport system to encompass the polar and nonpolar free energies of solvation, and chemical potential related energy. By using the Euler-Lagrange variation, coupled Laplace-Beltrami and Poisson-Nernst-Planck (LB-PNP) equations are derived. The solution of the LB-PNP equations leads to the minimization of the total free energy, and explicit profiles of electrostatic potential and densities of charge species. To further reduce the computational complexity, the Boltzmann distribution obtained from the Poisson-Boltzmann (PB) equation is utilized to represent the densities of certain charge species so as to avoid the computationally expensive solution of some Nernst-Planck (NP) equations. Consequently, the coupled Laplace-Beltrami and Poisson-Boltzmann-Nernst-Planck (LB-PBNP) equations are proposed for charge transport in heterogeneous systems. A major emphasis of the present formulation is the consistency between equilibrium LB-PB theory and non-equilibrium LB-PNP theory at equilibrium. Another major emphasis is the capability of the reduced LB-PBNP model to fully recover the prediction of the LB-PNP model at non-equilibrium settings. To account for the fluid impact on the charge transport, we derive coupled Laplace-Beltrami, Poisson-Nernst-Planck and Navier-Stokes equations from the variational principle
Variational multiscale models for charge transport
Wei, Guo-Wei; Zheng, Qiong; Chen, Zhan; Xia, Kelin
2012-01-01
This work presents a few variational multiscale models for charge transport in complex physical, chemical and biological systems and engineering devices, such as fuel cells, solar cells, battery cells, nanofluidics, transistors and ion channels. An essential ingredient of the present models, introduced in an earlier paper (Bulletin of Mathematical Biology, 72, 1562-1622, 2010), is the use of differential geometry theory of surfaces as a natural means to geometrically separate the macroscopic domain from the microscopic domain, meanwhile, dynamically couple discrete and continuum descriptions. Our main strategy is to construct the total energy functional of a charge transport system to encompass the polar and nonpolar free energies of solvation, and chemical potential related energy. By using the Euler-Lagrange variation, coupled Laplace-Beltrami and Poisson-Nernst-Planck (LB-PNP) equations are derived. The solution of the LB-PNP equations leads to the minimization of the total free energy, and explicit profiles of electrostatic potential and densities of charge species. To further reduce the computational complexity, the Boltzmann distribution obtained from the Poisson-Boltzmann (PB) equation is utilized to represent the densities of certain charge species so as to avoid the computationally expensive solution of some Nernst-Planck (NP) equations. Consequently, the coupled Laplace-Beltrami and Poisson-Boltzmann-Nernst-Planck (LB-PBNP) equations are proposed for charge transport in heterogeneous systems. A major emphasis of the present formulation is the consistency between equilibrium LB-PB theory and non-equilibrium LB-PNP theory at equilibrium. Another major emphasis is the capability of the reduced LB-PBNP model to fully recover the prediction of the LB-PNP model at non-equilibrium settings. To account for the fluid impact on the charge transport, we derive coupled Laplace-Beltrami, Poisson-Nernst-Planck and Navier-Stokes equations from the variational principle
Moore, Jeffrey Morgan; Howard, Alan D.; Schenk, Paul M.
2013-01-01
Mass movement and landform degradation reduces topographic relief by moving surface materials to a lower gravitational potential. In addition to the obvious role of gravity, abrasive mechanical erosion plays a role, often in combination with the lowering of cohesion, which allows disaggregation of the relief-forming material. The identification of specific landform types associated with mass movement and landform degradation provides information about local sediment particle size and abundance and transportation processes. Generally, mass movements can be classified in terms of the particle sizes of the transported material and the speed the material moved during transport. Most degradation on outer planet satellites appears consistent with sliding or slumping, impact erosion, and regolith evolution. Some satellites, such as Callisto and perhaps Hyperion and Iapetus, have an appearance that implies that some additional process is at work, most likely sublimation-driven landform modification and mass wasting. A variant on this process is thermally driven frost segregation as seen on all three icy Galilean satellites and perhaps elsewhere. Titan is unique among outer planet satellites in that Aeolian and fluvial processes also operate to erode, transport, and deposit material. We will evaluate the sequence and extent of various landform-modifying erosional and volatile redistribution processes that have shaped these icy satellites using a 3-D model that simulates the following surface and subsurface processes: 1) sublimation and re-condensation of volatiles; 2) development of refractory lag deposits; 3) disaggregation and downward sloughing of surficial material; 4) radiative heating/cooling of the surface (including reflection, emission, and shadowing by other surface elements); 5) thermal diffusion; and 6) vapor diffusion. The model will provide explicit simulations of landform development and thusly predicts the topographic and volatile evolution of the surface
Are stock prices too volatile to be justified by the dividend discount model?
Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ
2007-03-01
This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.
International Nuclear Information System (INIS)
Ielpo, Florian; Sevi, Benoit
2013-09-01
Forecasting the density of returns is useful for many purposes in finance, such as risk management activities, portfolio choice or derivative security pricing. Existing methods to forecast the density of returns either use prices of the asset of interest or option prices on this same asset. The latter method needs to convert the risk-neutral estimate of the density into a physical measure, which is computationally cumbersome. In this paper, we take the view of a practitioner who observes the implied volatility under the form of an index, namely the recent OVX, to forecast the density of oil futures returns for horizons going from 1 to 60 days. Using the recent methodology in Maheu and McCurdy (2011) to compute density predictions, we compare the performance of time series models using implied volatility and either daily or intra-daily futures prices. Our results indicate that models based on implied volatility deliver significantly better density forecasts at all horizons, which is in line with numerous studies delivering the same evidence for volatility point forecast. (authors)
Abstracts of the symposium on unsaturated flow and transport modeling
International Nuclear Information System (INIS)
1982-03-01
Abstract titles are: Recent developments in modeling variably saturated flow and transport; Unsaturated flow modeling as applied to field problems; Coupled heat and moisture transport in unsaturated soils; Influence of climatic parameters on movement of radionuclides in a multilayered saturated-unsaturated media; Modeling water and solute transport in soil containing roots; Simulation of consolidation in partially saturated soil materials; modeling of water and solute transport in unsaturated heterogeneous fields; Fluid dynamics and mass transfer in variably-saturated porous media; Solute transport through soils; One-dimensional analytical transport modeling; Convective transport of ideal tracers in unsaturated soils; Chemical transport in macropore-mesopore media under partially saturated conditions; Influence of the tension-saturated zone on contaminant migration in shallow water regimes; Influence of the spatial distribution of velocities in porous media on the form of solute transport; Stochastic vs deterministic models for solute movement in the field; and Stochastic analysis of flow and solute transport
Leterme, Bertrand; Blanc, Philippe; Jacques, Diederik
2014-11-01
Soil systems are a common receptor of anthropogenic mercury (Hg) contamination. Soils play an important role in the containment or dispersion of pollution to surface water, groundwater or the atmosphere. A one-dimensional model for simulating Hg fate and transport for variably saturated and transient flow conditions is presented. The model is developed using the HP1 code, which couples HYDRUS-1D for the water flow and solute transport to PHREEQC for geochemical reactions. The main processes included are Hg aqueous speciation and complexation, sorption to soil organic matter, dissolution of cinnabar and liquid Hg, and Hg reduction and volatilization. Processes such as atmospheric wet and dry deposition, vegetation litter fall and uptake are neglected because they are less relevant in the case of high Hg concentrations resulting from anthropogenic activities. A test case is presented, assuming a hypothetical sandy soil profile and a simulation time frame of 50 years of daily atmospheric inputs. Mercury fate and transport are simulated for three different sources of Hg (cinnabar, residual liquid mercury or aqueous mercuric chloride), as well as for combinations of these sources. Results are presented and discussed with focus on Hg volatilization to the atmosphere, Hg leaching at the bottom of the soil profile and the remaining Hg in or below the initially contaminated soil layer. In the test case, Hg volatilization was negligible because the reduction of Hg(2+) to Hg(0) was inhibited by the low concentration of dissolved Hg. Hg leaching was mainly caused by complexation of Hg(2+) with thiol groups of dissolved organic matter, because in the geochemical model used, this reaction only had a higher equilibrium constant than the sorption reactions. Immobilization of Hg in the initially polluted horizon was enhanced by Hg(2+) sorption onto humic and fulvic acids (which are more abundant than thiols). Potential benefits of the model for risk management and remediation of
International Nuclear Information System (INIS)
Mousset, F.
2004-12-01
Ruthenium is one of the fission products in the reprocessing of irradiated fuels that requires a specific processing management. Its elimination, upstream by the PUREX process, has been considered. A process, called electro-volatilization, which take advantage of the RuO 4 volatility, has been optimised in the present study. It consists in a continuous electrolysis of ruthenium solutions in order to generate RuO 4 species that is volatilized and easily trapped. This process goes to satisfying ruthenium elimination yields with RuNO(NO 3 ) 3 (H 2 O) 2 synthetic solutions but not with fuel dissolution solutions. Consequently, this work consisted in the speciation studies of dissolved ruthenium species were carried out by simulating fuel solutions produced by hot acid attack of several ruthenium compounds (Ru(0), RuO 2 ,xH 2 O, polymetallic alloy). In parallel with dissolution kinetic studies, the determination of dissolved species was performed using voltammetry, spectrometry and spectro-electrochemistry. The results showed the co-existence of Ru(IV) and RuNO(NO 2 ) 2 (H 2 O) 3 . Although these species are different from synthetic RuNO(NO 3 ) 3 (H 2 O) 2 , their electro-oxidation behaviour are similar. The electro-volatilization tests of these dissolution solutions yielded to comparable results as the synthetic RuNO(NO 3 ) 3 (H 2 O) 2 solutions. Then, complexity increase of models solutions was performed by in-situ generation of nitrous acid during ruthenium dissolution. Nitrous acid showed a catalytic effect on ruthenium dissolution. Its presence goes to quasi exclusively RuNO(NO 2 ) 2 (H 2 O) 3 species. It is also responsible of the strong n-bond formation between Ru 2+ and NO + . In addition, it has been shown that its reducing action on RuO 4 hinders the electro-volatilization process. Mn 2+ and Ce 3+ cations also reveal, but to a lesser extent, an electro-eater behaviour as well as Pu 4+ and Cr 3+ according to the thermodynamics data. These results allow one to
International Nuclear Information System (INIS)
Lewis, B.J.; Bonin, H.W.
1995-01-01
An analytical treatment has been used to model the vapour transport of radioactive fission products released into the fuel-to-sheath gap of defective nuclear fuel elements. The model accounts for both diffusive and bulk-convective transport. Convective transport becomes important as a result of a significant release of gaseous fission products into the gap during a high-temperature reactor accident. However, during normal reactor operation, diffusion is shown to be the dominant process of transport. The model is based on an analysis of several in-reactor tests with operating defective fuel elements, and high-temperature annealing experiments with irradiated fuel specimens. ((orig.))
Natural analogues and radionuclide transport model validation
International Nuclear Information System (INIS)
Lever, D.A.
1987-08-01
In this paper, some possible roles for natural analogues are discussed from the point of view of those involved with the development of mathematical models for radionuclide transport and with the use of these models in repository safety assessments. The characteristic features of a safety assessment are outlined in order to address the questions of where natural analogues can be used to improve our understanding of the processes involved and where they can assist in validating the models that are used. Natural analogues have the potential to provide useful information about some critical processes, especially long-term chemical processes and migration rates. There is likely to be considerable uncertainty and ambiguity associated with the interpretation of natural analogues, and thus it is their general features which should be emphasized, and models with appropriate levels of sophistication should be used. Experience gained in modelling the Koongarra uranium deposit in northern Australia is drawn upon. (author)
Heston, Steven L.; Nandi, Saikat
1999-01-01
This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options, yield curv...
Inflation Volatility and the Inflation-Growth Tradeoff in India
Raghbendra Jha; Varsha S. Kulkarni
2012-01-01
This paper amends the New Keynesian Phillips curve model to include inflation volatility and tests the determinants of such volatility for India. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL (1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility along (in the ECM model) and not in the other models. Major det...
Discrete element modelling of bedload transport
Loyer, A.; Frey, P.
2011-12-01
Discrete element modelling (DEM) has been widely used in solid mechanics and in granular physics. In this type of modelling, each individual particle is taken into account and intergranular interactions are modelled with simple laws (e.g. Coulomb friction). Gravity and contact forces permit to solve the dynamical behaviour of the system. DEM is interesting to model configurations and access to parameters not directly available in laboratory experimentation, hence the term "numerical experimentations" sometimes used to describe DEM. DEM was used to model bedload transport experiments performed at the particle scale with spherical glass beads in a steep and narrow flume. Bedload is the larger material that is transported on the bed on stream channels. It has a great geomorphic impact. Physical processes ruling bedload transport and more generally coarse-particle/fluid systems are poorly known, arguably because granular interactions have been somewhat neglected. An existing DEM code (PFC3D) already computing granular interactions was used. We implemented basic hydrodynamic forces to model the fluid interactions (buoyancy, drag, lift). The idea was to use the minimum number of ingredients to match the experimental results. Experiments were performed with one-size and two-size mixtures of coarse spherical glass beads entrained by a shallow turbulent and supercritical water flow down a steep channel with a mobile bed. The particle diameters were 4 and 6mm, the channel width 6.5mm (about the same width as the coarser particles) and the channel inclination was typically 10%. The water flow rate and the particle rate were kept constant at the upstream entrance and adjusted to obtain bedload transport equilibrium. Flows were filmed from the side by a high-speed camera. Using image processing algorithms made it possible to determine the position, velocity and trajectory of both smaller and coarser particles. Modelled and experimental particle velocity and concentration depth
Directory of Open Access Journals (Sweden)
Didit B Nugroho
2017-02-01
Full Text Available Volatiliy measurement and modeling is an important aspect in many areas of finance. The main purpose of this study is to apply seven APARCH-type models with (1,1 lags to investigate the behavior of exchange rate volatility for the EUR, JPY, and USD selling exchange rates to IDR for the duration from January 2010 to December 2015. The competing models include ARCH, GARCH, TARCH, TS-ARCH, GJR-GARCH, NARCH, and APARCH used with Gaussian normal distribution. In order to estimate the model parameters, this study applies the Bayesian inference using the adaptive random walk Metropolis method in the MCMC algorithm. Empirical results based on the deviance information criterion indicate that the GARCH (1,1, APARCH (1,1, and TARCH (1,1 models provide the best fit for the EUR, JPY, and USD data, respectively. In those models, both the JPY and USD data have significant negative leverage effect at the 99% credible level. Moreover, the JPY returns also have significant Taylor effect in return volatility at the 99% credible level. Keywords: APARCH, ARWM, IDR exchange rate, MCMC, volatility
Model for radionuclide transport in running waters
Energy Technology Data Exchange (ETDEWEB)
Jonsson, Karin; Elert, Mark [Kemakta Konsult AB, Stockholm (Sweden)
2005-11-15
Two sites in Sweden are currently under investigation by SKB for their suitability as places for deep repository of radioactive waste, the Forsmark and Simpevarp/Laxemar area. As a part of the safety assessment, SKB has formulated a biosphere model with different sub-models for different parts of the ecosystem in order to be able to predict the dose to humans following a possible radionuclide discharge from a future deep repository. In this report, a new model concept describing radionuclide transport in streams is presented. The main difference from the previous model for running water used by SKB, where only dilution of the inflow of radionuclides was considered, is that the new model includes parameterizations also of the exchange processes present along the stream. This is done in order to be able to investigate the effect of the retention on the transport and to be able to estimate the resulting concentrations in the different parts of the system. The concentrations determined with this new model could later be used for order of magnitude predictions of the dose to humans. The presented model concept is divided in two parts, one hydraulic and one radionuclide transport model. The hydraulic model is used to determine the flow conditions in the stream channel and is based on the assumption of uniform flow and quasi-stationary conditions. The results from the hydraulic model are used in the radionuclide transport model where the concentration is determined in the different parts of the stream ecosystem. The exchange processes considered are exchange with the sediments due to diffusion, advective transport and sedimentation/resuspension and uptake of radionuclides in biota. Transport of both dissolved radionuclides and sorbed onto particulates is considered. Sorption kinetics in the stream water phase is implemented as the time scale of the residence time in the stream water probably is short in comparison to the time scale of the kinetic sorption. In the sediment
Model for radionuclide transport in running waters
International Nuclear Information System (INIS)
Jonsson, Karin; Elert, Mark
2005-11-01
Two sites in Sweden are currently under investigation by SKB for their suitability as places for deep repository of radioactive waste, the Forsmark and Simpevarp/Laxemar area. As a part of the safety assessment, SKB has formulated a biosphere model with different sub-models for different parts of the ecosystem in order to be able to predict the dose to humans following a possible radionuclide discharge from a future deep repository. In this report, a new model concept describing radionuclide transport in streams is presented. The main difference from the previous model for running water used by SKB, where only dilution of the inflow of radionuclides was considered, is that the new model includes parameterizations also of the exchange processes present along the stream. This is done in order to be able to investigate the effect of the retention on the transport and to be able to estimate the resulting concentrations in the different parts of the system. The concentrations determined with this new model could later be used for order of magnitude predictions of the dose to humans. The presented model concept is divided in two parts, one hydraulic and one radionuclide transport model. The hydraulic model is used to determine the flow conditions in the stream channel and is based on the assumption of uniform flow and quasi-stationary conditions. The results from the hydraulic model are used in the radionuclide transport model where the concentration is determined in the different parts of the stream ecosystem. The exchange processes considered are exchange with the sediments due to diffusion, advective transport and sedimentation/resuspension and uptake of radionuclides in biota. Transport of both dissolved radionuclides and sorbed onto particulates is considered. Sorption kinetics in the stream water phase is implemented as the time scale of the residence time in the stream water probably is short in comparison to the time scale of the kinetic sorption. In the sediment
International Nuclear Information System (INIS)
Peschel, Birgit U.; Herdering, Wilhelm; Broekaert, Jose A.C.
2007-01-01
A neutron-activated Al 2 O 3 powder SRM 699 (NIST) containing the γ-radiation emitting radionuclides 51 Cr, 59 Fe, 60 Co and 65 Zn has been used to study the influence of thermochemical reagents on the volatilization and transport efficiency for these trace elements in electrothermal vaporization inductively coupled plasma mass spectrometry (ETV-ICP-MS) of Al 2 O 3 powders. From the signals in the γ-spectra for the radiotracers it has been found that less than 2% of the elements Cr, Fe, Co and Zn is left back in a graphite furnace from Al 2 O 3 powders at 2200 deg. C even without addition of a thermochemical reagent and the latter even was found to decrease the volatilization efficiencies. The recovery for the radiotracers on filters at the end of the transport tube as measured from the signals in the γ-spectra, however, was found to increase in most cases (i.e. from about 10% to more than 20%) when Pd(NO 3 ) 2 , Pd(NO 3 ) 2 + Mg(NO 3 ) 2 , PdCl 2 , IrCl 3 , SnCl 2 , AgCl, NaF, NH 4 Cl and NH 4 F were added at amounts generally used in electrothermal vaporization inductively coupled plasma mass spectrometry. However, when adding higher amounts as stoichiometrically required for a complete halogenation of the sample matrix in the case of AgCl, C 8 F 15 O 2 Na, IrCl 3 or PdCl 2 the transport efficiencies considerably decrease again. As shown in the case of NH 4 Cl the amount of thermochemical reagent used has to be optimized so as to obtain maximum analyte transport efficiencies. A comparison of the influence of NH 4 Cl on the transport efficiencies with its influence on the ETV-ICP-MS signals for Fe demonstrates the importance of transport efficiency changes for the effects of thermochemical reagents in electrothermal vaporization inductively coupled plasma mass spectrometry
Silva, A. Christian; Prange, Richard E.
2007-03-01
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation strategy.
Righter, K.; Danielson, L.; Pando, K.; Shofner, G.; Lee, C. -T.
2013-01-01
Siderophile elements have been used to constrain conditions of core formation and differentiation for the Earth, Mars and other differentiated bodies [1]. Recent models for the Earth have concluded that the mantle and core did not fully equilibrate and the siderophile element contents of the mantle can only be explained under conditions where the oxygen fugacity changes from low to high during accretion and the mantle and core do not fully equilibrate [2,3]. However these conclusions go against several physical and chemical constraints. First, calculations suggest that even with the composition of accreting material changing from reduced to oxidized over time, the fO2 defined by metal-silicate equilibrium does not change substantially, only by approximately 1 logfO2 unit [4]. An increase of more than 2 logfO2 units in mantle oxidation are required in models of [2,3]. Secondly, calculations also show that metallic impacting material will become deformed and sheared during accretion to a large body, such that it becomes emulsified to a fine scale that allows equilibrium at nearly all conditions except for possibly the length scale for giant impacts [5] (contrary to conclusions of [6]). Using new data for D(Mo) metal/silicate at high pressures, together with updated partitioning expressions for many other elements, we will show that metal-silicate equilibrium across a long span of Earth s accretion history may explain the concentrations of many siderophile elements in Earth's mantle. The modeling includes refractory elements Ni, Co, Mo, and W, as well as highly siderophile elements Au, Pd and Pt, and volatile elements Cd, In, Bi, Sb, Ge and As.
Pion interferometric tests of transport models
Energy Technology Data Exchange (ETDEWEB)
Padula, S.S.; Gyulassy, M.; Gavin, S. (Lawrence Berkeley Lab., CA (USA). Nuclear Science Div.)
1990-01-08
In hadronic reactions, the usual space-time interpretation of pion interferometry often breaks down due to strong correlations between spatial and momentum coordinates. We derive a general interferometry formula based on the Wigner density formalism that allows for arbitrary phase space and multiparticle correlations. Correction terms due to intermediate state pion cascading are derived using semiclassical hadronic transport theory. Finite wave packets are used to reveal the sensitivity of pion interference effects on the details of the production dynamics. The covariant generalization of the formula is shown to be equivalent to the formula derived via an alternate current ensemble formalism for minimal wave packets and reduces in the nonrelativistic limit to a formula derived by Pratt. The final expression is ideally suited for pion interferometric tests of Monte Carlo transport models. Examples involving gaussian and inside-outside phase space distributions are considered. (orig.).
Pion interferometric tests of transport models
International Nuclear Information System (INIS)
Padula, S.S.; Gyulassy, M.; Gavin, S.
1990-01-01
In hadronic reactions, the usual space-time interpretation of pion interferometry often breaks down due to strong correlations between spatial and momentum coordinates. We derive a general interferometry formula based on the Wigner density formalism that allows for arbitrary phase space and multiparticle correlations. Correction terms due to intermediate state pion cascading are derived using semiclassical hadronic transport theory. Finite wave packets are used to reveal the sensitivity of pion interference effects on the details of the production dynamics. The covariant generalization of the formula is shown to be equivalent to the formula derived via an alternate current ensemble formalism for minimal wave packets and reduces in the nonrelativistic limit to a formula derived by Pratt. The final expression is ideally suited for pion interferometric tests of Monte Carlo transport models. Examples involving gaussian and inside-outside phase space distributions are considered. (orig.)
Transport modeling: An artificial immune system approach
Directory of Open Access Journals (Sweden)
Teodorović Dušan
2006-01-01
Full Text Available This paper describes an artificial immune system approach (AIS to modeling time-dependent (dynamic, real time transportation phenomenon characterized by uncertainty. The basic idea behind this research is to develop the Artificial Immune System, which generates a set of antibodies (decisions, control actions that altogether can successfully cover a wide range of potential situations. The proposed artificial immune system develops antibodies (the best control strategies for different antigens (different traffic "scenarios". This task is performed using some of the optimization or heuristics techniques. Then a set of antibodies is combined to create Artificial Immune System. The developed Artificial Immune transportation systems are able to generalize, adapt, and learn based on new knowledge and new information. Applications of the systems are considered for airline yield management, the stochastic vehicle routing, and real-time traffic control at the isolated intersection. The preliminary research results are very promising.
Model for tritiated water transport in soil
International Nuclear Information System (INIS)
Galeriu, D.; Paunescu, N.
1999-01-01
Chemical forms of tritium released from nuclear facilities are mostly water (HTO) and hydrogen (HT, TT). Elemental tritium is inert in vegetation and superior animals, but the microorganisms from soil oxidize HT to HTO. After an atmospheric HT emission, in short time an equivalent quantity of HTO is re-emitted from soil. In the vicinity of a tritium source the spatial and temporary distribution of HTO is dependent on the chemical form of tritium releases. During routine tritium releases (continuously and constant releases), the local distribution of tritium reaches equilibrium, and specific activities of tritium in environmental compartments are almost equal. The situation is very different after an accidental emission. Having in view, harmful effects of tritium when it is incorporated into the body several models were developed for environmental tritium transport and dose assessment. The tritium transport into the soil is an important part of the environmental tritium behavior, but, unfortunately, in spite of the importance of this problem the corresponding modeling is unsatisfactory. The aim of this paper was the improvement of the TRICAIAP model, and the application of the model to BIOMOVS scenario. The BIOMOVS scenario predicts HTO concentrations in soil during 30 days, after one hour atmospheric HTO emission. The most important conclusions of the paper are: the principal carrier of tritium into the soil is water; the transfer processes are the reactions of water in soil and the diffusion due to concentration gradient; atmosphere-soil transport is dependent of surface characteristics (granulation, humidity, roughness, etc.); the conversion rate of HT to HTO is not well known and is dependent on active microorganism concentration in soil and on soil humidity. More experimental data are needed to decrease the uncertainty of transfer parameter, for the definition of the influence of vegetation, etc. (authors)
Colloid transport in model fracture filling materials
Wold, S.; Garcia-Garcia, S.; Jonsson, M.
2010-12-01
Colloid transport in model fracture filling materials Susanna Wold*, Sandra García-García and Mats Jonsson KTH Chemical Science and Engineering Royal Institute of Technology, SE-100 44 Stockholm, Sweden *Corresponding author: E-mail: wold@kth.se Phone: +46 8 790 6295 In colloid transport in water-bearing fractures, the retardation depends on interactions with the fracture surface by sorption or filtration. These mechanisms are difficult to separate. A rougher surface will give a larger area available for sorption, and also when a particle is physically hindered, it approaches the surface and enables further sorption. Sorption can be explained by electrostatics were the strongest sorption on minerals always is observed at pH below pHpzc (Filby et al., 2008). The adhesion of colloids to mineral surfaces is related to the surface roughness according to a recent study (Darbha et al., 2010). There is a large variation in the characteristics of water-bearing fractures in bedrock in terms of aperture distribution, flow velocity, surface roughness, mineral distributions, presence of fracture filling material, and biological and organic material, which is hard to implement in modeling. The aim of this work was to study the transport of negatively charged colloids in model fracture filling material in relation to flow, porosity, mineral type, colloid size, and surface charge distribution. In addition, the impact on transport of colloids of mixing model fracture filling materials with different retention and immobilization capacities, determined by batch sorption experiments, was investigated. The transport of Na-montmorillonite colloids and well-defined negatively charged latex microspheres of 50, 100, and 200 nm diameter were studied in either columns containing quartz or quartz mixed with biotite. The ionic strength in the solution was exclusively 0.001 and pH 6 or 8.5. The flow rates used were 0.002, 0.03, and 0.6 mL min-1. Sorption of the colloids on the model fracture
DEFF Research Database (Denmark)
Venkateshwarlu Venkat, Guidipati; Bruni Let, Mette; Meyer, Anne S.
2004-01-01
and highlighted the importance of two-factor interactions for contribution toward off-flavors. The results suggest that (EZ)-2,6-nonadienal and 1-penten-3-one could be useful markers for fishy and metallic off-flavors in fish oil and fish oil enriched foods. Within the addition levels of the volatiles...... volatiles were subjected to sensory descriptive analysis for fishy and metallic off-flavors. The data were analyzed using partial least-squares regression and multiple linear regression to develop mathematical models. The models revealed significant main effects of (EZ)-2,6-nonadienal and 1-penten-3-one...... there was a curvature effect of (EZ)-2,6-nonadienal, a compensatory effect of (Z)-4-heptenal and (EE)-2,4-heptadienal, and a synergistic effect of (EZ)-2,6-nonadienal and (Z)-4-heptenal in the development of fishy off-flavors...
Risk management model in road transport systems
Sakhapov, R. L.; Nikolaeva, R. V.; Gatiyatullin, M. H.; Makhmutov, M. M.
2016-08-01
The article presents the results of a study of road safety indicators that influence the development and operation of the transport system. Road safety is considered as a continuous process of risk management. Authors constructed a model that relates the social risks of a major road safety indicator - the level of motorization. The model gives a fairly accurate assessment of the level of social risk for any given level of motorization. Authors calculated the dependence of the level of socio-economic costs of accidents and injured people in them. The applicability of the concept of socio-economic damage is caused by the presence of a linear relationship between the natural and economic indicators damage from accidents. The optimization of social risk is reduced to finding the extremum of the objective function that characterizes the economic effect of the implementation of measures to improve safety. The calculations make it possible to maximize the net present value, depending on the costs of improving road safety, taking into account socio-economic damage caused by accidents. The proposed econometric models make it possible to quantify the efficiency of the transportation system, allow to simulate the change in road safety indicators.
Directory of Open Access Journals (Sweden)
Shu Wing Ho
2011-12-01
Full Text Available The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”. Our evidence suggests use of the Bayesian approach to estimate volatility can provide a more accurate measure of ex-ante stock price volatility and will be useful in the pricing of derivative securities where the implied stock price volatility cannot be observed.
Modeling in transport phenomena a conceptual approach
Tosun, Ismail
2007-01-01
Modeling in Transport Phenomena, Second Edition presents and clearly explains with example problems the basic concepts and their applications to fluid flow, heat transfer, mass transfer, chemical reaction engineering and thermodynamics. A balanced approach is presented between analysis and synthesis, students will understand how to use the solution in engineering analysis. Systematic derivations of the equations and the physical significance of each term are given in detail, for students to easily understand and follow up the material. There is a strong incentive in science and engineering to
Coupling of transport and geochemical models
International Nuclear Information System (INIS)
Noy, D.J.
1985-01-01
This contract stipulated separate pieces of work to consider mass transport in the far-field of a repository, and more detailed geochemical modelling of the groundwater in the near-field. It was envisaged that the far-field problem would be tackled by numerical solutions to the classical advection-diffusion equation obtained by the finite element method. For the near-field problem the feasibility of coupling existing geochemical equilibrium codes to the three dimensional groundwater flow codes was to be investigated. This report is divided into two sections with one part devoted to each aspect of this contract. (author)
Collective effects in microscopic transport models
International Nuclear Information System (INIS)
Greiner, Carsten
2003-01-01
We give a reminder on the major inputs of microscopic hadronic transport models and on the physics aims when describing various aspects of relativistic heavy ion collisions at SPS energies. We then first stress that the situation of particle ratios being reproduced by a statistical description does not necessarily mean a clear hint for the existence of a fully isotropic momentum distribution at hydrochemical freeze-out. Second, a short discussion on the status of strangeness production is given. Third we demonstrate the importance of a new collective mechanism for producing (strange) antibaryons within a hardonic description, which guarantees sufficiently fast chemical equilibration
A disaggregate freight transport model of transport chain and shipment size choice
Windisch, E.; De Jong, G.C.; Van Nes, R.; Hoogendoorn, S.P.
2010-01-01
The field of freight transport modelling is relatively young compared to passenger transport modelling. However, some key issues in freight policy, like growing freight shares on the road, advanced logistics concepts or emerging strict freight transport regulations, have been creating increasing
Uncertainty in reactive transport geochemical modelling
International Nuclear Information System (INIS)
Oedegaard-Jensen, A.; Ekberg, C.
2005-01-01
Full text of publication follows: Geochemical modelling is one way of predicting the transport of i.e. radionuclides in a rock formation. In a rock formation there will be fractures in which water and dissolved species can be transported. The composition of the water and the rock can either increase or decrease the mobility of the transported entities. When doing simulations on the mobility or transport of different species one has to know the exact water composition, the exact flow rates in the fracture and in the surrounding rock, the porosity and which minerals the rock is composed of. The problem with simulations on rocks is that the rock itself it not uniform i.e. larger fractures in some areas and smaller in other areas which can give different water flows. The rock composition can be different in different areas. In additions to this variance in the rock there are also problems with measuring the physical parameters used in a simulation. All measurements will perturb the rock and this perturbation will results in more or less correct values of the interesting parameters. The analytical methods used are also encumbered with uncertainties which in this case are added to the uncertainty from the perturbation of the analysed parameters. When doing simulation the effect of the uncertainties must be taken into account. As the computers are getting faster and faster the complexity of simulated systems are increased which also increase the uncertainty in the results from the simulations. In this paper we will show how the uncertainty in the different parameters will effect the solubility and mobility of different species. Small uncertainties in the input parameters can result in large uncertainties in the end. (authors)
Akihiko Takahashi; Kohta Takehara
2007-01-01
This paper proposes an asymptotic expansion scheme of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas for the density functions of the underlying assets and for pricing currency options based on the third order asymptotic expansion scheme; we do not model a foreign exchange rate's variance such as in Heston[1993], but its volatility that follows a general time-inho...
Conceptual and Numerical Models for UZ Flow and Transport
International Nuclear Information System (INIS)
Liu, H.
2000-01-01
The purpose of this Analysis/Model Report (AMR) is to document the conceptual and numerical models used for modeling of unsaturated zone (UZ) fluid (water and air) flow and solute transport processes. This is in accordance with ''AMR Development Plan for U0030 Conceptual and Numerical Models for Unsaturated Zone (UZ) Flow and Transport Processes, Rev 00''. The conceptual and numerical modeling approaches described in this AMR are used for models of UZ flow and transport in fractured, unsaturated rock under ambient and thermal conditions, which are documented in separate AMRs. This AMR supports the UZ Flow and Transport Process Model Report (PMR), the Near Field Environment PMR, and the following models: Calibrated Properties Model; UZ Flow Models and Submodels; Mountain-Scale Coupled Processes Model; Thermal-Hydrologic-Chemical (THC) Seepage Model; Drift Scale Test (DST) THC Model; Seepage Model for Performance Assessment (PA); and UZ Radionuclide Transport Models
International Nuclear Information System (INIS)
Deng, Baoqing; Ge, Di; Li, Jiajia; Guo, Yuan; Kim, Chang Nyung
2013-01-01
A double-exponential surface sink model for VOCs sorption on building materials is presented. Here, the diffusion of VOCs in the material is neglected and the material is viewed as a surface sink. The VOCs concentration in the air adjacent to the material surface is introduced and assumed to always maintain equilibrium with the material-phase concentration. It is assumed that the sorption can be described by mass transfer between the room air and the air adjacent to the material surface. The mass transfer coefficient is evaluated from the empirical correlation, and the equilibrium constant can be obtained by linear fitting to the experimental data. The present model is validated through experiments in small and large test chambers. The predicted results accord well with the experimental data in both the adsorption stage and desorption stage. The model avoids the ambiguity of model constants found in other surface sink models and is easy to scale up
Macroeconomic and financial market volatilities: an empirical evidence of factor model
Wei-Choun Yu
2008-01-01
In this paper, we provide two empirical findings. First, exploring 140 monthly macroeconomic and financial variables and applying the principal components method, we find 12 static factors and 8 dynamic factors from 1959 to 2005 in the US. Second, we find the real factor and interest rate factor have been less volatile since the mid 1980s. The price factor and foreign exchange factor, in contrast, became more volatile in the late 1990s. The rest of the factors show no obvious pattern. We find...
AN EXAMINATION OF THE LEVERAGE EFFECT IN THE ISE WITH STOCHASTIC VOLATILITY MODEL
Directory of Open Access Journals (Sweden)
YELİZ YALÇIN
2013-06-01
Full Text Available The purpose of this paper is the asses the leverage effect of the Istanbul Stock Exchange within the Stochastic Volatility framework in the period 01.01.1990 – 11.08.2006. The relationship between risk and return is a well established phenomenon in Financial Econometerics. Both positive and negative relationship has been reported in the empirical literature. That use the conditional variance the empirical evidence provided in this paper from the Stochastic Volatility is to be negative feed back effect and statistically insignificant leverage effect.
Model of reversible vesicular transport with exclusion
International Nuclear Information System (INIS)
Bressloff, Paul C; Karamched, Bhargav R
2016-01-01
A major question in neurobiology concerns the mechanics behind the motor-driven transport and delivery of vesicles to synaptic targets along the axon of a neuron. Experimental evidence suggests that the distribution of vesicles along the axon is relatively uniform and that vesicular delivery to synapses is reversible. A recent modeling study has made explicit the crucial role that reversibility in vesicular delivery to synapses plays in achieving uniformity in vesicle distribution, so called synaptic democracy (Bressloff et al 2015 Phys. Rev. Lett. 114 168101). In this paper we generalize the previous model by accounting for exclusion effects (hard-core repulsion) that may occur between molecular motor-cargo complexes (particles) moving along the same microtubule track. The resulting model takes the form of an exclusion process with four internal states, which distinguish between motile and stationary particles, and whether or not a particle is carrying vesicles. By applying a mean field approximation and an adiabatic approximation we reduce the system of ODEs describing the evolution of occupation numbers of the sites on a 1D lattice to a system of hydrodynamic equations in the continuum limit. We find that reversibility in vesicular delivery allows for synaptic democracy even in the presence of exclusion effects, although exclusion does exacerbate nonuniform distributions of vesicles in an axon when compared with a model without exclusion. We also uncover the relationship between our model and other models of exclusion processes with internal states. (paper)
Molecular modeling of the green leaf volatile methyl salicylate on atmospheric air/water interfaces.
Liyana-Arachchi, Thilanga P; Hansel, Amie K; Stevens, Christopher; Ehrenhauser, Franz S; Valsaraj, Kalliat T; Hung, Francisco R
2013-05-30
Methyl salicylate (MeSA) is a green leaf volatile (GLV) compound that is emitted in significant amounts by plants, especially when they are under stress conditions. GLVs can then undergo chemical reactions with atmospheric oxidants, yielding compounds that contribute to the formation of secondary organic aerosols (SOAs). We investigated the adsorption of MeSA on atmospheric air/water interfaces at 298 K using thermodynamic integration (TI), potential of mean force (PMF) calculations, and classical molecular dynamics (MD) simulations. Our molecular models can reproduce experimental results of the 1-octanol/water partition coefficient of MeSA. A deep free energy minimum was found for MeSA at the air/water interface, which is mainly driven by energetic interactions between MeSA and water. At the interface, the oxygenated groups in MeSA tend to point toward the water side of the interface, with the aromatic group of MeSA lying farther away from water. Increases in the concentrations of MeSA lead to reductions in the height of the peaks in the MeSA-MeSA g(r) functions, a slowing down of the dynamics of both MeSA and water at the interface, and a reduction in the interfacial surface tension. Our results indicate that MeSA has a strong thermodynamic preference to remain at the air/water interface, and thus chemical reactions with atmospheric oxidants are more likely to take place at this interface, rather than in the water phase of atmospheric water droplets or in the gas phase.
A Lagrangian mixing frequency model for transported PDF modeling
Turkeri, Hasret; Zhao, Xinyu
2017-11-01
In this study, a Lagrangian mixing frequency model is proposed for molecular mixing models within the framework of transported probability density function (PDF) methods. The model is based on the dissipations of mixture fraction and progress variables obtained from Lagrangian particles in PDF methods. The new model is proposed as a remedy to the difficulty in choosing the optimal model constant parameters when using conventional mixing frequency models. The model is implemented in combination with the Interaction by exchange with the mean (IEM) mixing model. The performance of the new model is examined by performing simulations of Sandia Flame D and the turbulent premixed flame from the Cambridge stratified flame series. The simulations are performed using the pdfFOAM solver which is a LES/PDF solver developed entirely in OpenFOAM. A 16-species reduced mechanism is used to represent methane/air combustion, and in situ adaptive tabulation is employed to accelerate the finite-rate chemistry calculations. The results are compared with experimental measurements as well as with the results obtained using conventional mixing frequency models. Dynamic mixing frequencies are predicted using the new model without solving additional transport equations, and good agreement with experimental data is observed.
Documentation of TRU biological transport model (BIOTRAN)
Energy Technology Data Exchange (ETDEWEB)
Gallegos, A.F.; Garcia, B.J.; Sutton, C.M.
1980-01-01
Inclusive of Appendices, this document describes the purpose, rationale, construction, and operation of a biological transport model (BIOTRAN). This model is used to predict the flow of transuranic elements (TRU) through specified plant and animal environments using biomass as a vector. The appendices are: (A) Flows of moisture, biomass, and TRU; (B) Intermediate variables affecting flows; (C) Mnemonic equivalents (code) for variables; (D) Variable library (code); (E) BIOTRAN code (Fortran); (F) Plants simulated; (G) BIOTRAN code documentation; (H) Operating instructions for BIOTRAN code. The main text is presented with a specific format which uses a minimum of space, yet is adequate for tracking most relationships from their first appearance to their formulation in the code. Because relationships are treated individually in this manner, and rely heavily on Appendix material for understanding, it is advised that the reader familiarize himself with these materials before proceeding with the main text.
Documentation of TRU biological transport model (BIOTRAN)
International Nuclear Information System (INIS)
Gallegos, A.F.; Garcia, B.J.; Sutton, C.M.
1980-01-01
Inclusive of Appendices, this document describes the purpose, rationale, construction, and operation of a biological transport model (BIOTRAN). This model is used to predict the flow of transuranic elements (TRU) through specified plant and animal environments using biomass as a vector. The appendices are: (A) Flows of moisture, biomass, and TRU; (B) Intermediate variables affecting flows; (C) Mnemonic equivalents (code) for variables; (D) Variable library (code); (E) BIOTRAN code (Fortran); (F) Plants simulated; (G) BIOTRAN code documentation; (H) Operating instructions for BIOTRAN code. The main text is presented with a specific format which uses a minimum of space, yet is adequate for tracking most relationships from their first appearance to their formulation in the code. Because relationships are treated individually in this manner, and rely heavily on Appendix material for understanding, it is advised that the reader familiarize himself with these materials before proceeding with the main text
Parameter optimization for surface flux transport models
Whitbread, T.; Yeates, A. R.; Muñoz-Jaramillo, A.; Petrie, G. J. D.
2017-11-01
Accurate prediction of solar activity calls for precise calibration of solar cycle models. Consequently we aim to find optimal parameters for models which describe the physical processes on the solar surface, which in turn act as proxies for what occurs in the interior and provide source terms for coronal models. We use a genetic algorithm to optimize surface flux transport models using National Solar Observatory (NSO) magnetogram data for Solar Cycle 23. This is applied to both a 1D model that inserts new magnetic flux in the form of idealized bipolar magnetic regions, and also to a 2D model that assimilates specific shapes of real active regions. The genetic algorithm searches for parameter sets (meridional flow speed and profile, supergranular diffusivity, initial magnetic field, and radial decay time) that produce the best fit between observed and simulated butterfly diagrams, weighted by a latitude-dependent error structure which reflects uncertainty in observations. Due to the easily adaptable nature of the 2D model, the optimization process is repeated for Cycles 21, 22, and 24 in order to analyse cycle-to-cycle variation of the optimal solution. We find that the ranges and optimal solutions for the various regimes are in reasonable agreement with results from the literature, both theoretical and observational. The optimal meridional flow profiles for each regime are almost entirely within observational bounds determined by magnetic feature tracking, with the 2D model being able to accommodate the mean observed profile more successfully. Differences between models appear to be important in deciding values for the diffusive and decay terms. In like fashion, differences in the behaviours of different solar cycles lead to contrasts in parameters defining the meridional flow and initial field strength.
Concept Layout Model of Transportation Terminals
Yao, Li-ya; Sun, Li-shan; Wang, Wu-hong; Xiong, Hui
2012-01-01
Transportation terminal is the key node in transport systems. Efficient terminals can improve operation of passenger transportation networks, adjust the layout of public transportation networks, provide a passenger guidance system, and regulate the development of commercial forms, as well as optimize the assembly and distribution of modern logistic modes, among others. This study aims to clarify the relationship between the function and the structure of transportation terminals and establish ...
A Theoretic Model of Transport Logistics Demand
Natalija Jolić; Nikolina Brnjac; Ivica Oreb
2006-01-01
Concerning transport logistics as relation between transportand integrated approaches to logistics, some transport and logisticsspecialists consider the tenn tautological. However,transport is one of the components of logistics, along with inventories,resources, warehousing, infonnation and goods handling.Transport logistics considers wider commercial and operationalframeworks within which the flow of goods is plannedand managed. The demand for transport logistics services canbe valorised as ...
Directory of Open Access Journals (Sweden)
Hegerty Scott W.
2015-11-01
Full Text Available Recent commodity price declines have added to worldwide macroeconomic risk, which has had serious effects on both commodity exporters and manufacturers that use oil and raw materials. These effects have been keenly felt in Central and Eastern Europe—particularly in Russia, but also in European Union member states. This study tests for spillovers among commodity-price and macroeconomic volatility by applying a VAR(1-MGARCH model to monthly time series for eight CEE countries. Overall, we find that oil prices do indeed have effects throughout the region, as do spillovers among exchange rates, inflation, interest rates, and output, but that they differ from country to country—particularly when different degrees of transition and integration are considered. While oil prices have a limited impact on the currencies of Russia and Ukraine, they do make a much larger contribution to the two countries’ macroeconomic volatility than do spillovers among the other macroeconomic variables.
GREET 1.5 - transportation fuel-cycle model - Vol. 1 : methodology, development, use, and results
International Nuclear Information System (INIS)
Wang, M. Q.
1999-01-01
This report documents the development and use of the most recent version (Version 1.5) of the Greenhouse Gases, Regulated Emissions, and Energy Use in Transportation (GREET) model. The model, developed in a spreadsheet format, estimates the full fuel-cycle emissions and energy associated with various transportation fuels and advanced vehicle technologies for light-duty vehicles. The model calculates fuel-cycle emissions of five criteria pollutants (volatile organic compounds, carbon monoxide, nitrogen oxides, particulate matter with diameters of 10 micrometers or less, and sulfur oxides) and three greenhouse gases (carbon dioxide, methane, and nitrous oxide). The model also calculates total energy consumption, fossil fuel consumption, and petroleum consumption when various transportation fuels are used. The GREET model includes the following cycles: petroleum to conventional gasoline, reformulated gasoline, conventional diesel, reformulated diesel, liquefied petroleum gas, and electricity via residual oil; natural gas to compressed natural gas, liquefied natural gas, liquefied petroleum gas, methanol, Fischer-Tropsch diesel, dimethyl ether, hydrogen, and electricity; coal to electricity; uranium to electricity; renewable energy (hydropower, solar energy, and wind) to electricity; corn, woody biomass, and herbaceous biomass to ethanol; soybeans to biodiesel; flared gas to methanol, dimethyl ether, and Fischer-Tropsch diesel; and landfill gases to methanol. This report also presents the results of the analysis of fuel-cycle energy use and emissions associated with alternative transportation fuels and advanced vehicle technologies to be applied to passenger cars and light-duty trucks
Modelling of sediment transport at Muria peninsula coastal, Jepara
International Nuclear Information System (INIS)
Heni Susiati; Yarianto SBS; Wahyu Pandoe; Eko Kusratmoko; Aris Poniman
2010-01-01
Modelling of transport sediment modelling at Muria Peninsula have been done. In this study we had been used mathematical model that consist of hydrodynamics and sediment transport . Data input for modelling has been used tidal, monsoon wind, and river debit. Simulation result of sediment transport modelling showed that tides pattern and seasonal variations are the main causes of variations in the suspended sediment distribution in Muria Peninsula. (author)
Ecosystem element transport model for Lake Eckarfjaerden
Energy Technology Data Exchange (ETDEWEB)
Konovalenko, L.; Bradshaw, C. [The Department of Ecology, Environment and Plant Sciences, Stockholm University (Sweden); Andersson, E.; Kautsky, U. [Swedish Nuclear Fuel and Waste Management Co. - SKB (Sweden)
2014-07-01
The ecosystem transport model of elements was developed for Lake Eckarfjaerden located in the Forsmark area in Sweden. Forsmark has currently a low level repository (SFR) and a repository for spent fuel is planned. A large number of data collected during site-investigation program 2002-2009 for planning the repository were available for the creation of the compartment model based on carbon circulation, physical and biological processes (e.g. primary production, consumption, respiration). The model is site-specific in the sense that the food web model is adapted to the actual food web at the site, and most estimates of biomass and metabolic rates for the organisms and meteorological data originate from site data. The functional organism groups of Lake Eckarfjaerden were considered as separate compartments: bacterio-plankton, benthic bacteria, macro-algae, phytoplankton, zooplankton, fish, benthic fauna. Two functional groups of bacteria were taken into account for the reason that they have the highest biomass of all functional groups during the winter, comprising 36% of the total biomass. Effects of ecological parameters, such as bacteria and algae biomass, on redistribution of a hypothetical radionuclide release in the lake were examined. The ecosystem model was used to estimate the environmental transfer of several elements (U, Th, Ra) and their isotopes (U-238, U-234,Th-232, Ra-226) to various aquatic organisms in the lake, using element-specific distribution coefficients for suspended particle and sediment. Results of chemical analyses of the water, sediment and biota were used for model validation. The model gives estimates of concentration factors for fish based on modelling rather on in situ measurement, which reduces the uncertainties for many radionuclides with scarce of data. Document available in abstract form only. (authors)
Czech Academy of Sciences Publication Activity Database
Coelho, J.P.; Cristino, A.F.; Matos, P.G.; Rauter, A.P.; Nobre, B.P.; Mendes, R.L.; Barroso, J.G.; Mainar, A.; Urieta, J.S.; Fareleira, J.M.N.A.; Sovová, Helena; Palavra, A.F.
2012-01-01
Roč. 17, č. 9 (2012), s. 10550-10573 ISSN 1420-3049 Grant - others:FST(PT) SFRH/BPD/42004/2007; FST(PT) SFRH/BD/48596/2008 Institutional support: RVO:67985858 Keywords : essential oils * volatile iols * supercritical fluids Subject RIV: CI - Industrial Chemistry, Chemical Engineering Impact factor: 2.428, year: 2012
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
DEFF Research Database (Denmark)
Creel, Michael; Kristensen, Dennis
and latent variables. We show how the methods can incorporate intra-daily information to improve on the estimation and filtering. In particular, the availability of realized volatility measures help us in learning about parameters and latent states. The method is employed in the estimation of a flexible...
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
DEFF Research Database (Denmark)
Christiansen, Charlotte; Hansen, Charlotte Strunk
2002-01-01
We analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill rate. These options have not been studied previously. It is shown that a European style put option on the interest rate is equivalent to a call option on a zero-coupon bond. We apply the LIBOR...
DEFF Research Database (Denmark)
Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per Houmann
arrival process. On applying our sequential test procedure to the thirty individual stocks in the Dow Jones Industrial Average index, the data suggest that it is important to allow for both time-varying diffusive volatility, jumps, and leverage effects in order to satisfactorily describe the daily stock...
A model Apparatus for Isolation of Volatile Oils from Various Plant Materials
Directory of Open Access Journals (Sweden)
Mahdi T. AI-Kaisey
2018-02-01
The present paper givas a detailed description of apparatus which were sutable for isola.tion the lighter and tile heavier u.('-m water volatile oils fronl differenet plant materials. Meanwhile tbe purity of tile concentrates were ex lrined by g-aS liquid chromato graphy( GLe.
Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach
Cyril Grunspan
2011-01-01
We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied lognormal volatility in terms of a power series in call price.
Directory of Open Access Journals (Sweden)
Maxim Ioan
2009-05-01
Full Text Available In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a
Total Oxidation of Model Volatile Organic Compounds over Some Commercial Catalysts
Czech Academy of Sciences Publication Activity Database
Matějová, Lenka; Topka, Pavel; Jirátová, Květa; Šolcová, Olga
2012-01-01
Roč. 443, NOV 7 (2012), s. 40-49 ISSN 0926-860X R&D Projects: GA MPO FR-TI1/059 Institutional support: RVO:67985858 Keywords : volatile organic compounds * oxidation * ethanol Subject RIV: DM - Solid Waste and Recycling Impact factor: 3.410, year: 2012
High Throughput Exposure Modeling of Semi-Volatile Chemicals in Articles of Commerce (SOT)
Chemical components of consumer products and articles of commerce such as carpet and clothing are key drivers of exposure in the near-field environment. These chemicals include semi-volatile organic compounds (SVOCs), some of which have been shown to alter endocrine functionality...
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
DEFF Research Database (Denmark)
Podolskij, Mark; Ziggel, Daniel
statistic. Under rather weak assumptions on the drift and volatility we prove weak convergence of the test statistic to a centered mixed Gaussian distribution. As a consequence we obtain a test, which is consistent for any fixed alternative. Moreover, we present a parametric bootstrap procedure which...
Numerical Modelling Approaches for Sediment Transport in Sewer Systems
DEFF Research Database (Denmark)
Mark, Ole
A study of the sediment transport processes in sewers has been carried out. Based on this study a mathematical modelling system has been developed to describe the transport processes of sediments and dissolved matter in sewer systems. The modelling system consists of three sub-models which...... constitute the basic modelling system necessary to give a discription of the most dominant physical transport processes concerning particles and dissolved matter in sewer systems: A surface model. An advection-dispersion model. A sediment transport model....
Tsimpidi, A. P.; Karydis, V. A.; Pandis, S. N.; Zavala, M.; Lei, W.; Molina, L. T.
2007-12-01
Anthropogenic air pollution is an increasingly serious problem for public health, agriculture, and global climate. Organic material (OM) contributes ~ 20-50% to the total fine aerosol mass at continental mid-latitudes. Although OM accounts for a large fraction of PM2.5 concentration worldwide, the contributions of primary and secondary organic aerosol have been difficult to quantify. In this study, new primary and secondary organic aerosol modules were added to PMCAMx, a three dimensional chemical transport model (Gaydos et al., 2007), for use with the SAPRC99 chemistry mechanism (Carter, 2000; ENVIRON, 2006) based on recent smog chamber studies (Robinson et al., 2007). The new modeling framework is based on the volatility basis-set approach (Lane et al., 2007): both primary and secondary organic components are assumed to be semivolatile and photochemically reactive and are distributed in logarithmically spaced volatility bins. The emission inventory, which uses as starting point the MCMA 2004 official inventory (CAM, 2006), is modified and the primary organic aerosol (POA) emissions are distributed by volatility based on dilution experiments (Robinson et al., 2007). Sensitivity tests where POA is considered as nonvolatile and POA and SOA as chemically reactive are also described. In all cases PMCAMx is applied in the Mexico City Metropolitan Area during March 2006. The modeling domain covers a 180x180x6 km region in the MCMA with 3x3 km grid resolution. The model predictions are compared with Aerodyne's Aerosol Mass Spectrometry (AMS) observations from the MILAGRO Campaign. References Robinson, A. L.; Donahue, N. M.; Shrivastava, M. K.; Weitkamp, E. A.; Sage, A. M.; Grieshop, A. P.; Lane, T. E.; Pandis, S. N.; Pierce, J. R., 2007. Rethinking organic aerosols: semivolatile emissions and photochemical aging. Science 315, 1259-1262. Gaydos, T. M.; Pinder, R. W.; Koo, B.; Fahey, K. M.; Pandis, S. N., 2007. Development and application of a three- dimensional aerosol
DEFF Research Database (Denmark)
Casas, Isabel; Gijbels, Irène
2012-01-01
The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common...... in Finance. Nonparametric estimators are well suited for these events due to the flexibility of their functional form and their good asymptotic properties. However, the local polynomial kernel estimators are not consistent at points where the volatility function has a break. The estimator presented...
A review of model applications for structured soils: b) Pesticide transport.
Köhne, John Maximilian; Köhne, Sigrid; Simůnek, Jirka
2009-02-16
The past decade has seen considerable progress in the development of models simulating pesticide transport in structured soils subject to preferential flow (PF). Most PF pesticide transport models are based on the two-region concept and usually assume one (vertical) dimensional flow and transport. Stochastic parameter sets are sometimes used to account for the effects of spatial variability at the field scale. In the past decade, PF pesticide models were also coupled with Geographical Information Systems (GIS) and groundwater flow models for application at the catchment and larger regional scales. A review of PF pesticide model applications reveals that the principal difficulty of their application is still the appropriate parameterization of PF and pesticide processes. Experimental solution strategies involve improving measurement techniques and experimental designs. Model strategies aim at enhancing process descriptions, studying parameter sensitivity, uncertainty, inverse parameter identification, model calibration, and effects of spatial variability, as well as generating model emulators and databases. Model comparison studies demonstrated that, after calibration, PF pesticide models clearly outperform chromatographic models for structured soils. Considering nonlinear and kinetic sorption reactions further enhanced the pesticide transport description. However, inverse techniques combined with typically available experimental data are often limited in their ability to simultaneously identify parameters for describing PF, sorption, degradation and other processes. On the other hand, the predictive capacity of uncalibrated PF pesticide models currently allows at best an approximate (order-of-magnitude) estimation of concentrations. Moreover, models should target the entire soil-plant-atmosphere system, including often neglected above-ground processes such as pesticide volatilization, interception, sorption to plant residues, root uptake, and losses by runoff. The
Lacaze, Pierre-Camille
2014-01-01
Written for scientists, researchers, and engineers, Non-volatile Memories describes the recent research and implementations in relation to the design of a new generation of non-volatile electronic memories. The objective is to replace existing memories (DRAM, SRAM, EEPROM, Flash, etc.) with a universal memory model likely to reach better performances than the current types of memory: extremely high commutation speeds, high implantation densities and retention time of information of about ten years.
Signal Processing Model for Radiation Transport
Energy Technology Data Exchange (ETDEWEB)
Chambers, D H
2008-07-28
This note describes the design of a simplified gamma ray transport model for use in designing a sequential Bayesian signal processor for low-count detection and classification. It uses a simple one-dimensional geometry to describe the emitting source, shield effects, and detector (see Fig. 1). At present, only Compton scattering and photoelectric absorption are implemented for the shield and the detector. Other effects may be incorporated in the future by revising the expressions for the probabilities of escape and absorption. Pair production would require a redesign of the simulator to incorporate photon correlation effects. The initial design incorporates the physical effects that were present in the previous event mode sequence simulator created by Alan Meyer. The main difference is that this simulator transports the rate distributions instead of single photons. Event mode sequences and other time-dependent photon flux sequences are assumed to be marked Poisson processes that are entirely described by their rate distributions. Individual realizations can be constructed from the rate distribution using a random Poisson point sequence generator.
Modelling the Global Transportation Systems for the Hydrogen Economy
Energy Technology Data Exchange (ETDEWEB)
Krzyzanowski, D.A.; Kypreos, S.
2004-03-01
A modelling analysis of the transportation system is described, focused on the market penetration of different transportation technologies (including Learning-by-Doing) until the year 2050. A general outline of the work and first preliminary results are presented. (author)
RAETRAD MODEL OF RADON GAS GENERATION, TRANSPORT, AND INDOOR ENTRY
The report describes the theoretical basis, implementation, and validation of the Radon Emanation and Transport into Dwellings (RAETRAD) model, a conceptual and mathematical approach for simulating radon (222Rn) gas generation and transport from soils and building foundations to ...
It’s all about volatility of volatility
DEFF Research Database (Denmark)
Grassi, Stefano; Santucci de Magistris, Paolo
2015-01-01
The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model f...
DEFF Research Database (Denmark)
Liu, W.; Lund, H.; Mathiesen, B.V.
2013-01-01
in China. With this purpose in mind, a Chinese transport model has been created and three current transport strategies which are high speed railway (HSR), urban rail transit (URT) and electric vehicle (EV) were evaluated together with a reference transport system in 2020. As conservative results, 13...
Probabilistic finite-size transport models for fusion: Anomalous transport and scaling laws
International Nuclear Information System (INIS)
Milligen, B.Ph. van; Sanchez, R.; Carreras, B.A.
2004-01-01
Transport in fusion plasmas in the low confinement mode is characterized by several remarkable properties: the anomalous scaling of transport with system size, stiff (or 'canonical') profiles, power degradation, and rapid transport phenomena. The present article explores the possibilities of constructing a unified transport model, based on the continuous-time random walk, in which all these phenomena are handled adequately. The resulting formalism appears to be sufficiently general to provide a sound starting point for the development of a full-blown plasma transport code, capable of incorporating the relevant microscopic transport mechanisms, and allowing predictions of confinement properties
Chemical Transport Models on Accelerator Architectures
Linford, J.; Sandu, A.
2008-12-01
Heterogeneous multicore chipsets with many layers of polymorphic parallelism are becoming increasingly common in high-performance computing systems. Homogeneous co-processors with many streaming processors also offer unprecedented peak floating-point performance. Effective use of parallelism in these new chipsets is paramount. We present optimization techniques for 3D chemical transport models to take full advantage of emerging Cell Broadband Engine and graphical processing unit (GPU) technology. Our techniques achieve 2.15x the per-node performance of an IBM BlueGene/P on the Cell Broadband Engine, and a strongly-scalable 1.75x the per-node performance of an IBM BlueGene/P on an NVIDIA GeForce 8600.
The Beasts' model of percolative transport
International Nuclear Information System (INIS)
Dubois, M.A.; Beaufume, P.; Fromont, B.
1991-12-01
A class of nonlinear dynamical systems is introduced: it is aimed to be a tool in order to study anomalous transport and percolation phenomena. We study a simple example of this system, and explore different regimes of transport exhibited
Octaviani, Mega; Tost, Holger; Lammel, Gerhard
2017-04-01
Polycyclic aromatic hydrocarbons (PAHs) are emitted by incomplete combustion from fossil fuel, vehicles, and biomass burning. They may persist in environmental compartments, pose a health hazard and may bio accumulate along food chains. The ECHAM/MESSy Atmospheric Chemistry (EMAC) model had been used to simulate global tropospheric, stratospheric chemistry and climate. In this study, we improve the model to include simulations of the transport and fate of semi-volatile organic compounds (SVOC). The EMAC-SVOC model takes into account essential environmental processes including gas-particle partitioning, dry and wet deposition, chemical and bio-degradation, and volatilization from sea surface, soils, vegetation, and snow. The model was evaluated against observational data in the Arctic, mid-latitudes, and tropics, and further applied to study total environmental lifetime and long-range transport potential (LRTP) of PAHs. We selected four compounds for study, spanning a wide range of volatility, i.e., phenanthrene, fluoranthene, pyrene, and benzo[a]pyrene. Several LRTP indicators were investigated, including the Arctic contamination potential, meridional spreading, and zonal and meridional fluxes to remote regions.
Directory of Open Access Journals (Sweden)
A. M. Vidal
2018-06-01
Full Text Available The main objective of this paper is to obtain extra virgin olive oils (EVOOs which are balanced in volatile and phenolic compounds. An experimental design was performed and response surface methodology was applied. The factors for malaxation were: temperature 20-40 °C, time 30-90 min, and hole diameter of hammer-crusher 4.5-6.5 mm. The results show that high temperatures and small hole diameter must be used in order to obtain a higher content in phenolic compounds, while for volatile compounds a low temperature and large hole diameter must be used. The models predict that the best and more balanced EVOO are obtained with the hole diameter of greater size and a medium-low temperature. Thus, for a hammer-crusher hole diameter of 6.5 mm 337 and 356 mg/kg total HPLC phenols were obtained for malaxation temperature of 20 and 25 °C, respectively and, likewise, 12.7 and 11.5 mg/kg total LOX volatiles.
Numerical Modelling of Sediment Transport in Combined Sewer Systems
DEFF Research Database (Denmark)
Schlütter, Flemming
A conceptual sediment transport model has been developed. Through a case study a comparison with other numerical models is performed.......A conceptual sediment transport model has been developed. Through a case study a comparison with other numerical models is performed....
A Process-Based Transport-Distance Model of Aeolian Transport
Naylor, A. K.; Okin, G.; Wainwright, J.; Parsons, A. J.
2017-12-01
We present a new approach to modeling aeolian transport based on transport distance. Particle fluxes are based on statistical probabilities of particle detachment and distributions of transport lengths, which are functions of particle size classes. A computational saltation model is used to simulate transport distances over a variety of sizes. These are fit to an exponential distribution, which has the advantages of computational economy, concordance with current field measurements, and a meaningful relationship to theoretical assumptions about mean and median particle transport distance. This novel approach includes particle-particle interactions, which are important for sustaining aeolian transport and dust emission. Results from this model are compared with results from both bulk- and particle-sized-specific transport equations as well as empirical wind tunnel studies. The transport-distance approach has been successfully used for hydraulic processes, and extending this methodology from hydraulic to aeolian transport opens up the possibility of modeling joint transport by wind and water using consistent physics. Particularly in nutrient-limited environments, modeling the joint action of aeolian and hydraulic transport is essential for understanding the spatial distribution of biomass across landscapes and how it responds to climatic variability and change.
Modeling and forecasting exchange rate volatility in time-frequency domain
Czech Academy of Sciences Publication Activity Database
Baruník, Jozef; Křehlík, Tomáš; Vácha, Lukáš
2016-01-01
Roč. 251, č. 1 (2016), s. 329-340 ISSN 0377-2217 R&D Projects: GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : Realized GARCH * Wavelet decomposition * Jumps * Multi-period-ahead volatility forecasting Subject RIV: AH - Economics Impact factor: 3.297, year: 2016 http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf
Combining high frequency data with non-linear models for forecasting energy market volatility
Czech Academy of Sciences Publication Activity Database
Baruník, Jozef; Křehlík, Tomáš
2016-01-01
Roč. 55, č. 1 (2016), s. 222-242 ISSN 0957-4174 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : artificial neural networks * realized volatility * multiple-step-ahead forecasts * energy markets Subject RIV: AH - Economics Impact factor: 3.928, year: 2016 http://library.utia.cas.cz/separaty/2016/E/barunik-0456185.pdf
Wang, Xuemei; Situ, Shuping; Chen, Weihua; Zheng, Junyu; Guenther, Alex; Fan, Qi; Chang, Ming
2016-08-01
This article compiles the actual knowledge of the biogenic volatile organic compound (BVOC) emissions estimated using model methods in the Pearl River Delta (PRD) region, one of the most developed regions in China. The developed history of BVOC emission models is presented briefly and three typical emission models are introduced and compared. The results from local studies related to BVOC emissions have been summarized. Based on this analysis, it is recommended that local researchers conduct BVOC emission studies systematically, from the assessment of model inputs, to compiling regional emission inventories to quantifying the uncertainties and evaluating the model results. Beyond that, more basic researches should be conducted in the future to close the gaps in knowledge on BVOC emission mechanisms, to develop the emission models and to refine the inventory results. This paper can provide a perspective on these aspects in the broad field of research associated with BVOC emissions in the PRD region. Copyright © 2016. Published by Elsevier B.V.
A transport model with color confinement
International Nuclear Information System (INIS)
Loh, S.
1997-01-01
First the mostly important properties of QCD are dealt with. It is made plausible, how the QCD vacuum generates a screening of color charges and is by this responsible for the quark confinement in color singlets. in the following the behaviour of classical color charges and color fields is studied and it is concluded that by this approximation, the neglection of quantum-mechanical fluctuation, the quark confinement cannot be explained, because the mean-field approximation leads to a screening of the color charges. Motivated by this result the Friedberg-Lee soliton model is presented, in which the the color confinement and all further nonperturbative QCD effects are phenomenologically modelled by means of a scalar field. Thereafter a derivation of the transport equations for quarks in the framework of the Wigner-function is presented. An extension of the equation to the Friedberg-Lee model is explained. As results the ground-state properties of the model are studied. Mesonic and baryonic ground-state solutions (soliton solutions) of the equations are constructed, whereby the constituents are both light quarks and heavy quarks. Furthermore the color coupling constant of QCD is fixed by means of the string tension by dynamical separation of the quarks of the meson. The flux tubes formed dynamically in this way are applied, in order to study the interaction of two strings and to calculate a string-string potential. Excited states of the meson (isovectorial modes) are presented as well as the influence of the color confinement on the quark motion. Finally the dynamical formation and the break-up of a string by the production of light and heavy quark pairs is described
Han, Shurong; Huang, Yeqing
2017-07-07
The study analysed the medical imaging technology business cycle from 1981 to 2009 and found that the volatility of consumption in Chinese medical imaging business was higher than that of the developed countries. The volatility of gross domestic product (GDP) and the correlation between consumption and GDP is also higher than that of the developed countries. Prior to the early 1990s the volatility of consumption is even higher than GDP. This fact makes it difficult to explain the volatile market using the standard one sector real economic cycle (REC) model. Contrary to the other domestic studies, this study considers a three-sector dynamical stochastic general equilibrium REC model. In this model there are two consumption sectors, whereby one is labour intensive and another is capital intensive. The more capital intensive investment sector only introduces technology shocks in the medical imaging market. Our response functions and Monte-Carlo simulation results show that the model can explain 90% of the volatility of consummation relative to GDP, and explain the correlation between consumption and GDP. The results demonstrated the significant correlation between the technological reform in medical imaging and volatility in the labour market on Chinese macro economy development.
Modeling sheet-flow sand transport under progressive surface waves
Kranenburg, Wouter
2013-01-01
In the near-shore zone, energetic sea waves generate sheet-flow sand transport. In present day coastal models, wave-induced sheet-flow sand transport rates are usually predicted with semi-empirical transport formulas, based on extensive research on this phenomenon in oscillatory flow tunnels.
DOES ENERGY CONSUMPTION VOLATILITY AFFECT REAL GDP VOLATILITY? AN EMPIRICAL ANALYSIS FOR THE UK
Directory of Open Access Journals (Sweden)
Abdul Rashid
2013-10-01
Full Text Available This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP volatility. The results from the Markov regime-switching model show that the variability of energy consumption has a significant role to play in determining the behavior of GDP volatilities. Moreover, the results suggest that the impacts of unpredictable variations in energy consumption on GDP volatility are asymmetric, depending on the intensity of volatility. In particular, we find that while there is no significant contemporaneous relationship between energy consumption volatility and GDP volatility in the first (low-volatility regime, GDP volatility is significantly positively related to the volatility of energy utilization in the second (high-volatility regime.
Modeling and analysis of transport in the mammary glands
International Nuclear Information System (INIS)
Quezada, Ana; Vafai, Kambiz
2014-01-01
The transport of three toxins moving from the blood stream into the ducts of the mammary glands is analyzed in this work. The model predictions are compared with experimental data from the literature. The utility of the model lies in its potential to improve our understanding of toxin transport as a pre-disposing factor to breast cancer. This work is based on a multi-layer transport model to analyze the toxins present in the breast milk. The breast milk in comparison with other sampling strategies allows us to understand the mass transport of toxins once inside the bloodstream of breastfeeding women. The multi-layer model presented describes the transport of caffeine, DDT and cimetidine. The analysis performed takes into account the unique transport mechanisms for each of the toxins. Our model predicts the movement of toxins and/or drugs within the mammary glands as well as their bioaccumulation in the tissues. (paper)
Modeling and analysis of transport in the mammary glands
Quezada, Ana; Vafai, Kambiz
2014-08-01
The transport of three toxins moving from the blood stream into the ducts of the mammary glands is analyzed in this work. The model predictions are compared with experimental data from the literature. The utility of the model lies in its potential to improve our understanding of toxin transport as a pre-disposing factor to breast cancer. This work is based on a multi-layer transport model to analyze the toxins present in the breast milk. The breast milk in comparison with other sampling strategies allows us to understand the mass transport of toxins once inside the bloodstream of breastfeeding women. The multi-layer model presented describes the transport of caffeine, DDT and cimetidine. The analysis performed takes into account the unique transport mechanisms for each of the toxins. Our model predicts the movement of toxins and/or drugs within the mammary glands as well as their bioaccumulation in the tissues.
International Nuclear Information System (INIS)
Auer, Benjamin R.
2016-01-01
Based on a dynamic model for the high/low range of electricity prices, this article analyses the effects of Germany's green energy policy on the volatility of the electricity market. Using European Energy Exchange data from 2000 to 2015, we find rather high volatility in the years 2000–2009 but also that the weekly price range has significantly declined in the period following the year 2009. This period is characterised by active regulation under the Energy Industry Law (EnWG), the EU Emissions Trading Directive (ETD) and the Renewable Energy Law (EEG). In contrast to the preceding period, price jumps are smaller and less frequent (especially for day-time hours), implying that current policy measures are effective in promoting renewable energies while simultaneously upholding electricity market stability. This is because the regulations strive towards a more and more flexible and market-oriented structure which allows better integration of renewable energies and supports an efficient alignment of renewable electricity supply with demand. - Highlights: • We estimate a CARR model for German electricity price data. • We augment the model by dummies capturing important regulations. • We find a significant decline in the price range after the year 2009. • This implies effective price stabilisation by German energy policy.
Energy Technology Data Exchange (ETDEWEB)
Wang, De-Gao, E-mail: degaowang@dlmu.edu.cn; Du, Juan; Pei, Wei; Liu, Yongjun; Guo, Mingxing
2015-04-15
The fate of cyclic and linear volatile methylsiloxanes (VMSs) was evaluated in a wastewater treatment plant (WWTP) using constant water level sequencing batch reactors from Dalian, China. Influent, effluent, and sewage sludge samples were collected for seven consecutive days. The mean concentrations of cyclic VMSs (cVMSs) in influent and effluent samples are 1.05 μg L{sup −1} and 0.343 μg L{sup −1}; the total removal efficiency of VMSs is > 60%. Linear VMS (lVMS) concentration is under the quantification limitation in aquatic samples but is found in sludge samples with a value of 90 μg kg{sup −1}. High solid-water partition coefficients result in high VMS concentrations in sludge with the mean value of 5030 μg kg{sup −1}. No significant differences of the daily mass flows are found when comparing the concentration during the weekend and during working days. The estimated mass load of total cVMSs is 194 mg d{sup −1} 1000 inhabitants{sup −1} derived for the population. A mass balance model of the WWTP was developed and derived to simulate the fate of cVMSs. The removal by sorption on sludge increases, and the volatilization decreases with increasing hydrophobicity and decreasing volatility for cVMSs. Sensitivity analysis shows that the total suspended solid concentration in the effluent, mixed liquor suspended solid concentration, the sewage sludge flow rate, and the influent flow rate are the most influential parameters on the mass distribution of cVMSs in this WWTP. - Highlights: • A mass balance model for siloxanes was developed in sequencing batch reactor. • Total suspended solid in effluent has the most influence on removal efficiency. • Enhancement of suspended solid removal reduces the release to aquatic environment.
Ator, Scott; Garcia, Ana Maria.
2016-01-01
Understanding spatial variability in contaminant fate and transport is critical to efficient regional water-quality restoration. An approach to capitalize on previously calibrated spatially referenced regression (SPARROW) models to improve the understanding of contaminant fate and transport was developed and applied to the case of nitrogen in the 166,000 km2 Chesapeake Bay watershed. A continuous function of four hydrogeologic, soil, and other landscape properties significant (α = 0.10) to nitrogen transport from uplands to streams was evaluated and compared among each of the more than 80,000 individual catchments (mean area, 2.1 km2) in the watershed. Budgets (including inputs, losses or net change in storage in uplands and stream corridors, and delivery to tidal waters) were also estimated for nitrogen applied to these catchments from selected upland sources. Most (81%) of such inputs are removed, retained, or otherwise processed in uplands rather than transported to surface waters. Combining SPARROW results with previous budget estimates suggests 55% of this processing is attributable to denitrification, 23% to crop or timber harvest, and 6% to volatilization. Remaining upland inputs represent a net annual increase in landscape storage in soils or biomass exceeding 10 kg per hectare in some areas. Such insights are important for planning watershed restoration and for improving future watershed models.
Cuffia, Facundo; Bergamini, Carina V; Wolf, Irma V; Hynes, Erica R; Perotti, María C
2018-01-01
Starter cultures of Lactobacillus helveticus used in hard cooked cheeses play an important role in flavor development. In this work, we studied the capacity of three strains of L. helveticus, two autochthonous (Lh138 and Lh209) and one commercial (LhB02), to grow and to produce volatile compounds in a hard cheese extract. Bacterial counts, pH, profiles of organic acids, carbohydrates, and volatile compounds were analyzed during incubation of extracts for 14 days at 37 ℃. Lactobacilli populations were maintained at 10 6 CFU ml -1 for Lh138, while decreases of approx. 2 log orders were found for LhB02 and Lh209. Both Lh209 and LhB02 slightly increased the acetic acid content whereas mild increase in lactic acid was produced by Lh138. The patterns of volatiles were dependent on the strain which reflect their distinct enzymatic machineries: LhB02 and Lh209 produced a greater diversity of compounds, while Lh138 was the least producer strain. Extracts inoculated with LhB02 and Lh 209 were characterized by ketones, esters, alcohols, aldehydes, and acids, whereas in the extracts with Lh138 the main compounds belonged to aromatic, aldehydes, and ketones groups. Therefore, Lh209 and LhB02 could represent the best cheese starters to improve and intensify the flavor, and even a starter composed by combinations of LhB02 or Lh209 with Lh138 could also be a strategy to diversify cheese flavor.
Progress in transport modelling of internal transport barrier plasmas in JET
International Nuclear Information System (INIS)
Tala, T.; Bourdelle, C.; Imbeaux, F.; Moreau, D.; Garbet, X.; Joffrin, E.; Laborde, L.; Litaudon, X.; Mazon, D.; Parail, V.; Corrigan, G.; Heading, D.; Crisanti, F.; Mantica, P.; Salmi, A.; Strand, P.; Weiland, J.
2005-01-01
This paper will report on the recent progress in transport modelling of Internal Transport Barrier (ITB) plasmas. Two separate issues will be covered, fully predictive transport modelling of ITBs in the multi-tokamak database, including micro-stability analyses of ITBs, and predictive closed-loop (i.e. real-time control) transport simulations of the q-profile and ITBs. For the first time, the predictive capabilities of the mixed Bohm/GyroBohm and Weiland transport models are investigated with discharges from the ITPA ITB database by fully predictive transport simulations. The predictive transport simulations with the Bohm/GyroBohm model agree very well with experimental results from JET and JT-60U. In order to achieve a good agreement in DIII-D, the stabilisation had to be included into the model, showing the significant role played by the stabilisation in governing the physics of the ITBs. The significant role of the stabilisation is also emphasised by the gyrokinetic analysis. The Weiland transport model shows only limited agreement between the model predictions and experimental results with respect to the formation and location of the ITB. The fully predictive closed-loop simulations with real-time control of the q-profile and ITB show that it is possible to reach various set-point profiles for q and ITB and control them for longer than a current diffusion time in JET using the same real-time control technique as in the experiments. (author)
Modelling global container freight transport demand
Tavasszy, L.A.; Ivanova, O.; Halim, R.A.
2015-01-01
The objective of this chapter is to discuss methods and techniques for a quantitative and descriptive analysis of future container transport demand at a global level. Information on future container transport flows is useful for various purposes. It is instrumental for the assessment of returns of
International Nuclear Information System (INIS)
Liu, Wen; Lund, Henrik; Mathiesen, Brian Vad
2013-01-01
Transport is one of the most challenge sectors when addressing energy security and climate change due to its high reliance on oil products and lack of the alternative fuels. This paper explores the ability of three transport strategies to contribute to the development of a sustainable transport in China. With this purpose in mind, a Chinese transport model has been created and three current transport strategies which are high speed railway (HSR), urban rail transit (URT) and electric vehicle (EV) were evaluated together with a reference transport system in 2020. As conservative results, 13% of the energy saving and 12% of the CO 2 emission reduction can be attained by accomplishing three strategies compared with the reference transport system. However, the energy demand of transport in 2020 with the implementation of three strategies will be about 1.7 times as much as today. The three strategies show the potential of drawing the transport demand to the more energy efficient vehicles; however, more initiatives are needed if the sustainable transport is the long term objective, such as the solutions to stabilise the private vehicle demands, to continuously improve the vehicle efficiency and to boost the alternative fuels produced from the renewable energy sources. - Highlights: • A Chinese transport model was created and three transport strategies were evaluated • Transport is the biggest driver of the oil demand in China not the industry • The energy demand of transport in 2020 will be twice as much as today • Strategies contribute 13% energy saving and 12% CO 2 emission reduction • More initiatives are needed if a sustainable transport is the long-term objective
Modeling emissions for three-dimensional atmospheric chemistry transport models.
Matthias, Volker; Arndt, Jan A; Aulinger, Armin; Bieser, Johannes; Denier Van Der Gon, Hugo; Kranenburg, Richard; Kuenen, Jeroen; Neumann, Daniel; Pouliot, George; Quante, Markus
2018-01-24
Poor air quality is still a threat for human health in many parts of the world. In order to assess measures for emission reductions and improved air quality, three-dimensional atmospheric chemistry transport modeling systems are used in numerous research institutions and public authorities. These models need accurate emission data in appropriate spatial and temporal resolution as input. This paper reviews the most widely used emission inventories on global and regional scale and looks into the methods used to make the inventory data model ready. Shortcomings of using standard temporal profiles for each emission sector are discussed and new methods to improve the spatio-temporal distribution of the emissions are presented. These methods are often neither top-down nor bottom-up approaches but can be seen as hybrid methods that use detailed information about the emission process to derive spatially varying temporal emission profiles. These profiles are subsequently used to distribute bulk emissions like national totals on appropriate grids. The wide area of natural emissions is also summarized and the calculation methods are described. Almost all types of natural emissions depend on meteorological information, which is why they are highly variable in time and space and frequently calculated within the chemistry transport models themselves. The paper closes with an outlook for new ways to improve model ready emission data, for example by using external databases about road traffic flow or satellite data to determine actual land use or leaf area. In a world where emission patterns change rapidly, it seems appropriate to use new types of statistical and observational data to create detailed emission data sets and keep emission inventories up-to-date. Emission data is probably the most important input for chemistry transport model (CTM) systems. It needs to be provided in high temporal and spatial resolution and on a grid that is in agreement with the CTM grid. Simple
Directory of Open Access Journals (Sweden)
Koichi Matsumura
2010-01-01
Full Text Available A potential strategy for diagnosing lung cancer, the leading cause of cancer-related death, is to identify metabolic signatures (biomarkers of the disease. Although data supports the hypothesis that volatile compounds can be detected in the breath of lung cancer patients by the sense of smell or through bioanalytical techniques, analysis of breath samples is cumbersome and technically challenging, thus limiting its applicability. The hypothesis explored here is that variations in small molecular weight volatile organic compounds ("odorants" in urine could be used as biomarkers for lung cancer. To demonstrate the presence and chemical structures of volatile biomarkers, we studied mouse olfactory-guided behavior and metabolomics of volatile constituents of urine. Sensor mice could be trained to discriminate between odors of mice with and without experimental tumors demonstrating that volatile odorants are sufficient to identify tumor-bearing mice. Consistent with this result, chemical analyses of urinary volatiles demonstrated that the amounts of several compounds were dramatically different between tumor and control mice. Using principal component analysis and supervised machine-learning, we accurately discriminated between tumor and control groups, a result that was cross validated with novel test groups. Although there were shared differences between experimental and control animals in the two tumor models, we also found chemical differences between these models, demonstrating tumor-based specificity. The success of these studies provides a novel proof-of-principle demonstration of lung tumor diagnosis through urinary volatile odorants. This work should provide an impetus for similar searches for volatile diagnostic biomarkers in the urine of human lung cancer patients.
International Nuclear Information System (INIS)
Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric
2014-01-01
Transmission of price shocks from one market to another one has long been investigated in the economic literature. However, studies have namely dealt with the relationship between financial and energy markets. With the recent changes in market conditions, investors, policy-makers and interest groups are giving special attention to food market. This paper aims at analyzing shock transmission between international food, energy and financial markets and to provide some insights into the volatility behavior during the past years and discuss its implications for portfolio management. To do this, we present a new time varying parameter VAR (TVP-VAR) model with stochastic volatility approach which provides extreme flexibility with a parsimonious specification. We resort also to a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering for the assessment of total and directional volatility spillovers. Our main findings suggest that volatility spillovers increase considerably during crisis and, namely after mid-2008, when stock markets become net transmitter of volatility shocks while crude oil becomes a net receiver. Shocks to crude oil or MSCI markets have immediate and short-term impacts on food markets which are emphasized during the financial crisis period. Moreover, we show that augmenting a diversified portfolio of food commodities with crude oil or stocks significantly increases its risk-adjusted performance. - Highlights: • We study shock transmission between food, energy and financial markets. • We use a new time-varying parameter VAR model with stochastic volatility. • There is volatility spillover from oil and stock markets to food. • Volatility spillovers increase considerably during crisis, namely after mid-2008. • Augmenting a portfolio of foods with oil or stocks increases its performance
Directory of Open Access Journals (Sweden)
Miletić Siniša
2015-01-01
Full Text Available The aim of this study is to envisage the impact of global financial (GFC and European sovereign debt crisis (ESDC on foreign exchange markets of emerg- ing countries in Central and Eastern Europe CEEC countries (Czech Republic, Hungary, Romania, poland and Serbia. The daily returns of exchange rates on Czech Republic koruna (CZK, Hungarian forint (HuF, Romanian lea (RoL, polish zloty (pLZ and Serbian dinar (RSD, all against the Euro are analyzed during the period from 3rd January 2000 to15th April 2013, in respect. To examine the impact of global financial crisis and European sovereign debt crisis, dummy variables were adopted. overall results imply that global financial crisis has no impact on exchange rate returns in selected CEEC countries, while European sovereign debt crisis inf luencing in depreciation of polish zloty by 8% and Roma- nian lea by 6%. obtained results by our calculation, imply that global financial crisis increased enhanced volatility on exchange rate returns of Czech koruna, Romanian lea and polish zloty. Moreover, results of empirical analysis imply that this impact has the strongest inf luence in volatility on exchange rate returns of polish zloty.
A nonparametric approach to forecasting realized volatility
Adam Clements; Ralf Becker
2009-01-01
A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility. The greatest weight is given to periods that exhibit the most similar market conditions to the time at which the forecast is being formed...
Batterman, Stuart; Su, Feng-Chiao; Li, Shi; Mukherjee, Bhramar; Jia, Chunrong
2015-01-01
INTRODUCTION Emission sources of volatile organic compounds (VOCs) are numerous and widespread in both indoor and outdoor environments. Concentrations of VOCs indoors typically exceed outdoor levels, and most people spend nearly 90% of their time indoors. Thus, indoor sources generally contribute the majority of VOC exposures for most people. VOC exposure has been associated with a wide range of acute and chronic health effects; for example, asthma, respiratory diseases, liver and kidney dysfunction, neurologic impairment, and cancer. Although exposures to most VOCs for most persons fall below health-based guidelines, and long-term trends show decreases in ambient emissions and concentrations, a subset of individuals experience much higher exposures that exceed guidelines. Thus, exposure to VOCs remains an important environmental health concern. The present understanding of VOC exposures is incomplete. With the exception of a few compounds, concentration and especially exposure data are limited; and like other environmental data, VOC exposure data can show multiple modes, low and high extreme values, and sometimes a large portion of data below method detection limits (MDLs). Field data also show considerable spatial or interpersonal variability, and although evidence is limited, temporal variability seems high. These characteristics can complicate modeling and other analyses aimed at risk assessment, policy actions, and exposure management. In addition to these analytic and statistical issues, exposure typically occurs as a mixture, and mixture components may interact or jointly contribute to adverse effects. However most pollutant regulations, guidelines, and studies remain focused on single compounds, and thus may underestimate cumulative exposures and risks arising from coexposures. In addition, the composition of VOC mixtures has not been thoroughly investigated, and mixture components show varying and complex dependencies. Finally, although many factors are
The price of fixed income market volatility
Mele, Antonio
2015-01-01
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...
Modeling of capacitated transportation systems for integral scheduling
Ebben, Mark; van der Heijden, Matthijs C.; Hurink, Johann L.; Schutten, Johannes M.J.
2003-01-01
Motivated by a planned automated cargo transportation network, we consider transportation problems in which the finite capacity of resources has to be taken into account. We present a flexible modeling methodology which allows to construct, evaluate, and improve feasible solutions. The modeling is
Modeling of capacitated transportation systems for integral scheduling
Ebben, Mark; van der Heijden, Matthijs C.; Hurink, Johann L.; Schutten, Johannes M.J.
2003-01-01
Motivated by a planned automated cargo transportation network, we consider transportation problems in which the finite capacity of resources has to be taken nto account. We present a flexible modeling methodology which allows to construct, evaluate, and improve feasible solutions. The modeling is
A Coupled Chemical and Mass Transport Model for Concrete Durability
DEFF Research Database (Denmark)
Jensen, Mads Mønster; Johannesson, Björn; Geiker, Mette Rica
2012-01-01
In this paper a general continuum theory is used to evaluate the service life of cement based materials, in terms of mass transport processes and chemical degradation of the solid matrix. The model established is a reactive mass transport model, based on an extended version of the Poisson-Nernst-...
Batterman, Stuart; Su, Feng-Chiao; Li, Shi; Mukherjee, Bhramar; Jia, Chunrong
2014-06-01
Emission sources of volatile organic compounds (VOCs*) are numerous and widespread in both indoor and outdoor environments. Concentrations of VOCs indoors typically exceed outdoor levels, and most people spend nearly 90% of their time indoors. Thus, indoor sources generally contribute the majority of VOC exposures for most people. VOC exposure has been associated with a wide range of acute and chronic health effects; for example, asthma, respiratory diseases, liver and kidney dysfunction, neurologic impairment, and cancer. Although exposures to most VOCs for most persons fall below health-based guidelines, and long-term trends show decreases in ambient emissions and concentrations, a subset of individuals experience much higher exposures that exceed guidelines. Thus, exposure to VOCs remains an important environmental health concern. The present understanding of VOC exposures is incomplete. With the exception of a few compounds, concentration and especially exposure data are limited; and like other environmental data, VOC exposure data can show multiple modes, low and high extreme values, and sometimes a large portion of data below method detection limits (MDLs). Field data also show considerable spatial or interpersonal variability, and although evidence is limited, temporal variability seems high. These characteristics can complicate modeling and other analyses aimed at risk assessment, policy actions, and exposure management. In addition to these analytic and statistical issues, exposure typically occurs as a mixture, and mixture components may interact or jointly contribute to adverse effects. However most pollutant regulations, guidelines, and studies remain focused on single compounds, and thus may underestimate cumulative exposures and risks arising from coexposures. In addition, the composition of VOC mixtures has not been thoroughly investigated, and mixture components show varying and complex dependencies. Finally, although many factors are known to
Numerical modelling of ion transport in flames
Han, Jie; Belhi, Memdouh; Bisetti, Fabrizio; Sarathy, Mani
2015-01-01
that changes in polarizability propagate with decreasing effect from binary transport coefficients to species number densities. We conclude that the chosen polarizability value has a limited effect on the ion distribution in freely propagating flames. We expect
Modeling the fate transport of cesium in crushed granite
International Nuclear Information System (INIS)
Lee, C.B.; Kuo, Y.M.; Hsu, C.N.; Li, M.H.; Cheng, H.P.; Teng, S.P.
2005-01-01
Full text of publication follows: In order to assess the safety of a underground radwaste repository, reactive transport models suitable for evaluating the fate and transport of radionuclides need to be established based on experimental observation and analysis. The goal of this study is to construct adequate models simulating the reactive transport of cesium (Cs) in crushed granite through a systematic analysis, where synthetic groundwater (SGW) and synthetic seawater (SSW) were employed as the liquid phase. To build such models, this study applied N 2 -BET, x-ray diffraction (XRD), polar-microscopy/ auto-radiography, and solid-phase digestion for the analysis of granite, kinetic batch tests for the characterization of sorption/desorption of Cs, and multi-stage advection-dispersion column tests for the determination of major transport processes and the calibration/validation of hypothesized reactive transport models. Based on the results of solid phase analysis and batch tests, a two-site Langmuir kinetic model has been determined capable of appropriately describing Cs sorption/desorption under test conditions. From the results of non-reactive HTO column tests, a mobile/immobile transport model was proposed to capture the major transport processes in our column system. However, the combination of the two-site Langmuir model and the mobile/immobile transport model failed to provide numerical breakthrough curves matching the Cs experimental breakthroughs. It implied that our model needs to be further refined. To achieve this, the setup of our column test needs to be modified first to reduce the volume of column connecting space, so that the effect of extra diffusion/dispersion on breakthroughs would be minimized and major transport characteristics can be clearly revealed. Moreover, more investigations on the reaction mechanisms and transport processes of the reactive transport system must be conducted. (authors)
Advances in dynamic network modeling in complex transportation systems
Ukkusuri, Satish V
2013-01-01
This book focuses on the latest in dynamic network modeling, including route guidance and traffic control in transportation systems and other complex infrastructure networks. Covers dynamic traffic assignment, flow modeling, mobile sensor deployment and more.
Symmetrization of mathematical model of charge transport in semiconductors
Directory of Open Access Journals (Sweden)
Alexander M. Blokhin
2002-11-01
Full Text Available A mathematical model of charge transport in semiconductors is considered. The model is a quasilinear system of differential equations. A problem of finding an additional entropy conservation law and system symmetrization are solved.
International Nuclear Information System (INIS)
Kang, Young-Mook; Oh, Kyunghwan; You, Hwan; No, Kyoung Tai; Jeon, Yukwon; Shul, Yong-Gun; Hwang, Sung Bo; Shin, Hyun Kil; Kim, Min Sung; Kim, Namseok; Son, Hyoungjun; Chu, Young Hwan; Cho, Kwang-Hwi
2016-01-01
Ethylbenzene (EB) and p-xylene (PX) are important chemicals for the production of industrial materials; accordingly, their efficient separation is desired, even though the difference in their boiling points is very small. This paper describes the efforts toward the identification of high-performance extractive agents for EB and PX separation by distillation. Most high-performance extractive agents contain halogen atoms, which present health hazards and are corrosive to distillation plates. To avoid this disadvantage of extractive agents, we developed a quantitative structure-relative volatility relationship (QSRVR) model for designing safe extractive agents. We have previously developed and reported QSRVR models for single extractive agents. In this study, we introduce extended QSRVR models for binary and ternary extractive agents. The QSRVR models accurately predict the relative volatilities of binary and ternary extractive agents. The service to predict the relative volatility for binary and ternary extractive agents is freely available from the Internet at http://qsrvr.o pengsi.org/.
Energy Technology Data Exchange (ETDEWEB)
Kang, Young-Mook; Oh, Kyunghwan; You, Hwan; No, Kyoung Tai [Bioinformatics and Molecular Design Research Center, Seoul (Korea, Republic of); Jeon, Yukwon; Shul, Yong-Gun; Hwang, Sung Bo; Shin, Hyun Kil; Kim, Min Sung; Kim, Namseok; Son, Hyoungjun [Yonsei University, Seoul (Korea, Republic of); Chu, Young Hwan [Sangji University, Wonju (Korea, Republic of); Cho, Kwang-Hwi [Soongsil University, Seoul (Korea, Republic of)
2016-04-15
Ethylbenzene (EB) and p-xylene (PX) are important chemicals for the production of industrial materials; accordingly, their efficient separation is desired, even though the difference in their boiling points is very small. This paper describes the efforts toward the identification of high-performance extractive agents for EB and PX separation by distillation. Most high-performance extractive agents contain halogen atoms, which present health hazards and are corrosive to distillation plates. To avoid this disadvantage of extractive agents, we developed a quantitative structure-relative volatility relationship (QSRVR) model for designing safe extractive agents. We have previously developed and reported QSRVR models for single extractive agents. In this study, we introduce extended QSRVR models for binary and ternary extractive agents. The QSRVR models accurately predict the relative volatilities of binary and ternary extractive agents. The service to predict the relative volatility for binary and ternary extractive agents is freely available from the Internet at http://qsrvr.o pengsi.org/.
Understanding Interest Rate Volatility
DEFF Research Database (Denmark)
Volker, Desi
This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...
A mesoscale chemical transport model (MEDIUM) nested in a global chemical transport model (MEDIANTE)
Energy Technology Data Exchange (ETDEWEB)
Claveau, J; Ramaroson, R [Office National d` Etudes et de Recherches Aerospatiales (ONERA), 92 - Chatillon (France)
1998-12-31
The lower stratosphere and upper troposphere (UT-LS) are frequently subject to mesoscale or local scale exchange of air masses occurring along discontinuities. This exchange (e.g. downward) can constitute one of the most important source of ozone from the stratosphere down to the middle troposphere where strong mixing dilutes the air mass and competing the non-linear chemistry. The distribution of the chemical species in the troposphere and the lower stratosphere depends upon various source emissions, e.g. from polluted boundary layer or from aircraft emissions. Global models, as well as chemical transport models describe the climatological state of the atmosphere and are not able to describe correctly the stratosphere and troposphere exchange. Mesoscale models go further in the description of smaller scales and can reasonably include a rather detailed chemistry. They can be used to assess the budget of NO{sub x} from aircraft emissions in a mesoscale domain. (author) 4 refs.
A mesoscale chemical transport model (MEDIUM) nested in a global chemical transport model (MEDIANTE)
Energy Technology Data Exchange (ETDEWEB)
Claveau, J.; Ramaroson, R. [Office National d`Etudes et de Recherches Aerospatiales (ONERA), 92 - Chatillon (France)
1997-12-31
The lower stratosphere and upper troposphere (UT-LS) are frequently subject to mesoscale or local scale exchange of air masses occurring along discontinuities. This exchange (e.g. downward) can constitute one of the most important source of ozone from the stratosphere down to the middle troposphere where strong mixing dilutes the air mass and competing the non-linear chemistry. The distribution of the chemical species in the troposphere and the lower stratosphere depends upon various source emissions, e.g. from polluted boundary layer or from aircraft emissions. Global models, as well as chemical transport models describe the climatological state of the atmosphere and are not able to describe correctly the stratosphere and troposphere exchange. Mesoscale models go further in the description of smaller scales and can reasonably include a rather detailed chemistry. They can be used to assess the budget of NO{sub x} from aircraft emissions in a mesoscale domain. (author) 4 refs.
Application of rrm as behavior mode choice on modelling transportation
Surbakti, M. S.; Sadullah, A. F.
2018-03-01
Transportation mode selection, the first step in transportation planning process, is probably one of the most important planning elements. The development of models that can explain the preference of passengers regarding their chosen mode of public transport option will contribute to the improvement and development of existing public transport. Logit models have been widely used to determine the mode choice models in which the alternative are different transport modes. Random Regret Minimization (RRM) theory is a theory developed from the behavior to choose (choice behavior) in a state of uncertainty. During its development, the theory was used in various disciplines, such as marketing, micro economy, psychology, management, and transportation. This article aims to show the use of RRM in various modes of selection, from the results of various studies that have been conducted both in north sumatera and western Java.
Modelling Emission of Pollutants from transportation using mobile sensing data
DEFF Research Database (Denmark)
Lehmann, Anders
The advent and the proliferation of the smartphone has promised new possibilities for researchers to gain knowledge about the habits and behaviour of people, as the ubiqui- tous smartphone with an array of sensors is capable of deliver a wealth of information. This dissertation addresses methods...... to use data acquired from smartphones to im- prove transportation related air quality models and models for climate gas emission from transportation. These models can be used for planning of transportation net- works, monitoring of air quality, and automate transport related green accounting. More...... database imple- mentations are a subfield of computer science. I have worked to bring these diverse research fields together to solve the challenge of improving modelling of transporta- tion related air quality emissions as well as modelling of transportation related climate gas emissions. The main...
Volatility Mean Reversion and the Market Price of Volatility Risk
Boswijk, H.P.
2001-01-01
This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by estimation errors due to a slow mean reversion in
Runkel, Robert L.
2010-01-01
OTEQ is a mathematical simulation model used to characterize the fate and transport of waterborne solutes in streams and rivers. The model is formed by coupling a solute transport model with a chemical equilibrium submodel. The solute transport model is based on OTIS, a model that considers the physical processes of advection, dispersion, lateral inflow, and transient storage. The equilibrium submodel is based on MINTEQ, a model that considers the speciation and complexation of aqueous species, acid-base reactions, precipitation/dissolution, and sorption. Within OTEQ, reactions in the water column may result in the formation of solid phases (precipitates and sorbed species) that are subject to downstream transport and settling processes. Solid phases on the streambed may also interact with the water column through dissolution and sorption/desorption reactions. Consideration of both mobile (waterborne) and immobile (streambed) solid phases requires a unique set of governing differential equations and solution techniques that are developed herein. The partial differential equations describing physical transport and the algebraic equations describing chemical equilibria are coupled using the sequential iteration approach. The model's ability to simulate pH, precipitation/dissolution, and pH-dependent sorption provides a means of evaluating the complex interactions between instream chemistry and hydrologic transport at the field scale. This report details the development and application of OTEQ. Sections of the report describe model theory, input/output specifications, model applications, and installation instructions. OTEQ may be obtained over the Internet at http://water.usgs.gov/software/OTEQ.
Transport parameters for the modelling of water transport in ionomer membranes for PEM-fuel cells
International Nuclear Information System (INIS)
Meier, Frank; Eigenberger, Gerhart
2004-01-01
The water transport number (drag coefficient) and the hydraulic permeability were measured for Nafion. The results show a significant increase of both parameters with increasing water content indicating that they are strongly influenced by the membrane microstructure. Based on these experimental studies a new model approach to describe water transport in the H 2 -PEFC membrane is presented. This approach considers water transport by electro-osmosis caused by the proton flux through the membrane and by osmosis caused by a gradient in the chemical potential of water. It is parametrized by the measured data for the water transport number and the hydraulic permeability of Nafion. First simulation results applying this approach to a one-dimensional model of the H 2 -PEFC show good agreement with experimental data. Therefore, the developed model can be used for a new insight into the dominating mechanisms of water transport in the membrane
Transport Routes Optimization Model Through Application of Fuzzy Logic
Directory of Open Access Journals (Sweden)
Ivan Bortas
2018-03-01
Full Text Available The transport policy of the European Union is based on the mission of restructuring road traffic into other and energy-favourable transport modes which have not been sufficiently represented yet. Therefore, the development of the inland waterway and rail transport, and connectivity in the intermodal transport network are development planning priorities of the European transport strategy. The aim of this research study was to apply the scientific methodology and thus analyse the factors that affect the distribution of the goods flows and by using the fuzzy logic to make an optimization model, according to the criteria of minimizing the costs and negative impact on the environment, for the selection of the optimal transport route. Testing of the model by simulation, was performed on the basis of evaluating the criteria of the influential parameters with unprecise and indefinite input parameters. The testing results show that by the distribution of the goods flow from road transport network to inland waterways or rail transport, can be predicted in advance and determine the transport route with optimal characteristics. The results of the performed research study will be used to improve the process of planning the transport service, with the aim of reducing the transport costs and environmental pollution.
Thermodynamic modeling of volatile hazardous metal behavior in the Vortec Vitrification System
International Nuclear Information System (INIS)
Nowok, J.W.; Hurley, J.P.
2000-01-01
The thermochemical equilibrium calculations indicate that at the temperature of a propane--air flame, some volatilization of uranium, plutonium, technetium, and cesium will occur. The expected concentrations of plutonium, technetium, and cesium in the flame will be very low because of the small maximum concentration of these elements in the projected feed materials for the first 30-day test. The quantities volatilized can generally be decreased by operating the flame in a fuel-rich mode, although this will lead to greater carbon monoxide production, which may be more objectionable. The concentrations of chlorine and fluorine, at least at the maximum levels in the projected Vortec feed, are not projected to greatly influence the vaporization rates. Therefore, blending to reduce the concentrations of those elements would most likely not be effective in reducing metal vaporization. Most of the elements vaporized condense by the time the gas cools to 2000 F. These elements would condense either on surfaces near the front of the heat recuperator or on entrained particulates or homogeneously as relatively pure submicron particles. Cesium would be expected to condense at the lower temperatures near the rear of the recuperator, although the expected maximum concentration in the Vortec feed material is extremely low so it should be greatly diluted by other particulates. The elements that condense on other entrained particles will form enriched surface coatings. Particles larger than 10microm or so will be collected in the scrubber. Smaller particles, especially the submicron particles formed from homogeneous nucleation, should be largely collected in the HEPA filter. Deposits formed in the heat recuperator can normally be handled via sootblowing. To reduce handling problems, we suggest that the recuperator be oriented vertically so that the deposits blown off of the heat exchanger fall directly into the molten glass. The large size of the deposits should help to reduce the
Theoretical modeling of transport barriers in helical plasmas
International Nuclear Information System (INIS)
Toda, S.; Itoh, K.; Ohyabu, N.
2008-10-01
A unified transport modelling to explain electron Internal Transport Barriers (e-ITB) in helical plasmas and Internal Diffusion Barriers (IDB) observed in Large Helical Device (LHD) is proposed. The e-ITB can be predicted with the effect of zonal flows to obtain the e-ITB in the low collisional regime when the radial variation of the particle anomalous diffusivity is included. Transport analysis in this article can newly show that the particle fuelling induces the IDB formation when this unified transport modelling is used in the high collisional regime. The density limit for the IDB in helical plasmas is also examined including the effect of the radiation loss. (author)
DEFF Research Database (Denmark)
Storm, Adam Christian; Kristensen, Niels Bastian; Hanigan, Mark D
2012-01-01
Ruminal absorption of volatile fatty acids (VFA) is quantitatively the most important nutrient flux in cattle. Historically, VFA absorption models have been derived primarily from ruminal variables such as chemical composition of the fluid, volume, and pH. Recently, a mechanistic model incorporated...... exchange across the rumen wall that incorporates epithelial blood flow as a driving force for ruminal VFA removal. The bidirectional fluxes between the ruminal and epithelial pool of VFA were assumed mass action driven, given that passive diffusion of nonionized VFA is the dominant transmembrane VFA flux...... of body weight. The rate constants related to the flux from ruminal fluid to epithelium were in the order isobutyrate rate constants for fluxes of isobutyrate, acetate, propionate, and butyrate...
Energy Technology Data Exchange (ETDEWEB)
Lasuik, J.; Shalchi, A., E-mail: andreasm4@yahoo.com [Department of Physics and Astronomy, University of Manitoba, Winnipeg, MB R3T 2N2 (Canada)
2017-09-20
Recently, a new theory for the transport of energetic particles across a mean magnetic field was presented. Compared to other nonlinear theories the new approach has the advantage that it provides a full time-dependent description of the transport. Furthermore, a diffusion approximation is no longer part of that theory. The purpose of this paper is to combine this new approach with a time-dependent model for parallel transport and different turbulence configurations in order to explore the parameter regimes for which we get ballistic transport, compound subdiffusion, and normal Markovian diffusion.
Toward a comprehensive model of chemical transport in porous media
International Nuclear Information System (INIS)
Miller, C.W.
1983-02-01
A chemical transport model, CHEMTRN, that includes advection, dispersion/diffusion, complexation, sorption, precipitation or dissolution of solids, and the dissociation of water has been written. The transport, mass action and site constraint equations are written in a differential/algebraic form and solved simultaneously. The sorption process is modelled by either ion-exchange or surface complexation. The model has been used to investigate the applicability of a k/sub D/ model for simulating the transport of chemical species in groundwater systems, to simulate precipitation/dissolution of minerals, and to consider the effect of surface complexation on sorption
Particle Tracking Model and Abstraction of Transport Processes
International Nuclear Information System (INIS)
Robinson, B.
2000-01-01
The purpose of the transport methodology and component analysis is to provide the numerical methods for simulating radionuclide transport and model setup for transport in the unsaturated zone (UZ) site-scale model. The particle-tracking method of simulating radionuclide transport is incorporated into the FEHM computer code and the resulting changes in the FEHM code are to be submitted to the software configuration management system. This Analysis and Model Report (AMR) outlines the assumptions, design, and testing of a model for calculating radionuclide transport in the unsaturated zone at Yucca Mountain. In addition, methods for determining colloid-facilitated transport parameters are outlined for use in the Total System Performance Assessment (TSPA) analyses. Concurrently, process-level flow model calculations are being carrier out in a PMR for the unsaturated zone. The computer code TOUGH2 is being used to generate three-dimensional, dual-permeability flow fields, that are supplied to the Performance Assessment group for subsequent transport simulations. These flow fields are converted to input files compatible with the FEHM code, which for this application simulates radionuclide transport using the particle-tracking algorithm outlined in this AMR. Therefore, this AMR establishes the numerical method and demonstrates the use of the model, but the specific breakthrough curves presented do not necessarily represent the behavior of the Yucca Mountain unsaturated zone
Limitations of sorption isotherms on modeling groundwater contaminant transport
International Nuclear Information System (INIS)
Silva, Eduardo Figueira da
2007-01-01
Design and safety assessment of radioactive waste repositories, as well as remediation of radionuclide contaminated groundwater require the development of models capable of accurately predicting trace element fate and transport. Adsorption of trace radionuclides onto soils and groundwater is an important mechanism controlling near- and far- field transport. Although surface complexation models (SCMs) can better describe the adsorption mechanisms of most radionuclides onto mineral surfaces by directly accounting for variability of system properties and mineral surface properties, isotherms are still used to model contaminant transport in groundwater, despite the much higher system dependence. The present work investigates differences between transport model results based on these two approaches for adsorption modeling. A finite element transport model is used for the isotherm model, whereas the computer program PHREEQC is used for the SCM approach. Both models are calibrated for a batch experiment, and one-dimensional transport is simulated using the calibrated parameters. At the lower injected concentrations there are large discrepancies between SCM and isotherm transport predictions, with the SCM presenting much longer tails on the breakthrough curves. Isotherms may also provide non-conservative results for time to breakthrough and for maximum concentration in a contamination plume. Isotherm models are shown not to be robust enough to predict transport behavior of some trace elements, thus discouraging their use. The results also illustrate the promise of the SCM modeling approach in safety assessment and environmental remediation applications, also suggesting that independent batch sorption measurements can be used, within the framework of the SCM, to produce a more versatile and realistic groundwater transport model for radionuclides which is capable of accounting more accurately for temporal and spatial variations in geochemical conditions. (author)
Transport services quality measurment using SERVQUAL model
Directory of Open Access Journals (Sweden)
Maksimović Mlađan V.
2017-01-01
Full Text Available Quality in the world is considered to be the most important phenomenon of our age, with a permanent and irreversible growing trend of its emphasis. Many companies have come to the conclusion that high quality of services can provide them with a potential competitive advantage, leading to superior sales results and profit making. The aim of this paper is to test the applicability of service SERVQUAL dimensions and measure the quality of services in the public transport of passengers. Based on the data obtained by researching the views of public transport users in Kragujevac using the SERVQUAL methodology and statistical analysis based on defined service quality dimensions, this research will show the level of quality of urban transport services in Kragujevac and based on this, make recommendations for improving the quality of service.
Advanced transport systems analysis, modeling, and evaluation of performances
Janić, Milan
2014-01-01
This book provides a systematic analysis, modeling and evaluation of the performance of advanced transport systems. It offers an innovative approach by presenting a multidimensional examination of the performance of advanced transport systems and transport modes, useful for both theoretical and practical purposes. Advanced transport systems for the twenty-first century are characterized by the superiority of one or several of their infrastructural, technical/technological, operational, economic, environmental, social, and policy performances as compared to their conventional counterparts. The advanced transport systems considered include: Bus Rapid Transit (BRT) and Personal Rapid Transit (PRT) systems in urban area(s), electric and fuel cell passenger cars, high speed tilting trains, High Speed Rail (HSR), Trans Rapid Maglev (TRM), Evacuated Tube Transport system (ETT), advanced commercial subsonic and Supersonic Transport Aircraft (STA), conventionally- and Liquid Hydrogen (LH2)-fuelled commercial air trans...
Assessment of applications of transport models on regional scale solute transport
Guo, Z.; Fogg, G. E.; Henri, C.; Pauloo, R.
2017-12-01
Regional scale transport models are needed to support the long-term evaluation of groundwater quality and to develop management strategies aiming to prevent serious groundwater degradation. The purpose of this study is to evaluate the capacity of previously-developed upscaling approaches to accurately describe main solute transport processes including the capture of late-time tails under changing boundary conditions. Advective-dispersive contaminant transport in a 3D heterogeneous domain was simulated and used as a reference solution. Equivalent transport under homogeneous flow conditions were then evaluated applying the Multi-Rate Mass Transfer (MRMT) model. The random walk particle tracking method was used for both heterogeneous and homogeneous-MRMT scenarios under steady state and transient conditions. The results indicate that the MRMT model can capture the tails satisfactorily for plume transported with ambient steady-state flow field. However, when boundary conditions change, the mass transfer model calibrated for transport under steady-state conditions cannot accurately reproduce the tailing effect observed for the heterogeneous scenario. The deteriorating impact of transient boundary conditions on the upscaled model is more significant for regions where flow fields are dramatically affected, highlighting the poor applicability of the MRMT approach for complex field settings. Accurately simulating mass in both mobile and immobile zones is critical to represent the transport process under transient flow conditions and will be the future focus of our study.
Kulasiri, Don
2002-01-01
Most of the natural and biological phenomena such as solute transport in porous media exhibit variability which can not be modeled by using deterministic approaches. There is evidence in natural phenomena to suggest that some of the observations can not be explained by using the models which give deterministic solutions. Stochastic processes have a rich repository of objects which can be used to express the randomness inherent in the system and the evolution of the system over time. The attractiveness of the stochastic differential equations (SDE) and stochastic partial differential equations (SPDE) come from the fact that we can integrate the variability of the system along with the scientific knowledge pertaining to the system. One of the aims of this book is to explaim some useufl concepts in stochastic dynamics so that the scientists and engineers with a background in undergraduate differential calculus could appreciate the applicability and appropriateness of these developments in mathematics. The ideas ...
Directory of Open Access Journals (Sweden)
Ioannis Lambropoulos
2007-01-01
Full Text Available The effect of red wine phenolic extracts on the stability of wine volatile esters and terpenes was examined. Muscat (white and Xinomavro (red wines were enriched with each extract at 120 or 200 mg/L, and stored in open bottles at 20 °C for 3 and 2.5 days, respectively. Moreover, a model wine medium containing isoamyl acetate, ethyl hexanoate and linalool was enriched with each extract at 100 mg/L, and stored in sealed bottles at 20 °C for 45–90 days. All samples were analysed for volatiles using SPME along with GC-MS analysis. Phenolic composition of wine extracts was determined using HPLC-DAD. No effect on the concentration of any volatiles was observed as a result of the addition of each extract in each wine or the model medium. A wine extract rich in phenolic acids and another one rich in anthocyanins and flavanols inhibited the decrease of volatile esters and terpenes in one or both wines and the model medium. Among them were several important for the aroma of wine such as ethyl acetate, isoamyl acetate, ethyl hexanoate, ethyl octanoate, ethyl decanoate and linalool. The results presented here indicate that wine phenolic acids, and anthocyanins or flavanols may be taken into account as potent inhibitors of the disappearance of volatile esters and terpenes in wines.
Composite Transport Model and Water and Solute Transport across Plant Roots: An Update
Directory of Open Access Journals (Sweden)
Yangmin X. Kim
2018-02-01
Full Text Available The present review examines recent experimental findings in root transport phenomena in terms of the composite transport model (CTM. It has been a well-accepted conceptual model to explain the complex water and solute flows across the root that has been related to the composite anatomical structure. There are three parallel pathways involved in the transport of water and solutes in roots – apoplast, symplast, and transcellular paths. The role of aquaporins (AQPs, which facilitate water flows through the transcellular path, and root apoplast is examined in terms of the CTM. The contribution of the plasma membrane bound AQPs for the overall water transport in the whole plant level was varying depending on the plant species, age of roots with varying developmental stages of apoplastic barriers, and driving forces (hydrostatic vs. osmotic. Many studies have demonstrated that the apoplastic barriers, such as Casparian bands in the primary anticlinal walls and suberin lamellae in the secondary cell walls, in the endo- and exodermis are not perfect barriers and unable to completely block the transport of water and some solute transport into the stele. Recent research on water and solute transport of roots with and without exodermis triggered the importance of the extension of conventional CTM adding resistances that arrange in series (epidermis, exodermis, mid-cortex, endodermis, and pericycle. The extension of the model may answer current questions about the applicability of CTM for composite water and solute transport of roots that contain complex anatomical structures with heterogeneous cell layers.
Composite Transport Model and Water and Solute Transport across Plant Roots: An Update.
Kim, Yangmin X; Ranathunge, Kosala; Lee, Seulbi; Lee, Yejin; Lee, Deogbae; Sung, Jwakyung
2018-01-01
The present review examines recent experimental findings in root transport phenomena in terms of the composite transport model (CTM). It has been a well-accepted conceptual model to explain the complex water and solute flows across the root that has been related to the composite anatomical structure. There are three parallel pathways involved in the transport of water and solutes in roots - apoplast, symplast, and transcellular paths. The role of aquaporins (AQPs), which facilitate water flows through the transcellular path, and root apoplast is examined in terms of the CTM. The contribution of the plasma membrane bound AQPs for the overall water transport in the whole plant level was varying depending on the plant species, age of roots with varying developmental stages of apoplastic barriers, and driving forces (hydrostatic vs. osmotic). Many studies have demonstrated that the apoplastic barriers, such as Casparian bands in the primary anticlinal walls and suberin lamellae in the secondary cell walls, in the endo- and exodermis are not perfect barriers and unable to completely block the transport of water and some solute transport into the stele. Recent research on water and solute transport of roots with and without exodermis triggered the importance of the extension of conventional CTM adding resistances that arrange in series (epidermis, exodermis, mid-cortex, endodermis, and pericycle). The extension of the model may answer current questions about the applicability of CTM for composite water and solute transport of roots that contain complex anatomical structures with heterogeneous cell layers.
Particle Tracking Model and Abstraction of Transport Processes
Energy Technology Data Exchange (ETDEWEB)
B. Robinson
2004-10-21
The purpose of this report is to document the abstraction model being used in total system performance assessment (TSPA) model calculations for radionuclide transport in the unsaturated zone (UZ). The UZ transport abstraction model uses the particle-tracking method that is incorporated into the finite element heat and mass model (FEHM) computer code (Zyvoloski et al. 1997 [DIRS 100615]) to simulate radionuclide transport in the UZ. This report outlines the assumptions, design, and testing of a model for calculating radionuclide transport in the UZ at Yucca Mountain. In addition, methods for determining and inputting transport parameters are outlined for use in the TSPA for license application (LA) analyses. Process-level transport model calculations are documented in another report for the UZ (BSC 2004 [DIRS 164500]). Three-dimensional, dual-permeability flow fields generated to characterize UZ flow (documented by BSC 2004 [DIRS 169861]; DTN: LB03023DSSCP9I.001 [DIRS 163044]) are converted to make them compatible with the FEHM code for use in this abstraction model. This report establishes the numerical method and demonstrates the use of the model that is intended to represent UZ transport in the TSPA-LA. Capability of the UZ barrier for retarding the transport is demonstrated in this report, and by the underlying process model (BSC 2004 [DIRS 164500]). The technical scope, content, and management of this report are described in the planning document ''Technical Work Plan for: Unsaturated Zone Transport Model Report Integration'' (BSC 2004 [DIRS 171282]). Deviations from the technical work plan (TWP) are noted within the text of this report, as appropriate. The latest version of this document is being prepared principally to correct parameter values found to be in error due to transcription errors, changes in source data that were not captured in the report, calculation errors, and errors in interpretation of source data.
Particle Tracking Model and Abstraction of Transport Processes
International Nuclear Information System (INIS)
Robinson, B.
2004-01-01
The purpose of this report is to document the abstraction model being used in total system performance assessment (TSPA) model calculations for radionuclide transport in the unsaturated zone (UZ). The UZ transport abstraction model uses the particle-tracking method that is incorporated into the finite element heat and mass model (FEHM) computer code (Zyvoloski et al. 1997 [DIRS 100615]) to simulate radionuclide transport in the UZ. This report outlines the assumptions, design, and testing of a model for calculating radionuclide transport in the UZ at Yucca Mountain. In addition, methods for determining and inputting transport parameters are outlined for use in the TSPA for license application (LA) analyses. Process-level transport model calculations are documented in another report for the UZ (BSC 2004 [DIRS 164500]). Three-dimensional, dual-permeability flow fields generated to characterize UZ flow (documented by BSC 2004 [DIRS 169861]; DTN: LB03023DSSCP9I.001 [DIRS 163044]) are converted to make them compatible with the FEHM code for use in this abstraction model. This report establishes the numerical method and demonstrates the use of the model that is intended to represent UZ transport in the TSPA-LA. Capability of the UZ barrier for retarding the transport is demonstrated in this report, and by the underlying process model (BSC 2004 [DIRS 164500]). The technical scope, content, and management of this report are described in the planning document ''Technical Work Plan for: Unsaturated Zone Transport Model Report Integration'' (BSC 2004 [DIRS 171282]). Deviations from the technical work plan (TWP) are noted within the text of this report, as appropriate. The latest version of this document is being prepared principally to correct parameter values found to be in error due to transcription errors, changes in source data that were not captured in the report, calculation errors, and errors in interpretation of source data
Forecasting volatility of crude oil markets
International Nuclear Information System (INIS)
Kang, Sang Hoon; Kang, Sang-Mok; Yoon, Seong-Min
2009-01-01
This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)
Forecasting volatility of crude oil markets
Energy Technology Data Exchange (ETDEWEB)
Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)
2009-01-15
This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)
An optimization model for transportation of hazardous materials
International Nuclear Information System (INIS)
Seyed-Hosseini, M.; Kheirkhah, A. S.
2005-01-01
In this paper, the optimal routing problem for transportation of hazardous materials is studied. Routing for the purpose of reducing the risk of transportation of hazardous materials has been studied and formulated by many researcher and several routing models have been presented up to now. These models can be classified into the categories: the models for routing a single movement and the models for routing multiple movements. In this paper, according to the current rules and regulations of road transportations of hazardous materials in Iran, a routing problem is designed. In this problem, the routs for several independent movements are simultaneously determined. To examine the model, the problem the transportations of two different dangerous materials in the road network of Mazandaran province in the north of Iran is formulated and solved by applying Integer programming model
A consistent transported PDF model for treating differential molecular diffusion
Wang, Haifeng; Zhang, Pei
2016-11-01
Differential molecular diffusion is a fundamentally significant phenomenon in all multi-component turbulent reacting or non-reacting flows caused by the different rates of molecular diffusion of energy and species concentrations. In the transported probability density function (PDF) method, the differential molecular diffusion can be treated by using a mean drift model developed by McDermott and Pope. This model correctly accounts for the differential molecular diffusion in the scalar mean transport and yields a correct DNS limit of the scalar variance production. The model, however, misses the molecular diffusion term in the scalar variance transport equation, which yields an inconsistent prediction of the scalar variance in the transported PDF method. In this work, a new model is introduced to remedy this problem that can yield a consistent scalar variance prediction. The model formulation along with its numerical implementation is discussed, and the model validation is conducted in a turbulent mixing layer problem.
Cost Linkages Transmit Volatility Across Markets
DEFF Research Database (Denmark)
Nguyen, Daniel Xuyen; Schaur, Georg
We present and test a model relating a firm's idiosyncratic cost, its exporting status, and the volatilities of its domestic and export sales. In prior models of trade, supply costs for domestic and exports were linear and thus additively separable. We introduce a nonlinear cost function in order...... to link the domestic and export supply costs. This theoretical contribution has two new implications for the exporting firm. First, the demand volatility in the foreign market now directly affects the firm's domestic sales volatility. Second, firms hedge domestic demand volatility with exports. The model...... has several testable predictions. First, larger firms have lower total and domestic sales volatilities. Second, foreign market volatility increases domestic sales volatilities for exporters. Third, exporters allocate output across both markets in order to reduce total sales volatility. We find...
Modelling Transition Towards Sustainable Transportation Sector
DEFF Research Database (Denmark)
Dominkovic, Dominik Franjo; Bačeković, I.; Mýrdal, Jón Steinar Garðarsson
2016-01-01
In a transition towards 100% renewable energy system, transportation sector is rarely dealt withusing the holistic approach and measuring its impact on the whole energy system. Furthermore, assolutions for power and heat sectors are clearer, it is a tendency of the researchers to focus on thelatt...
Strategic Network Modelling for Passenger Transport Pricing
Smits, E.-S.
2017-01-01
In the last decade the Netherlands has experienced an economic recession. Now, in 2017, the economy is picking up again. This growth does not only come with advantages because economic growth demands more from the transport system. Congestion is increasing again, the capacity of the train system is
Mathematical modelling on transport of petroleum hydrocarbons
Indian Academy of Sciences (India)
A brief theory has been included on the composition and transport of petroleum hydrocarbons following an onshore oil spill in order to demonstrate the level of complexity associated with the LNAPL dissolution mass transfer even in a classical porous medium. However, such studies in saturated fractured rocks are highly ...
Modeling spin magnetization transport in a spatially varying magnetic field
International Nuclear Information System (INIS)
Picone, Rico A.R.; Garbini, Joseph L.; Sidles, John A.
2015-01-01
We present a framework for modeling the transport of any number of globally conserved quantities in any spatial configuration and apply it to obtain a model of magnetization transport for spin-systems that is valid in new regimes (including high-polarization). The framework allows an entropy function to define a model that explicitly respects the laws of thermodynamics. Three facets of the model are explored. First, it is expressed as nonlinear partial differential equations that are valid for the new regime of high dipole-energy and polarization. Second, the nonlinear model is explored in the limit of low dipole-energy (semi-linear), from which is derived a physical parameter characterizing separative magnetization transport (SMT). It is shown that the necessary and sufficient condition for SMT to occur is that the parameter is spatially inhomogeneous. Third, the high spin-temperature (linear) limit is shown to be equivalent to the model of nuclear spin transport of Genack and Redfield (1975) [1]. Differences among the three forms of the model are illustrated by numerical solution with parameters corresponding to a magnetic resonance force microscopy (MRFM) experiment (Degen et al., 2009 [2]; Kuehn et al., 2008 [3]; Sidles et al., 2003 [4]; Dougherty et al., 2000 [5]). A family of analytic, steady-state solutions to the nonlinear equation is derived and shown to be the spin-temperature analog of the Langevin paramagnetic equation and Curie's law. Finally, we analyze the separative quality of magnetization transport, and a steady-state solution for the magnetization is shown to be compatible with Fenske's separative mass transport equation (Fenske, 1932 [6]). - Highlights: • A framework for modeling the transport of conserved magnetic and thermodynamic quantities in any spatial configuration. • A thermodynamically grounded model of spin magnetization transport valid in new regimes, including high-polarization. • Analysis of the separative quality of
Modeling spin magnetization transport in a spatially varying magnetic field
Energy Technology Data Exchange (ETDEWEB)
Picone, Rico A.R., E-mail: rpicone@stmartin.edu [Department of Mechanical Engineering, University of Washington, Seattle (United States); Garbini, Joseph L. [Department of Mechanical Engineering, University of Washington, Seattle (United States); Sidles, John A. [Department of Orthopædics, University of Washington, Seattle (United States)
2015-01-15
We present a framework for modeling the transport of any number of globally conserved quantities in any spatial configuration and apply it to obtain a model of magnetization transport for spin-systems that is valid in new regimes (including high-polarization). The framework allows an entropy function to define a model that explicitly respects the laws of thermodynamics. Three facets of the model are explored. First, it is expressed as nonlinear partial differential equations that are valid for the new regime of high dipole-energy and polarization. Second, the nonlinear model is explored in the limit of low dipole-energy (semi-linear), from which is derived a physical parameter characterizing separative magnetization transport (SMT). It is shown that the necessary and sufficient condition for SMT to occur is that the parameter is spatially inhomogeneous. Third, the high spin-temperature (linear) limit is shown to be equivalent to the model of nuclear spin transport of Genack and Redfield (1975) [1]. Differences among the three forms of the model are illustrated by numerical solution with parameters corresponding to a magnetic resonance force microscopy (MRFM) experiment (Degen et al., 2009 [2]; Kuehn et al., 2008 [3]; Sidles et al., 2003 [4]; Dougherty et al., 2000 [5]). A family of analytic, steady-state solutions to the nonlinear equation is derived and shown to be the spin-temperature analog of the Langevin paramagnetic equation and Curie's law. Finally, we analyze the separative quality of magnetization transport, and a steady-state solution for the magnetization is shown to be compatible with Fenske's separative mass transport equation (Fenske, 1932 [6]). - Highlights: • A framework for modeling the transport of conserved magnetic and thermodynamic quantities in any spatial configuration. • A thermodynamically grounded model of spin magnetization transport valid in new regimes, including high-polarization. • Analysis of the separative quality of
Modelling radionuclide transport in the geosphere: a review of the models available
International Nuclear Information System (INIS)
Cacas, M.C.; Cordier, E.; Coudrain-Ribstein, A.; Fargue, D.; Goblet, P.; Jamet, Ph.; Ledoux, E.; Marsily, G. de; Vinsot, A.; Brun, Ch.; Cernes, A.; Jacquier, Ph.; Lewi, J.; Priem, Th.
1990-01-01
Over the last twelve years, several models have been developed to simulate the transport of radionuclides in the environment of a radioactive waste repository: - continuous equivalent porous media flow and transport models using the finite element method in 1, 2 or 3 dimensions and taking into account various coupled mechanisms; - discontinuous stochastic fracture network models in 3 dimensions representing flow, transport, matrix diffusion, heat flow and mechanical stress; - geochemical models representing interactions between transported elements and a solid matrix; - transport process models coupling non dominant phenomena such as thermo-diffusion or thermo-gravitation. This paper reviews the role that each of these models can play in safety analyses. 3 refs [fr
Risk assessment framework of fate and transport models applied to hazardous waste sites
International Nuclear Information System (INIS)
Hwang, S.T.
1993-06-01
Risk assessment is an increasingly important part of the decision-making process in the cleanup of hazardous waste sites. Despite guidelines from regulatory agencies and considerable research efforts to reduce uncertainties in risk assessments, there are still many issues unanswered. This paper presents new research results pertaining to fate and transport models, which will be useful in estimating exposure concentrations and will help reduce uncertainties in risk assessment. These developments include an approach for (1) estimating the degree of emissions and concentration levels of volatile pollutants during the use of contaminated water, (2) absorption of organic chemicals in the soil matrix through the skin, and (3) steady state, near-field, contaminant concentrations in the aquifer within a waste boundary
Use of artificial neural networks for transport energy demand modeling
International Nuclear Information System (INIS)
Murat, Yetis Sazi; Ceylan, Halim
2006-01-01
The paper illustrates an artificial neural network (ANN) approach based on supervised neural networks for the transport energy demand forecasting using socio-economic and transport related indicators. The ANN transport energy demand model is developed. The actual forecast is obtained using a feed forward neural network, trained with back propagation algorithm. In order to investigate the influence of socio-economic indicators on the transport energy demand, the ANN is analyzed based on gross national product (GNP), population and the total annual average veh-km along with historical energy data available from 1970 to 2001. Comparing model predictions with energy data in testing period performs the model validation. The projections are made with two scenarios. It is obtained that the ANN reflects the fluctuation in historical data for both dependent and independent variables. The results obtained bear out the suitability of the adopted methodology for the transport energy-forecasting problem
Physics and modelling of scrape-off layer transport
International Nuclear Information System (INIS)
Cohen, R.H.; Allen, S.L.; Crotinger, J.A.; Kaiser, T.B.; Milovich, J.L.; Mattor, N.; Nevins, W.M.; Porter, G.D.; Rensink, M.E.; Rognlien, T.D.; Berk, H.L.; Diamond, P.H.; Rosenbluth, M.N.; Hinton, F.L.; Staebler, G.M.; Knoll, D.A.; Modi, B.; Xu, X.Q.; Prinja, A.K.; Ryutov, D.D.; Tsidulko, Y.A.
1992-01-01
We present studies of three schemes for reducing the peak heat flux on divertor plates, divertor biasing, impurity injection (''radiative divertor'') and neutral gas injection (''gas target divertor''). We report on theoretical analysis of a likely source of turbulent transport in the SOL and incorporation of the resultant transport coefficients into self-consistent models
Reactive Transport Modeling of the Yucca Mountain Site, Nevada
International Nuclear Information System (INIS)
G. Bodvarsson
2004-01-01
The Yucca Mountain site has a dry climate and deep water table, with the repository located in the middle of an unsaturated zone approximately 600 m thick. Radionuclide transport processes from the repository to the water table are sensitive to the unsaturated zone flow field, as well as to sorption, matrix diffusion, radioactive decay, and colloid transport mechanisms. The unsaturated zone flow and transport models are calibrated against both physical and chemical data, including pneumatic pressure, liquid saturation, water potential, temperature, chloride, and calcite. The transport model predictions are further compared with testing specific to unsaturated zone transport: at Alcove 1 in the Exploratory Studies Facility (ESF), at Alcove 8 and Niche 3 of the ESF, and at the Busted Butte site. The models are applied to predict the breakthroughs at the water table for nonsorbing and sorbing radionuclides, with faults shown as the important paths for radionuclide transport. Daughter products of some important radionuclides, such as 239 Pu and 241 Am, have faster transport than the parents and must be considered in the unsaturated zone transport model. Colloid transport is significantly affected by colloid size, but only negligibly affected by lunetic declogging (reverse filtering) mechanisms. Unsaturated zone model uncertainties are discussed, including the sensitivity of breakthrough to the active fracture model parameter, as an example of uncertainties related to detailed flow characteristics and fracture-matrix interaction. It is expected that additional benefits from the unsaturated zone barrier for transport can be achieved by full implementation of the shadow zone concept immediately below the radionuclide release points in the waste emplacement drifts
Monte Carlo impurity transport modeling in the DIII-D transport
International Nuclear Information System (INIS)
Evans, T.E.; Finkenthal, D.F.
1998-04-01
A description of the carbon transport and sputtering physics contained in the Monte Carlo Impurity (MCI) transport code is given. Examples of statistically significant carbon transport pathways are examined using MCI's unique tracking visualizer and a mechanism for enhanced carbon accumulation on the high field side of the divertor chamber is discussed. Comparisons between carbon emissions calculated with MCI and those measured in the DIII-D tokamak are described. Good qualitative agreement is found between 2D carbon emission patterns calculated with MCI and experimentally measured carbon patterns. While uncertainties in the sputtering physics, atomic data, and transport models have made quantitative comparisons with experiments more difficult, recent results using a physics based model for physical and chemical sputtering has yielded simulations with about 50% of the total carbon radiation measured in the divertor. These results and plans for future improvement in the physics models and atomic data are discussed
Olkiluoto surface hydrological modelling: Update 2012 including salt transport modelling
International Nuclear Information System (INIS)
Karvonen, T.
2013-11-01
Posiva Oy is responsible for implementing a final disposal program for spent nuclear fuel of its owners Teollisuuden Voima Oyj and Fortum Power and Heat Oy. The spent nuclear fuel is planned to be disposed at a depth of about 400-450 meters in the crystalline bedrock at the Olkiluoto site. Leakages located at or close to spent fuel repository may give rise to the upconing of deep highly saline groundwater and this is a concern with regard to the performance of the tunnel backfill material after the closure of the tunnels. Therefore a salt transport sub-model was added to the Olkiluoto surface hydrological model (SHYD). The other improvements include update of the particle tracking algorithm and possibility to estimate the influence of open drillholes in a case where overpressure in inflatable packers decreases causing a hydraulic short-circuit between hydrogeological zones HZ19 and HZ20 along the drillhole. Four new hydrogeological zones HZ056, HZ146, BFZ100 and HZ039 were added to the model. In addition, zones HZ20A and HZ20B intersect with each other in the new structure model, which influences salinity upconing caused by leakages in shafts. The aim of the modelling of long-term influence of ONKALO, shafts and repository tunnels provide computational results that can be used to suggest limits for allowed leakages. The model input data included all the existing leakages into ONKALO (35-38 l/min) and shafts in the present day conditions. The influence of shafts was computed using eight different values for total shaft leakage: 5, 11, 20, 30, 40, 50, 60 and 70 l/min. The selection of the leakage criteria for shafts was influenced by the fact that upconing of saline water increases TDS-values close to the repository areas although HZ20B does not intersect any deposition tunnels. The total limit for all leakages was suggested to be 120 l/min. The limit for HZ20 zones was proposed to be 40 l/min: about 5 l/min the present day leakages to access tunnel, 25 l/min from
Olkiluoto surface hydrological modelling: Update 2012 including salt transport modelling
Energy Technology Data Exchange (ETDEWEB)
Karvonen, T. [WaterHope, Helsinki (Finland)
2013-11-15
Posiva Oy is responsible for implementing a final disposal program for spent nuclear fuel of its owners Teollisuuden Voima Oyj and Fortum Power and Heat Oy. The spent nuclear fuel is planned to be disposed at a depth of about 400-450 meters in the crystalline bedrock at the Olkiluoto site. Leakages located at or close to spent fuel repository may give rise to the upconing of deep highly saline groundwater and this is a concern with regard to the performance of the tunnel backfill material after the closure of the tunnels. Therefore a salt transport sub-model was added to the Olkiluoto surface hydrological model (SHYD). The other improvements include update of the particle tracking algorithm and possibility to estimate the influence of open drillholes in a case where overpressure in inflatable packers decreases causing a hydraulic short-circuit between hydrogeological zones HZ19 and HZ20 along the drillhole. Four new hydrogeological zones HZ056, HZ146, BFZ100 and HZ039 were added to the model. In addition, zones HZ20A and HZ20B intersect with each other in the new structure model, which influences salinity upconing caused by leakages in shafts. The aim of the modelling of long-term influence of ONKALO, shafts and repository tunnels provide computational results that can be used to suggest limits for allowed leakages. The model input data included all the existing leakages into ONKALO (35-38 l/min) and shafts in the present day conditions. The influence of shafts was computed using eight different values for total shaft leakage: 5, 11, 20, 30, 40, 50, 60 and 70 l/min. The selection of the leakage criteria for shafts was influenced by the fact that upconing of saline water increases TDS-values close to the repository areas although HZ20B does not intersect any deposition tunnels. The total limit for all leakages was suggested to be 120 l/min. The limit for HZ20 zones was proposed to be 40 l/min: about 5 l/min the present day leakages to access tunnel, 25 l/min from
Using Transport Diagnostics to Understand Chemistry Climate Model Ozone Simulations
Strahan, S. E.; Douglass, A. R.; Stolarski, R. S.; Akiyoshi, H.; Bekki, S.; Braesicke, P.; Butchart, N.; Chipperfield, M. P.; Cugnet, D.; Dhomse, S.;
2010-01-01
We demonstrate how observations of N2O and mean age in the tropical and midlatitude lower stratosphere (LS) can be used to identify realistic transport in models. The results are applied to 15 Chemistry Climate Models (CCMs) participating in the 2010 WMO assessment. Comparison of the observed and simulated N2O/mean age relationship identifies models with fast or slow circulations and reveals details of model ascent and tropical isolation. The use of this process-oriented N2O/mean age diagnostic identifies models with compensating transport deficiencies that produce fortuitous agreement with mean age. We compare the diagnosed model transport behavior with a model's ability to produce realistic LS O3 profiles in the tropics and midlatitudes. Models with the greatest tropical transport problems show the poorest agreement with observations. Models with the most realistic LS transport agree more closely with LS observations and each other. We incorporate the results of the chemistry evaluations in the SPARC CCMVal Report (2010) to explain the range of CCM predictions for the return-to-1980 dates for global (60 S-60 N) and Antarctic column ozone. Later (earlier) Antarctic return dates are generally correlated to higher (lower) vortex Cl(sub y) levels in the LS, and vortex Cl(sub y) is generally correlated with the model's circulation although model Cl(sub y) chemistry or Cl(sub y) conservation can have a significant effect. In both regions, models that have good LS transport produce a smaller range of predictions for the return-to-1980 ozone values. This study suggests that the current range of predicted return dates is unnecessarily large due to identifiable model transport deficiencies.
Stochastic volatility and stochastic leverage
DEFF Research Database (Denmark)
Veraart, Almut; Veraart, Luitgard A. M.
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...
Fractional diffusion models of transport in magnetically confined plasmas
International Nuclear Information System (INIS)
Castillo-Negrete, D. del; Carreras, B. A.; Lynch, V. E.
2005-01-01
Experimental and theoretical evidence suggests that transport in magnetically confined fusion plasmas deviates from the standard diffusion paradigm. Some examples include the confinement time scaling in L-mode plasmas, rapid pulse propagation phenomena, and inward transport in off-axis fueling experiments. The limitations of the diffusion paradigm can be traced back to the restrictive assumptions in which it is based. In particular, Fick's law, one of the cornerstones of diffusive transport, assumes that the fluxes only depend on local quantities, i. e. the spatial gradient of the field (s). another key issue is the Markovian assumption that neglects memory effects. Also, at a microscopic level, standard diffusion assumes and underlying Gaussian, uncorrelated stochastic process (i. e. a Brownian random walk) with well defined characteristic spatio-temporal scales. Motivated by the need to develop models of non-diffusive transport, we discuss here a class of transport models base on the use of fractional derivative operators. The models incorporates in a unified way non-Fickian transport, non-Markovian processes or memory effects, and non-diffusive scaling. At a microscopic level, the models describe an underlying stochastic process without characteristic spatio-temporal scales that generalizes the Brownian random walk. As a concrete case study to motivate and test the model, we consider transport of tracers in three-dimensional, pressure-gradient-driven turbulence. We show that in this system transport is non-diffusive and cannot be described in the context of the standard diffusion parading. In particular, the probability density function (pdf) of the radial displacements of tracers is strongly non-Gaussian with algebraic decaying tails, and the moments of the tracer displacements exhibit super-diffusive scaling. there is quantitative agreement between the turbulence transport calculations and the proposed fractional diffusion model. In particular, the model
Metal transport across biomembranes: emerging models for a distinct chemistry.
Argüello, José M; Raimunda, Daniel; González-Guerrero, Manuel
2012-04-20
Transition metals are essential components of important biomolecules, and their homeostasis is central to many life processes. Transmembrane transporters are key elements controlling the distribution of metals in various compartments. However, due to their chemical properties, transition elements require transporters with different structural-functional characteristics from those of alkali and alkali earth ions. Emerging structural information and functional studies have revealed distinctive features of metal transport. Among these are the relevance of multifaceted events involving metal transfer among participating proteins, the importance of coordination geometry at transmembrane transport sites, and the presence of the largely irreversible steps associated with vectorial transport. Here, we discuss how these characteristics shape novel transition metal ion transport models.
DEFF Research Database (Denmark)
Larsen, E.H.; Møbjerg, N.; Sørensen, Jens Nørkær
2006-01-01
transport similar to rat proximal tubule. Na+ recirculation is required for truly isotonic transport. The tonicity of the absorbate and the recirculation flux depend critically on ion permeabilities of interspace basement membrane. Conclusion: Our model based on solute-solvent coupling in lateral space......Aim: By mathematical modelling, we analyse conditions for near-isotonic and isotonic transport by mammalian kidney proximal tubule. Methods: The model comprises compliant lateral intercellular space (lis) and cells, and infinitely large luminal and peritubular compartments with diffusible species......: Na+, K+, Cl and an intracellular non-diffusible anion. Unknown model variables are solute concentrations, electrical potentials, volumes and hydrostatic pressures in cell and lis, and transepithelial potential. We used data mainly from rat proximal tubule to model epithelial cells and interspace...