Optimal directional volatile transport in retronasal olfaction
Ni, Rui; Michalski, Mark H.; Brown, Elliott; Doan, Ngoc; Zinter, Joseph; Ouellette, Nicholas T.; Shepherd, Gordon M.
2015-01-01
The ability of humans to distinguish the delicate differences in food flavors depends mostly on retronasal smell, in which food volatiles entrained into the airway at the back of the oral cavity are transported by exhaled air through the nasal cavity to stimulate the olfactory receptor neurons. Little is known whether food volatiles are preferentially carried by retronasal flow toward the nasal cavity rather than by orthonasal flow into the lung. To study the differences between retronasal and orthonasal flow, we obtained computed tomography (CT) images of the orthonasal airway from a healthy human subject, printed an experimental model using a 3D printer, and analyzed the flow field inside the airway. The results show that, during inhalation, the anatomical structure of the oropharynx creates an air curtain outside a virtual cavity connecting the oropharynx and the back of the mouth, which prevents food volatiles from being transported into the main stream toward the lung. In contrast, during exhalation, the flow preferentially sweeps through this virtual cavity and effectively enhances the entrainment of food volatiles into the main retronasal flow. This asymmetrical transport efficiency is also found to have a nonmonotonic Reynolds number dependence: The asymmetry peaks at a range of an intermediate Reynolds number close to 800, because the air curtain effect during inhalation becomes strongest in this range. This study provides the first experimental evidence, to our knowledge, for adaptations of the geometry of the human oropharynx for efficient transport of food volatiles toward the olfactory receptors in the nasal cavity. PMID:26553982
Optimal directional volatile transport in retronasal olfaction.
Ni, Rui; Michalski, Mark H; Brown, Elliott; Doan, Ngoc; Zinter, Joseph; Ouellette, Nicholas T; Shepherd, Gordon M
2015-11-24
The ability of humans to distinguish the delicate differences in food flavors depends mostly on retronasal smell, in which food volatiles entrained into the airway at the back of the oral cavity are transported by exhaled air through the nasal cavity to stimulate the olfactory receptor neurons. Little is known whether food volatiles are preferentially carried by retronasal flow toward the nasal cavity rather than by orthonasal flow into the lung. To study the differences between retronasal and orthonasal flow, we obtained computed tomography (CT) images of the orthonasal airway from a healthy human subject, printed an experimental model using a 3D printer, and analyzed the flow field inside the airway. The results show that, during inhalation, the anatomical structure of the oropharynx creates an air curtain outside a virtual cavity connecting the oropharynx and the back of the mouth, which prevents food volatiles from being transported into the main stream toward the lung. In contrast, during exhalation, the flow preferentially sweeps through this virtual cavity and effectively enhances the entrainment of food volatiles into the main retronasal flow. This asymmetrical transport efficiency is also found to have a nonmonotonic Reynolds number dependence: The asymmetry peaks at a range of an intermediate Reynolds number close to 800, because the air curtain effect during inhalation becomes strongest in this range. This study provides the first experimental evidence, to our knowledge, for adaptations of the geometry of the human oropharynx for efficient transport of food volatiles toward the olfactory receptors in the nasal cavity.
De Biase, C.; Maier, U.; Baeder-Bederski, O.; Bayer, P.; Oswald, S.E.; Thullner, M.
2011-01-01
Vertical flow filters are containers filled with porous medium that are recharged from top and drained at the bottom, and are operated at partly saturated conditions. They have recently been suggested as treatment technology for groundwater containing volatile organic compounds (VOCs). Numerical rea
De Biase, C.; Maier, U.; Baeder-Bederski, O.; Bayer, P.; Oswald, S.E.; Thullner, M.
2011-01-01
Vertical flow filters are containers filled with porous medium that are recharged from top and drained at the bottom, and are operated at partly saturated conditions. They have recently been suggested as treatment technology for groundwater containing volatile organic compounds (VOCs). Numerical rea
De Biase, C.; Maier, U.; Baeder-Bederski, O.; Bayer, P.; Oswald, S.E.; Thullner, M.
2011-01-01
Vertical flow filters are containers filled with porous medium that are recharged from top and drained at the bottom, and are operated at partly saturated conditions. They have recently been suggested as treatment technology for groundwater containing volatile organic compounds (VOCs). Numerical
Directory of Open Access Journals (Sweden)
M. Karl
2009-06-01
Full Text Available We present a new European plant-specific emission inventory for isoprene, monoterpenes, sesquiterpenes and oxygenated VOC (OVOC, on a spatial resolution of 0.089×0.089 degrees, for implementation in atmospheric transport models. The inventory incorporates more accurate data on foliar biomass densities from several litterfall databases that became available in the last years for the main tree species in Europe. A bioclimatic correction factor was introduced to correct the foliar biomass densities of trees and crops for the different plant growth conditions that can be found in Pan-Europe. Long-term seasonal variability of agriculture and forest emissions was taken into account by implementing a new growing season concept. The 2004–2005 averaged annual total biogenic volatile organic compound (BVOC emissions for the Pan-European domain are estimated to be about 12 Tg with a large contribution from the OVOC class of about 4.5 Tg and from monoterpenes of about 4 Tg. Annual isoprene emissions are found to be about 3.5 Tg, insensitive to the chosen emission algorithm. Emissions of OVOC were found to originate to a large extent from agriculture. Further experiments on crop emissions should be carried out to check the validity of the applied standard emission factors. The new inventory aims at a fully transparent and verifiable aggregation of detailed land use information and at the inclusion of plant-specific emission data. Though plant-specific land use data is available with relatively high accuracy, a lack of experimental biomass densities and emission data on terpenes, sesquiterpenes and oxygenated VOC, in particular for agricultural plants, currently limits the setup of a highly accurate plant-specific emission inventory.
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...
Directory of Open Access Journals (Sweden)
L. A. Barrie
2007-03-01
Full Text Available Global transports and budgets of three PCBs were investigated with a 3-D dynamic model for semi-volatile persistent organic pollutants – GEM/POPs. Dominant pathways were identified for PCB transports in the atmosphere with a peak transport flux below 8 km and 14 km for gaseous and particulate PCB28, 4 km and 6 km for gaseous and particulate PCB180. The inter-continental transports of PCBs in the Northern Hemisphere (NH are dominated in the zonal direction with their route changes seasonally regulated by the variation of westerly jet. The transport pathways from Europe and North Atlantic to the Arctic contributed the most PCBs over there. Inter-hemispheric transports of PCBs originated from the regions of Europe, Asia and North America in three different flow-paths, accompanying with easterly jet, Asian monsoon winds and trade winds. PCBs from the Southern Hemisphere (SH could export into the NH. According to the PCB emissions of year 2000, Europe, North America and Asia are the three largest sources of the three PCBs, contributing to the global background concentrations in the atmosphere and soil and water. Globally, PCB28 in soil and water has become a comparable source to the anthropogenic emissions while heavier PCBs such as PCB153 and 180 are still transporting into soil and water. It is found that lighter PCBs have more long range transport potentials than their heavier counter-parts in the atmosphere.
Cunningham, Jeffrey A.; Werth, Charles J.; Reinhard, Martin; Roberts, Paul V.
1997-12-01
In the first paper of this two-paper series, we present a new model that attributes nonequilibrium sorption of moderately hydrophobia, volatile organic compounds to intragranular diffusion. The model differs from those of previous researchers in that for the first time, it combines the following elements: (1) We account for two distinct intragranular rate-limiting diffusion processes, occurring in series and at widely different timescales; (2) we describe the slower of the two processes with a gamma distribution of diffusion rates; and (3) we use the disparity of timescales of the two processes to approximate a boundary condition for the distributed diffusion equation, allowing it to be solved analytically. The slower diffusion process is attributed to activated diffusion through very small pores, called micropores. In paper 2 [Werth et al., this issue] we evaluate the capabilities of the model and use it to interpret experimental results.
Consistent ranking of volatility models
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger
2006-01-01
result in an inferior model being chosen as "best" with a probability that converges to one as the sample size increases. We document the practical relevance of this problem in an empirical application and by simulation experiments. Our results provide an additional argument for using the realized...... 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.......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...
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...
Modeling the Volatility in Global Fertilizer Prices
P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)
2010-01-01
textabstractThe main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARC
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
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.
Xie, Haijian; Jiang, Yuansheng; Zhang, Chunhua; Feng, Shijin
2015-02-01
An analytical model for volatile organic compounds (VOCs) transport through a composite liner consisting of a geomembrane (GM), a geosynthetic clay liner (GCL), and a soil liner (SL) was developed for the assessment of the performance of this triple liner system. Both advection through the defects of GM and diffusion in the intact GM were considered in the model, and dimensionless analytical solution was obtained. The soil concentration profiles obtained by the proposed analytical solution have a good agreement with those obtained by the finite-layer-based software POLLUTE v7. The effects of leachate head, length of the connected wrinkles, and the interface transmissivity of GM/GCL on the breakthrough curves of the liner system were then investigated. Results show that the 30-year base flux of the liner system for the case with leachate head = 10 m and length of the connected wrinkles = 1,000 m can be over 60 times greater than that of the pure diffusion case. The length of the connected wrinkles of the GM has greater influence on the base flux of the liner system than on the base concentration. The interface transmissivity has negligible effect on the solute breakthrough curves of the liner system for relatively low values of the length of the connected wrinkles (e.g., liners.
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...
Institute of Scientific and Technical Information of China (English)
R.E. Waltz
2007-01-01
@@ There has been remarkable progress during the past decade in understanding and modeling turbulent transport in tokamaks. With some exceptions the progress is derived from the huge increases in computational power and the ability to simulate tokamak turbulence with ever more fundamental and physically realistic dynamical equations, e.g.
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.
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.
Modeling and forecasting petroleum futures volatility
Energy Technology Data Exchange (ETDEWEB)
Sadorsky, Perry [York Univ., Schulich School of Business, Toronto, ON (Canada)
2006-07-15
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)
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...... features for representing the surface and its dynamics: a general dynamic factor model, restricted factor models designed to capture the key features of the surface along the moneyness and maturity dimensions, and in-between spline-based methods. Key findings are that: (i) the restricted and spline......-based models are both rejected against the general dynamic factor model, (ii) the factors driving the surface are highly persistent, (iii) for the restricted models option Delta is preferred over the more often used strike relative to spot price as measure for moneyness....
Transport, behavior, and fate of volatile organic compounds in streams
Rathbun, R.E.
2000-01-01
Volatile organic compounds (VOCs) are compounds with chemical and physical properties that allow the compounds to move freely between the water and air phases of the environment. VOCs are widespread in the environment because of this mobility. Many VOCs have properties that make them suspected or known hazards to the health of humans and aquatic organisms. Consequently, understanding the processes affecting the concentration and distribution of VOCs in the environment is necessary. The transport, behavior, and fate of VOCs in streams are determined by combinations of chemical, physical, and biological processes. These processes are volatilization, absorption, wet and dry deposition, microbial degradation, sorption, hydrolysis, aquatic photolysis, oxidation, chemical reaction, biocon-centration, advection, and dispersion. The relative importance of each of these processes depends on the characteristics of the VOC and the stream. The U.S. Geological Survey National Water-Quality Assessment Program selected 55 VOCs for study. This article reviews the characteristics of the various processes that could affect the transport, behavior, and fate of these VOCs in streams.
Multifractal Models, Intertrade Durations and Return Volatility
Segnon, Mawuli Kouami
2015-01-01
This thesis covers the application of multifractal processes in modeling financial time series. It aims to demonstrate the capacity and the robustness of the multifractal processes to better model return volatility and ultra high frequency financial data than both the generalized autoregressive conditional heteroscedasticity (GARCH)-type and autoregressive conditional duration (ACD) models currently used in research and practice. The thesis is comprised of four main parts that ...
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.
Modelling volatility by variance decomposition
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
on the multiplicative decomposition of the variance is developed. It is heavily dependent on Lagrange multiplier type misspecification tests. Finite-sample properties of the strategy and tests are examined by simulation. An empirical application to daily stock returns and another one to daily exchange rate returns...... illustrate the functioning and properties of our modelling strategy in practice. The results show that the long memory type behaviour of the sample autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance....
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
Modeling Multivariate Volatility Processes: Theory and Evidence
Directory of Open Access Journals (Sweden)
Jelena Z. Minovic
2009-05-01
Full Text Available This article presents theoretical and empirical methodology for estimation and modeling of multivariate volatility processes. It surveys the model specifications and the estimation methods. Multivariate GARCH models covered are VEC (initially due to Bollerslev, Engle and Wooldridge, 1988, diagonal VEC (DVEC, BEKK (named after Baba, Engle, Kraft and Kroner, 1995, Constant Conditional Correlation Model (CCC, Bollerslev, 1990, Dynamic Conditional Correlation Model (DCC models of Tse and Tsui, 2002, and Engle, 2002. I illustrate approach by applying it to daily data from the Belgrade stock exchange, I examine two pairs of daily log returns for stocks and index, report the results obtained, and compare them with the restricted version of BEKK, DVEC and CCC representations. The methods for estimation parameters used are maximum log-likehood (in BEKK and DVEC models and twostep approach (in CCC model.
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...
Modeling and Forecasting the Volatility of Eastern European Emerging Markets
Directory of Open Access Journals (Sweden)
Sang Hoon Kang
2009-06-01
Full Text Available This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, namely, Hungary, Poland, Russia, and Slovakia. From the results of our empirical analysis, we found that the FIGARCH model is better equipped to capture the long memory property in the volatility of these markets than the GARCH and IGARCH models. More importantly, the FIGARCH model is found to provide superior performance in one-day-ahead volatility forecasts. Thus, this study recommends researchers, portfolio managers, and traders to use the long memory FIGARCH model in analyzing and forecasting the volatility dynamics of Eastern European emerging markets.
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
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......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...
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...... substances. A modified version of the regional multimedia activity model for ionics MAMI, including twolayered atmosphere with atmospheric boundary layer (ABL) and lower/middle troposphere (LMT), interface partitioning, intermittent rainfall and variable cloud coverage was applied to a selection of ten low...... were run for a constant emission to the atmospheric boundary layer to identify key model inputs. The degradation rate, the duration of dry and wet periods and the parameters describing air-water bulk partitioning (KAW and T) and ionization (pKa and pH) determine the residence time in the ABL...
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......A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed diffusion processes are employed, but with the filtered...... 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 Jump-Diffusion Model with Stochastic Volatility and Durations
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
Market microstructure theories suggest that the durations between transactions carry information about volatility. This paper puts forward a model featuring stochastic volatility, stochastic conditional duration, and jumps to analyze high frequency returns and durations. Durations affect price...... 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....... The algorithm provides smoothed estimates of the latent variables such as spot volatility, conditional duration, jump times, and jump sizes. We apply this model to IBM data and find that volatility and conditional duration are interdependent. We also find that jumps play an important role in return variation...
Viscosity methods for multiscale financial models with stochastic volatility
Bardi, Martino; Cesaroni, Annalisa; Ghilli, Daria; Scotti, Andrea
2014-01-01
Parallel session; International audience; Introduction on models Financial models and stochastic volatility, Gaussian or with jumps Fast stochastic volatility Part 1 Control systems with random parameters and multiple scales The Hamilton-Jacobi-Bellman approach to Singular Perturbations I Tools I Assumptions I A convergence result Applications to finance Part 2 Large deviations for small time to maturity: see also Daria Ghilli's poster tomorrow
Energy Technology Data Exchange (ETDEWEB)
M. McGraw
2000-04-13
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.
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.
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
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......We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...
Market volatility modeling for short time window
de Mattos Neto, Paulo S. G.; Silva, David A.; Ferreira, Tiago A. E.; Cavalcanti, George D. C.
2011-10-01
The gain or loss of an investment can be defined by the movement of the market. This movement can be estimated by the difference between the magnitudes of two stock prices in distinct periods and this difference can be used to calculate the volatility of the markets. The volatility characterizes the sensitivity of a market change in the world economy. Traditionally, the probability density function (pdf) of the movement of the markets is analyzed by using power laws. The contributions of this work is two-fold: (i) an analysis of the volatility dynamic of the world market indexes is performed by using a two-year window time data. In this case, the experiments show that the pdf of the volatility is better fitted by exponential function than power laws, in all range of pdf; (ii) after that, we investigate a relationship between the volatility of the markets and the coefficient of the exponential function based on the Maxwell-Boltzmann ideal gas theory. The results show an inverse relationship between the volatility and the coefficient of the exponential function. This information can be used, for example, to predict the future behavior of the markets or to cluster the markets in order to analyze economic patterns.
Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model
Piplack, J.
2009-01-01
This paper proposes a new model for modeling and forecasting the volatility of asset markets. We suggest to use the log range defined as the natural logarithm of the difference of the maximum and the minimum price observed for an asset within a certain period of time, i.e. one trading week. There is
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...
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...
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.
Institute of Scientific and Technical Information of China (English)
无
2003-01-01
In this paper a stochastic volatility model is considered. That is, a log price process Y whichis given in terms of a volatility process V is studied. The latter is defined such that the logprice possesses some of the properties empirically observed by Barndorff-Nielsen & Jiang[6]. Inthe model there are two sets of unknown parameters, one set corresponding to the marginaldistribution of V and one to autocorrelation of V. Based on discrete time observations ofthe log price the authors discuss how to estimate the parameters appearing in the marginaldistribution and find the asymptotic properties.
Comparative Performance of Volatility Models for Oil Price
Directory of Open Access Journals (Sweden)
Afees A. Salisu
2012-07-01
Full Text Available In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii we also analyse the comparative performance of both symmetric and asymmetric volatility models for the oil price. We find that oil price was most volatile during the global financial crises compared to other sub samples. Based on the appropriate model selection criteria, the asymmetric GARCH models appear superior to the symmetric ones in dealing with oil price volatility. This finding indicates evidence of leverage effects in the oil market and ignoring these effects in oil price modelling will lead to serious biases and misleading results.
An Intelligent Analysis Model for Multisource Volatile Memory
Directory of Open Access Journals (Sweden)
Xiaolu Zhang
2013-09-01
Full Text Available For the rapidly development of network and distributed computing environment, it make researchers harder to do analysis examines only from one or few pieces of data source in persistent data-oriented approaches, so as the volatile memory analysis either. Therefore, mass data automatically analysis and action modeling needs to be considered for reporting entire network attack process. To model multiple volatile data sources situation can help understand and describe both thinking process of investigator and possible action step for attacker. This paper presents a Game model for multisource volatile data and applies it to main memory images analysis with the definition of space-time feature for volatile element information. Abstract modeling allows the lessons gleaned in performing intelligent analysis, evidence filing and automating presentation. Finally, a test demo based on the model is also present to illustrate the whole procedure
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
2013-01-01
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...
Biomass torrefaction: modeling of volatile and solid product evolution kinetics.
Bates, Richard B; Ghoniem, Ahmed F
2012-11-01
The aim of this work is the development of a kinetics model for the evolution of the volatile and solid product composition during torrefaction conditions between 200 and 300°C. Coupled to an existing two step solid mass loss kinetics mechanism, this model describes the volatile release kinetics in terms of a set of identifiable chemical components, permitting the solid product composition to be estimated by mass conservation. Results show that most of the volatiles released during the first stage include highly oxygenated species such as water, acetic acid, and carbon dioxide, while volatiles released during the second step are composed primarily of lactic acid, methanol, and acetic acid. This kinetics model will be used in the development of a model to describe reaction energy balance and heat release dynamics.
On efficient Bayesian inference for models with stochastic volatility
Griffin, Jim E.; Sakaria, Dhirendra Kumar
2016-01-01
An efficient method for Bayesian inference in stochastic volatility models uses a linear state space representation to define a Gibbs sampler in which the volatilities are jointly updated. This method involves the choice of an offset parameter and we illustrate how its choice can have an important effect on the posterior inference. A Metropolis-Hastings algorithm is developed to robustify this approach to choice of the offset parameter. The method is illustrated on simulated data with known p...
Modeling and Forecasting Volatility of the Malaysian Stock Markets
Directory of Open Access Journals (Sweden)
Ahmed Shamiri
2009-01-01
Full Text Available Problem statement: One of the main purposes of modeling variance is forecasting, which is crucial in many areas of finance. Despite the burgeoning interest in and evaluation of volatility forecasts, a clear consensus on witch volatility model/or distribution specification to use has not yet been reached. Therefore, the out of-sample forecasting ability should be a natural model selection criterion for volatility models. Approach: In this study, we used high-frequency to facilitate meaningful comparison of volatility forecast models. We compared the performance of symmetric GARCH, asymmetric EGARCH and non leaner asymmetric NAGARCH models with six error distributions (normal, skew normal, student-t, skew student-t, generalized error distribution and normal inverse Gaussian. Results: The results suggested that allowing for a heavy-tailed error distribution leads to significant improvements in variance forecasts compared to using normal distribution. It was also found that allowing for skewness in the higher moments of the distribution did not further improve forecasts. Conclusion: Successful volatility model forecast depended much more heavily on the choice of error distribution than the choice of GARCH models.
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.
Energy Technology Data Exchange (ETDEWEB)
Oostrom, Martinus; Zhang, Z. F.; Freedman, Vicky L.; Tartakovsky, Guzel D.
2008-09-29
Carbon tetrachloride (CT) was discharged to waste sites that are included in the 200-PW-1 Operable Unit in Hanford 200 West Area. Fluor Hanford, Inc. is conducting a Comprehensive Environmental Response, Compensation, and Liability Act (CERCLA) remedial investigation/feasibility study (RI/FS) for the 200-PW-1 Operable Unit. The RI/FS process and remedial investigations for the 200-PW-1, 200 PW-3, and 200-PW-6 Operable Units are described in the Plutonium/Organic-Rich Process Condensate/Process Waste Groups Operable Unit RI/FS Work Plan. As part of this overall effort, Pacific Northwest National Laboratory (PNNL) was contracted to improve the STOMP simulator (White and Oostrom, 2006) by incorporating kinetic volatilization of nonaqueous phase liquids (NAPL) and multicomponent flow and transport. This work supports the U.S. Department of Energy's (DOE's) efforts to characterize the nature and distribution of CT in the 200 West Area and subsequently select an appropriate final remedy. Previous numerical simulation results with the STOMP simulator have overestimated the effect of soil vapor extraction (SVE) on subsurface CT, showing rapid removal of considerably more CT than has actually been recovered so far. These previous multiphase simulations modeled CT mass transfer between phases based on equilibrium partitioning. Equilibrium volatilization can overestimate volatilization because mass transfer limitations present in the field are not considered. Previous simulations were also conducted by modeling the NAPL as a single component, CT. In reality, however, the NAPL mixture disposed of at the Hanford site contained several non-volatile and nearly insoluble organic components, resulting in time-variant fluid properties as the CT component volatilized or dissolved over time. Simulation of CT removal from a DNAPL mixture using single-component DNAPL properties typically leads to an overestimation of CT removal. Other possible reasons for the discrepancy
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
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......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...... on S&P 500 across strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
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......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...... strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....
Energy Technology Data Exchange (ETDEWEB)
Agnolucci, Paolo [University of Cambridge, Department of Land Economy, Cambridge Centre for Climate Change Mitigation Research (4CMR), 19 Silver Street, Cambridge CB3 9EP (United Kingdom)
2009-03-15
The WTI future contract quoted at the NYMEX is the most actively traded instrument in the energy sector. This paper compares the predictive ability of two approaches which can be used to forecast volatility: GARCH-type models where forecasts are obtained after estimating time series models, and an implied volatility model where forecasts are obtained by inverting one of the models used to price options. Although the main scope of the research discussed here is to evaluate which model produces the best forecast of volatility for the WTI future contract, evaluated according to statistical and regression-based criteria, we also investigate whether volatility of the oil futures are affected by asymmetric effects, whether parameters of the GARCH models are influenced by the distribution of the errors and whether allowing for a time-varying long-run mean in the volatility produces any improvement on the forecast obtained from GARCH models. (author)
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.
Vapor Transport of a Volatile Solvent for a Multicomponent Aerosol Droplet
Feng, James Q
2015-01-01
This work presents analytical formulas derived for evaluating vapor transport of a volatile solvent for an isolated multicomponent droplet in a quiescent environment, based on quasi-steady-state approximation. Among multiple solvent components, only one component is considered to be much more volatile than the rest such that other components are assumed to be nonvolatile remaining unchanged in the droplet during the process of (single-component) volatile solvent evaporation or condensation. For evaporating droplet, the droplet size often initially decreases following the familiar "d^2 law" at an accelerated rate. But toward the end, the rate of droplet size change diminishes due to the presence of nonvolatile cosolvent. Such an acceleration-deceleration reversal behavior is unique for evaporating multicomponent droplet, while the droplet of pure solvent has an accelerated rate of size change all the way through the end. This reversal behavior is also reflected in the droplet surface temperature evolution as "...
Community Sediment Transport Model
2007-01-01
are used to determine that model results are consistent across compilers, platforms, and computer architectures , and to ensure that changes in code do...Mississippi State University: Bhate During the early months of this project, the focus was on understanding ROMS-CSTM model, architecture , and...Marchesiello, J.C. McWilliams, & K.D. Stolzenbach, 2007: Sediment transport modeling on Southern Californian shelves: A ROMS case study. Continental
Modelling volatility recurrence intervals in the Chinese commodity futures market
Zhou, Weijie; Wang, Zhengxin; Guo, Haiming
2016-09-01
The law of extreme event occurrence attracts much research. The volatility recurrence intervals of Chinese commodity futures market prices are studied: the results show that the probability distributions of the scaled volatility recurrence intervals have a uniform scaling curve for different thresholds q. So we can deduce the probability distribution of extreme events from normal events. The tail of a scaling curve can be well fitted by a Weibull form, which is significance-tested by KS measures. Both short-term and long-term memories are present in the recurrence intervals with different thresholds q, which denotes that the recurrence intervals can be predicted. In addition, similar to volatility, volatility recurrence intervals also have clustering features. Through Monte Carlo simulation, we artificially synthesise ARMA, GARCH-class sequences similar to the original data, and find out the reason behind the clustering. The larger the parameter d of the FIGARCH model, the stronger the clustering effect is. Finally, we use the Fractionally Integrated Autoregressive Conditional Duration model (FIACD) to analyse the recurrence interval characteristics. The results indicated that the FIACD model may provide a method to analyse volatility recurrence intervals.
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.
Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
DEFF Research Database (Denmark)
Lunde, Asger; Brix, Anne Floor
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 the p......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 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...
Kalyaan, Anusha; Desch, Steven
2017-01-01
The Sun was likely born in a high mass star forming region [1]. Such a birth environment with a proximity to a nearby O or B star would photoevaporate the sun’s protoplanetary disk and cause an outward mass flow from the outer edge, as well as truncation of the disk, as seen in the Orion proplyds (although not as intensely)[2]. Photoevaporation likely explains the currently observed ~47 AU edge of the Kuiper Belt in our solar system [3], and more compellingly, the origin of certain short-lived radionuclides (such as Fe60), which cannot be successfully explained by a nebular origin [4][5]. Such a mass loss mechanism should affect the radial transport processes in the snowline region and along with temperature, has the potential to alter the location of the snowline.In this context, and in the light of recent ALMA observational results indicative of non-traditional behavior of snowlines and volatile transport in disks [6][7], this work studies what effect a photoevaporative mass loss from the outer disk may have on the volatile transport around the snowline region between ~1-10 AU in the disk. We build on the model of [8] and explore the effects of a steep photoevaporated non-uniform $\\alpha$ disk on radial transport of volatiles and small icy solids by incorporating the advection-diffusion equations as in [9] and condensation/evaporation of volatiles. We present results of these simulations, including volatile mass fluxes, ice/rock ratios, and snow line locations, in protoplanetary disks like the solar nebula.References: [1] Adams, F.C., 2010, ARAA 48,47 [2] Henney, W.J., & O’Dell, C.R., 1999, AJ, 118, 2350 [3] Trujillo,C.A. & Brown,M.E., 2001, ApJL,554,L95 [4] Hester, J.J., & Desch, S.J., 2005,ASPC, 341,107 [5] Wadhwa, M. et al. , 2007, Protostars & Planets V, 835 [5 [6] Cieza, L.A., et al., 2016, Nature,535,258 [7] Huang, J, et al. et al., 2016, ApJL, 823, L18 [8] Kalyaan, A., et al., 2015, ApJ, 815, 112 [9] Desch, S.J., et al., (in review).
Modeling daily realized futures volatility with singular spectrum analysis
Thomakos, Dimitrios D.; Wang, Tao; Wille, Luc T.
2002-09-01
Using singular spectrum analysis (SSA), we model the realized volatility and logarithmic standard deviations of two important futures return series. The realized volatility and logarithmic standard deviations are constructed following the methodology of Andersen et al. [J. Am. Stat. Ass. 96 (2001) 42-55] using intra-day transaction data. We find that SSA decomposes the volatility series quite well and effectively captures both the market trend (accounting for about 34-38% of the total variance in the series) and, more importantly, a number of underlying market periodicities. Reliable identification of any periodicities is extremely important for options pricing and risk management and we believe that SSA can be a useful addition to the financial practitioners’ toolbox.
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...
Dissociation and Mass Transfer Coefficients for Ammonia Volatilization Models
Process-based models are being used to predict ammonia emissions from manure sources, but their accuracy has not been fully evaluated for cattle manure. Laboratory trials were conducted to measure the dissociation and mass transfer coefficients for ammonia volatilization from media of buffered ammon...
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
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, rubbe
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, rub
[Emission model of volatile organic compounds from materials used indoors].
Han, K
1998-11-30
Various materials, such as wall-paper, floor-wax, paint, multicolor wall-coat, air freshener and mothball were experimented in a simulated test chamber under constant selected temperature, humidity and air exchange rate. The relation between the total VOCs concentration and time was regressed by four emission models and the surface emission rate was calculated. The regressed results indicated the similarity among four emission models for the liquid materials with volatile-solvent such as paint and multicolor wall-coat. But for low volatile solid materials, such as wall-paper, floor-wax, mothball, the sink model and the empirical model were better than the dilution model and vapor pressure model. Only for air freshener, it was improper to the total VOCs concentration as a parameter.
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.
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...
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
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...... 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...
Bouchard, D; Höhener, P; Hunkeler, D; 10.1016/j.jconhyd.2010.09.006
2011-01-01
Analytical models were developed that simulate stable isotope ratios of volatile organic compounds (VOCs) near a point source contamination in the unsaturated zone. The models describe diffusive transport of VOCs, biodegradation and source ageing. The mass transport is governed by Fick's law for diffusion, and the equation for reactive transport of VOCs in the soil gas phase was solved for different source geometries and for different boundary conditions. Model results were compared to experimental data from a one-dimensional laboratory column and a radial-symmetric field experiment, and the comparison yielded a satisfying agreement. The model results clearly illustrate the significant isotope fractionation by gas-phase diffusion under transient state conditions. This leads to an initial depletion of heavy isotopes with increasing distance from the source. The isotope evolution of the source is governed by the combined effects of isotope fractionation due to vaporization, diffusion and biodegradation. The net...
Modelling and Forecasting Multivariate Realized Volatility
DEFF Research Database (Denmark)
Chiriac, Roxana; Voev, Valeri
This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions....... 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...
A model for steady flows of magma-volatile mixtures
Belan, Marco
2012-01-01
A general one-dimensional model for the steady adiabatic motion of liquid-volatile mixtures in vertical ducts with varying cross-section is presented. The liquid contains a dissolved part of the volatile and is assumed to be incompressible and in thermomechanical equilibrium with a perfect gas phase, which is generated by the exsolution of the same volatile. An inverse problem approach is used -- the pressure along the duct is set as an input datum, and the other physical quantities are obtained as output. This fluid-dynamic model is intended as an approximate description of magma-volatile mixture flows of interest to geophysics and planetary sciences. It is implemented as a symbolic code, where each line stands for an analytic expression, whether algebraic or differential, which is managed by the software kernel independently of the numerical value of each variable. The code is versatile and user-friendly and permits to check the consequences of different hypotheses even through its early steps. Only the las...
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.
Groupage Cargo Transportation Model
Directory of Open Access Journals (Sweden)
Aleksejevs Ruslans
2016-03-01
Full Text Available In this work we consider a specific problem of optimal planning of maritime transportation of multiproduct cargo by ships of one (corporate strategy or several (partially corporate strategy companies: the core of the problem consists of the existence of the network of intermediate seaports (i.e. transitional seaports, where for every ship arrived the cargo handling is done, and which are situated between the starting and the finishing seaports. In this work, there are mathematical models built from scratch in the form of multicriteria optimization problem; then the goal attainment method of Gembicki is used for reducing the built models to a one-criterion problem of linear programming.
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
were run for a constant emission to the atmospheric boundary layer to identify key model inputs. The degradation rate, the duration of dry and wet periods and the parameters describing air-water bulk partitioning (KAW and T) and ionization (pKa and pH) determine the residence time in the ABL....... 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...
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...
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...
Despagne, Wilfried; Frenod, Emmanuel
2014-01-01
Purpose: The purpose of this paper is to investigate the road freight haulage activity. Using the physical and data flow information from a freight forwarder, we intend to model the flow of inbound and outbound goods in a freight transport hub. Approach: This paper presents the operation of a road haulage group. To deliver goods within two days to any location in France, a haulage contractor needs to be part of a network. This network handles the processing of both physical goods and data. We...
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....
Volatile transport on inhomogeneous surfaces: II. Numerical calculations (VT3D)
Young, Leslie A
2015-01-01
Several distant icy worlds have atmospheres that are in vapor-pressure equilibrium with their surface volatiles, including Pluto, Triton, and, probably, several large KBOs near perihelion. Studies of the volatile and thermal evolution of these have been limited by computational speed, especially for models that treat surfaces that vary with both latitude and longitude. In order to expedite such work, I present a new numerical model for the seasonal behavior of Pluto and Triton which (i) uses initial conditions that improve convergence, (ii) uses an expedient method for handling the transition between global and non-global atmospheres, (iii) includes local conservation of energy and global conservation of mass to partition energy between heating, conduction, and sublimation or condensation, (iv) uses time-stepping algorithms that ensure stability while allowing larger timesteps, and (v) can include longitudinal variability. This model, called VT3D, has been used in Young (2012), Young (2013), Olkin et al. (201...
Volatile transport on inhomogeneous surfaces: II. Numerical calculations (VT3D)
Young, Leslie A.
2017-03-01
Several distant icy worlds have atmospheres that are in vapor-pressure equilibrium with their surface volatiles, including Pluto, Triton, and, probably, several large KBOs near perihelion. Studies of the volatile and thermal evolution of these have been limited by computational speed, especially for models that treat surfaces that vary with both latitude and longitude. In order to expedite such work, I present a new numerical model for the seasonal behavior of Pluto and Triton which (i) uses initial conditions that improve convergence, (ii) uses an expedient method for handling the transition between global and non-global atmospheres, (iii) includes local conservation of energy and global conservation of mass to partition energy between heating, conduction, and sublimation or condensation, (iv) uses time-stepping algorithms that ensure stability while allowing larger timesteps, and (v) can include longitudinal variability. This model, called VT3D, has been used in Young (2012a, 2012b), Young (2013), Olkin et al. (2015), Young and McKinnon (2013), and French et al. (2015). Many elements of VT3D can be used independently. For example, VT3D can also be used to speed up thermophysical models (Spencer et al., 1989) for bodies without volatiles. Code implementation is included in the supplemental materials and is available from the author.
Stochastic Volatility Model and Technical Analysis of Stock Price
Institute of Scientific and Technical Information of China (English)
Wei LIU; Wei An ZHENG
2011-01-01
In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI,ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-knownindicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes' stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.
High order discretization schemes for stochastic volatility models
Jourdain, Benjamin
2009-01-01
In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an autonomous one-dimensional stochastic differential equation. We assume that the coefficients of this equation are smooth. Using It\\^o's formula, we get rid, in the asset price dynamics, of the stochastic integral with respect to the Brownian motion driving this SDE. Taking advantage of this structure, we propose - a scheme, based on the Milstein discretization of this SDE, with order one of weak trajectorial convergence for the asset price, - a scheme, based on the Ninomiya-Victoir discretization of this SDE, with order two of weak convergence for the asset price. We also propose a specific scheme with improved convergence properties when the volatility of the asset price is driven by an Orstein-Uhlenbeck process. We confirm the theoretical rates of convergence by numerical experiments and show that our schemes are well adapted to the multilevel Monte Carlo method introduced by Giles [2008a,b].
Two-dimensional modeling of volatile organic compounds adsorption onto beaded activated carbon.
Tefera, Dereje Tamiru; Jahandar Lashaki, Masoud; Fayaz, Mohammadreza; Hashisho, Zaher; Philips, John H; Anderson, James E; Nichols, Mark
2013-10-15
A two-dimensional heterogeneous computational fluid dynamics model was developed and validated to study the mass, heat, and momentum transport in a fixed-bed cylindrical adsorber during the adsorption of volatile organic compounds (VOCs) from a gas stream onto a fixed bed of beaded activated carbon (BAC). Experimental validation tests revealed that the model predicted the breakthrough curves for the studied VOCs (acetone, benzene, toluene, and 1,2,4-trimethylbenzene) as well as the pressure drop and temperature during benzene adsorption with a mean relative absolute error of 2.6, 11.8, and 0.8%, respectively. Effects of varying adsorption process variables such as carrier gas temperature, superficial velocity, VOC loading, particle size, and channelling were investigated. The results obtained from this study are encouraging because they show that the model was able to accurately simulate the transport processes in an adsorber and can potentially be used for enhancing absorber design and operation.
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),
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model
Leunglung Chan; Eckhard Platen
2015-01-01
This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach. The analytical expressions of pricing formulas for variance swaps are presented. In addition, the numerical solutions for variance swaps, volatility swaps and options on variance are demonstrated.
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.
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 convection
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.
Institute of Scientific and Technical Information of China (English)
吴继贵; 叶阿忠
2014-01-01
In order to explore the efficiency volatility and influence factors of Chinese modern transportation industry based on the data from 1978 to 2012, the Cross-efficiency DEA and VAR model are adopted. The result proves that, one-way Granger casualty relationship exists, respectively, between the input variables and output variables; the efficiency volatility of modern transportation can be divided into three stages:efficiency improvement, high efficiency operation and efficiency loss, which shows the trend of“rising first, then falling”in general; the response of transportation industry to the shock of per capita consumption, government spending, energy consumption and fixed-asset investment are positive, while to the shock of labor factor is negative, what’s more,“lag effect”exists in the response of transportation industry to the shock of information element.%选取1978–2012年的数据，应用交叉效率数据包络分析法(Cross-efficiency DEA)和向量自回归模型(Vector Autoregression, VAR)对中国现代交通运输业的效率波动情况及其影响因素进行分析。研究结果表明，交通运输业的投入和产出要素之间，均存在单向格兰杰(Granger)因果关系；交通运输业的效率波动可以划分为效率上升、高效运行和效率下降三个阶段，总体上呈现出“先升后降”的趋势；交通运输业对人均消费、政府支出、能源消耗和固定资产投资的冲击均表现出正向为主的响应，对劳动的冲击表现出负向响应，而对信息的冲击则表出响应“滞后”。
Goods Transport Modelling, Vol 1
DEFF Research Database (Denmark)
Petersen, Morten Steen (red.); Kristiansen, Jørgen
The report is a study of data requirements and methodologies for goods transport. The study is intended to provide the basis for general discussion about the application of goods transport models in Denmark. The report provides an overview of different types of models and data availability....
Approximation methods of European option pricing in multiscale stochastic volatility model
Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei
2017-01-01
In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.
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
Container Logistic Transport Planning Model
Directory of Open Access Journals (Sweden)
Xin Zhang
2013-05-01
Full Text Available The study proposed a stochastic method of container logistic transport in order to solve the unreasonable transportation’s problem and overcome the traditional models’ two shortcomings. Container transport has rapidly developed into a modern means of transportation because of their significant advantages. With the development, it also exacerbated the flaws of transport in the original. One of the most important problems was that the invalid transport had not still reduced due to the congenital imbalances of transportation. Container transport exacerbated the invalid transport for the empty containers. To solve the problem, people made many efforts, but they did not make much progress. There had two theoretical flaws by analyzing the previous management methods in container transport. The first one was the default empty containers inevitability. The second one was that they did not overall consider how to solve the problem of empty containers allocation. In order to solve the unreasonable transportation’s problem and overcome the traditional models’ two shortcomings, the study re-built the container transport planning model-gravity model. It gave the general algorithm and has analyzed the final result of model.
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Chuangxia Huang; Xu Gong; Xiaohong Chen; Fenghua Wen
2013-01-01
Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ), converting the realized Volatility (RV) into the adjusted realized volatility (ARV), and making use of the influence of momentum effect on the volatility, a new model called HAR-CJ-M is developed in this paper. At the same time, we also address, in great detail, another two models (HAR-ARV, HAR-CJ). The applications of these models to Chinese stock market show that each of the continuous sample pat...
Modeling the Implied Volatility Surface-: A Study for S&P 500 Index Option
Directory of Open Access Journals (Sweden)
Jin Zheng
2013-02-01
Full Text Available The aim of this study is to demonstrate a framework to model the implied volatilities of S&P 500 index options and estimate the implied volatilities of stock prices using stochastic processes. In this paper, three models are established to estimate whether the implied volatilities are constant during the whole life of options. We mainly concentrate on the Black-Scholes and Dumas’ option models and make the empirical comparisons. By observing the daily-recorded data of S&P 500 index, we study the volatility model and volatility surface. Results from numerical experiments show that the stochastic volatilities are determined by moneyness rather than constant. Our research is of vital importance, especially for forecasting stock market shocks and crises, as one of the applications.
Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chen, P.Y. Chen, P.Y. (Chen, P.Y.); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)
2013-01-01
textabstractThe main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used t
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.
Volatilization of parathion and chlorothalonil from a potato crop simulated by the PEARL model.
Leistra, Minze; van den Berg, Frederik
2007-04-01
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 local scales) and used to simulate volatilization of the pesticides parathion and chlorothalonil from a potato crop in a field experiment. Rate coefficients for the competing processes of plant penetration, wash off, and phototransformation in the canopy had to be derived from a diversity of literature data. Cumulative volatilization of the moderately volatile parathion (31% of the dosage in 7.6 days) could be simulated after calibrating two input data derived for the related compound parathion-methyl. The less volatile and more slowly transformed chlorothalonil showed 5% volatilization in 7.6 days, which could be explained by the simulation. Simulated behavior of the pesticides in the crop canopy roughly corresponded to published data.
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
Ciesla, F J
2007-01-01
In this paper, the possibility that the moderately volatile element depletions observed in chondritic meteorites are the results of planetesimals accreting in a solar nebula that cooled from an initially hot state (temperatures > 1350 K out to ~2-4 AU) is explored. A model is developed to track the chemical inventory of planetesimals that accrete in a viscously evolving protoplanetary disk, accounting for the redistribution of solids and vapor by advection, diffusion, and gas drag. It is found that depletion trends similar to those observed in the chondritic meteorites can be reproduced for a small range of model parameters. However, the necessary range of parameters is inconsistent with observations of disks around young stars and other constraints on meteorite parent body formation. Thus, counter to previous work, it is concluded that the global scale evolution of the solar nebula is not the cause for the observed depletion trends.
Volatile Transport inside Super-Earths by Entrapment in the Water Ice Matrix
Levi, Amit; Podolak, Morris
2013-01-01
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 & Platteeuw (1959) for modelling solid solutions, often used for modelling 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.
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Directory of Open Access Journals (Sweden)
Chuangxia Huang
2013-01-01
Full Text Available Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ, converting the realized Volatility (RV into the adjusted realized volatility (ARV, and making use of the influence of momentum effect on the volatility, a new model called HAR-CJ-M is developed in this paper. At the same time, we also address, in great detail, another two models (HAR-ARV, HAR-CJ. The applications of these models to Chinese stock market show that each of the continuous sample path variation, momentum effect, and ARV has a good forecasting performance on the future ARV, while the discontinuous jump variation has a poor forecasting performance. Moreover, the HAR-CJ-M model shows obviously better forecasting performance than the other two models in forecasting the future volatility in Chinese stock market.
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, L.A.; Oosterlee, C.W.
2010-01-01
We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main
Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models
DEFF Research Database (Denmark)
Kokholm, Thomas; Stisen, Martin
2015-01-01
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...
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.
Stock market volatility using GARCH models: Evidence from South Africa and China stock markets
Cheteni, Priviledge
2016-01-01
This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. A Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to estimate volatility of the stock returns, namely, the Johannesburg Stock Exchange FTSE/JSE Albi index and the Shanghai Stock Exchange Composite Index. The sample period is from January 1998 to October 2014. Empirical results show evidence of high volatility in both the JSE market, and the Shang...
MATRIX-VBS: implementing an evolving organic aerosol volatility in an aerosol microphysics model
Gao, Chloe Y.; Tsigaridis, Kostas; Bauer, Susanne E.
2016-01-01
We have implemented an existing aerosol microphysics scheme into a box model framework and extended it to represent gas-particle partitioning and chemical ageing of semi-volatile organic aerosols. We then applied this new research tool to investigate the effects of semi-volatile organic species on the growth, composition and mixing state of aerosol particles in case studies representing several different environments. The volatility-basis set (VBS) framework is implemented into the aerosol mi...
Wolters, André; Linnemann, Volker; Herbst, Michael; Klein, Michael; Schäffer, Andreas; Vereecken, Harry
2003-01-01
A comparison was drawn between model predictions and experimentally determined volatilization rates to evaluate the volatilization approaches of European registration models. Volatilization rates of pesticides (14C-labeled parathion-methyl, fenpropimorph, and terbuthylazine and nonlabeled chlorpyrifos) were determined in a wind-tunnel experiment after simultaneous soil surface application on Gleyic Cambisol. Both continuous air sampling, which quantifies volatile losses of 14C-organic compounds and 14CO2 separately, and the detection of soil residues allow for a mass balance of radioactivity of the 14C-labeled pesticides. Recoveries were found to be > 94% of the applied radioactivity. The following descending order of cumulative volatilization was observed: chlorpyrifos > parathion-methyl > terbuthylazine > fenpropimorph. Due to its high air-water partitioning coefficient, nonlabeled chlorpyrifos was found to have the highest cumulative volatilization (44.4%) over the course of the experiment. Volatilization flux rates were measured up to 993 microg m(-2) h(-1) during the first hours after application. Parameterization of the Pesticide Emission Assessment at Regional and Local Scales (PEARL) model and the Pesticide Leaching Model (PELMO) was performed to mirror the experimental boundary conditions. In general, model predictions deviated markedly from measured volatilization rates and showed limitations of current volatilization models, such as the uppermost compartment thickness, making an enormous influence on predicted volatilization losses. Experimental findings revealed soil moisture to be an important factor influencing volatilization from soil, yet its influence was not reflected by the model calculations. Future versions of PEARL and PELMO ought to include improved descriptions of aerodynamic resistances and soil moisture dependent soil-air partitioning coefficients.
A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
Directory of Open Access Journals (Sweden)
Leandro Maciel
2012-09-01
Full Text Available Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes. The model comprises both the concept of fuzzy inference systems and GJR-GARCH modeling approach in order to consider the principles of time-varying volatility, leverage effects and volatility clustering, in which changes are cataloged by similarity. Moreover, a differential evolution (DE algorithm is suggested to solve the problem of Fuzzy GJR-GARCH parameters estimation. The results indicate that the proposed method offers significant improvements in volatility forecasting performance in comparison with GARCH-type models and with a current Fuzzy-GARCH model reported in the literature. Furthermore, the DE-based algorithm aims to achieve an optimal solution with a rapid convergence rate.
A study about the existence of the leverage effect in stochastic volatility models
Florescu, Ionuţ; Pãsãricã, Cristian Gabriel
2009-02-01
The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage effect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility increases and vice versa. Consequently, it is important to demonstrate that any formulated model for the asset price is capable of generating this effect observed in practice. Furthermore, we need to understand the conditions on the parameters present in the model that guarantee the apparition of the leverage effect. In this paper we analyze two general specifications of stochastic volatility models and their capability of generating the perceived leverage effect. We derive conditions for the apparition of leverage effect in both of these stochastic volatility models. We exemplify using stochastic volatility models used in practice and we explicitly state the conditions for the existence of the leverage effect in these examples.
Io Volcanism: Modeling Vapor And Heat Transport
Allen, Daniel R.; Howell, R. R.
2010-10-01
Loki is a large, active volcanic source on Jupiter's moon, Io, whose overall temperatures are well explained by current cooling models, but there are unexplainable subtleties. Using the SO2 atmospheric models of Ingersoll (1989) as a starting point, we are investigating how volatiles, specifically sulfur, are transported on the surface and how they modify the temperatures at Loki and other volcanoes. Voyager images reveal light colored deposits, colloquially called "sulfur bergs,” on Loki's dark patera floor that may be sulfur fumaroles. Galileo images show the presence of red short-chain sulfur deposits around the patera. We are investigating the mechanisms that lead to these features. The light deposits are a few kilometers across. Calculations of the mean free paths for day time conditions on Io indicate lengths on the order of 0.1 km while poorly constrained night time conditions indicate mean free paths about 100 times greater, on the order of what is needed to produce the deposits under ballistic conditions. Preliminary calculations reveal horizontal transport length scales for diffuse transport in a collisional atmosphere of approximately 30 km for sublimating S8 sulfur at 300 K. These length scales would be sufficient to move the sulfur from the warm patera floor to the locations of the red sulfur deposits. At a typical Loki temperature of 300 K, the sublimation/evaporation rate of S8 is a few tens of microns/day. It then requires just a few days to deposit an optically thick 100 µm layer of material. Preliminary length scales and sublimation rates are thus of sufficient scale to produce the deposits. Investigations into the sulfur transport and its effect on temperature are ongoing.
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...... investment costs, with a quantitative risk analysis based on Monte Carlo simulation and to make use of a set of exploratory scenarios. The analysis is carried out by using the CBA-DK model representing the Danish standard approach to socio-economic cost-benefit analysis. Specifically, the paper proposes......-based graphs which function as risk-related decision support for the appraised transport infrastructure project....
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.
Next Generation Transport Phenomenology Model
Strickland, Douglas J.; Knight, Harold; Evans, J. Scott
2004-01-01
This report describes the progress made in Quarter 3 of Contract Year 3 on the development of Aeronomy Phenomenology Modeling Tool (APMT), an open-source, component-based, client-server architecture for distributed modeling, analysis, and simulation activities focused on electron and photon transport for general atmospheres. In the past quarter, column emission rate computations were implemented in Java, preexisting Fortran programs for computing synthetic spectra were embedded into APMT through Java wrappers, and work began on a web-based user interface for setting input parameters and running the photoelectron and auroral electron transport models.
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.
Computer Program for Estimation Multivariate Volatility Processes Using DVEC Model of CRM
Directory of Open Access Journals (Sweden)
Jelena Z. Minović
2008-12-01
Full Text Available This article presents computer program for estimation of multivariate (bivariate and trivariate volatility processes, written in EViews Version 4.1. In order to estimate multivariate volatility processes for analysis of the Serbian financial market, I had to write new subprograms within Eviews software package. The programs are written for the diagonal vector ARCH model (DVEC in bivariate and trivariate versions.
Mathematical modeling of kidney transport.
Layton, Anita T
2013-01-01
In addition to metabolic waste and toxin excretion, the kidney also plays an indispensable role in regulating the balance of water, electrolytes, nitrogen, and acid-base. In this review, we describe representative mathematical models that have been developed to better understand kidney physiology and pathophysiology, including the regulation of glomerular filtration, the regulation of renal blood flow by means of the tubuloglomerular feedback mechanisms and of the myogenic mechanism, the urine concentrating mechanism, epithelial transport, and regulation of renal oxygen transport. We discuss the extent to which these modeling efforts have expanded our understanding of renal function in both health and disease.
Directory of Open Access Journals (Sweden)
Manish Kumar
2010-06-01
Full Text Available In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic ‘heterogeneous autoregressive’ (HAR and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by extracting the jump and continuous component and the threshold jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The results provide the evidence that inclusion of realized bipower variance in the HAR models helps in predicting future volatility.
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.
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.
Model Estimation of Volatilization of Ammonia Applied with Surface Film—Forming Material
Institute of Scientific and Technical Information of China (English)
ZHUANGSHUNYAO; YINBIN; 等
1999-01-01
Greenhouse experiments were conducted to determine the ammonia volatilization loss with of without application of surface film-forming material (SFFM),Ammonia volatilization loss was estimated by the model developed by Jayaweera and Mikkelsen,The results showed that the model could estimated by the model developed by Jayaweera and Mikkelsen,The results showed that the model could estimate and predict well ammonia volatilization loss also in case of SFFM addition,There was an emended factor B introduced to the model calculation when SFFM was used ,Simulated calculation showed that the effect of factor B on NH3 loss was obvious,The value of B was overned by SFFM and the environtal conditions.Sensitivity analysis suggested that pH was the main factor contronlling NH3 volatilization loss from the floodwater.
Forecasting crude oil market volatility. Further evidence using GARCH-class models
Energy Technology Data Exchange (ETDEWEB)
Wei, Yu; Huang, Dengshi [School of Economics and Management, Southwest Jiaotong University (China); Wang, Yudong [Antai College of Economics and Management, Shanghai Jiaotong University (China)
2010-11-15
This paper extends the work of Kang et al. (2009). We use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models to capture the volatility features of two crude oil markets - Brent and West Texas Intermediate (WTI). The one-, five- and twenty-day out-of-sample volatility forecasts of the GARCH-class models are evaluated using the superior predictive ability test and with more loss functions. Unlike Kang et al. (2009), we find that no model can outperform all of the other models for either the Brent or the WTI market across different loss functions. However, in general, the nonlinear GARCH-class models, which are capable of capturing long-memory and/or asymmetric volatility, exhibit greater forecasting accuracy than the linear ones, especially in volatility forecasting over longer time horizons, such as five or twenty days. (author)
DEFF Research Database (Denmark)
Christoffersen, Peter; Heston, Steven; Jacobs, Kris
State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However...... using a two-factor stochastic volatility model. Because the factors have distinct correlations with market returns, and because the weights of the factors vary over time, the model generates stochastic correlation between volatility and stock returns. Besides providing more flexible modeling of the time...
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...... investment costs, with a quantitative risk analysis based on Monte Carlo simulation and to make use of a set of exploratory scenarios. The analysis is carried out by using the CBA-DK model representing the Danish standard approach to socio-economic cost-benefit analysis. Specifically, the paper proposes......-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....
Fusarium Oxysporum Volatiles Enhance Plant Growth Via Affecting Auxin Transport and Signaling.
Bitas, Vasileios; McCartney, Nathaniel; Li, Ningxiao; Demers, Jill; Kim, Jung-Eun; Kim, Hye-Seon; Brown, Kathleen M; Kang, Seogchan
2015-01-01
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.
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.
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
of the classical GARCH framework; it implies an ARMA structure for the conditional variance and realized measures of volatility; and models in this class are parsimonious and simple to estimate. A key feature of the Realized GARCH framework is a measurement equation that relates the observed realized measure...... 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...
A Theoretic Model of Transport Logistics Demand
Directory of Open Access Journals (Sweden)
Natalija Jolić
2006-01-01
Full Text Available 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 highly qualitative, differentiated and derived.While researching transport phenomenon the implementationof models is inevitable and demand models highly desirable. Asa contribution to transport modelling this paper improves decisionmaking and planning in the transport logistics field.
Estimation in continuous-time stochastic| volatility models using nonlinear filters
DEFF Research Database (Denmark)
Nielsen, Jan Nygaard; Vestergaard, M.; Madsen, Henrik
2000-01-01
Presents a correction to the authorship of the article 'Estimation in Continuous-Time Stochastic Volatility Models Using Nonlinear Filters,' published in the periodical 'International Journal of Theoretical and Applied Finance,' Vol. 3, No. 2., pp. 279-308.......Presents a correction to the authorship of the article 'Estimation in Continuous-Time Stochastic Volatility Models Using Nonlinear Filters,' published in the periodical 'International Journal of Theoretical and Applied Finance,' Vol. 3, No. 2., pp. 279-308....
Modeling emissions of volatile organic compounds from silage
Photochemical smog is a major air pollution problem and a significant cause of premature death in the U.S. Smog forms in the presence of volatile organic compounds (VOCs), which are emitted primarily from industry and motor vehicles in the U.S. However, dairy farms may be an important source in so...
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
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 he
A Markov switching model of the conditional volatility of crude oil futures prices
Energy Technology Data Exchange (ETDEWEB)
Fong, Wai Mun; See, Kim Hock [Department of Finance and Accounting, National University of Singapore, 119260 Kent Ridge Cresent (Singapore)
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.
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...... investment costs, with a quantitative risk analysis based on Monte Carlo simulation and to make use of a set of exploratory scenarios. The analysis is carried out by using the CBA-DK model representing the Danish standard approach to socio-economic cost-benefit analysis. Specifically, the paper proposes...... 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...
Directory of Open Access Journals (Sweden)
S. H. Jathar
2013-09-01
Full Text Available We use SOA production data from an ensemble of evaporated fuels to test various SOA formation models. Except for gasoline, traditional SOA models focusing exclusively on volatile species in the fuels under-predict the observed SOA formation. These models can be improved dramatically by accounting for lower volatility species, but at the cost of a large set of free parameters. In contrast, a SOA model based only on the volatility of the precursor, starting with the volatility distribution of the evaporated fuels and optimized for the volatility reduction of first-generation products, reasonably reproduces the observed SOA formation with relatively few free parameters. The exceptions are exotic fuels such as Fischer-Tropsch fuels that expose the central assumption of the volatility based model that most emissions consist of complex mixtures displaying reasonably average behavior. However, for the vast majority of fuels, the volatility based model performs well.
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).
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
DEFF Research Database (Denmark)
Podolskij, Mark; Ziggel, Daniel
We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t,Xt)dt + s(t,Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...... 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...
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri
the model to market returns in conjunction with an individual asset yields a model for the conditional regression coefficient, known as the beta. We apply the model to a set of highly liquid stocks and find that conditional betas are much more variable than usually observed with rolling-window OLS...
Mu, Qing; Lammel, Gerhard; Cheng, Yafang
2015-04-01
Semi-volatile PAHs are major pollutants of urban air, mostly regionally transported and reaching remote environments[1]. Some semi-volatile PAHs are carcinogenic. About 22% of global PAHs emissions are in China. The transport and sinks (atmospheric reactions, deposition) of semi-volatile PAHs in East Asia are studied using a modified version of the Weather Research and Forecasting model coupled with chemistry (WRF/Chem [2]). For this purpose, PAHs' gas and particulate phase chemical reactions and dry and wet deposition processes are included. We use emissions of 2008 [3] which include technical combustion processes (coal, oil, gas, waste and biomass) and open fires and apply diurnal time functions as those of black carbon. The model was run for phenanthrene (3-ring PAH, p = 1.5×10-2 Pa at 298 K) and benzo(a)pyrene (5-ring PAH, p = 7×10-7 Pa) for July 2013 with hourly output and 27 km horizontal grid spacing. The comparison of model predicted phenanthrene concentrations with measurements at a rural site near Beijing (own data, unpublished) validates the model's ability to simulate diurnal variations of gaseous PAHs. The model's performance is better in simulating day time than night time gaseous PAHs. The concentrations of PAHs had experienced significant diurnal variations in rural and remote areas of China. Elevated concentration levels of 40-60 ng m-3 for phenanthrene and 1-10 ng m-3 for benzo(a)pyrene are predicted in Shanxi, Guizhou, the North China Plain, the Sichuan Basin and Chongqing metropolitan areas due to the high emission densities at those locations. References [1] Keyte, I.J., Harrison, R.M., and Lammel, G., 2013: Chemical reactivity and long-range transport potential of polycyclic aromatic hydrocarbons - a review, Chem. Soc. Rev., 42, 9333-9391. [2] Grell, G.A, Peckham, S.E, Schmitz, R, McKeen, S.A, Frost, G, Skamarock, W.C, and Eder, B., 2005: Fully coupled online chemistry within the WRF model, Atmos. Environ., 39, 6957-6975. [3] Shen, H. Z
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.
DEFF Research Database (Denmark)
Bollerslev, Tim; Andersen, Torben G.; Diebold, Francis X.
-Nielsen and Shephard (2004a, 2005) for related bi-power variation measures, the present paper provides a practical and robust framework for non-parametrically measuring the jump component in asset return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury......A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff...... but sophisticated volatility forecasting model, we find that almost all of the predictability in daily, weekly, and monthly return volatilities comes from the non-jump component. Our results thus set the stage for a number of interesting future econometric developments and important financial applications...
Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode
Directory of Open Access Journals (Sweden)
Arthit Intarasit
2013-01-01
Full Text Available This paper deals with financial modeling to describe the behavior of asset returns, through consideration of economic cycles together with the stylized empirical features of asset returns such as fat tails. We propose that asset returns are modeled by a stochastic volatility Lévy process incorporating a regime switching model. Based on the risk-neutral approach, there exists a large set of candidates of martingale measures due to the driving of a stochastic volatility Lévy process in the proposed model which renders the market incomplete in general. We first establish an equivalent martingale measure for the proposed model introduced in risk-neutral version. Regime switching of stochastic volatility Lévy process is employed in an approximation mode for model calibration and the calibration of parameters model done based on EM algorithm. Finally, some empirical results are illustrated via applications to the Bangkok Stock Exchange of Thailand index.
Analytical modeling of the subsurface volatile organic vapor concentration in vapor intrusion
Shen, Rui; Pennell, Kelly G.; Suuberg, Eric M.
2013-01-01
The inhalation of volatile and semi-volatile organic compounds that intrude from a subsurface contaminant source into indoor air has become the subject of health and safety concerns over the last twenty years. Building subslab and soil gas contaminant vapor concentration sampling have become integral parts of vapor intrusion field investigations. While numerical models can be of use in analyzing field data and in helping understand the subslab and soil gas vapor concentrations, they are not w...
A transport model for prediction of wildfire behavior
Energy Technology Data Exchange (ETDEWEB)
Linn, R.R.
1997-07-01
Wildfires are a threat to human life and property, yet they are an unavoidable part of nature. In the past people have tried to predict wildfire behavior through the use of point functional models but have been unsuccessful at adequately predicting the gross behavior of the broad spectrum of fires that occur in nature. The majority of previous models do not have self-determining propagation rates. The author uses a transport approach to represent this complicated problem and produce a model that utilizes a self-determining propagation rate. The transport approach allows one to represent a large number of environments including transition regions such as those with nonhomogeneous vegetation and terrain. Some of the most difficult features to treat are the imperfectly known boundary conditions and the fine scale structure that is unresolvable, such as the specific location of the fuel or the precise incoming winds. The author accounts for the microscopic details of a fire with macroscopic resolution by dividing quantities into mean and fluctuating parts similar to what is done in traditional turbulence modelling. The author develops a complicated model that includes the transport of multiple gas species, such as oxygen and volatile hydrocarbons, and tracks the depletion of various fuels and other stationary solids and liquids. From this model the author also forms a simplified local burning model with which he performs a number of simulations for the purpose of demonstrating the properties of a self-determining transport-based wildfire model.
Picone, S.
2012-01-01
Vapor intrusion occurs when volatile subsurface contaminants, migrating from the saturated zone through the unsaturated zone, accumulate in buildings. It is often the most relevant pathway for human health risks at contaminated sites, especially in urban areas; yet its assessment is controversial. F
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 Facil
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 Facil
Transport Properties for Combustion Modeling
Energy Technology Data Exchange (ETDEWEB)
Brown, N.J.; Bastein, L.; Price, P.N.
2010-02-19
This review examines current approximations and approaches that underlie the evaluation of transport properties for combustion modeling applications. Discussed in the review are: the intermolecular potential and its descriptive molecular parameters; various approaches to evaluating collision integrals; supporting data required for the evaluation of transport properties; commonly used computer programs for predicting transport properties; the quality of experimental measurements and their importance for validating or rejecting approximations to property estimation; the interpretation of corresponding states; combination rules that yield pair molecular potential parameters for unlike species from like species parameters; and mixture approximations. The insensitivity of transport properties to intermolecular forces is noted, especially the non-uniqueness of the supporting potential parameters. Viscosity experiments of pure substances and binary mixtures measured post 1970 are used to evaluate a number of approximations; the intermediate temperature range 1 < T* < 10, where T* is kT/{var_epsilon}, is emphasized since this is where rich data sets are available. When suitable potential parameters are used, errors in transport property predictions for pure substances and binary mixtures are less than 5 %, when they are calculated using the approaches of Kee et al.; Mason, Kestin, and Uribe; Paul and Warnatz; or Ern and Giovangigli. Recommendations stemming from the review include (1) revisiting the supporting data required by the various computational approaches, and updating the data sets with accurate potential parameters, dipole moments, and polarizabilities; (2) characterizing the range of parameter space over which the fit to experimental data is good, rather than the current practice of reporting only the parameter set that best fits the data; (3) looking for improved combining rules, since existing rules were found to under-predict the viscosity in most cases; (4
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......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...
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.
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...... set. The scope of our analysis is feasible because of our use of the particle filter. The three sources of data we employ all point to the same conclusion: the SQR model is misspecified. Overall, the best of the alternative volatility specifications is a model with linear rather than square root...... diffusion for variance which we refer to as the VAR model. This model captures the stylized facts in realized volatilities, it performs well in fitting various samples of index returns, and it has the lowest option implied volatility mean squared errors in- and out-of-sample....
Model Research on the Effect of Surface Film on Ammonia Volatilization from Rice Field
Institute of Scientific and Technical Information of China (English)
ZHUANG Shun-yao; YIN Bin; ZHU Zhao-liang
2002-01-01
Pan and field experiments were conducted to investigate the effect of surface film on ammonia volatilization from water and paddy soil. The results showed that the addition of the surface film on floodwater reduced the rate of ammonia volatilization, however, the reduction of the latter varied greatly with its rates of addition. Jayaweera-Mikkelsen ammonia volatilization model with the introduction of a parameter Kf, a relative measure of the resistance of the surface film on ammonia volatilization, was used to elucidate the effectiveness of the surface film on lowering ammonia volatilization. The Kf value was calculated from the results obtained in the pan experiment with different rates of surface film addition. With the modified model and the optimized Kf value, the effects of the surface film in reducing ammonia volatilization under different environmental conditions were simulated and analyzed. However, it was found that the simulation was not satisfactory in the field experiment and the parameter Kf should be further tuned so as to improve the simulation and to optimize the addition rate of the surface film in field conditions.
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....
Multi-Fraction Bayesian Sediment Transport Model
Directory of Open Access Journals (Sweden)
Mark L. Schmelter
2015-09-01
Full Text Available A Bayesian approach to sediment transport modeling can provide a strong basis for evaluating and propagating model uncertainty, which can be useful in transport applications. Previous work in developing and applying Bayesian sediment transport models used a single grain size fraction or characterized the transport of mixed-size sediment with a single characteristic grain size. Although this approach is common in sediment transport modeling, it precludes the possibility of capturing processes that cause mixed-size sediments to sort and, thereby, alter the grain size available for transport and the transport rates themselves. This paper extends development of a Bayesian transport model from one to k fractional dimensions. The model uses an existing transport function as its deterministic core and is applied to the dataset used to originally develop the function. The Bayesian multi-fraction model is able to infer the posterior distributions for essential model parameters and replicates predictive distributions of both bulk and fractional transport. Further, the inferred posterior distributions are used to evaluate parametric and other sources of variability in relations representing mixed-size interactions in the original model. Successful OPEN ACCESS J. Mar. Sci. Eng. 2015, 3 1067 development of the model demonstrates that Bayesian methods can be used to provide a robust and rigorous basis for quantifying uncertainty in mixed-size sediment transport. Such a method has heretofore been unavailable and allows for the propagation of uncertainty in sediment transport applications.
The fate of volatiles in mid-ocean ridge magmatism
Keller, Tobias; Hirschmann, Marc M
2016-01-01
Deep-Earth volatile cycles couple the mantle with near-surface reservoirs. Volatiles are emitted by volcanism and, in particular, from mid-ocean ridges, which are the most prolific source of basaltic volcanism. Estimates of volatile extraction from the asthenosphere beneath ridges typically rely on measurements of undegassed lavas combined with simple petrogenetic models of the mean degree of melting. Estimated volatile fluxes have large uncertainties; this is partly due to a poor understanding of how volatiles are transported by magma in the asthenosphere. Here, we assess the fate of mantle volatiles through numerical simulations of melting and melt transport at mid-ocean ridges. Our simulations are based on two-phase, magma/mantle dynamics theory coupled to an idealised thermodynamic model of mantle melting in the presence of water and carbon dioxide. We combine simulation results with catalogued observations of all ridge segments to estimate a range of likely volatile output from the global mid-ocean ridge...
Modeling emissions of volatile organic compounds from silage storages and feed lanes
An initial volatile organic compound (VOC) emission model for silage sources, developed using experimental data from previous studies, was incorporated into the Integrated Farm System Model (IFSM), a whole-farm simulation model used to assess the performance, environmental impacts, and economics of ...
A transport model for computer simulation of wildfires
Energy Technology Data Exchange (ETDEWEB)
Linn, R. [Los Alamos National Lab., NM (United States)
1997-12-31
Realistic self-determining simulation of wildfires is a difficult task because of a large variety of important length scales (including scales on the size of twigs or grass and the size of large trees), imperfect data, complex fluid mechanics and heat transfer, and very complicated chemical reactions. The author uses a transport approach to produce a model that exhibits a self-determining propagation rate. The transport approach allows him to represent a large number of environments such as those with nonhomogeneous vegetation and terrain. He accounts for the microscopic details of a fire with macroscopic resolution by dividing quantities into mean and fluctuating parts similar to what is done in traditional turbulence modeling. These divided quantities include fuel, wind, gas concentrations, and temperature. Reaction rates are limited by the mixing process and not the chemical kinetics. The author has developed a model that includes the transport of multiple gas species, such as oxygen and volatile hydrocarbons, and tracks the depletion of various fuels and other stationary solids and liquids. From this model he develops a simplified local burning model with which he performs a number of simulations that demonstrate that he is able to capture the important physics with the transport approach. With this simplified model he is able to pick up the essence of wildfire propagation, including such features as acceleration when transitioning to upsloping terrain, deceleration of fire fronts when they reach downslopes, and crowning in the presence of high winds.
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).
Exposure assessment modeling for volatiles--towards an Australian indoor vapor intrusion model.
Turczynowicz, Leonid; Robinson, Neville I
2007-10-01
Human health risk assessment of sites contaminated by volatile hydrocarbons involves site-specific evaluations of soil or groundwater contaminants and development of Australian soil health-based investigation levels (HILs). Exposure assessment of vapors arising from subsurface sources includes the use of overseas-derived commercial models to predict indoor air concentrations. These indoor vapor intrusion models commonly consider steady-state assumptions, infinite sources, limited soil biodegradation, negligible free phase, and equilibrium partitioning into air and water phases to represent advective and diffusive processes. Regional model construct influences and input parameters affect model predictions while steady-state assumptions introduce conservatism and jointly highlight the need for Australian-specific indoor vapor intrusion assessment. An Australian non-steady-state indoor vapor intrusion model has been developed to determine cumulative indoor human doses (CIHDs) and to address these concerns by incorporating Australian experimental field data to consider mixing, dilution, ventilation, sink effects and first-order soil and air degradation. It was used to develop provisional HILs for benzene, toluene, ethylbenzene, and xylene (BTEX), naphthalene, and volatile aliphatic and aromatic total petroleum hydrocarbons (TPH) < or = EC16 fractions for crawl space dwellings. This article summarizes current state of knowledge and discusses proposed research for differing exposure scenarios based on Australian dwelling and subsurface influences, concurrent with sensitivity analyses of input parameters and in-field model validation.
Option pricing for stochastic volatility model with infinite activity Lévy jumps
Gong, Xiaoli; Zhuang, Xintian
2016-08-01
The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.
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.
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...... 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....
Modelling time-varying volatility in the Indian stock returns: Some empirical evidence
Directory of Open Access Journals (Sweden)
Trilochan Tripathy
2015-12-01
Full Text Available This paper models time-varying volatility in one of the Indian main stock markets, namely, the National Stock Exchange (NSE located in Mumbai, investigating whether it has been affected by the recent global financial crisis. A Chow test indicates the presence of a structural break. Both symmetric and asymmetric GARCH models suggest that the volatility of NSE returns is persistent and asymmetric and has increased as a result of the crisis. The model under the Generalized Error Distribution appears to be the most suitable one. However, its out-of-sample forecasting performance is relatively poor.
Business Models For Transport eBusiness
Dragan Cisic; Ivan Franciskovic; Ana Peric
2003-01-01
In this paper authors are presenting expectations from electronic commerce and its connotations on transport logistics. Based on trends, the relations between the companies in the international transport have to be strengthened using Internet business models. In the paper authors are investigating e-business information models for usage in transport
Modeling energy transport in nanostructures
Pattamatta, Arvind
Heat transfer in nanostructures differ significantly from that in the bulk materials since the characteristic length scales associated with heat carriers, i.e., the mean free path and the wavelength, are comparable to the characteristic length of the nanostructures. Nanostructure materials hold the promise of novel phenomena, properties, and functions in the areas of thermal management and energy conversion. Example of thermal management in micro/nano electronic devices is the use of efficient nanostructured materials to alleviate 'hot spots' in integrated circuits. Examples in the manipulation of heat flow and energy conversion include nanostructures for thermoelectric energy conversion, thermophotovoltaic power generation, and data storage. One of the major challenges in Metal-Oxide Field Effect Transistor (MOSFET) devices is to study the 'hot spot' generation by accurately modeling the carrier-optical phonon-acoustic phonon interactions. Prediction of hotspot temperature and position in MOSFET devices is necessary for improving thermal design and reliability of micro/nano electronic devices. Thermoelectric properties are among the properties that may drastically change at nanoscale. The efficiency of thermoelectric energy conversion in a material is measured by a non-dimensional figure of merit (ZT) defined as, ZT = sigmaS2T/k where sigma is the electrical conductivity, S is the Seebeck coefficient, T is the temperature, and k is the thermal conductivity. During the last decade, advances have been made in increasing ZT using nanostructures. Three important topics are studied with respect to energy transport in nanostructure materials for micro/nano electronic and thermoelectric applications; (1) the role of nanocomposites in improving the thermal efficiency of thermoelectric devices, (2) the interfacial thermal resistance for the semiconductor/metal contacts in thermoelectric devices and for metallic interconnects in micro/nano electronic devices, (3) the
Enkhjargal, Kh.; Salomatov, V. V.
2011-05-01
The present paper is a continuation of previous publications of the authors in this journal in which two phases of the multistage process of combustion of a coal particle were considered in detail with the help of mathematical modeling: its radiation-convection heating and drying. In the present work, the escape dynamics of volatiles is investigated. The physico-mathematical model of the thermodestruction of an individual coal particle with a dominant influence of endothermal effects has been formulated. Approximate-analytical solutions of this model that are of paramount importance for detailed analysis of the influence of the physical and regime parameters on the escape dynamics of volatiles have been found. The results obtained form the basis for engineering calculations of the volatile escape stage and can be used successfully in the search for effective regimes of burning of various solid fuels, in particular, Shivé-Ovoos coal of Mongolia.
Stochastic volatility models at ρ=±1 as second class constrained Hamiltonian systems
Contreras G., Mauricio
2014-07-01
The stochastic volatility models used in the financial world are characterized, in the continuous-time case, by a set of two coupled stochastic differential equations for the underlying asset price S and volatility σ. In addition, the correlations of the two Brownian movements that drive the stochastic dynamics are measured by the correlation parameter ρ (-1≤ρ≤1). This stochastic system is equivalent to the Fokker-Planck equation for the transition probability density of the random variables S and σ. Solutions for the transition probability density of the Heston stochastic volatility model (Heston, 1993) were explored in Dragulescu and Yakovenko (2002), where the fundamental quantities such as the transition density itself, depend on ρ in such a manner that these are divergent for the extreme limit ρ=±1. The same divergent behavior appears in Hagan et al. (2002), where the probability density of the SABR model was analyzed. In an option pricing context, the propagator of the bi-dimensional Black-Scholes equation was obtained in Lemmens et al. (2008) in terms of the path integrals, and in this case, the propagator diverges again for the extreme values ρ=±1. This paper shows that these similar divergent behaviors are due to a universal property of the stochastic volatility models in the continuum: all of them are second class constrained systems for the most extreme correlated limit ρ=±1. In this way, the stochastic dynamics of the ρ=±1 cases are different of the -1mechanics of the quantum model, implies that stochastic volatility models at ρ=±1 correspond to a constrained system. To study the dynamics in an appropriate form, Dirac's method for constrained systems (Dirac, 1958, 1967) must be employed, and Dirac's analysis reveals that the constraints are second class. In order to obtain the transition probability density or the option price correctly, one must evaluate the propagator as a constrained Hamiltonian path-integral (Henneaux and
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
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 Hull
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
Cholesterol transport in model membranes
Garg, Sumit; Porcar, Lionel; Butler, Paul; Perez-Salas, Ursula
2010-03-01
Physiological processes distribute cholesterol unevenly within the cell. The levels of cholesterol are maintained by intracellular transport and a disruption in the cell's ability to keep these normal levels will lead to disease. Exchange rates of cholesterol are generally studied in model systems using labeled lipid vesicles. Initially donor vesicles have all the cholesterol and acceptor vesicles are devoid of it. They are mixed and after some time the vesicles are separated and cholesterol is traced in each vesicle. The studies performed up to date have significant scatter indicating that the methodologies are not consistent. The present work shows in-situ Time-Resolved SANS studies of cholesterol exchange rates in unsaturated PC lipid vesicles. Molecular dynamics simulations were done to investigate the energetic and kinetic behavior of cholesterol in this system. This synergistic approach will provide insight into our efforts to understand cholesterol traffic.
DEFF Research Database (Denmark)
Bollerslev, Tim; Andersen, Torben G.; Diebold, Francis X.
A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff...... bond yield, we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process. Moreover, many jumps appear directly associated with specific macroeconomic news announcements. Separating jump from non-jump movements in a simple...... but sophisticated volatility forecasting model, we find that almost all of the predictability in daily, weekly, and monthly return volatilities comes from the non-jump component. Our results thus set the stage for a number of interesting future econometric developments and important financial applications...
Niles, P.B.
2008-01-01
formation process which must have acted over a large area of Mars. The results of this study suggest a mechanism for volatile transport on Mars without invoking an early greenhouse. They also imply a common formation mechanism for most of the sulfate minerals and layered deposits on Mars, which explains their common occurrence.
Lichiheb, Nebila; Personne, Erwan; Bedos, Carole; Barriuso, Enrique
2014-02-01
Volatilization from plants is known to greatly contribute to pesticide emission into the atmosphere. Modeling would allow estimating this contribution, but few models are actually available because of our poor understanding of processes occurring at the leaf surface, competing with volatilization, and also because available datasets for validating models are lacking. The SURFATM-Pesticides model was developed to predict pesticide volatilization from plants. It is based on the concept of resistances and takes into account two processes competing with volatilization (leaf penetration and photodegradation). Model is here presented and simulated results are compared with the experimental dataset obtained at the field scale for two fungicides applied on wheat, fenpropidin and chlorothalonil. These fungicides were chosen because they are largely used, as well as because of their differentiated vapor pressures. The model simulates the energy balance and surface temperature which are in good agreement with the experimental data, using the climatic variables as inputs. The model also satisfactorily simulates the volatilization fluxes of chlorothalonil. In fact, by integrating estimated rate coefficients of leaf penetration and photodegradation for chlorothalonil giving in the literature, the volatilization fluxes were estimated to be 24.8 ng m-2 s-1 compared to 23.6 ng m-2 s-1 measured by the aerodynamic profile method during the first hours after application. At six days, the cumulated volatilization fluxes were estimated by the model to be 19 g ha-1 compared to 17.5 g ha-1 measured by the inverse modeling approach. However, due to the lack of data to estimate processes competing with volatilization for fenpropidin, the volatilization of this compound is still not well modeled yet. Thus the model confirms that processes competing with volatilization represent an important factor affecting pesticide volatilization from plants.
SATURATED ZONE FLOW AND TRANSPORT MODEL ABSTRACTION
Energy Technology Data Exchange (ETDEWEB)
B.W. ARNOLD
2004-10-27
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.
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...
Chen, Feier; Tian, Kang; Ding, Xiaoxu; Miao, Yuqi; Lu, Chunxia
2016-11-01
Analysis of freight rate volatility characteristics attracts more attention after year 2008 due to the effect of credit crunch and slowdown in marine transportation. The multifractal detrended fluctuation analysis technique is employed to analyze the time series of Baltic Dry Bulk Freight Rate Index and the market trend of two bulk ship sizes, namely Capesize and Panamax for the period: March 1st 1999-February 26th 2015. In this paper, the degree of the multifractality with different fluctuation sizes is calculated. Besides, multifractal detrending moving average (MF-DMA) counting technique has been developed to quantify the components of multifractal spectrum with the finite-size effect taken into consideration. Numerical results show that both Capesize and Panamax freight rate index time series are of multifractal nature. The origin of multifractality for the bulk freight rate market series is found mostly due to nonlinear correlation.
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...... positive definite, but biased covariance forecasts. In this paper, we provide empirical evidence that parsimonious versions of the model generate the best covariance forecasts in the absence of bias correction. Moreover, we show by means of stochastic dominance tests that any risk averse investor...
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
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.
Parker, Jack C.; Park, Eungyu; Tang, Guoping
2008-11-01
A vertically-integrated analytical model for dissolved phase transport is described that considers a time-dependent DNAPL source based on the upscaled dissolution kinetics model of Parker and Park with extensions to consider time-dependent source zone biodecay, partial source mass reduction, and remediation-enhanced source dissolution kinetics. The model also considers spatial variability in aqueous plume decay, which is treated as the sum of aqueous biodecay and volatilization due to diffusive transport and barometric pumping through the unsaturated zone. The model is implemented in Excel/VBA coupled with (1) an inverse solution that utilizes prior information on model parameters and their uncertainty to condition the solution, and (2) an error analysis module that computes parameter covariances and total prediction uncertainty due to regression error and parameter uncertainty. A hypothetical case study is presented to evaluate the feasibility of calibrating the model from limited noisy field data. The results indicate that prediction uncertainty increases significantly over time following calibration, primarily due to propagation of parameter uncertainty. However, differences between the predicted performance of source zone partial mass reduction and the known true performance were reasonably small. Furthermore, a clear difference is observed between the predicted performance for the remedial action scenario versus that for a no-action scenario, which is consistent with the true system behavior. The results suggest that the model formulation can be effectively utilized to assess monitored natural attenuation and source remediation options if careful attention is given to model calibration and prediction uncertainty issues.
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.
DEFF Research Database (Denmark)
Janssen, Anja; Mikosch, Thomas Valentin; Rezapour, Mohsen
2017-01-01
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for the ordered eigenvalues and corresponding eigenvectors...... of the sample covariance matrix. While we show that in the case of heavy-tailed innovations the limiting behavior resembles that of completely independent observations, we also derive that in the case of a heavy-tailed volatility sequence the possible limiting behavior is more diverse, i.e. allowing...
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
DEFF Research Database (Denmark)
Podolskij, Mark; Ziggel, Daniel
We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t;Xt)dt + (t;Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...... present a parametric bootstrap procedure which provides a better approximation of the distribution of the test statistic. Finally, it is demonstrated by means of Monte Carlo study that the range-based test is more powerful than the return-based test when comparing at the same sampling frequency....
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...
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
Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates
M.D. de Pooter (Michiel)
2007-01-01
markdownabstractThis dissertation consists of a collection of studies on two topics: stock return volatility and the term structure of interest rates. _Part A_ consists of three studies and contributes to the literature that focuses on the modeling and forecasting of financial market
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...
Pirjola, L.; Karl, M.; Rönkkö, T.; Arnold, F.
2015-02-01
High concentration of volatile nucleation mode particles (NUP) formed in the atmosphere during exhaust cools and dilutes have hazardous health effects and impair visibility in urban areas. Nucleation mechanisms in diesel exhaust are only poorly understood. We performed model studies using two sectional aerosol dynamics process models AEROFOR and MAFOR on the formation of particles in the exhaust of a diesel engine, equipped with an oxidative after-treatment system and running with low fuel sulphur content (FSC), under laboratory sampling conditions where the dilution system mimics real-world conditions. Different nucleation mechanisms were tested; based on the measured gaseous sulphuric acid (GSA) and non-volatile core and soot particle number concentrations of the raw exhaust, the model simulations showed that the best agreement between model predictions and measurements in terms of particle number size distribution was obtained by barrierless heteromolecular homogeneous nucleation between GSA and semi-volatile organic vapour (for example adipic acid) combined with the homogeneous nucleation of GSA alone. Major growth of the particles was predicted to occur by the same organic vapour at concentrations of (1-2) ×1012cm-3. The pre-existing core and soot mode concentrations had opposite trend on the NUP formation, and maximum NUP formation was predicted if a diesel particle filter (DPF) was used. On the other hand, NUP formation was ceased if the GSA concentration was less than 1010cm-3 which suggests, based on the measurements, the usage of biofuel to prevent volatile particles in diesel exhaust.
The limiting properties of the QMLE in a general class of asymmetric volatility models
DEFF Research Database (Denmark)
Dahl, Christian Møller; Iglesias, Emma M.
more flexible representation of the conditional variance function. (2) It is possible to provide a complete characterization of the asymptotic distribution of the QML estimator based on the new class of nonlinear volatility models, something which has proven very difficult even for the traditional...
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 ...
Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
Directory of Open Access Journals (Sweden)
Xuemei Gao
2014-01-01
Full Text Available The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999 for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.
Aarnink, A.J.A.; Elzing, A.
1998-01-01
A dynamic model was developed to simulate the ammonia volatilization from pig housing with partially slatted floors, where no litter is used. Simulated ammonia emission levels were compared with measured levels for 1 day in each 3-week period during two fattening periods of 15 weeks (one in winter a
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.
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
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...
Efficent Estimation of the Non-linear Volatility and Growth Model
2009-01-01
Ramey and Ramey (1995) introduced a non-linear model relating volatility to growth. The solution of this model by generalised computer algorithms for non-linear maximum likelihood estimation encounters the usual difficulties and is, at best, tedious. We propose an algebraic solution for the model that provides fully efficient estimators and is elementary to implement as a standard ordinary least squares procedure. This eliminates issues such as the ‘guesstimation’ of initial values and mul...
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.
Institute of Scientific and Technical Information of China (English)
ZHANG Tao; JIA Li
2008-01-01
A new mass transfer model is developped to predict the volatile organic compounds (VOCs) from fresh wet building materials. The dry section of wet materials during the process of VOC emission from wet building materials is considered in this new model, differing from the mass transfer-based models in other literatures. The mechanism of effect of saturated vapor pressure on the surface of wet building materials in the process of VOC emission is discussed. The concentration of total volatile organic compounds (TVOC) in the building materials gradually decreases as the emission of VOCs begins, and the vapor pressure of VOCs on the surface of wet building materials decreases in the case of newly wet building materials. To ensure the partial pressure of VOCs on the surface of wet building materials to be saturated vapor pressure, the interface of gas-wet layer is lowered, and a dry layer of no-volatile gases in the material is formed. Compared with the results obtained by VB model, CFD model and the ex-periment data, the results obtained by the present model agree well with the results obtained by CFD model and the experiment data. The present model is more accurate in predicting emission of VOC from wet building materials than VB model.
A process-based emission model of volatile organic compounds from silage sources on farms
Bonifacio, H. F.; Rotz, C. A.; Hafner, S. D.; Montes, F.; Cohen, M.; Mitloehner, F. M.
2017-03-01
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 such as those from dairy farms. A process-based model for predicting VOC emissions from silage was developed and incorporated into the Integrated Farm System Model (IFSM, v. 4.3), a whole-farm simulation of crop, dairy, and beef production systems. The performance of the IFSM silage VOC emission model 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 studies, the model performed well in simulating ethanol emission from CSP, TMR, and LCS; its lower performance for SB could be attributed to possible changes in face conditions of SB after silage removal that are not represented in the current model. For methanol emission, lack of experimental data for refinement likely caused the underprediction for CSP and SB whereas the overprediction observed for TMR can be explained as uncertainty in measurements. Despite these limitations, the model is a valuable tool for comparing silage management options and evaluating their relative effects on the overall performance, economics, and environmental impacts of farm production. As a component of IFSM, the silage VOC emission model was used to simulate a representative dairy farm in central California. The simulation showed most silage VOC emissions were from feed lying in feed lanes and not from the exposed face of silage storages. This suggests that mitigation efforts, particularly in areas prone to ozone non-attainment status, should focus on reducing emissions during feeding. For
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
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 wate
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.
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.
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...... deviation of the step size is large compared to its value when the gradient is below critical. For symmetric as well as asymmetric off-axis fueling, the model is capable of producing profiles peaking at the axis. Additionally, profile consistency is obtained over a broad range of source strengths....... 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....
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.
Volatility and what Lies Beneath: A Joint Model
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
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 by f...
Fountoukis, C.; Racherla, P.N.; Denier Van Der Gon, H.A.C.; Polymeneas, P.; Haralabidis, P.E.; Wiedensohler, A.; Pilinis, C.; Pandis, S.N.
2011-01-01
PMCAMx-2008, a detailed three dimensional chemical transport model (CTM), was applied to Europe to simulate the mass concentration and chemical composition of particulate matter (PM) during May 2008. The model includes a state-of-the-art organic aerosol module which is based on the volatility basis
Fountoukis, C.; Racherla, P.N.; Denier Van Der Gon, H.A.C.; Polymeneas, P.; Haralabidis, P.E.; Wiedensohler, A.; Pilinis, C.; Pandis, S.N.
2011-01-01
PMCAMx-2008, a detailed three dimensional chemical transport model (CTM), was applied to Europe to simulate the mass concentration and chemical composition of particulate matter (PM) during May 2008. The model includes a state-of-the-art organic aerosol module which is based on the volatility basis
Uncertainty in tsunami sediment transport modeling
Jaffe, Bruce E.; Goto, Kazuhisa; Sugawara, Daisuke; Gelfenbaum, Guy R.; La Selle, SeanPaul M.
2016-01-01
Erosion and deposition from tsunamis record information about tsunami hydrodynamics and size that can be interpreted to improve tsunami hazard assessment. We explore sources and methods for quantifying uncertainty in tsunami sediment transport modeling. Uncertainty varies with tsunami, study site, available input data, sediment grain size, and model. Although uncertainty has the potential to be large, published case studies indicate that both forward and inverse tsunami sediment transport models perform well enough to be useful for deciphering tsunami characteristics, including size, from deposits. New techniques for quantifying uncertainty, such as Ensemble Kalman Filtering inversion, and more rigorous reporting of uncertainties will advance the science of tsunami sediment transport modeling. Uncertainty may be decreased with additional laboratory studies that increase our understanding of the semi-empirical parameters and physics of tsunami sediment transport, standardized benchmark tests to assess model performance, and development of hybrid modeling approaches to exploit the strengths of forward and inverse models.
Modelling transport of graded sediment under partial transport conditions
Tuijnder, Arjan; Ribberink, Jan S.; Hulscher, Suzanne J.M.H.; Weerts, H.J.T.; Ritsema, I.L; van Os, A.G.
2006-01-01
Tentative plans are presented for research on the modelling of i) selective sediment transport in suspension and as bed-load, and ii) large-scale morphology in mixed sand-gravel bed rivers. Since the planning of the research is still in its early stages, the plans are flexible. Please feel free to
Fate of Volatile Organic Compounds in Constructed Wastewater Treatment Wetlands
Keefe, S.H.; Barber, L.B.; Runkel, R.L.; Ryan, J.N.
2004-01-01
The fate of volatile organic compounds was evaluated in a wastewater-dependent constructed wetland near Phoenix, AZ, using field measurements and solute transport modeling. Numerically based volatilization rates were determined using inverse modeling techniques and hydraulic parameters established by sodium bromide tracer experiments. Theoretical volatilization rates were calculated from the two-film method incorporating physicochemical properties and environmental conditions. Additional analyses were conducted using graphically determined volatilization rates based on field measurements. Transport (with first-order removal) simulations were performed using a range of volatilization rates and were evaluated with respect to field concentrations. The inverse and two-film reactive transport simulations demonstrated excellent agreement with measured concentrations for 1,4-dichlorobenzene, tetrachloroethene, dichloromethane, and trichloromethane and fair agreement for dibromochloromethane, bromo-dichloromethane, and toluene. Wetland removal efficiencies from inlet to outlet ranged from 63% to 87% for target compounds.
Charge-transport model for conducting polymers
Dongmin Kang, Stephen; Jeffrey Snyder, G.
2016-11-01
The growing technological importance of conducting polymers makes the fundamental understanding of their charge transport extremely important for materials and process design. Various hopping and mobility edge transport mechanisms have been proposed, but their experimental verification is limited to poor conductors. Now that advanced organic and polymer semiconductors have shown high conductivity approaching that of metals, the transport mechanism should be discernible by modelling the transport like a semiconductor with a transport edge and a transport parameter s. Here we analyse the electrical conductivity and Seebeck coefficient together and determine that most polymers (except possibly PEDOT:tosylate) have s = 3 and thermally activated conductivity, whereas s = 1 and itinerant conductivity is typically found in crystalline semiconductors and metals. The different transport in polymers may result from the percolation of charge carriers from conducting ordered regions through poorly conducting disordered regions, consistent with what has been expected from structural studies.
Directory of Open Access Journals (Sweden)
Andronikos Paliathanasis
2016-05-01
Full Text Available We perform a classification of the Lie point symmetries for the Black-Scholes-Merton Model for European options with stochastic volatility, σ, in which the last is defined by a stochastic differential equation with an Orstein-Uhlenbeck term. In this model, the value of the option is given by a linear (1 + 2 evolution partial differential equation in which the price of the option depends upon two independent variables, the value of the underlying asset, S, and a new variable, y. We find that for arbitrary functional form of the volatility, σ ( y , the (1 + 2 evolution equation always admits two Lie point symmetries in addition to the automatic linear symmetry and the infinite number of solution symmetries. However, when σ ( y = σ 0 and as the price of the option depends upon the second Brownian motion in which the volatility is defined, the (1 + 2 evolution is not reduced to the Black-Scholes-Merton Equation, the model admits five Lie point symmetries in addition to the linear symmetry and the infinite number of solution symmetries. We apply the zeroth-order invariants of the Lie symmetries and we reduce the (1 + 2 evolution equation to a linear second-order ordinary differential equation. Finally, we study two models of special interest, the Heston model and the Stein-Stein model.
Analytical modeling of the subsurface volatile organic vapor concentration in vapor intrusion.
Shen, Rui; Pennell, Kelly G; Suuberg, Eric M
2014-01-01
The inhalation of volatile and semi-volatile organic compounds that intrude from a subsurface contaminant source into indoor air has become the subject of health and safety concerns over the last twenty years. Building subslab and soil gas contaminant vapor concentration sampling have become integral parts of vapor intrusion field investigations. While numerical models can be of use in analyzing field data and in helping understand the subslab and soil gas vapor concentrations, they are not widely used due to the perceived effort in setting them up. In this manuscript, we present a new closed-form analytical expression describing subsurface contaminant vapor concentrations, including subslab vapor concentrations. The expression was derived using Schwarz-Christoffel mapping. Results from this analytical model match well the numerical modeling results. This manuscript also explores the relationship between subslab and exterior soil gas vapor concentrations, and offers insights on what parameters need to receive greater focus in field studies.
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
DEFF Research Database (Denmark)
Creel, Michael; Kristensen, Dennis
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Computation which build likelihoods based on limited information. The proposed estimators and filters are computationally attractive relative...... to standard likelihood-based versions since they rely on low-dimensional auxiliary statistics and so avoid computation of high-dimensional integrals. Despite their computational simplicity, we find that estimators and filters perform well in practice and lead to precise estimates of model parameters...... stochastic volatility model for the dynamics of the S&P 500 equity index. We find evidence of the presence of a dynamic jump rate and in favor of a structural break in parameters at the time of the recent financial crisis. We find evidence that possible measurement error in log price is small and has little...
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.
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.
Directory of Open Access Journals (Sweden)
Mohammad A. Batiha
2008-01-01
Full Text Available A Multimedia Agricultural Model (MAM for predicting the fate and transport of Non-Volatile Organic Chemicals (NVOCs in the agricultural environment was presented. It is an expanded and modified version of the three compartmental model introduced by Batiha and co-authors in 2007, which is an aquivalence-based level IV. MAM considered five environmental compartments to include the air, water, soil, sediment and vegetation. It calculates the complete steady-state mass budgets for the air, water and particulate organic carbon between the model compartments. MAM compartments were connected by advective and intermedia transport processes. Degradation can take place in every compartment. The mass balances for each of the compartments result in a system of five differential equations, solved numerically to yield estimates of concentrations, masses, transport fluxes and reaction rates as a function of time. All the equations required for MAM calculations were provided.
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...... positive definite, but biased covariance forecasts. In this paper, we provide empirical evidence that parsimonious versions of the model generate the best covariance forecasts in the absence of bias correction. Moreover, we show by means of stochastic dominance tests that any risk averse investor......, regardless of the type of utility function or return distribution, would be better-off from using this model than from using some standard approaches....
Polar auxin transport: models and mechanisms
Berkel, van K.; Boer, de R.J.; Scheres, B.; Tusscher, ten K.
2013-01-01
Spatial patterns of the hormone auxin are important drivers of plant development. The observed feedback between the active, directed transport that generates auxin patterns and the auxin distribution that influences transport orientation has rendered this a popular subject for modelling studies. Her
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.
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.
Directory of Open Access Journals (Sweden)
Trilochan Tripathy
2010-01-01
Full Text Available Problem statement: Measuring volatility is an important issue for stock market traders. Also, volatility has been used as a proxy for riskiness associated with the asset. This study aims to compare the different volatility models based on how well they model the volatility of the India NSE. Approach: The study has made use of five models which are Historical/Rolling Window Moving Average Estimator, (ii Exponentially Weighted Moving Average (EWMA, (iii GARCH models, (iv Extreme Value Indicators (EVI and (v Volatility Index (VIX.The data includes the daily closing, high, low and open values of the NSE returns from 2005-2008. The model comparison was done on how well the models explained the ex-post volatility. Walds constants test was used to test which method best suited the requirements. Results: It was concluded that the AGARCH and VIX models proved to be the best methods. At the same time Extreme Value models fail to perform because of the low frequency data being used. Conclusions: As other research suggests these models perform best when they are applied to high frequency data such as the daily or intraday data. EVIs give the best forecasting performance followed by the GARCH and VIX models."
Model-free kinetics applied to volatilization of Brazilian sunflower oil, and its
2010-01-01
Artigo publicado no Periódico Thermochimica Acta e também disponível em: www.elsevier.com/locate/tca Model-free kinetic studies for volatilization of Brazilian sunflower oil and its respective biodiesel were carried out. The biodiesel was obtained by the methylic route using potassium hydroxide as catalyst. Both sunflower oil and biodiesel were characterized by physicochemical analyses, gas chromatography, simulated distillation and thermogravimetry. The physicochemical properties...
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.
Coelho, Jose P; Cristino, Ana F; Matos, Patrícia G; Rauter, Amélia P; Nobre, Beatriz P; Mendes, Rui L; Barroso, João G; Mainar, Ana; Urieta, Jose S; Fareleira, João M N A; Sovová, Helena; Palavra, António F
2012-09-05
An overview of the studies carried out in our laboratories on supercritical fluid extraction (SFE) of volatile oils from seven aromatic plants: pennyroyal (Mentha pulegium L.), fennel seeds (Foeniculum vulgare Mill.), coriander (Coriandrum sativum L.), savory (Satureja fruticosa Béguinot), winter savory (Satureja montana L.), cotton lavender (Santolina chamaecyparisus) and thyme (Thymus vulgaris), is presented. A flow apparatus with a 1 L extractor and two 0.27 L separators was built to perform studies at temperatures ranging from 298 to 353 K and pressures up to 30.0 MPa. The best compromise between yield and composition compared with hydrodistillation (HD) was achieved selecting the optimum experimental conditions of extraction and fractionation. The major differences between HD and SFE oils is the presence of a small percentage of cuticular waxes and the relative amount of thymoquinone, an oxygenated monoterpene with important biological properties, which is present in the oils from thyme and winter savory. On the other hand, the modeling of our data on supercritical extraction of volatile oil from pennyroyal is discussed using Sovová's models. These models have been applied successfully to the other volatile oil extractions. Furthermore, other experimental studies involving supercritical CO(2) carried out in our laboratories are also mentioned.
Directory of Open Access Journals (Sweden)
Helena Sovová
2012-09-01
Full Text Available An overview of the studies carried out in our laboratories on supercritical fluid extraction (SFE of volatile oils from seven aromatic plants: pennyroyal (Mentha pulegium L., fennel seeds (Foeniculum vulgare Mill., coriander (Coriandrum sativum L., savory (Satureja fruticosa Béguinot, winter savory (Satureja montana L., cotton lavender (Santolina chamaecyparisus and thyme (Thymus vulgaris, is presented. A flow apparatus with a 1 L extractor and two 0.27 L separators was built to perform studies at temperatures ranging from 298 to 353 K and pressures up to 30.0 MPa. The best compromise between yield and composition compared with hydrodistillation (HD was achieved selecting the optimum experimental conditions of extraction and fractionation. The major differences between HD and SFE oils is the presence of a small percentage of cuticular waxes and the relative amount of thymoquinone, an oxygenated monoterpene with important biological properties, which is present in the oils from thyme and winter savory. On the other hand, the modeling of our data on supercritical extraction of volatile oil from pennyroyal is discussed using Sovová’s models. These models have been applied successfully to the other volatile oil extractions. Furthermore, other experimental studies involving supercritical CO_{2} carried out in our laboratories are also mentioned.
Gao, Chloe Y.; Tsigaridis, Kostas; Bauer, Susanne E.
2017-02-01
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.
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.
Boltzmann Transport in Hybrid PIC HET Modeling
2015-07-01
Paper 3. DATES COVERED (From - To) July 2015-July 2015 4. TITLE AND SUBTITLE Boltzmann transport in hybrid PIC HET modeling 5a. CONTRACT NUMBER In...produced a variety of self-consistent electron swarm codes, such as the Magboltz code, focused on directly solving the steady Boltzmann trans-port...Std. 239.18 Boltzmann transport in hybrid PIC HET modeling IEPC-2015- /ISTS-2015-b- Presented at Joint Conference of 30th International
Hydrologic modeling of pathogen fate and transport.
Dorner, Sarah M; Anderson, William B; Slawson, Robin M; Kouwen, Nicholas; Huck, Peter M
2006-08-01
A watershed-scale fate and transport model has been developed for Escherichia coli and several waterborne pathogens: Cryptosporidiumspp., Giardiaspp., Campylobacter spp, and E. coli O157:H7. The objectives were to determine the primary sources of pathogenic contamination in a watershed used for drinking water supply and to gain a greater understanding of the factors that most influence their survival and transport. To predict the levels of indicator bacteria and pathogens in surface water, an existing hydrologic model, WATFLOOD, was augmented for pathogen transport and tested on a watershed in Southwestern Ontario, Canada. The pathogen model considered transport as a result of overland flow, subsurface flow to tile drainage systems, and in-stream routing. The model predicted that most microorganisms entering the stream from land-based sources enter the stream from tile drainage systems rather than overland transport. Although the model predicted overland transport to be rare, when it occurred, it corresponded to the highest observed and modeled microbial concentrations. Furthermore, rapid increases in measured E. coli concentrations during storm events suggested that the resuspension of microorganisms from stream sediments may be of equal or greater importance than land-based sources of pathogens.
Computational modelling flow and transport
Stelling, G.S.; Booij, N.
1999-01-01
Lecture notes CT wa4340. Derivation of equations using balance principles; numerical treatment of ordinary differential equations; time dependent partial differential equations; the strucure of a computer model:DUFLO; usage of numerical models.
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...... of an ACH model for the time-varying jump intensities coupled with a relatively simple log-linear structure for the jump sizes. Lastly, we discuss how the resulting reduced form model structure for each of the three components may be used in the construction of out-of-sample forecasts for the total return...
A copula-multifractal volatility hedging model for CSI 300 index futures
Wei, Yu; Wang, Yudong; Huang, Dengshi
2011-11-01
In this paper, we propose a new hedging model combining the newly introduced multifractal volatility (MFV) model and the dynamic copula functions. Using high-frequency intraday quotes of the spot Shanghai Stock Exchange Composite Index (SSEC), spot China Securities Index 300 (CSI 300), and CSI 300 index futures, we compare the direct and cross hedging effectiveness of the copula-MFV model with several popular copula-GARCH models. The main empirical results show that the proposed copula-MFV model obtains better hedging effectiveness than the copula-GARCH-type models in general. Furthermore, the hedge operating strategy based MFV hedging model involves fewer transaction costs than those based on the GARCH-type models. The finding of this paper indicates that multifractal analysis may offer a new way of quantitative hedging model design using financial futures.
A two-dimensional volatility basis set – Part 3: Prognostic modeling and NOx dependence
Directory of Open Access Journals (Sweden)
W. K. Chuang
2015-06-01
Full Text Available When NOx is introduced to organic emissions, aerosol production is sometimes, but not always, reduced. Under certain conditions, these interactions will instead increase aerosol concentrations. We expanded the two-dimensional volatility basis set (2-D-VBS to include the effects of NOx on aerosol formation. This includes the formation of organonitrates, where the addition of a nitrate group contributes to a decrease of 2.5 orders of magnitude in volatility. With this refinement, we model outputs from experimental results, such as the atomic N : C ratio, organonitrate mass, and nitrate fragments in AMS measurements. We also discuss the mathematical methods underlying the implementation of the 2-D-VBS and provide the complete code in the Supplemental material. A developer version is available on Bitbucket, an online community repository.
Molecular model of the neural dopamine transporter
Ravna, Aina Westrheim; Sylte, Ingebrigt; Dahl, Svein G.
2003-05-01
The dopamine transporter (DAT) regulates the action of dopamine by reuptake of the neurotransmitter into presynaptic neurons, and is the main molecular target of amphetamines and cocaine. DAT and the Na+/H+ antiporter (NhaA) are secondary transporter proteins that carry small molecules across a cell membrane against a concentration gradient, using ion gradients as energy source. A 3-dimensional projection map of the E. coli NhaA has confirmed a topology of 12 membrane spanning domains, and was previously used to construct a 3-dimensional NhaA model with 12 trans-membrane α-helices (TMHs). The NhaA model, and site directed mutagenesis data on DAT, were used to construct a detailed 3-dimensional DAT model using interactive molecular graphics and empiric force field calculations. The model proposes a dopamine transport mechanism involving TMHs 1, 3, 4, 5, 7 and 11. Asp79, Tyr252 and Tyr274 were the primary cocaine binding residues. Binding of cocaine or its analogue, (-)-2β-carbomethoxy-3β-(4-fluorophenyl)tropane (CFT), seemed to lock the transporter in an inactive state, and thus inhibit dopamine transport. The present model may be used to design further experimental studies of the molecular structure and mechanisms of DAT and other secondary transporter proteins.
Uncertainty calculation in transport models and forecasts
DEFF Research Database (Denmark)
Manzo, Stefano; Prato, Carlo Giacomo
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...... the uncertainty propagation pattern over time specific for key model outputs becomes strategically important. 1 Manzo, S., Nielsen, O. A. & Prato, C. G. (2014). The Effects of uncertainty in speed-flow curve parameters on a large-scale model. Transportation Research Record, 1, 30-37. 2 Manzo, S., Nielsen, O. A...
A COMPARISON OF FORECASTING MODELS OF THE VOLATILITY IN SHENZHEN STOCK MARKET
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
Based on the weekly closing price of Shenzhen Integrated Index, this article studies the volatility of Shenzhen Stock Market using three different models: Logistic,AR(1) and AR(2). The time-variable parameters of Logistic regression model is estimated by using both the index smoothing method and the time-variable parameter estimation method. And both the AR(1) model and the AR(2) model of zero-mean series of the weekly closing price and its zero-mean series of volatility rate are established based on the analysis results of zero-mean series of the weekly closing price. Six common statistical methods for error prediction are used to test the predicting results. These methods are:mean error (ME), mean absolute error (MAE), root mean squared error (RMSE), mean absolute percentage error (MAPE), Akaike's information criterion (AIC), and Bayesian information criterion (BIC). The investigation shows that AR(1) model exhibits the best predicting result, whereas AR(2) model exhibits predicting results that is intermediate between AR(l) model and the Logistic regression model.
Real time model for public transportation management
Directory of Open Access Journals (Sweden)
Ireneusz Celiński
2014-03-01
Full Text Available Background: The article outlines managing a public transportation fleet in the dynamic aspect. There are currently many technical possibilities of identifying demand in the transportation network. It is also possible to indicate legitimate basis of estimating and steering demand. The article describes a general public transportation fleet management concept based on balancing demand and supply. Material and methods: The presented method utilizes a matrix description of demand for transportation based on telemetric and telecommunication data. Emphasis was placed mainly on a general concept and not the manner in which data was collected by other researchers. Results: The above model gave results in the form of a system for managing a fleet in real-time. The objective of the system is also to optimally utilize means of transportation at the disposal of service providers. Conclusions: The presented concept enables a new perspective on managing public transportation fleets. In case of implementation, the project would facilitate, among others, designing dynamic timetables, updated based on observed demand, and even designing dynamic points of access to public transportation lines. Further research should encompass so-called rerouting based on dynamic measurements of the characteristics of the transportation system.
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong
2010-01-01
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a pa...
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.
Pirjola, L.; Karl, M.; Rönkkö, T.; Arnold, F.
2015-09-01
A high concentration of volatile nucleation mode particles (NUP) formed in the atmosphere when the exhaust cools and dilutes has hazardous health effects and it impairs the visibility in urban areas. Nucleation mechanisms in diesel exhaust are only poorly understood. We performed model studies using two sectional aerosol dynamics process models AEROFOR and MAFOR on the formation of particles in the exhaust of a diesel engine, equipped with an oxidative after-treatment system and running with low fuel sulfur content (FSC) fuel, under laboratory sampling conditions where the dilution system mimics real-world conditions. Different nucleation mechanisms were tested. Based on the measured gaseous sulfuric acid (GSA) and non-volatile core and soot particle number concentrations of the raw exhaust, the model simulations showed that the best agreement between model predictions and measurements in terms of particle number size distribution was obtained by barrier-free heteromolecular homogeneous nucleation between the GSA and a semi-volatile organic vapour combined with the homogeneous nucleation of GSA alone. Major growth of the particles was predicted to occur due to the similar organic vapour at concentrations of (1-2) × 1012 cm-3. The pre-existing core and soot mode concentrations had an opposite trend on the NUP formation, and the maximum NUP formation was predicted if a diesel particle filter (DPF) was used. On the other hand, the model predicted that the NUP formation ceased if the GSA concentration in the raw exhaust was less than 1010 cm-3, which was the case when biofuel was used.
Radionuclide Transport Models Under Ambient Conditions
Energy Technology Data Exchange (ETDEWEB)
G. Moridis; Q. Hu
2001-12-20
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.
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.
Radionuclide Transport Models Under Ambient Conditions
Energy Technology Data Exchange (ETDEWEB)
G. Moridis; Q. Hu
2000-03-12
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
Transport properties site descriptive model. Guidelines for evaluation and modelling
Energy Technology Data Exchange (ETDEWEB)
Berglund, Sten [WSP Environmental, Stockholm (Sweden); Selroos, Jan-Olof [Swedish Nuclear Fuel and Waste Management Co., Stockholm (Sweden)
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
System Convergence in Transport Modelling
DEFF Research Database (Denmark)
Rich, Jeppe; Nielsen, Otto Anker; Cantarella, Guilio E.
2010-01-01
-of-successive-averages (MSA) have been proposed. Convergence of the MSA under fairly weak regularity conditions was shown in Robbins and Monro (1951). The iteration between demand and assignment ? the external equilibrium ? are in many models either decoupled or follow a very simple iteration pattern. However, as demand...
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.
Honda, Mitsuru
2005-10-01
In order to predict the performance of ITER plasma, it is important to validate the existing theory-based turbulent transport models by systematicallycomparing them with the experimental observations. Taking experimental data from the ITPA profile database, we have carried out transport simulations with the CDBM, GLF23 and Weiland models by the one-dimensional diffusive transport code TASK/TR. The results are evaluated by the six figures of merit as specified in ITER Physics Basis^1. From the simulation on 55 discharges, it is found that each model has unique dependence on devices and operation modes and the CDBM model gives the most satisfactory results. We have incorporated the dependence on the elongation on the CDBM model^2 and confirmed that the accuracy of the prediction is improved for H-mode discharges. Single-particle-species heat transport simulations have indicated that the CDBM model reproduces Ti profiles more accurately than Te profiles. We will also show the results of the predictive simulations coupling TASK/TR and TASK/EQ, two-dimensional equilibrium code, for high performance plasmas with internal transport barriers like the high βp and reversed shear plasmas. [1] ITER Physics Basis Expert Groups, Nucl. Fusion, 39, 2175 (1999) [2] M. Yagi et al., J. Phys. Soc. Japan, 66, 379 (1997)
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 the return and volatility of the Greek electricity marginal system price
Energy Technology Data Exchange (ETDEWEB)
Theodorou, Petros [Department of Economics, Athens University of Economics and Business, 76, Patission Street, 104 34 Athens (Greece); Karyampas, Dimitrios [School of Economics, Mathematics and Statistics, Birkbeck, University of London (United Kingdom)
2008-07-15
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)
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......The volatiles (EZ)-2,6-nonadienal, 1-penten-3-one, (Z)-4-heptenal, and (EE)-2,4-heptadienal were added to milk containing 1.5% fat according to a central composite design, to evaluate the individual and combinatory effects of these volatiles on sensory properties. The milk samples with added...... 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...
Development of A Stochastic Bedload Transport Model
Tsai, C. W.; Kuai, Z.
2009-12-01
Sediment particle transport can be viewed as a Markov chain process. In a non-equilibrium condition, the interchange of sediment particles occurs not only between the bedload layer and the bed surface, but also across the interface between bedload and suspended load. We can quantify the number of saltating particles by modeling the occupancy probabilities vector of particles staying in three states, namely, the bed surface, bedload layer, and suspended sediment layer. Most bedload transport models in the literature are formulated in terms of the mean bed shear stress or flow velocity. The proposed Markovian bedload model and the bedload transport rates are governed by various transition probabilities. These transition probabilities are all functions of the bed shear stress. The stochastic property of the bed shear stress can be incorporated into the above bedload transport model knowing the probability density function of the bed shear stress. This study presents a theoretical method to compute stochastic bedload transport rates considering the stochastic fluctuation of the bed shear stress.
Band transport model for discotic liquid crystals
Lever, L. J.; Kelsall, R. W.; Bushby, R. J.
2005-07-01
A theoretical model is presented for charge transport in discotic liquid crystals in which a charge is delocalized over more than one lattice site. As such, charge transport is via a banded conduction process in a narrow bandwidth system and takes place over coherent lengths of a few molecules. The coherent lengths are disrupted by the geometrical disorder of the system and are treated as being terminated by quantum tunnel barriers. The transmission probabilities at these barriers have been calculated as a function of the charge carrier energy. Phononic interactions are also considered and the charge carrier scattering rates are calculated for intermolecular and intramolecular vibrations. The results of the calculations have been used to develop a Monte Carlo simulation of the charge transport model. Simulated data are presented and used to discuss the nature of the tunnel barriers required to reproduce experimental data. We find that the model successfully reproduces experimental time of flight data including temperature dependence.
DAC 22 High Speed Civil Transport Model
1992-01-01
Between tests, NASA research engineer Dave Hahne inspects a tenth-scale model of a supersonic transport model in the 30- by 60-Foot Tunnel at NASA Langley Research Center, Hampton, Virginia. The model is being used in support of NASA's High-Speed Research (HSR) program. Langley researchers are applying advance aerodynamic design methods to develop a wing leading-edge flap system which significantly improves low-speed fuel efficiency and reduces noise generated during takeoff operation. Langley is NASA's lead center for the agency's HSR program, aimed at developing technology to help U.S. industry compete in the rapidly expanding trans-oceanic transport market. A U.S. high-speed civil transport is expected to fly in about the year 2010. As envisioned, it would fly 300 passengers across the Pacific in about four hours at Mach 2.4 (approximately 1,600 mph/1950 kph) for a modest increase over business class fares.
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 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 thelatter...... two energy sectors. In order to deal with the raised issue, authors of this paper developed amethodology for calculation of the transition towards sustainable transport sector, focusing on thesolutions that are already available. Furthermore, as a part of the model, a detailed mapping ofresources...... needed has been carried out for each of the alternatives. It was shown that theelectrification of the transportation sector is a crucial point in transition, while for the transportmodes that cannot be electrified, or shifted to different transportation modes, four alternatives weredefined: synthetic...
Directory of Open Access Journals (Sweden)
Mosel Ulrich
2013-06-01
Full Text Available We give an overview over the hadronic transport model GiBUU as a simulation tool for hadronic and electroweak reactions on nuclei over a wide energy range [1]. The model is able to handle hadron-, photon- and lepton-induced reactions as well as nucleus nucleus collisions from sub-GeV energies up to hundreds of GeV. After a general introduction of the model, we discuss its possible application to cosmic ray air showers.
A regime-switching stochastic volatility model for forecasting electricity prices
DEFF Research Database (Denmark)
Exterkate, Peter; Knapik, Oskar
In a recent review paper, Weron (2014) pinpoints several crucial challenges outstanding in the area of electricity price forecasting. This research attempts to address all of them by i) showing the importance of considering fundamental price drivers in modeling, ii) developing new techniques...... for probabilistic (i.e. interval or density) forecasting of electricity prices, iii) introducing an universal technique for model comparison. We propose new regime-switching stochastic volatility model with three regimes (negative jump, normal price, positive jump (spike)) where the transition matrix depends...... on explanatory variables. Bayesian inference is explored in order to obtain predictive densities. The main focus of the paper is on shorttime density forecasting in Nord Pool intraday market. We show that the proposed model outperforms several benchmark models at this task....
The chemical transport model Oslo CTM3
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O. A. Søvde
2012-06-01
Full Text Available We present here the global chemical transport model Oslo CTM3, an update of the Oslo CTM2. The update comprises a faster transport scheme, an improved wet scavenging scheme for large scale rain, updated photolysis rates and a new lightning parameterization. Oslo CTM3 is better parallelized and allows for stable, large time steps for advection, enabling more complex or high resolution simulations. Thorough comparisons between the Oslo CTM3, Oslo CTM2 and measurements are performed, and in general the Oslo CTM3 is found to reproduce measurements well. Inclusion of tropospheric sulfur chemistry and nitrate aerosols in CTM3 is shown to be important to reproduce tropospheric O_{3}, OH and the CH_{4} lifetime well. Using the same meteorology to drive the two models, shows that some features related to transport are better resolved by the CTM3, such as polar cap transport, while features like transport close to the vortex edge are resolved better in the Oslo CTM2 due to its required shorter transport time step. The longer transport time steps in CTM3 result in larger errors e.g. near the jets, and when necessary, this can be remedied by using a shorter time step. An additional, more accurate and time consuming, treatment of polar cap transport is presented, however, both perform acceptably. A new treatment of the horizontal distribution of lightning is presented and found to compare well with measurements. Vertical distributions of lighting are updated, and tested against the old vertical distribution. The new profiles are found to produce more NO_{x} in the tropical middle troposphere, and less at the surface and at high altitudes.
DEFF Research Database (Denmark)
Vergara-Fernández, A.; Rebolledo-Castro, J.; Morales Rodriguez, Ricardo
2011-01-01
Currently, biofiltration has become a viable and potential alternative for the treatment of airstreams with low concentrations of hydrophobic volatile organic compounds (VOCs), which can employ to this end, diverse microorganisms (such as, bacteria, fungal or microbial consortia, etc.) growing...... a biofilm. Usually, the design, analysis and scale-up of this kind of units have been mainly done via experimental approach, which can be costly in terms of time and resources. Therefore, the objective of this work is to introduce mathematical model for the prediction and simulation of a fungal biofilter...
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.
Error estimation and adaptive chemical transport modeling
Directory of Open Access Journals (Sweden)
Malte Braack
2014-09-01
Full Text Available We present a numerical method to use several chemical transport models of increasing accuracy and complexity in an adaptive way. In largest parts of the domain, a simplified chemical model may be used, whereas in certain regions a more complex model is needed for accuracy reasons. A mathematically derived error estimator measures the modeling error and provides information where to use more accurate models. The error is measured in terms of output functionals. Therefore, one has to consider adjoint problems which carry sensitivity information. This concept is demonstrated by means of ozone formation and pollution emission.
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
Norling, B.; Rowe, M. C.; Chambefort, I.; Tepley, F. J.; Morrow, S.
2016-05-01
The present-day hydrothermal system beneath the Kawerau Geothermal Field, in the Taupo Volcanic Zone, New Zealand, is likely heated from the Pūtauaki (Mt. Edgecumbe) magma system. The aim of this work, as an analog for present day processes, is to identify whether or not earlier erupted Pūtauaki magmas show evidence for volatile exsolution. This may have led to the transfer of volatile components from the magmatic to hydrothermal systems. To accomplish this, minerals and melt inclusions from volcanic products were analyzed for abundances of volatile and ore-forming elements (S, Cl, Li, Cu, Sn, Mo, W, Sb, As, and Tl). The variations in abundance of these elements were used to assess magma evolution and volatile exsolution or fluxing in the magma system. Melt inclusions suggest the evolution of Pūtauaki andesite-dacite magmas is predominantly driven by crystallization processes resulting in rhyodacite-rhyolite glass compositions (although textural and geochemical evidence still indicate a role for magma mixing). Measured mineral-melt partition coefficients for trace metals of interest indicates that, with the exception of Tl in biotite, analyzed metals are all incompatible in Pūtauaki crystallization products. Excluding Li and Cu, other volatile and ore metals recorded in melt inclusions behave incompatibly, with concentrations increasing during evolution from rhyodacitic to rhyolitic melt compositions. Li and Cu appear to have increased mobility likely resulting from diffusive exchange post-crystallization, and may be related to late volatile fluxing. Although S and Cl concentrations decrease with melt evolution, no mineralogical evidence exists to indicate the exsolution and mobility of ore-forming metals from the magma at the time of crystallization. This observation cannot rule out the potential for post-crystallization volatile exsolution and ore-forming metal mobilization, which may only be recorded as diffusive re-equilibration of more rapidly diffusing
A depth integrated model for suspended transport
Galappatti, R.
1983-01-01
A new depth averaged model for suspended sediment transport in open channels has been developed based on an asymptotic solution to the two dimensional convection-diffusion equation in the vertical plane. The solution for the depth averaged concentration is derived from the bed boundary condition and
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
Transport properties of fully screened Kondo models
Hörig, Christoph B M; Mora, Christophe; Schuricht, Dirk
2014-01-01
We study the nonequilibrium transport properties of fully (exactly) screened Kondo quantum dots subject to a finite bias voltage or a finite temperature. First, we calculate the Fermi-liquid coefficients of the conductance for models with arbitrary spin, i.e., its leading behavior for small bias vol
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 estim
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 servic
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
Equilibrium models in multimodal container transport systems
Corman, F.; Viti, F.; Negenborn, R.R.
2015-01-01
Optimizing the performance of multimodal freight transport networks involves adequately balancing the interplay between costs, volumes, times of departure and arrival, and times of travel. In order to study this interplay, we propose an assignment model that is able to efficiently determine flows an
European air quality modelled by CAMx including the volatility basis set scheme
Directory of Open Access Journals (Sweden)
G. Ciarelli
2015-12-01
Full Text Available Four periods of EMEP (European Monitoring and Evaluation Programme intensive measurement campaigns (June 2006, January 2007, September–October 2008 and February–March 2009 were modelled using the regional air quality model CAMx with VBS (Volatility Basis Set approach for the first time in Europe within the framework of the EURODELTA-III model intercomparison exercise. More detailed analysis and sensitivity tests were performed for the period of February–March 2009 and June 2006 to investigate the uncertainties in emissions as well as to improve the modelling of organic aerosols (OA. Model performance for selected gas phase species and PM2.5 was evaluated using the European air quality database Airbase. Sulfur dioxide (SO2 and ozone (O3 were found to be overestimated for all the four periods with O3 having the largest mean bias during June 2006 and January–February 2007 periods (8.93 and 12.30 ppb mean biases, respectively. In contrast, nitrogen dioxide (NO2 and carbon monoxide (CO were found to be underestimated for all the four periods. CAMx reproduced both total concentrations and monthly variations of PM2.5 very well for all the four periods with average biases ranging from −2.13 to 1.04 μg m-3. Comparisons with AMS (Aerosol Mass Spectrometer measurements at different sites in Europe during February–March 2009, showed that in general the model over-predicts the inorganic aerosol fraction and under-predicts the organic one, such that the good agreement for PM2.5 is partly due to compensation of errors. The effect of the choice of volatility basis set scheme (VBS on OA was investigated as well. Two sensitivity tests with volatility distributions based on previous chamber and ambient measurements data were performed. For February–March 2009 the chamber-case reduced the total OA concentrations by about 43 % on average. On the other hand, a test based on ambient measurement data increased OA concentrations by about 47 % for the same
Emission models developed using small chamber data were combined with an Indoor Air Quality (IAQ) model to analyze the impact of volatile organic compound (VOC) emissions from latex paint on indoor environments. Test house experiments were conducted to verify the IAQ model's pred...
It’s all about volatility of volatility
DEFF Research Database (Denmark)
Grassi, Stefano; Santucci de Magistris, Paolo
2015-01-01
for the realized volatility series. It emerges that during the recent financial crisis the relative weight of the daily component dominates over the monthly term. The estimates of the two factor stochastic volatility model suggest that the change in the dynamic structure of the realized volatility during...... the financial crisis is due to the increase in the volatility of the persistent volatility term. A set of Monte Carlo simulations highlights the robustness of the methodology adopted in tracking the dynamics of the parameters....
Directory of Open Access Journals (Sweden)
Saarce Elsye Hatane
2011-09-01
Full Text Available Agricultural sector plays an important role in Indonesia‟s economy; especially for the plantation sub-sector contributing high revenues to Indonesia‟s exporting sectors. The primary agricultural commodities in Indonesian export discussed in this study would be Crude Palm Oil (CPO, Natural Rubber TSR20, Arabica Coffee, Robusta Coffee, Cocoa, White Pepper and Black Pepper. Meanwhile, the returns volatility nature of agricultural commodity is famous. The volatility refers to heteroscedasticity nature of the returns which can be modeled by GARCH-type models. The returns volatility can be describe by the residual of the mean equation and volatility of error variances in the previous periods. The aims of this study are to examine the predictability of GARCH-type models on the returns volatility of those seven agricultural commodities and to determine the best GARCH-type models for each commodity based on the traditional symmetric evaluation statistics. The results find that the predictability of ARCH, GARCH, GARCH-M, EGACRH and TGARCH, as type of GARCH models used in this study, are different for each commodity.
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
Jahangir, Ifat; Koley, Goutam
2017-01-01
We present a theoretical model estimating the performance limits of novel AlGaN/GaN heterostructure based microcantilever heater sensors to perform advanced volatile organic compound (VOC) detection and mixture analysis. Operating without any specific surface functionalization or treatment; these devices utilize the strong surface polarization of AlGaN as well as the unique device geometries, to perform selective detection of analytes based on their latent heat of evaporation and molecular dipole moment over a wide concentration range. The presented model incorporates heat transfer, Joule heating, thermal expansion and evaporative heat loss mechanisms, to predict device behaviors such as temperature profiles and sensing performance limits under various steady-state and transient test conditions. In addition, the versatility of the proposed model enables us to successfully predict the capability of the device to perform mixture analysis, and provides guidelines to further optimize the device properties to achieve a limit of detection in sub-ppm concentration.
A long-term/short-term model for daily electricity prices with dynamic volatility
Energy Technology Data Exchange (ETDEWEB)
Schlueter, Stephan
2010-09-15
In this paper we introduce a new stochastic long-term/short-term model for short-term electricity prices, and apply it to four major European indices, namely to the German, Dutch, UK and Nordic one. We give evidence that all time series contain certain periodic (mostly annual) patterns, and show how to use the wavelet transform, a tool of multiresolution analysis, for filtering purpose. The wavelet transform is also applied to separate the long-term trend from the short-term oscillation in the seasonal-adjusted log-prices. In all time series we find evidence for dynamic volatility, which we incorporate by using a bivariate GARCH model with constant correlation. Eventually we fit various models from the existing literature to the data, and come to the conclusion that our approach performs best. For the error distribution, the Normal Inverse Gaussian distribution shows the best fit. (author)
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.
ACE-Asia Chemical Transport Modeling Overview
UNO, I.; Chin, M.; Collins, W.; Ginoux, P.; Rasch, P.; Carmichael, G. R.; Yienger, J. J.
2001-12-01
ACE-Asia (Asia Pacific Regional Aerosol Characterization Experiment) was designed to increase our understanding of how atmospheric aerosol particles affect the Earth?s climate system. The intensive observation period was carried out during March to May, 2001, and more than 100 researchers from several countries (United States, Japan, Korea, China, and many other Asian countries) participated using aircraft, a research vessel, surface stations and numerical models. Aerosol transport forecast activities played an important role during the ACE-Asia intensive observation period. Three independent modeling groups operated chemical transport models in forecast mode and participated in flight planning activities at the operations center. These models were: MATCH (Model of Atmospheric Transport and Chemistry; Rasch and Collins); GOCART (Georgia Tech/Goddard Global Ozone Chemistry Aerosol Radiation and Transport model; Chin and Ginour) and CFORS (Research Institute for Applied Mechanics, Kyushu University + University of Iowa - Chemical weather FORecast System; Uno, Carmichael and Yienger). The MATCH model used in ACE-Asia was a transport model applied for the Asia region, driven by NCEP forecast meteorology. A unique feature of this model was that it assimilated satellite derived optical depths into its forecast algorithm. The GOCART model provided global aerosol forecast using forecast meteorological fields provided by the Goddard Earth Observing System Data Assimilation System (GEOS DAS). The CFORS model provided regional forecasts using a limited area transport model coupled with Regional Meteorological Modeling System (RAMS), initialized by NCEP and JMA forecasts. All models produced 3-d aerosol forecast products consisting of aerosol mass distributions and optical depths for sulfate, black carbon, organic carbon, sea salt, and dust. In the field these model products were made available to all participating scientists via the Web, and were also presented during the
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.
Delft Mass Transport model DMT-2
Ditmar, Pavel; Hashemi Farahani, Hassan; Inacio, Pedro; Klees, Roland; Zhao, Qile; Guo, Jing; Liu, Xianglin; Sun, Yu; Riva, Ricardo; Ran, Jiangjun
2013-04-01
Gravity Recovery And Climate Experiment (GRACE) satellite mission has enormously extended our knowledge of the Earth's system by allowing natural mass transport of various origin to be quantified. This concerns, in particular, the depletion and replenishment of continental water stocks; shrinking of polar ice sheets; deformation of the Earth's crust triggered by large earthquakes, and isostatic adjustment processes. A number of research centers compute models of temporal gravity field variations and mass transport, using GRACE data as input. One of such models - Delft Mass Transport model - is being produced at the Delft University of Technology in collaboration with the GNSS Research Center of Wuhan University. A new release of this model, DMT-2, has been produced on the basis of a new (second) release of GRACE level-1b data. This model consists of a time-series of monthly solutions spanning a time interval of more than 8 years, starting from Feb. 2003. Each solution consists of spherical harmonic coefficients up to degree 120. Both unconstrained and optimally filtered solutions are obtained. The most essential improvements of the DMT-2 model, as compared to its predecessors (DMT-1 and DMT-1b), are as follows: (i) improved estimation and elimination of low-frequency noise in GRACE data, so that strong mass transport signals are not damped; (ii) computation of accurate stochastic models of data noise for each month individually with a subsequent application of frequency-dependent data weighting, which allows statistically optimal solutions to be compiled even if data noise is colored and gradually changes in time; (iii) optimized estimation of accelerometer calibration parameters; (iv) incorporation of degree 1 coefficients estimated with independent techniques; (v) usage of state-of-the-art background models to de-alias GRACE data from rapid mass transport signals (this includes the EOT11a model of ocean tides and the latest release of the AOD1B product describing
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.
Modelling day-time concentrations of biogenic volatile organic compounds in a boreal forest canopy
Directory of Open Access Journals (Sweden)
H. K. Lappalainen
2010-08-01
Full Text Available Three different models for day-time atmospheric methanol, acetaldehyde, acetone, isoprene and monoterpene concentrations were developed using measurements above a boreal forest stand in Southern Finland in 2006–2007 and tested against an independent dataset from the same forest measured in summer 2008. The models were based on the exponential relationship between air temperature and the concentration of biogenic volatile organic compounds (BVOC. Our first model for BVOC concentrations was a simple exponential function of air temperature (T-model. The T-model could explain 27–66% of the variation of all the compounds, but it failed to catch the extremely high concentration peaks observed in summer. To improve the temperature model we developed two other models. The second model, a Temperature-State of Development- model (T-S model, included two explaining variables: air temperature and the seasonal photosynthetic efficiency. This model performed slightly better compared to the T-model for both datasets and increased the fraction of variation explained to 29–69%, but it still could not explain the high concentration peaks. To explain those we modified the T-S model to include environmental triggers that could increase the concentrations momentarily. The triggers that improved the model most were high photosynthetically active photon flux density (PPDF compared to the seasonally available radiation and high ozone concentration. The Trigger model described the peak concentrations somewhat better than T or T-S model, thus the level of explanation was improved and was 30–71%. This study shows the importance to include seasonal variations in photosynthetic efficiency when modeling BVOC concentrations and presents the idea of a trigger model for explaining high peak concentrations of BVOCs. Our study suggests that when developing a trigger type modelfurther the model and the triggers should be more compounds-specific.
MIAO, Enming; LIU, Yi; XU, Jianguo; LIU, Hui
2017-03-01
Aiming at the deficiency of the robustness of thermal error compensation models of CNC machine tools, the mechanism of improving the models' robustness is studied by regarding the Leaderway-V450 machining center as the object. Through the analysis of actual spindle air cutting experimental data on Leaderway-V450 machine, it is found that the temperature-sensitive points used for modeling is volatility, and this volatility directly leads to large changes on the collinear degree among modeling independent variables. Thus, the forecasting accuracy of multivariate regression model is severely affected, and the forecasting robustness becomes poor too. To overcome this effect, a modeling method of establishing thermal error models by using single temperature variable under the jamming of temperature-sensitive points' volatility is put forward. According to the actual data of thermal error measured in different seasons, it is proved that the single temperature variable model can reduce the loss of forecasting accuracy resulted from the volatility of temperature-sensitive points, especially for the prediction of cross quarter data, the improvement of forecasting accuracy is about 5 μm or more. The purpose that improving the robustness of the thermal error models is realized, which can provide a reference for selecting the modeling independent variable in the application of thermal error compensation of CNC machine tools.
Model prodrugs for the intestinal oligopeptide transporter
DEFF Research Database (Denmark)
Nielsen, C U; Andersen, R; Brodin, Birger
2001-01-01
(sigma*) may influence the acid, water or base catalyzed model drug release rates, when released from series of D-Glu-Ala and D-Asp-Ala pro-moieties. Release rates were investigated in both aqueous solutions with varying pH, ionic strength, and buffer concentrations as well as in in vitro biological...... as Taft (sigma*) values, has a significant influence on the release rate of the model drug.......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...
A Radiative Transport Model for Blazars
Lewis, Tiffany; Justin, Finke; Becker, Peter A.
2017-01-01
Blazars are observed across the electromagnetic spectrum, often with strong variability throughout. The underlying electron distribution associated with the observed emission is typically not computed from first principles. We start from first-principles to build up a transport model, whose solution is the electron distribution, rather than assuming a convenient functional form. Our analytical transport model considers shock acceleration, adiabatic expansion, stochastic acceleration, Bohm diffusion, and synchrotron radiation. We use this solution to generate predictions for the X-ray spectrum and time lags, and compare the results with data products from BeppoSAX observations of X-ray flares from Mrk 421. This new self-consistent model provides an unprecedented view into the jet physics at play in this source, especially the strength of the shock and stochastic acceleration components and the size of the acceleration region.More recently, we augmented the transport model to incorporate Compton scattering, including Klein-Nishina effects. In this case, an analytical solution cannot be derived, and therefore we obtain the steady-state electron distribution computationally. We compare the resulting radiation spectrum with multi-wavelength data for 3C 279. We show that our new Compton + synchrotron blazar model is the first to successfully fit the FermiLAT gamma-ray data for this source based on a first-principles physical calculation.
Oil and stock market volatility: A multivariate stochastic volatility perspective
Energy Technology Data Exchange (ETDEWEB)
Vo, Minh, E-mail: minh.vo@metrostate.edu
2011-09-15
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.
Directory of Open Access Journals (Sweden)
C. Schlundt
2017-09-01
Full Text Available 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.
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....
Energy Technology Data Exchange (ETDEWEB)
Liu, Heping; Erdem, Ergin; Shi, Jing [Department of Industrial and Manufacturing Engineering, North Dakota State University, Dept. 2485, PO Box 6050, Fargo, ND 58108 (United States)
2011-03-15
Accurately modeling the mean and volatility of wind speed can be beneficial to effective wind energy utilization. For this purpose, this paper evaluates the effectiveness of autoregressive moving average-generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) approaches for modeling the mean and volatility of wind speed. Five different GARCH approaches are included, and each consists of an original form and a modified form, GARCH-in-mean (GARCH-M). As a result, 10 different model structures are evaluated, based on the 7-year hourly wind speed data collected at four different heights from an observation site in Colorado, USA. Multiple evaluation methods of modeling sufficiency are used. The results show that the ARMA-GARCH(-M) approaches can effectively catch the trend change of the mean and volatility of wind speed. Also, the volatility of wind speed has the nonlinear and asymmetric time-varying feature, and the ARMA-GARCH-M structures can consistently improve the modeling sufficiency of mean wind speed. As the height increases, the explanatory power of all ARMA-GARCH(-M) models slightly deteriorates. On the other hand, no single model structure outperforms the others at all heights, and this confirms that for any wind speed dataset, the potential models should be evaluated to find the most appropriate one for the highest modeling sufficiency. (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.
Tolson, Robert H.; Lugo, Rafael A.; Baird, Darren T.; Cianciolo, Alicia D.; Bougher, Stephen W.; Zurek, Richard M.
2017-01-01
The Mars Atmosphere and Volatile EvolutioN (MAVEN) spacecraft is a NASA orbiter designed to explore the Mars upper atmosphere, typically from 140 to 160 km altitude. In addition to the nominal science mission, MAVEN has performed several Deep Dip campaigns in which the orbit's closest point of approach, also called periapsis, was lowered to an altitude range of 115 to 135 km. MAVEN accelerometer data were used during mission operations to estimate atmospheric parameters such as density, scale height, along-track gradients, and wave structures. Density and scale height estimates were compared against those obtained from the Mars Global Reference Atmospheric Model and used to aid the MAVEN navigation team in planning maneuvers to raise and lower periapsis during Deep Dip operations. This paper describes the processes used to reconstruct atmosphere parameters from accelerometers data and presents the results of their comparison to model and navigation-derived values.
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.
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
van der Ploeg, A.P.C.; Boswijk, H.P.; de Jong, F.
2003-01-01
We propose a class of stochastic volatility (SV) option pricing models that is more flexible than the more conventional models in different ways. We assume the conditional variance of the stock returns to be driven by an affine function of an arbitrary number of latent factors, which follow mean-rev
DEFF Research Database (Denmark)
Sunesen, Lars Oddershede; Trihaas, Jeorgos; Stahnke, Louise Heller
2003-01-01
Thirty-two agar sausage models were arranged in a 2((5-1)) fractional factorial design to analyse the effects of Penicillium nalgio-vense growth, Pediococcus pentosaceus starter, sodium ascorbate, sodium nitrate and temperature on 79 volatiles produced during incubation. The model focused...
Chemical element transport in stellar evolution models
Cassisi, Santi
2017-01-01
Stellar evolution computations provide the foundation of several methods applied to study the evolutionary properties of stars and stellar populations, both Galactic and extragalactic. The accuracy of the results obtained with these techniques is linked to the accuracy of the stellar models, and in this context the correct treatment of the transport of chemical elements is crucial. Unfortunately, in many respects calculations of the evolution of the chemical abundance profiles in stars are still affected by sometimes sizable uncertainties. Here, we review the various mechanisms of element transport included in the current generation of stellar evolution calculations, how they are implemented, the free parameters and uncertainties involved, the impact on the models and the observational constraints.
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
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......, 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....
Pandis, Spyros N; Donahue, Neil M; Murphy, Benjamin N; Riipinen, Ilona; Fountoukis, Christos; Karnezi, Eleni; Patoulias, David; Skyllakou, Ksakousti
2013-01-01
The formation, atmospheric evolution, properties, and removal of organic particulate matter remain some of the least understood aspects of atmospheric chemistry despite the importance of organic aerosol (OA) for both human health and climate change. Here, we summarize our recent efforts to deal with the chemical complexity of the tens of thousands of organic compounds in the atmosphere using the volatility-oxygen content framework (often called the 2D-Volatility Basis Set, 2D-VBS). Our current ability to measure the ambient OA concentration as a function of its volatility and oxygen to carbon (O:C) ratio is evaluated. The combination of a thermodenuder, isothermal dilution and Aerosol Mass Spectrometry (AMS) together with a mathematical aerosol dynamics model is a promising approach. The development of computational modules based on the 2D-VBS that can be used in chemical transport models (CTMs) is described. Approaches of different complexity are tested against ambient observations, showing the challenge of simulating the complex chemical evolution of atmospheric OA. The results of the simplest approach describing the net change due to functionalization and fragmentation are quite encouraging, reproducing both the observed OA levels and O : C in a variety of conditions. The same CTM coupled with source-apportionment algorithms can be used to gain insights into the travel distances and age of atmospheric OA. We estimate that the average age of OA near the ground in continental locations is 1-2 days and most of it was emitted (either as precursor vapors or particles) hundreds of kilometers away. Condensation of organic vapors on fresh particles is critical for the growth of these new particles to larger sizes and eventually to cloud condensation nuclei (CCN) sizes. The semivolatile organics currently simulated by CTMs are too volatile to condense on these tiny particles with high curvature. We show that chemical aging reactions converting these semivolatile
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
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.
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
Directory of Open Access Journals (Sweden)
D. Simpson
2012-02-01
Full Text Available A new organic aerosol (OA module has been implemented into the EMEP chemical transport model. Four different volatility basis set (VBS schemes have been tested in long-term simulations for Europe, covering the six years 2002–2007. Different assumptions regarding partitioning of primary OA (POA and aging of POA and secondary OA (SOA, have been explored. Model results are compared to filter measurements, AMS-data and source-apportionment studies, as well as to other model studies. The present study indicates that many different sources contribute significantly to OA in Europe. Fossil POA and oxidised POA, biogenic and anthropogenic SOA (BSOA and ASOA, residential burning of biomass fuels and wildfire emissions may all contribute more than 10% each over substantial parts of Europe. Simple VBS based OA models can give reasonably good results for summer OA but more observational studies are needed to constrain the VBS parameterisations and to help improve emission inventories. The volatility distribution of primary emissions is an important issue for further work. This study shows smaller contributions from BSOA to OA in Europe than earlier work, but relatively greater ASOA. BVOC emissions are highly uncertain and need further validation. We can not reproduce winter levels of OA in Europe, and there are many indications that the present emission inventories substantially underestimate emissions from residential wood burning in large parts of Europe.
Prediction model of the buildup of volatile organic compounds on urban roads.
Mahbub, Parvez; Goonetilleke, Ashantha; Ayoko, Godwin A
2011-05-15
A model to predict the buildup of mainly traffic-generated volatile organic compounds or VOCs (toluene, ethylbenzene, ortho-xylene, meta-xylene, and para-xylene) on urban road surfaces is presented. The model required three traffic parameters, namely average daily traffic (ADT), volume to capacity ratio (V/C), and surface texture depth (STD), and two chemical parameters, namely total suspended solid (TSS) and total organic carbon (TOC), as predictor variables. Principal component analysis and two phase factor analysis were performed to characterize the model calibration parameters. Traffic congestion was found to be the underlying cause of traffic-related VOC buildup on urban roads. The model calibration was optimized using orthogonal experimental design. Partial least squares regression was used for model prediction. It was found that a better optimized orthogonal design could be achieved by including the latent factors of the data matrix into the design. The model performed fairly accurately for three different land uses as well as five different particle size fractions. The relative prediction errors were 10-40% for the different size fractions and 28-40% for the different land uses while the coefficients of variation of the predicted intersite VOC concentrations were in the range of 25-45% for the different size fractions. Considering the sizes of the data matrices, these coefficients of variation were within the acceptable interlaboratory range for analytes at ppb concentration levels.
Indian Academy of Sciences (India)
M Berlin; M Vasudevan; G Suresh Kumar; Indumathi M Nambi
2015-04-01
The vertical transport of petroleum hydrocarbons from a surface spill through an unsaturated subsurface system is of major concern in assessing the vulnerability of groundwater contamination. A realistic representation on fate and transport of volatile organic compounds at different periods after spill is quite challenging due to the variation in the source behaviour at the surface of spill as well as the variation in the hydrodynamic parameters and the associated inter-phase partitioning coefficients within the subsurface. In the present study, a one dimensional numerical model is developed to simulate the transport of benzene in an unsaturated subsurface system considering the effect of volatilization, dissolution, adsorption and microbial degradation of benzene for (i) constant continuous source, (ii) continuous decaying source, and (iii) residual source. The numerical results suggest that volatilization is the important sink for contaminant removal considering the soil air migration within the unsaturated zone. It is also observed that the coupled effect of dissolution and volatilization is important for the decaying source at the surface immediately after the spill, whereas rate-limited dissolution from residually entrapped source is responsible for the extended contamination towards later period.
Meeting in Turkey: WASP Transport Modeling and WASP Ecological Modeling
A combination of lectures, demonstrations, and hands-on excercises will be used to introduce pollutant transport modeling with the U.S. EPA's general water quality model, WASP (Water Quality Analysis Simulation Program). WASP features include a user-friendly Windows-based interfa...
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
Understanding transport in model water desalination membranes
Chan, Edwin
Polyamide based thin film composites represent the the state-of-the-art nanofiltration and reverse osmosis membranes used in water desalination. The performance of these membranes is enabled by the ultrathin (~100 nm) crosslinked polyamide film in facilitating the selective transport of water over salt ions. While these materials have been refined over the last several decades, understanding the relationships between polyamide structure and membrane performance remains a challenge because of the complex and heterogeneous nature of the polyamide film. In this contribution, we present our approach to addressing this challenge by studying the transport properties of model polyamide membranes synthesized via molecular layer-by-layer (mLbL) assembly. First, we demonstrate that mLbL can successfully construct polyamide membranes with well-defined nanoscale thickness and roughness using a variety of monomer formulations. Next, we present measurement tools for characterizing the network structure and transport of these model polyamide membranes. Specifically, we used X-ray and neutron scattering techniques to characterize their structure as well as a recently-developed indentation based poromechanics approach to extrapolate their water diffusion coefficient. Finally, we illustrate how these measurements can provide insight into the original problem by linking the key polyamide network properties, i.e. water-polyamide interaction parameter and characteristic network mesh size, to the membrane performance.
Transport model of underground sediment in soils.
Jichao, Sun; Guangqian, Wang
2013-01-01
Studies about sediment erosion were mainly concentrated on the river channel sediment, the terrestrial sediment, and the underground sediment. The transport process of underground sediment is studied in the paper. The concept of the flush potential sediment is founded. The transport equation with stable saturated seepage is set up, and the relations between the flush potential sediment and water sediment are discussed. Flushing of underground sediment begins with small particles, and large particles will be taken away later. The pore ratio of the soil increases gradually. The flow ultimately becomes direct water seepage, and the sediment concentration at the same position in the water decreases over time. The concentration of maximal flushing potential sediment decreases along the path. The underground sediment flushing model reflects the flushing mechanism of underground sediment.
Directory of Open Access Journals (Sweden)
E. Fuentes
2012-04-01
Full Text Available The uncertainty in determining the volatility behaviour of organic particles from thermograms using calibration curves and a kinetic model has been evaluated. In the analysis, factors such as re-condensation, departure from equilibrium and analysis methodology were considered as potential sources of uncertainty in deriving volatility distribution from thermograms obtained with currently used thermodenuder designs.
The previously found empirical relationship between C* (saturation concentration and T_{50} (temperature at which 50% of aerosol mass evaporates was theoretically interpreted and tested to infer volatility distributions from experimental thermograms. The presented theoretical analysis shows that this empirical equation is in fact an equilibrium formulation, whose applicability is lessened as measurements deviate from equilibrium. While using a calibration curve between C* and T_{50} to estimate volatility properties was found to hold at equilibrium, significant underestimation was obtained under kinetically-controlled evaporation conditions. Because thermograms obtained at ambient aerosol loading levels are most likely to show departure from equilibrium, the application of a kinetic evaporation model is more suitable for inferring volatility properties of atmospheric samples than the calibration curve approach; however, the kinetic model analysis implies significant uncertainty, due to its sensitivity to the assumption of "effective" net kinetic evaporation and condensation coefficients. The influence of re-condensation on thermograms from the thermodenuder designs under study was found to be highly dependent on the particular experimental condition, with a significant potential to affect volatility estimations for aerosol mass loadings >50 μg m^{−3} and with increasing effective kinetic coefficient for condensation and decreasing particle size. These results show that the
Pankow, J.F.; Thomson, N.R.; Johnson, R.L.; Baehr, A.L.; Zogorski, J.S.
1997-01-01
Infiltration and dispersion (including molecular diffusion) can transport volatile organic compounds (VOCs) from urban air into shallow groundwater. The gasoline additive methyl-tert-butyl ether (MTBE) is of special interest because of its (1) current levels in some urban air, (2) strong partitioning from air into water, (3) resistance to degradation, (4) use as an octane-booster since the 1970s, (5) rapidly increasing use in the 1990s to reduce CO and O3 in urban air, and (6) its frequent detection rat lOW microgram per liter levels in shallow urban groundwater in Denver, New England, and elsewhere. Numerical simulations were conducted using a l-D model domain set in medium sand (depth to water table = 5 m) to provide a test of whether MTBE and other atmospheric VOCs could move to shallow groundwater within the 10-15 y time frame over which MTBE has now been used in large amounts. Degradation and sorption were assumed negligible. In case 1 (no infiltration, steady atmospheric source), 10 y was not long enough to permit significant VOC movement by diffusion into shallow groundwater. Case 2 considered a steady atmospheric source plus 36 cm/y of net infiltration; groundwater at 2 m below the water table became nearly saturated with atmospheric levels of VOC within 5 y. Case 3 was similar to case 2, but considered the source to be seasonal being 'on' for only 5 of 12 months each year, as with the use of MTBE during the winter fuel-oxygenate season; groundwater at 2 m below the water table became equilibrated with 5/12 of the 'source-on' concentration within 5 y. Cases 4 and 5 added an evapotranspiration (ET) loss of 36 cm/y, resulting in no net recharge. Case 4 took the ET from the surface, and case 5 took the ET from the capillary fringe at a depth of 3.5 m. Net VOC mass transfer to shallow groundwater after 5 y was less for both cases 4 and 5 than for case 3. However, it was significantly greater for cases 4 and 5 than for case 1, even though cases 1, 4, add 5 were
Energy Technology Data Exchange (ETDEWEB)
Doinikov, Alexander A., E-mail: doinikov@bsu.by; Bouakaz, Ayache [Inserm U930, Université François Rabelais, Tours 37044 (France); Sheeran, Paul S.; Dayton, Paul A. [Joint Department of Biomedical Engineering, The University of North Carolina and North Carolina State University, Chapel Hill, North Carolina 27599 (United States)
2014-10-15
Purpose: Perfluorocarbon (PFC) microdroplets, called phase-change contrast agents (PCCAs), are a promising tool in ultrasound imaging and therapy. Interest in PCCAs is motivated by the fact that they can be triggered to transition from the liquid state to the gas state by an externally applied acoustic pulse. This property opens up new approaches to applications in ultrasound medicine. Insight into the physics of vaporization of PFC droplets is vital for effective use of PCCAs and for anticipating bioeffects. PCCAs composed of volatile PFCs (with low boiling point) exhibit complex dynamic behavior: after vaporization by a short acoustic pulse, a PFC droplet turns into a vapor bubble which undergoes overexpansion and damped radial oscillation until settling to a final diameter. This behavior has not been well described theoretically so far. The purpose of our study is to develop an improved theoretical model that describes the vaporization dynamics of volatile PFC droplets and to validate this model by comparison with in vitro experimental data. Methods: The derivation of the model is based on applying the mathematical methods of fluid dynamics and thermodynamics to the process of the acoustic vaporization of PFC droplets. The used approach corrects shortcomings of the existing models. The validation of the model is carried out by comparing simulated results with in vitro experimental data acquired by ultrahigh speed video microscopy for octafluoropropane (OFP) and decafluorobutane (DFB) microdroplets of different sizes. Results: The developed theory allows one to simulate the growth of a vapor bubble inside a PFC droplet until the liquid PFC is completely converted into vapor, and the subsequent overexpansion and damped oscillations of the vapor bubble, including the influence of an externally applied acoustic pulse. To evaluate quantitatively the difference between simulated and experimental results, the L2-norm errors were calculated for all cases where the
Doinikov, Alexander A; Sheeran, Paul S; Bouakaz, Ayache; Dayton, Paul A
2014-10-01
Perfluorocarbon (PFC) microdroplets, called phase-change contrast agents (PCCAs), are a promising tool in ultrasound imaging and therapy. Interest in PCCAs is motivated by the fact that they can be triggered to transition from the liquid state to the gas state by an externally applied acoustic pulse. This property opens up new approaches to applications in ultrasound medicine. Insight into the physics of vaporization of PFC droplets is vital for effective use of PCCAs and for anticipating bioeffects. PCCAs composed of volatile PFCs (with low boiling point) exhibit complex dynamic behavior: after vaporization by a short acoustic pulse, a PFC droplet turns into a vapor bubble which undergoes overexpansion and damped radial oscillation until settling to a final diameter. This behavior has not been well described theoretically so far. The purpose of our study is to develop an improved theoretical model that describes the vaporization dynamics of volatile PFC droplets and to validate this model by comparison with in vitro experimental data. The derivation of the model is based on applying the mathematical methods of fluid dynamics and thermodynamics to the process of the acoustic vaporization of PFC droplets. The used approach corrects shortcomings of the existing models. The validation of the model is carried out by comparing simulated results with in vitro experimental data acquired by ultrahigh speed video microscopy for octafluoropropane (OFP) and decafluorobutane (DFB) microdroplets of different sizes. The developed theory allows one to simulate the growth of a vapor bubble inside a PFC droplet until the liquid PFC is completely converted into vapor, and the subsequent overexpansion and damped oscillations of the vapor bubble, including the influence of an externally applied acoustic pulse. To evaluate quantitatively the difference between simulated and experimental results, the L2-norm errors were calculated for all cases where the simulated and experimental
3 Lectures: "Lagrangian Models", "Numerical Transport Schemes", and "Chemical and Transport Models"
Douglass, A.
2005-01-01
The topics for the three lectures for the Canadian Summer School are Lagrangian Models, numerical transport schemes, and chemical and transport models. In the first lecture I will explain the basic components of the Lagrangian model (a trajectory code and a photochemical code), the difficulties in using such a model (initialization) and show some applications in interpretation of aircraft and satellite data. If time permits I will show some results concerning inverse modeling which is being used to evaluate sources of tropospheric pollutants. In the second lecture I will discuss one of the core components of any grid point model, the numerical transport scheme. I will explain the basics of shock capturing schemes, and performance criteria. I will include an example of the importance of horizontal resolution to polar processes. We have learned from NASA's global modeling initiative that horizontal resolution matters for predictions of the future evolution of the ozone hole. The numerical scheme will be evaluated using performance metrics based on satellite observations of long-lived tracers. The final lecture will discuss the evolution of chemical transport models over the last decade. Some of the problems with assimilated winds will be demonstrated, using satellite data to evaluate the simulations.
Junior Ojeda; Gabriel Rodriguez
2014-01-01
The literature has shown that the volatility of Stock and Forex rate market returns shows the characteristic of long memory. Another fact that is shown in the literature is that this feature may be spurious and volatility actually consists of a short memory process contaminated with random level shifts. In this paper, we follow the approach of Lu and Perron (2010) and Li and Perron (2013) estimating a model of random level shifts (RLS) to the logarithm of the absolute value of Stock and Forex...
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...
Directory of Open Access Journals (Sweden)
Asmatanzeem Bepari
2016-08-01
Conclusions: The N. sativa seeds showed anticonvulsant activity in pentylenetetrazole induced seizure model of epilepsy. This study showed that volatile oil of N. sativa seeds potentiated the effect of sodium valproate. [Int J Basic Clin Pharmacol 2016; 5(4.000: 1300-1307
Ammonia volatilization from treatment lagoons varies widely with the lagoon water 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 using a...
Energy Technology Data Exchange (ETDEWEB)
Daisey, J.M.; Mahanama, K.R.R.; Hodgson, A.T. [Lawrence Berkeley Lab., CA (United States)
1994-10-01
The primary objective of this study was to measure emission factors for selected toxic air contaminants in environmental tobacco smoke (ETS) using a room-sized environmental chamber. The emissions of 23 volatile organic compounds (VOCs), including, 1,3-butadiene, three aldehydes and two vapor-phase N-nitrosamines were determined for six commercial brands of cigarettes and reference cigarette 1R4F. The commercial brands were selected to represent 62.5% of the cigarettes smoked in California. For each brand, three cigarettes were machine smoked in the chamber. The experiments were conducted over four hours to investigate the effects of aging. Emission factors of the target compounds were also determined for sidestream smoke (SS). For almost all target compounds, the ETS emission factors were significantly higher than the corresponding SS values probably due to less favorable combustion conditions and wall losses in the SS apparatus. Where valid comparisons could be made, the ETS emission factors were generally in good agreement with the literature. Therefore, the ETS emission factors, rather than the SS values, are recommended for use in models to estimate population exposures from this source. The variabilities in the emission factors ({mu}g/cigarette) of the selected toxic air contaminants among brands, expressed as coefficients of variation, were 16 to 29%. Therefore, emissions among brands were Generally similar. Differences among brands were related to the smoked lengths of the cigarettes and the masses of consumed tobacco. Mentholation and whether a cigarette was classified as light or regular did not significantly affect emissions. Aging was determined not to be a significant factor for the target compounds. There were, however, deposition losses of the less volatile compounds to chamber surfaces.
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 dem
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
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 dem
Directory of Open Access Journals (Sweden)
Daryl D. Rowan
2011-11-01
Full Text Available Volatile organic compounds (volatiles comprise a chemically diverse class of low molecular weight organic compounds having an appreciable vapor pressure under ambient conditions. Volatiles produced by plants attract pollinators and seed dispersers, and provide defense against pests and pathogens. For insects, volatiles may act as pheromones directing social behavior or as cues for finding hosts or prey. For humans, volatiles are important as flavorants and as possible disease biomarkers. The marine environment is also a major source of halogenated and sulfur-containing volatiles which participate in the global cycling of these elements. While volatile analysis commonly measures a rather restricted set of analytes, the diverse and extreme physical properties of volatiles provide unique analytical challenges. Volatiles constitute only a small proportion of the total number of metabolites produced by living organisms, however, because of their roles as signaling molecules (semiochemicals both within and between organisms, accurately measuring and determining the roles of these compounds is crucial to an integrated understanding of living systems. This review summarizes recent developments in volatile research from a metabolomics perspective with a focus on the role of recent technical innovation in developing new areas of volatile research and expanding the range of ecological interactions which may be mediated by volatile organic metabolites.
Modeling charge transport in organic photovoltaic materials.
Nelson, Jenny; Kwiatkowski, Joe J; Kirkpatrick, James; Frost, Jarvist M
2009-11-17
The performance of an organic photovoltaic cell depends critically on the mobility of charge carriers within the constituent molecular semiconductor materials. However, a complex combination of phenomena that span a range of length and time scales control charge transport in disordered organic semiconductors. As a result, it is difficult to rationalize charge transport properties in terms of material parameters. Until now, efforts to improve charge mobilities in molecular semiconductors have proceeded largely by trial and error rather than through systematic design. However, recent developments have enabled the first predictive simulation studies of charge transport in disordered organic semiconductors. This Account describes a set of computational methods, specifically molecular modeling methods, to simulate molecular packing, quantum chemical calculations of charge transfer rates, and Monte Carlo simulations of charge transport. Using case studies, we show how this combination of methods can reproduce experimental mobilities with few or no fitting parameters. Although currently applied to material systems of high symmetry or well-defined structure, further developments of this approach could address more complex systems such anisotropic or multicomponent solids and conjugated polymers. Even with an approximate treatment of packing disorder, these computational methods simulate experimental mobilities within an order of magnitude at high electric fields. We can both reproduce the relative values of electron and hole mobility in a conjugated small molecule and rationalize those values based on the symmetry of frontier orbitals. Using fully atomistic molecular dynamics simulations of molecular packing, we can quantitatively replicate vertical charge transport along stacks of discotic liquid crystals which vary only in the structure of their side chains. We can reproduce the trends in mobility with molecular weight for self-organizing polymers using a cheap, coarse
Keller, Tobias; Katz, Richard F.
2015-04-01
Laboratory experiments indicate that even small concentrations volatiles (H2O or CO2) in the upper mantle significantly affect the silicate melting behavior [HK96,DH06]. The presence of volatiles stabilizes volatile-rich melt at high pressure, thus vastly increasing the volume of the upper mantle expected to be partially molten [H10,DH10]. These small-degree melts have important consequences for chemical differentiation and could affect the dynamics of mantle flow. We have developed theory and numerical implementation to simulate thermo-chemically coupled magma/mantle dynamics in terms of a two-phase (rock+melt), three component (dunite+MORB+volatilized MORB) physical model. The fluid dynamics is based on McKenzie's equations [McK84], while the thermo-chemical formulation of the system is represented by a novel disequilibrium multi-component melting model based on thermo-dynamic theory [RBS11]. This physical model is implemented as a parallel, two-dimensional, finite-volume code that leverages tools from the PETSc toolkit. Application of this simulation code to a mid-ocean ridge system suggests that the methodology captures the leading-order features of both hydrated and carbonated mantle melting, including deep, low-degree, volatile-rich melt formation. Melt segregation leads to continuous dynamic thermo-chemical dis-equilibration, while phenomenological reaction rates are applied to continually move the system towards re-equilibration. The simulations will be used first to characterize volatile extraction from the MOR system assuming a chemically homogeneous mantle. Subsequently, simulations will be extended to investigate the consequences of heterogeneity in lithology [KW12] and volatile content. These studies will advance our understanding of the role of volatiles in the dynamic and chemical evolution of the upper mantle. Moreover, they will help to gauge the significance of the coupling between the deep carbon cycle and the ocean/atmosphere system. REFERENCES
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.
Tsai, M.; Lee, C.; Yu, H.
2013-12-01
In the last 20 years, the Yunlin offshore industrial park has significantly contributed to the economic development of Taiwan. Its annual production value has reached almost 12 % of Taiwan's GDP in 2012. The offshore industrial park also balanced development of urban and rural in areas. However, the offshore industrial park is considered the major source of air pollution to nearby counties, especially, the emission of Volatile Organic Compounds(VOCs). Studies have found that exposures to high level of some VOCs have caused adverse health effects on both human and ecosystem. Since both health and ecological effects of air pollution have been the subject of numerous studies in recent years, it is a critical issue in estimating VOCs emissions. Nowadays emission estimation techniques are usually used emissions factors in calculation. Because the methodology considered totality of equipment activities based on statistical assumptions, it would encounter great uncertainty between these coefficients. This study attempts to estimate VOCs emission of the Yunlin Offshore Industrial Park using an inverse atmospheric dispersion model. The inverse modeling approach will be applied to the combination of dispersion modeling result which input a given one-unit concentration and observations at air quality stations in Yunlin. The American Meteorological Society-Environmental Protection Agency Regulatory Model (AERMOD) is chosen as the tool for dispersion modeling in the study. Observed concentrations of VOCs are collected by the Taiwanese Environmental Protection Administration (TW EPA). In addition, the study also analyzes meteorological data including wind speed, wind direction, pressure and temperature etc. VOCs emission estimations from the inverse atmospheric dispersion model will be compared to the official statistics released by Yunlin Offshore Industrial Park. Comparison of estimated concentration from inverse dispersion modeling and official statistical concentrations will
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
Modeling SOA formation from the oxidation of intermediate volatility n-alkanes
Directory of Open Access Journals (Sweden)
J. Lee-Taylor
2012-06-01
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.
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.
Wöhrnschimmel, H.; Magaña, M.; Stahel, W. A.; Blanco, S.; Acuña, S.; Pérez, J. M.; González, S.; Gutiérrez, V.; Wakamatsu, S.; Cárdenas, B.
2010-09-01
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.
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.
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...... 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...... 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....
Model of reversible vesicular transport with exclusion
Bressloff, Paul C.; Karamched, Bhargav R.
2016-08-01
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.
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.......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...... 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...
DEFF Research Database (Denmark)
Bach, Christian; Christensen, Bent Jesper
We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a latent...... fi…rst order Markov process and show that our model is closely related to the CEV and Barndorff-Nielsen & Shephard (2001) models for local volatility. We show that if measurement noise in the observable volatility proxies is not accounted for, then the estimated autoregressive parameter in the latent...... process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....
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
Volatile anesthetic action in a computational model of the thalamic reticular nucleus.
Gottschalk, Allan; Miotke, Sam A
2009-05-01
Although volatile anesthetics (VAs) modulate the activity of multiple ion channels, the process whereby one or more of these effects are integrated to produce components of the general anesthetic state remains enigmatic. Computer models offer the opportunity to examine systems level effects of VA action at one or more sites. Motivated by the role of the thalamus in consciousness and sensory processing, a computational model of the thalamic reticular nucleus was used to determine the collective impact on model behavior of VA action at multiple sites. A computational model of the thalamic reticular nucleus was modified to permit VA modulation of its ion channels. Isobolographic analysis was used to determine how multiple sites interact. VA modulation of either T-type Ca(2+) channels or gamma-aminobutyric acid type A receptors led to increased network synchrony. VA modulation of both further increased network synchronization. VA-induced decrements in Ca(2+) current permitted greater impact of inhibitory currents on membrane potential, but at higher VA concentrations the decrease in Ca(2+) current led to a decreased number of spikes in the burst generating the inhibitory signal. MAC-awake (the minimum alveolar concentration at which 50% of subjects will recover consciousness) concentrations of both isoflurane and halothane led to similar levels of network synchrony in the model. Relatively modest VA effects at both T-type Ca(2+) channels and gamma-aminobutyric acid type A receptors can substantially alter network behavior in a computational model of a thalamic nucleus. The similarity of network behavior at MAC-awake concentrations of different VAs is consistent with a contribution of the thalamus to VA-induced unconsciousness through action at these channels.
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
Experimental & Numerical Modeling of Non-combusting Model Firebrands' Transport
Tohidi, Ali; Kaye, Nigel
2016-11-01
Fire spotting is one of the major mechanisms of wildfire spread. Three phases of this phenomenon are firebrand formation and break-off from burning vegetation, lofting and downwind transport of firebrands through the velocity field of the wildfire, and spot fire ignition upon landing. The lofting and downwind transport phase is modeled by conducting large-scale wind tunnel experiments. Non-combusting rod-like model firebrands with different aspect ratios are released within the velocity field of a jet in a boundary layer cross-flow that approximates the wildfire velocity field. Characteristics of the firebrand dispersion are quantified by capturing the full trajectory of the model firebrands using the developed image processing algorithm. The results show that the lofting height has a direct impact on the maximum travel distance of the model firebrands. Also, the experimental results are utilized for validation of a highly scalable coupled stochastic & parametric firebrand flight model that, couples the LES-resolved velocity field of a jet-in-nonuniform-cross-flow (JINCF) with a 3D fully deterministic 6-degrees-of-freedom debris transport model. The validation results show that the developed numerical model is capable of estimating average statistics of the firebrands' flight. Authors would like to thank support of the National Science Foundation under Grant No. 1200560. Also, the presenter (Ali Tohid) would like to thank Dr. Michael Gollner from the University of Maryland College Park for the conference participation support.
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.
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 ...
Modelling Emission of Pollutants from transportation using mobile sensing data
DEFF Research Database (Denmark)
Lehmann, Anders
2017-01-01
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...... accurate transportation models can be obtained by using observed travel routes, acquired from smartphone data, rather than indirectly computed routes, as input to a model of route choice in a transportation network. Smartphone data can also be used to gain detailed knowledge of the driving style...... 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...
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.
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....
A new conceptual model for aeolian transport rates on beaches
De Vries, S.; Stive, M.J.F.; Van Rijn, L.; Ranasinghe, R.
2012-01-01
In this paper a new conceptual model for aeolian sediment transport rates is presented. Traditional sediment transport formulations have known limitations when applied to coastal beach situations. A linear model for sediment transport rates with respect to wind speed is proposed and supported by
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)
Friedrich Hubalek; Petra Posedel
2008-01-01
We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit estimator based on martingale estimating functions in a bivariate model that is not a diffusion, but admits jumps. It is assumed that both the quantities are observed on a discrete grid of fixed width, a...
Adams, An; Kitrytė, Vaida; Venskutonis, Rimantas; De Kimpe, Norbert
2011-01-01
The development of flavor and browning in thermally treated foods results mainly from the Maillard reaction and lipid degradation but also from the interactions between both reaction pathways. To study these interactions, we analyzed the volatile compounds resulting from model reactions of lysine or glycine with aldehydes originating from lipid oxidation [hexanal, (E)-2-hexenal, or (2E,4E)-decadienal] in the presence and absence of glucose. The main reaction products identified in these model...
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...
Measurement and modeling of oil slick transport
Jones, Cathleen E.; Dagestad, Knut-Frode; Breivik, Åyvind; Holt, Benjamin; Röhrs, Johannes; Christensen, Kai Hâkon; Espeseth, Martine; Brekke, Camilla; Skrunes, Stine
2016-10-01
Transport characteristics of oil slicks are reported from a controlled release experiment conducted in the North Sea in June 2015, during which mineral oil emulsions of different volumetric oil fractions and a look-alike biogenic oil were released and allowed to develop naturally. The experiment used the Uninhabited Aerial Vehicle Synthetic Aperture Radar (UAVSAR) to track slick location, size, and shape for ˜8 h following release. Wind conditions during the exercise were at the high end of the range considered suitable for radar-based slick detection, but the slicks were easily detectable in all images acquired by the low noise, L-band imaging radar. The measurements are used to constrain the entrainment length and representative droplet radii for oil elements in simulations generated using the OpenOil advanced oil drift model. Simultaneously released drifters provide near-surface current estimates for the single biogenic release and one emulsion release, and are used to test model sensitivity to upper ocean currents and mixing. Results of the modeling reveal a distinct difference between the transport of the biogenic oil and the mineral oil emulsion, in particular in the vertical direction, with faster and deeper entrainment of significantly smaller droplets of the biogenic oil. The difference in depth profiles for the two types of oils is substantial, with most of the biogenic oil residing below depths of 10 m, compared to the majority of the emulsion remaining above 10 m depth. This difference was key to fitting the observed evolution of the two different types of slicks.
Directory of Open Access Journals (Sweden)
Gabriel Rodríguez
2016-06-01
Full Text Available Following Xu and Perron (2014, I applied the extended RLS model to the daily stock market returns of Argentina, Brazil, Chile, Mexico and Peru. This model replaces the constant probability of level shifts for the entire sample with varying probabilities that record periods with extremely negative returns. Furthermore, it incorporates a mean reversion mechanism with which the magnitude and the sign of the level shift component vary in accordance with past level shifts that deviate from the long-term mean. Therefore, four RLS models are estimated: the Basic RLS, the RLS with varying probabilities, the RLS with mean reversion, and a combined RLS model with mean reversion and varying probabilities. The results show that the estimated parameters are highly significant, especially that of the mean reversion model. An analysis of ARFIMA and GARCH models is also performed in the presence of level shifts, which shows that once these shifts are taken into account in the modeling, the long memory characteristics and GARCH effects disappear. Also, I find that the performance prediction of the RLS models is superior to the classic models involving long memory as the ARFIMA(p,d,q models, the GARCH and the FIGARCH models. The evidence indicates that except in rare exceptions, the RLS models (in all its variants are showing the best performance or belong to the 10% of the Model Confidence Set (MCS. On rare occasions the GARCH and the ARFIMA models appear to dominate but they are rare exceptions. When the volatility is measured by the squared returns, the great exception is Argentina where a dominance of GARCH and FIGARCH models is appreciated.
De Biase, C.
2012-01-01
Vertical flow filters (unplanted) and vertical flow constructed wetlands (planted), simple and inexpensive technologies to treat effectively volatile organic compounds (VOCs) contaminated water, consist of containers filled with granular material which is intermittently fed with contaminated water.
Institute of Scientific and Technical Information of China (English)
LIAO; Qiang; (廖; 强); CHEN; Rong; (陈; 蓉); ZHU; Xun; (朱; 恂)
2003-01-01
This paper presents an analytical model for predicting VOC waste gas degradation in a trickling biofilter. To facilitate the analysis, the packed bed is simplified into a series of straight capillary tubes covered by the biofilm. The gas-liquid flow field through the tube is divided into the liquid film flow on the biofilm and the gas core flow in the center. The biofilm consists of a reaction free zone close to solid wall and a reaction zone beneath the liquid film. The capillary tube model accounts for the effect of mass transport resistance in the liquid film and the biofilm, the gas-liquid interfacial mass transport resistance, the biochemical reaction, and the limitation of oxygen to biochemical reaction. The liquid film thickness in the capillary tube is obtained by simultaneously solving a set of hydrodynamic equations representing the momentum transport behaviors of the gas-liquid two-phase flow. The mass transport equations are established for gas core, liquid film, and biofilm combined with biochemical kinetics equations. An iterative computation process is employed to solve the discrete equations. The predicted purification efficiencies of VOC waste gas in trickling biofilter are found to be in good agreement with the experimental data. It has been revealed that for a fixed inlet concentration of toluene, the purification efficiency of trickling biofilter decreases with the increase in gas flow rate and liquid flow rate. The purification efficiency of VOC waste gas is dominated by mass transport resistance in liquid film and biofilm. The highest biodegradation rate occurs at the inlet of waste gas in trickling biofilter.
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.
Modeling sediment transport in river networks
Wang, Xu-Ming; Hao, Rui; Huo, Jie; Zhang, Jin-Feng
2008-11-01
A dynamical model is proposed to study sediment transport in river networks. A river can be divided into segments by the injection of branch streams of higher rank. The model is based on the fact that in a real river, the sediment-carrying capability of the stream in the ith segment may be modulated by the undergone state, which may be erosion or sedimentation, of the i-1th and ith segments, and also influenced by that of the ith injecting branch of higher rank. We select a database about the upper-middle reach of the Yellow River in the lower-water season to test the model. The result shows that the data, produced by averaging the erosion or sedimentation over the preceding transient process, are in good agreement with the observed average in a month. With this model, the steady state after transience can be predicted, and it indicates a scaling law that the quantity of erosion or sedimentation exponentially depends on the number of the segments along the reach of the channel. Our investigation suggests that fluctuation of the stream flow due to random rainfall will prevent this steady state from occurring. This is owing to the phenomenon that the varying trend of the quantity of erosion or sedimentation is opposite to that of sediment-carrying capability of the stream.
Modeling Transport of Flushed Reservoir Sediment
Dubinski, I. M.
2014-12-01
Drawdown flushing of a reservoir is often part of a reservoir sediment management program. Flushing can deliver higher than normal sediment loads to the river channel located downstream of a reservoir. The flushed sediment may contain a higher proportion of finer sediment than what was delivered to a channel prior to the presence of the reservoir. The extent of long-term impacts caused by the flushed sediment on the channel morphology and habitat will in part depend on the residence time of the sediment within the channel. In this study we used MIKE 21C to model the fate of flushed sediment through a river channel where the bed material consists of an armoring layer of gravels overlying finer sediment. MIKE 21C is a two-dimensional curvilinear morphological model for rivers developed by DHI. Curvilinear means that the model grid may curve to better follow the channel and flow direction, for example in a meandering channel. Multiple bed material layers are included in the model to represent the armoring and underlying layers existing in the bed separately from the overlying flushed sediment. These layers may also mix. The nature of the interactions between these two layers helps regulate transport and deposition of the flushed sediment, thus are critical to assessing the fate of the flushed sediment and associated potential impacts.
Kobayashi, Masahiro; Sumino, Hirochika; Nagao, Keisuke; Ishimaru, Satoko; Arai, Shoji; Yoshikawa, Masako; Kawamoto, Tatsuhiko; Kumagai, Yoshitaka; Kobayashi, Tetsuo; Burgess, Ray; Ballentine, Chris J.
2017-01-01
Halogen and noble gas systematics are powerful tracers of volatile recycling in subduction zones. We present halogen and noble gas compositions of mantle peridotites containing H2O-rich fluid inclusions collected at volcanic fronts from two contrasting subduction zones (the Avacha volcano of Kamchatka arc and the Pinatubo volcano of Luzon arcs) and orogenic peridotites from a peridotite massif (the Horoman massif, Hokkaido, Japan) which represents an exhumed portion of the mantle wedge. The aims are to determine how volatiles are carried into the mantle wedge and how the subducted fluids modify halogen and noble gas compositions in the mantle. The halogen and noble gas signatures in the H2O-rich fluids are similar to those of marine sedimentary pore fluids and forearc and seafloor serpentinites. This suggests that marine pore fluids in deep-sea sediments are carried by serpentine and supplied to the mantle wedge, preserving their original halogen and noble gas compositions. We suggest that the sedimentary pore fluid-derived water is incorporated into serpentine through hydration in a closed system along faults at the outer rise of the oceanic, preserving Cl/H2O and 36Ar/H2O values of sedimentary pore fluids. Dehydration-hydration process within the oceanic lithospheric mantle maintains the closed system until the final stage of serpentine dehydration. The sedimentary pore fluid-like halogen and noble gas signatures in fluids released at the final stage of serpentine dehydration are preserved due to highly channelized flow, whereas the original Cl/H2O and 36Ar/H2O ratios are fractionated by the higher incompatibility of halogens and noble gases in hydrous minerals.
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 new conceptual model for aeolian transport rates on beaches
de Vries, S.; Stive, M.J.F.; van Rijn, L.; Ranasinghe, R.
2012-01-01
In this paper a new conceptual model for aeolian sediment transport rates is presented. Traditional sediment transport formulations have known limitations when applied to coastal beach situations. A linear model for sediment transport rates with respect to wind speed is proposed and supported by both data and numerical model simulations. The presented model does not solve complex wind fields and is therefore very easily applicable. Physical principles such as the presence of a threshold veloc...
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.
A. Christian Silva; Prange, Richard E.
2006-01-01
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 st...
Makar, P. A.; Moran, M. D.; Scholtz, M. T.; Taylor, A.
2003-01-01
A new classification scheme for the speciation of organic compound emissions for use in air quality models is described. The scheme uses 81 organic compound classes to preserve both net gas-phase reactivity and particulate matter (PM) formation potential. Chemical structure, vapor pressure, hydroxyl radical (OH) reactivity, freezing point/boiling point, and solubility data were used to create the 81 compound classes. Volatile, semivolatile, and nonvolatile organic compounds are included. The new classification scheme has been used in conjunction with the Canadian Emissions Processing System (CEPS) to process 1990 gas-phase and particle-phase organic compound emissions data for summer and winter conditions for a domain covering much of eastern North America. A simple postprocessing model was used to analyze the speciated organic emissions in terms of both gas-phase reactivity and potential to form organic PM. Previously unresolved compound classes that may have a significant impact on ozone formation include biogenic high-reactivity esters and internal C6-8 alkene-alcohols and anthropogenic ethanol and propanol. Organic radical production associated with anthropogenic organic compound emissions may be 1 or more orders of magnitude more important than biogenic-associated production in northern United States and Canadian cities, and a factor of 3 more important in southern U.S. cities. Previously unresolved organic compound classes such as low vapour pressure PAHs, anthropogenic diacids, dialkyl phthalates, and high carbon number alkanes may have a significant impact on organic particle formation. Primary organic particles (poorly characterized in national emissions databases) dominate total organic particle concentrations, followed by secondary formation and primary gas-particle partitioning. The influence of the assumed initial aerosol water concentration on subsequent thermodynamic calculations suggests that hydrophobic and hydrophilic compounds may form external
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.
Modeling Oxygen Transport in the Human Placenta
Serov, Alexander; Filoche, Marcel; Salafia, Carolyn; Grebenkov, Denis
Efficient functioning of the human placenta is crucial for the favorable pregnancy outcome. We construct a 3D model of oxygen transport in the placenta based on its histological cross-sections. The model accounts for both diffusion and convention of oxygen in the intervillous space and allows one to estimate oxygen uptake of a placentone. We demonstrate the existence of an optimal villi density maximizing the uptake and explain it as a trade-off between the incoming oxygen flow and the absorbing villous surface. Calculations performed for arbitrary shapes of fetal villi show that only two geometrical characteristics - villi density and the effective villi radius - are required to predict fetal oxygen uptake. Two combinations of physiological parameters that determine oxygen uptake are also identified: maximal oxygen inflow of a placentone and the Damköhler number. An automatic image analysis method is developed and applied to 22 healthy placental cross-sections demonstrating that villi density of a healthy human placenta lies within 10% of the optimal value, while overall geometry efficiency is rather low (around 30-40%). In a perspective, the model can constitute the base of a reliable tool of post partum oxygen exchange efficiency assessment in the human placenta. Also affiliated with Department of Chemistry and Biochemistry, UCLA, Los Angeles, CA 90095, USA.
Baldwin, Ian T
2010-05-11
Plant volatiles are the metabolites that plants release into the air. The quantities released are not trivial. Almost one-fifth of the atmospheric CO2 fixed by land plants is released back into the air each day as volatiles. Plants are champion synthetic chemists; they take advantage of their anabolic prowess to produce volatiles, which they use to protect themselves against biotic and abiotic stresses and to provide information - and potentially disinformation - to mutualists and competitors alike. As transferors of information, volatiles have provided plants with solutions to the challenges associated with being rooted in the ground and immobile.
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.
Modeling Biodegradation and Reactive Transport: Analytical and Numerical Models
Energy Technology Data Exchange (ETDEWEB)
Sun, Y; Glascoe, L
2005-06-09
The computational modeling of the biodegradation of contaminated groundwater systems accounting for biochemical reactions coupled to contaminant transport is a valuable tool for both the field engineer/planner with limited computational resources and the expert computational researcher less constrained by time and computer power. There exists several analytical and numerical computer models that have been and are being developed to cover the practical needs put forth by users to fulfill this spectrum of computational demands. Generally, analytical models provide rapid and convenient screening tools running on very limited computational power, while numerical models can provide more detailed information with consequent requirements of greater computational time and effort. While these analytical and numerical computer models can provide accurate and adequate information to produce defensible remediation strategies, decisions based on inadequate modeling output or on over-analysis can have costly and risky consequences. In this chapter we consider both analytical and numerical modeling approaches to biodegradation and reactive transport. Both approaches are discussed and analyzed in terms of achieving bioremediation goals, recognizing that there is always a tradeoff between computational cost and the resolution of simulated systems.
DEFF Research Database (Denmark)
Sunesen, Lars Oddershede; Trihaas, Jeorgos; Stahnke, Louise Heller
2003-01-01
Thirty-two agar sausage models were arranged in a 2((5-1)) fractional factorial design to analyse the effects of Penicillium nalgio-vense growth, Pediococcus pentosaceus starter, sodium ascorbate, sodium nitrate and temperature on 79 volatiles produced during incubation. The model focused...... on the outer 10 millimeters of sausages. Ascorbate addition showed clear antioxidative effects, and reduced the amount of more than half of all volatiles but increased concentrations of 2-methyl-propanal and 3-methyl-butanal. The effects of P. pentosaceus and Micrococcaceae were confounded, but together...... they had pronounced antioxidative effects, lowering the amount of straight chain aldehydes, 2-alkenals, furanes and ketones. P. pentosaceus and Micrococcaceae growth increased the leucine catabolites 3-methyl-butanal and 3-methyl-1-butanol. P. nalgiovense decreased the concentrations of 2-heptanone, 2...
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.
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......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......% of the energy saving and 12% of the CO2 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...
I, Sahadudheen I
2013-01-01
This paper examines the effect of volatility in both rupee-dollar and rupee-euro exchange rates on stock prices in India using daily data from 3-Apr-2007 to 30-Mar-2012. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn’t find any significant statistical effect...
Jathar, Shantanu H.; Woody, Matthew; Pye, Havala O. T.; Baker, Kirk R.; Robinson, Allen L.
2017-03-01
Gasoline- and diesel-fueled engines are ubiquitous sources of air pollution in urban environments. They emit both primary particulate matter and precursor gases that react to form secondary particulate matter in the atmosphere. In this work, we updated the organic aerosol module and organic emissions inventory of a three-dimensional chemical transport model, the Community Multiscale Air Quality Model (CMAQ), using recent, experimentally derived inputs and parameterizations for mobile sources. The updated model included a revised volatile organic compound (VOC) speciation for mobile sources and secondary organic aerosol (SOA) formation from unspeciated intermediate volatility organic compounds (IVOCs). The updated model was used to simulate air quality in southern California during May and June 2010, when the California Research at the Nexus of Air Quality and Climate Change (CalNex) study was conducted. Compared to the Traditional version of CMAQ, which is commonly used for regulatory applications, the updated model did not significantly alter the predicted organic aerosol (OA) mass concentrations but did substantially improve predictions of OA sources and composition (e.g., POA-SOA split), as well as ambient IVOC concentrations. The updated model, despite substantial differences in emissions and chemistry, performed similar to a recently released research version of CMAQ (Woody et al., 2016) that did not include the updated VOC and IVOC emissions and SOA data. Mobile sources were predicted to contribute 30-40 % of the OA in southern California (half of which was SOA), making mobile sources the single largest source contributor to OA in southern California. The remainder of the OA was attributed to non-mobile anthropogenic sources (e.g., cooking, biomass burning) with biogenic sources contributing to less than 5 % to the total OA. Gasoline sources were predicted to contribute about 13 times more OA than diesel sources; this difference was driven by differences in
Modeling sheet-flow sand transport under progressive surface waves
Kranenburg, W.M.
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. Howeve
Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
Perello, J
2006-01-01
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. 1 by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to "see" the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings to a higher price of the option. This appears in clear contrast to the presence of memory ...
Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
Perelló, Josep
2007-08-01
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. [J. Masoliver, J. Perelló, Quant. Finance 6 (2006) 423] by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to “see” the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings the price of the option higher. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.
DEFF Research Database (Denmark)
Sonnenborg, Torben Obel; Engesgaard, Peter Knudegaard; Rosbjerg, Dan
1996-01-01
and transport simulation model is combined with nonlinear least squares multiple regression. The U.S. Geological Survey method of characteristics model is used to simulate flow and transport, and the optimization part is solved using a Levenberg-Marquardt algorithm. The sensitivity of the optimization approach...
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 i...
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 i...
Comparison of global passenger transport models and available literature
Breugem RMH; Vuuren DP van; Wee B van; MNV
2002-01-01
Over the last decade transport has been strongest growing sector in terms of worldwide energy demand. As a result, proper modelling of transport has become more important in models describing global climate change. RIVM has developed the energy model TIMER as part of the global integrated assessmen
Comparison of global passenger transport models and available literature
Breugem RMH; Vuuren DP van; Wee B van; MNV
2002-01-01
Over the last decade transport has been strongest growing sector in terms of worldwide energy demand. As a result, proper modelling of transport has become more important in models describing global climate change. RIVM has developed the energy model TIMER as part of the global integrated
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.
Volatile organic compounds enhance allergic airway inflammation in an experimental mouse model.
Directory of Open Access Journals (Sweden)
Ulrike Bönisch
Full Text Available BACKGROUND: Epidemiological studies suggest an association between exposure to volatile organic compounds (VOCs and adverse allergic and respiratory symptoms. However, whether VOCs exhibit a causal role as adjuvants in asthma development remains unclear. METHODS: To investigate the effect of VOC exposure on the development of allergic airway inflammation Balb/c mice were exposed to VOCs emitted by new polyvinylchloride (PVC flooring, sensitized with ovalbumin (OVA and characterized in acute and chronic murine asthma models. Furthermore, prevalent evaporated VOCs were analyzed and mice were exposed to selected single VOCs. RESULTS: Exposure of mice to PVC flooring increased eosinophilic lung inflammation and OVA-specific IgE serum levels compared to un-exposed control mice. The increased inflammation was associated with elevated levels of Th2-cytokines. Long-term exposure to PVC flooring exacerbated chronic airway inflammation. VOCs with the highest concentrations emitted by new PVC flooring were N-methyl-2-pyrrolidone (NMP and 2,2,4-trimethyl-1,3-pentanediol diisobutyrate (TXIB. Exposure to NMP or TXIB also increased the allergic immune response in OVA-sensitized mice. In vitro or in vivo exposure to NMP or TXIB reduced IL-12 production in maturing dendritic cells (DCs and enhanced airway inflammation after adoptive DC transfer into Balb/c mice. At higher concentrations both VOCs induced oxidative stress demonstrated by increased isoprostane and glutathione-S-transferase-pi1 protein levels in the lung of non-sensitized mice. Treatment of PVC flooring-exposed mice with N-acetylcysteine prevented the VOC-induced increase of airway inflammation. CONCLUSIONS: Our results demonstrate that exposure to VOCs may increase the allergic immune response by interfering with DC function and by inducing oxidative stress and has therefore to be considerate as risk factor for the development of allergic diseases.
Sonnenthal, E.; McBirney, A.
2007-12-01
Considerable debate has focused on the role of thermal versus compositional convection and late-stage melt and volatile migration in the differentiation of layered intrusions, including the Skaergaard Intrusion. The result of these coupled processes is a hierarchy of structures from textural re-equilibration, to mm-scale rhythmic layering, to large-scale mobilization and recrystallization involving melt and volatiles. In the Skaergaard Intrusion, there is evidence that the base of the intrusion crystallized from melts strongly enriched in iron, presumably derived from the walls and/or roof. To investigate the scenario that iron-rich melts migrated from or through the crystallizing walls and ponded on the floor, we developed a two-dimensional reaction-transport model having the projected cross-section of the intrusion. Simulations of coupled flow and reaction of melt, heat, and minerals were performed using the RCTMAG code developed by the authors. Processes include conservation of fluid mass, energy, advective and diffusive multicomponent transport, and crystallization/melting. Crystal-melt equilibria and compositions are treated using distribution coefficients based on literature values or derived from lab and/or field data. Permeability and porosity changes are coupled to crystallization and melting, with the resulting volume changes affecting flow. Simulations show that iron-rich melt develops within the sidewall mush and tends to migrate through the mush toward the base. Compositional convection dominates over thermal convection because heat loss through the walls and roof lead to crystallization and melt compositional changes, affecting density more than temperature. Chemical and thermal diffusion within the mush has subtle effects on mineral compositions and modes, primarily because water and alkalis diffuse faster than other components. The propensity for melt to migrate through the mush is clearly aided by the increase in iron and volatiles, counteracting
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
A study on iron ore transportation model with penalty value of transportation equipment waiting
Directory of Open Access Journals (Sweden)
Kailing Pan
2017-03-01
Full Text Available As some steel enterprises are at a disadvantage in the choice of the mode of transportation, this paper made further studies of the characteristics of the iron ore logistics, taking comprehensive consideration of optimizing the waiting time under the conditions with limited loading capacity and setting up a procedural model of the iron ore logistics system with minimum cost of transportation, storage, loading, unloading, and transportation equipment waiting. Finally, taking the iron ore transport system of one steel enterprise as example, the solution and the validity of the model were analyzed and verified in this paper.
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.
Boothroyd, Emily L; Linforth, Robert S T; Cook, David J
2012-10-10
Ethanolic atmospheric pressure chemical ionization mass spectrometry (APCI-MS) was used to analyze the headspace concentrations of a test set of 14 whisky volatile compounds above a series of aqueous ethanolic solutions differing in alcohol content (5-40% ABV) and with regard to concentration of ethyl hexadecanoate (0-500 mg/L). The latter was selected to represent the long-chain ethyl esters found at various concentrations in new-make spirit. Headspace ion intensities were modeled against ethanol and ethyl hexadecanoate concentrations as factors. A separate model was prepared for each compound. Not surprisingly, ethanol content in the range of 5-40% ABV had a significant effect (P 2.5). This finding is discussed in terms of the "structuring" effects of ethyl hexadecanoate when present above critical micelle concentration, leading to the selective incorporation of hydrophobic volatile compounds into the interior of micelle-like structures. Data presented illustrate that dilution of whiskies to 23% ABV for "nosing" in the presence of long-chain ethyl esters is likely to change the balance of volatile compounds in the headspace and thus the perceived aroma character.
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 late...
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 i
Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
Genon-Catalot, Valentine; Jeantheau, Thierry; Laredo, Catherine
2003-01-01
ABSTRACT. This paper develops a new contrast process for parametric inference of general hidden Markov models, when the hidden chain has a non-compact state space. This contrast is based on the conditional likelihood approach, often used for ARCH-type models. We prove the strong consistency of the conditional likelihood estimators under appropriate conditions. The method is applied to the Kalman filter (for which this contrast and the exact likelihood lead to asymptotically equivalent estimat...
Directory of Open Access Journals (Sweden)
Tafireyi eNemaura
2015-06-01
Full Text Available Understanding drug transportation mechanisms in the human body is of paramount importance in modelling Pharmacokinetic-Pharmacodynamic relationships. This work gives a novel general model of efavirenz transportation projections based on concentrations simulated from patients on a dose of 600mg. The work puts forward a proposition that transportation can wholly be modeled by concentration and time in a uniform volumetric space. Furthermore, movement entities are used to inform the state of kinetic solubility of a solution. There is use of Ricker’s model, and forms of the Hill’s equation in modelling transportation. Characterization on the movement rates of solution particle are suggested in relation to advection rate of solution particle. At turning points on the transportation rate of solution particle vs concentration curve, a suggestion of possibly change of dominance in the mode of transportation and saturation is made. There are four movement rates postulated at primary micro-level transportation, that are attributed to convection, diffusion (passive transportation ( EI and energy dependent system transportation ( ED in relation to advection. Furthermore, a new parameter is introduced which is defined as an advection rate constant of solution particle. It is postulated to be dependent on two rate constants of solution particle, that is a convection rate constant of solution particle and a saturable transportation rate constant of solution particle. At secondary micro-level transportation, the results show convection as sum of advection and saturable transportation. The kinetics of dissolution of efavirenz in the solution space is postulated. Relatively, a good level of kinetics of dissolution is projected in the concentration region 0−32.82μg/ml.
Lo Vullo, Eleonora; Furlani, Francesco; Arduini, Jgor; Giostra, Umberto; Graziosi, Francesco; Cristofanelli, Paolo; Williams, Martin L.; Maione, Michela
2016-09-01
To advance our understanding of the factors that affect pollution in mountainous areas, long-term, high frequency measurements of thirteen Non Methane Volatile Organic Compounds (NMVOCs) have been carried out at the atmospheric observatory on the top of Mt. Cimone (2165 m a.s.l.), whose location is ideal for sampling both aged air masses representing the regional background and polluted air masses coming from nearby sources of anthropogenic pollution. An analysis of the NMVOC time series available at Mt. Cimone during 2010-2014 was used to examine the influence of transport processes on NMVOC atmospheric composition and to derive information on the emission sources. We performed a multifactor principal component analysis whose results allowed us to identify the source categories emitting the NMVOCs measured at Mt. Cimone as well as to assess transport ranges in winter and summer. Aged air masses, due to long-range transport and related to vehicular traffic exhaust emissions accounted for 78% of the NMVOC variability in winter and 62% in summer, whereas evaporative emissions, likely to be associated with fresh emissions from nearby sources, accounted for 12% of the NMVOC variability and 24% in winter and summer, respectively. Such results have been confirmed by a further analysis in which the NMVOC variability as a function of their atmospheric lifetimes has been evaluated. The ratios of alkane isomers potentially provides a metric to investigate seasonal changes in NMVOCs composition and in the emission fields of butanes and pentanes, suggesting that during the summer the butanes are originating mainly from the European domain and that for pentanes non-anthropogenic sources may be contributing to the measured concentrations.
Combinatorial model of solute transport in porous media
Institute of Scientific and Technical Information of China (English)
张妙仙; 张丽萍
2004-01-01
Modeling of solute transport is a key issue in the area of soil physics and hydrogeology. The most common approach (the convection-dispersion equation) considers an average convection flow rate and Fickian-like dispersion. Here,we propose a solute transport model in porous media of continuously expanding scale, according to the combinatorics principle. The model supposed actual porous media as a combinative body of many basic segments. First, we studied the solute transport process in each basic segment body, and then deduced the distribution of pore velocity in each basic segment body by difference approximation, finally assembled the solute transport process of each basic segment body into one of the combinative body. The simulation result coincided with the solute transport process observed in test. The model provides useful insight into the solute transport process of the non-Fickian dispersion in continuously expanding scale.
Modeling of Anomalous Transport in Tokamaks with FACETS code
Pankin, A. Y.; Batemann, G.; Kritz, A.; Rafiq, T.; Vadlamani, S.; Hakim, A.; Kruger, S.; Miah, M.; Rognlien, T.
2009-05-01
The FACETS code, a whole-device integrated modeling code that self-consistently computes plasma profiles for the plasma core and edge in tokamaks, has been recently developed as a part of the SciDAC project for core-edge simulations. A choice of transport models is available in FACETS through the FMCFM interface [1]. Transport models included in FMCFM have specific ranges of applicability, which can limit their use to parts of the plasma. In particular, the GLF23 transport model does not include the resistive ballooning effects that can be important in the tokamak pedestal region and GLF23 typically under-predicts the anomalous fluxes near the magnetic axis [2]. The TGLF and GYRO transport models have similar limitations [3]. A combination of transport models that covers the entire discharge domain is studied using FACETS in a realistic tokamak geometry. Effective diffusivities computed with the FMCFM transport models are extended to the region near the separatrix to be used in the UEDGE code within FACETS. 1. S. Vadlamani et al. (2009) %First time-dependent transport simulations using GYRO and NCLASS within FACETS (this meeting).2. T. Rafiq et al. (2009) %Simulation of electron thermal transport in H-mode discharges Submitted to Phys. Plasmas.3. C. Holland et al. (2008) %Validation of gyrokinetic transport simulations using %DIII-D core turbulence measurements Proc. of IAEA FEC (Switzerland, 2008)
Modeling unsteady-state VOC transport in simulated waste drums. Revision 1
Energy Technology Data Exchange (ETDEWEB)
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&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.
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...
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...
Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
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
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
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...
Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
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 he
Directory of Open Access Journals (Sweden)
E. Fuentes
2011-11-01
Full Text Available In this study a kinetic evaporation-condensation model was applied to assess the uncertainty in determining the volatility behaviour of organic particles from thermodenuder experiments, at conditions relevant to both ambient and laboratory measurements.
A comprehensive theoretical parametric analysis showed that re-condensation in thermodenuder experiments is highly case-dependent, being strongly determined by the combined effects of aerosol mass loading, particle size and the kinetics of condensation. Because of this dependence it is possible to find cases with either negligible or significant levels of re-condensation at high organic mass loadings, thus accounting for the diverging degrees of re-condensation reported in previous experimental and modeling studies. From this analysis it was concluded that gas denudation should generally be applied in experiments with aerosol mass loading >30 μg m^{−3}. However, thermograms may be lowered in the region below 45 °C as a result of the evaporation induced by denuders for compounds with saturation concentration C^{*} > 1 μg m^{−3}.
A calibration curve relating C^{*} (saturation concentration and T_{50} (temperature at which 50% of aerosol mass evaporates was theoretically derived and tested to infer volatility distributions from experimental thermograms. While this approach was found to hold at equilibrium, significant underestimation of the particle volatility was found under kinetically-controlled evaporation conditions. Because thermograms obtained at ambient aerosol loading levels are most likely to show departure from equilibrium, the application of a kinetic evaporation model is more suitable for inferring volatility properties of atmospheric samples than the calibration curve approach; however, this method implies significant uncertainty, due to the sensitivity of the kinetic model to the assumption of
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.
Directory of Open Access Journals (Sweden)
Ahmed KSAIER
2010-12-01
Full Text Available We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price, Foreign Exchange (nominal Euro/Dollar, Stock Market (S&P 500 Index and Bond market (U.S.10-Year. After seizing the concept of volatility and overcoming its first definition of risk measure, we have evaluated their interdependencies from a VAR model, we have investigated the presence of long memory phenomenon in these series and we have carried out their forecasted trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility, Section 2 examines the interdependence of the studied markets; Section 3 provides a FIGARCH model in order to capture the dynamics and predict future market volatilities changes and Section 4 concludes."
Mathematical model of transportation flow dynamics on a multilane highway
Mazurin, D. S.
2013-01-01
We present a microscopic model for the dynamics of a transportation flow based on cellular automata with improved lane changing rules. With this model, we study the influence of crossing transportation flows on the throughput of a multilane highway. For a two-lane highway with an exit, we obtain spa
Efficiency of a statistical transport model for turbulent particle dispersion
Litchford, Ron J.; Jeng, San-Mou
1992-01-01
In developing its theory for turbulent dispersion transport, the Litchford and Jeng (1991) statistical transport model for turbulent particle dispersion took a generalized approach in which the perturbing influence of each turbulent eddy on consequent interactions was transported through all subsequent eddies. Nevertheless, examinations of this transport relation shows it to be able to decay rapidly: this implies that additional computational efficiency may be obtained via truncation of unneccessary transport terms. Attention is here given to the criterion for truncation, as well as to expected efficiency gains.
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.
Option Pricing using Realized Volatility
DEFF Research Database (Denmark)
Stentoft, Lars Peter
In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....
Option Pricing using Realized Volatility
DEFF Research Database (Denmark)
Stentoft, Lars Peter
In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate d...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....
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.
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.
Directory of Open Access Journals (Sweden)
Ahmed Shamiri
2012-01-01
Full Text Available Problem statement: This study examines several stylized facts (heavy-tailedness, leverage effect and persistence in volatility of stock price returns exploiting symmetric and asymmetric GARCH family models for Saudi Arabia. Approach: This study is carried out using closing stock market prices over 15 years covering the period 1 January 1994 to 31 March 2009. The sample period is divided into three sub-periods according to the local crisis in 2006. Results: The results reveal that asymmetric models with heavy tailed densities improve overall estimation of the conditional variance equation. Moreover, we find that AR (1-GJR GARCH model with Student-t outperform the other models during and before the local crisis in 2006, while AR (1-GARCH model with GED exhibits a better performance after the crisis. Furthermore, the findings reveal the existence of leverage effect at 1 percent significance level. Conclusion/Recommendations: Finally, the volatility persistent in the samples during and after crises decreases in all models under various distribution assumptions.
Vuong, François; Chauveau, Romain; Grevillot, Georges; Marsteau, Stéphanie; Silvente, Eric; Vallieres, Cécile
2016-09-01
In this study, equilibria, breakthrough curves, and breakthrough times were predicted for three binary mixtures of four volatile organic compounds (VOCs) using a model based on partial differential equations of dynamic adsorption coupling a mass balance, a simple Linear Driving Force (LDF) hypothesis to describe the kinetics, and the well-known Extended-Langmuir (EL) equilibrium model. The model aims to predict with a limited complexity, the BTCs of respirator cartridges exposed to binary vapor mixtures from equilibria and kinetics data obtained from single component. In the model, multicomponent mass transfer was simplified to use only single dynamic adsorption data. The EL expression used in this study predicted equilibria with relatively good accuracy for acetone/ethanol and ethanol/cyclohexane mixtures, but the prediction of cyclohexane uptake when mixed with heptane is less satisfactory. The BTCs given by the model were compared to experimental BTCs to determine the accuracy of the model and the impact of the approximation on mass transfer coefficients. From BTCs, breakthrough times at 10% of the exposure concentration t10% were determined. All t10% were predicted within 20% of the experimental values, and 63% of the breakthrough times were predicted within a 10% error. This study demonstrated that a simple mass balance combined with kinetic approximations is sufficient to predict lifetime for respirator cartridges exposed to VOC mixtures. It also showed that a commonly adopted approach to describe multicomponent adsorption based on volatility of VOC rather than adsorption equilibrium greatly overestimated the breakthrough times.
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.
Zhiguang Wang
2009-01-01
Classical capital asset pricing theory tells us that riskaverse investors would require higher returns to compensate for higher risk on an investment. One type of risk is price (return) risk, which reflects uncertainty in the price level and is measured by the volatility (standard deviation) of asset returns. Volatility itself is also known to be random and hence is perceived as another type of risk. Investors can bear price risk in exchange for a higher return. But are investors willing to p...
Stochastic volatility selected readings
Shephard, Neil
2005-01-01
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-7, S. J. Taylor. 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices, B. Rosenberg. 4. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White. 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove. 6. Multivariate Stochastic Variance Models. 7. Stochastic Autoregressive...
Implementation of Gravity Model to Estimation of Transportation Market Shares
Krata, Przemysław
2010-03-01
The theoretical consideration presented in the paper is inspired by market gravity models, as an interesting attitude towards operations research on a market. The transportation market issues are emphasized. The mathematical model of relations, taking place between transportation companies and their customers on the market, which is applied in the course of the research is based on continuous functions characteristics. This attitude enables the use of the field theory notions. The resultant vector-type utility function facilitates obtaining of competitive advantage areas for all transportation companies located on the considered transportation market.
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.
Mathematical Modelling of Cation Transport and Regulation in Yeast.
Kahm, Matthiasé; Kschischo, Maik
2016-01-01
Mathematical modelling of ion transport is a strategy to understand the complex interplay between various ionic species and their transporters. Such models should provide new insights and suggest new interesting experiments. Two essential variables in models for ion transport and control are the membrane potential and the intracellular pH, which generates an additional layer of complexity absent from many other models of biochemical reaction pathways. The aim of this text is to introduce the reader to the basic principles and assumptions of modelling in this field. A simplified model of potassium transport will be used as an example and will be derived in a step by step manner. This forms the basis for understanding the advantages and limitations of more complex models. These are briefly reviewed at the end of this chapter.
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.
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
Pricing credit default swaps under a multi-scale stochastic volatility model
Chen, Wenting; He, Xinjiang
2017-02-01
In this paper, we consider the pricing of credit default swaps (CDSs) with the reference asset driven by a geometric Brownian motion with a multi-scale stochastic volatility (SV), which is a two-factor volatility process with one factor controlling the fast time scale and the other representing the slow time scale. A key feature of the current methodology is to establish an equivalence relationship between the CDS and the down-and-out binary option through the discussion of "no default" probability, while balancing the two SV processes with the perturbation method. An approximate but closed-form pricing formula for the CDS contract is finally obtained, whose accuracy is in the order of O(ɛ + δ +√{ ɛδ }) .
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.
Particle Tracking Model and Abstraction of Transport Processes
Energy Technology Data Exchange (ETDEWEB)
B. Robinson
2000-04-07
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.
A transport-rate model of wind-blown sand
Institute of Scientific and Technical Information of China (English)
无
2009-01-01
Sand transport by wind plays an important role in environmental problems.Formulating the sand-transport rate model has been of continuing significance,because the majority of the existing models relate sand-transport rate to the wind-shear velocity.However,the wind-shear velocity readapted to blown sand is difficult to determine from the measured wind profiles when sand movement occurs,especially at high wind velocity.Detailed wind tunnel tests were carried out to reformulate the sand-transport rate model,followed by attempts to relate sand-transport rate to parameters of wind velocity,threshold shear-velocity,and grain size.Finally,we validated the model based on the data from field observations.
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...
Reduced Fast Ion Transport Model For The Tokamak Transport Code TRANSP
Energy Technology Data Exchange (ETDEWEB)
Podesta,, Mario; Gorelenkova, Marina; White, Roscoe
2014-02-28
Fast ion transport models presently implemented in the tokamak transport code TRANSP [R. J. Hawryluk, in Physics of Plasmas Close to Thermonuclear Conditions, CEC Brussels, 1 , 19 (1980)] are not capturing important aspects of the physics associated with resonant transport caused by instabilities such as Toroidal Alfv en Eigenmodes (TAEs). This work describes the implementation of a fast ion transport model consistent with the basic mechanisms of resonant mode-particle interaction. The model is formulated in terms of a probability distribution function for the particle's steps in phase space, which is consistent with the MonteCarlo approach used in TRANSP. The proposed model is based on the analysis of fast ion response to TAE modes through the ORBIT code [R. B. White et al., Phys. Fluids 27 , 2455 (1984)], but it can be generalized to higher frequency modes (e.g. Compressional and Global Alfv en Eigenmodes) and to other numerical codes or theories.
Model for Estimation Urban Transportation Supply-Demand Ratio
Directory of Open Access Journals (Sweden)
Chaoqun Wu
2015-01-01
Full Text Available The paper establishes an estimation model of urban transportation supply-demand ratio (TSDR to quantitatively describe the conditions of an urban transport system and to support a theoretical basis for transport policy-making. This TSDR estimation model is supported by the system dynamic principle and the VENSIM (an application that simulates the real system. It was accomplished by long-term observation of eight cities’ transport conditions and by analyzing the estimated results of TSDR from fifteen sets of refined data. The estimated results indicate that an urban TSDR can be classified into four grades representing four transport conditions: “scarce supply,” “short supply,” “supply-demand balance,” and “excess supply.” These results imply that transport policies or measures can be quantified to facilitate the process of ordering and screening them.
Volatile release from aqueous solutions under dynamic headspace dilution conditions.
Marin, M; Baek, I; Taylor, A J
1999-11-01
Static equilibrium was established between the gas phase (headspace) and an unstirred aqueous phase in a sealed vessel. The headspace was then diluted with air to mimic the situation when a container of food is opened and the volatiles are diluted by the surrounding air. Because this first volatile signal can influence overall flavor perception, the parameters controlling volatile release under these conditions are of interest. A mechanistic model was developed and validated experimentally. Release of compounds depended on the air-water partition coefficient (K(aw)) and the mass transport in both phases. For compounds with K(aw) values 10(-)(3), mass transport in the gas phase became significant and the Reynolds number played a role. Because release from packaged foods occurs at low Reynolds numbers, whereas most experiments are conducted at medium to high Reynolds numbers, the experimentally defined profile may not reflect the real situation.
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)
Kieran O'Driscoll
2014-04-01
Full Text Available The air-sea exchange of two legacy persistent organic pollutants (POPs, γ-HCH and PCB 153, in the North Sea, is presented and discussed using results of regional fate and transport and shelf-sea hydrodynamic ocean models for the period 1996–2005. Air-sea exchange occurs through gas exchange (deposition and volatilization, wet deposition and dry deposition. Atmospheric concentrations are interpolated into the model domain from results of the EMEP MSC-East multi-compartmental model (Gusev et al, 2009. The North Sea is net depositional for γ-HCH, and is dominated by gas deposition with notable seasonal variability and a downward trend over the 10 year period. Volatilization rates of γ-HCH are generally a factor of 2–3 less than gas deposition in winter, spring and summer but greater in autumn when the North Sea is net volatilizational. A downward trend in fugacity ratios is found, since gas deposition is decreasing faster than volatilization. The North Sea is net volatilizational for PCB 153, with highest rates of volatilization to deposition found in the areas surrounding polluted British and continental river sources. Large quantities of PCB 153 entering through rivers lead to very high local rates of volatilization.
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.
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.
Modelling the full trip costs of urban intermodal passenger transport
Yeh, Chao-Fu; Papon, Francis
2011-01-01
To face the competition of private motorized vehicles, intermodal transport becomes a successful condition to encourage public transport and non-motorized modes and to reasonably control the continual growth of individual motorized vehicles in the city area. Therefore, the objective of this research intends to develop a comparable calculating model combining the private, public and external costs of passenger urban transport networks. Private costs consist in the operational-private costs bor...
Mathematical modeling of sediment transport jn estuaries and coastal regions
Institute of Scientific and Technical Information of China (English)
窦国仁; 董凤舞; 窦希萍; 李禔来
1995-01-01
Based on the suspended sediment transport equation and transport capacity formula under the action of tidal currents and wind waves, a horizontal 2-D mathematical model of suspended sediment transport for estuaries and coastal regions is established. The verification of calculations shows that the sediment concentration distribution and sea bed deformation in the estuaries and coastal regions can be successfully simulated. Therefore, a new method for studying and solving the sediment problems in the estuarine and coastal engineering is presented.
Modelling passenger flows in public transport facilities
Daamen, W.
2004-01-01
This thesis describes the developement of a new type of simulation tool for the assessment of designs of public transport facilities (stations, airports) and other public spaces with intensive pedestrian flows. Since the available space for such facilities is increasingly under pressure, the space
Logistics chains in freight transport modelling
Davydenko, I.
2015-01-01
The research presented in this PhD thesis has been motivated by the fact that the Netherlands, and the Randstad region in particular, are affected by the large transport flows and extensive operations of the logistics sector. These operations create welfare for those people who work in the sector, w
Logistics chains in freight transport modelling
Davydenko, I.
2015-01-01
The research presented in this PhD thesis has been motivated by the fact that the Netherlands, and the Randstad region in particular, are affected by the large transport flows and extensive operations of the logistics sector. These operations create welfare for those people who work in the sector,
Paving the road from transport models to “new mobilities” models
DEFF Research Database (Denmark)
Wind, Simon; Jensen, Ole B.; Kaplan, Sigal
2012-01-01
For half a century, tremendous efforts have been invested in developing transport models as a decision aid for policy makers in designing effective policy interventions and deciding among costly public projects for the benefit of the population. Transport and activity-based models are often...... the traditional transport modeling approach and “new mobilities” research by suggesting a model framework that considers non-instrumental transport rationales, personal latent traits and intra-household decision dynamics....
Backcasting in freight transport demand modelling – chances and challenges
Lange, Peter; Huber, Stefan
2015-01-01
Freight transport demand models are important tools to support policy decision-making by enabling decision makers to evaluate transport policies and correlated effects. This significance puts high pressure on freight models regarding their accuracy. In order to ensure model accuracy there are different methods within the wide area of quality assurance that can be applied. Although backcasting is such a method it is, however, often neglected or implemented insufficiently. The paper presents ma...
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad
2016-01-01
ABSTRACT We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity ATM digital call options, using Mellin transform asymptotics. Finally, we discuss when the ATM slope is consistent with the steepness of the smile wings, as given by Lee’s moment formula. PMID:27660537
Directory of Open Access Journals (Sweden)
M. Shrivastava
2011-07-01
Full Text Available The Weather Research and Forecasting model coupled with chemistry (WRF-Chem is modified to include a volatility basis set (VBS treatment of secondary organic aerosol formation. The VBS approach, coupled with SAPRC-99 gas-phase chemistry mechanism, is used to model gas-particle partitioning and multiple generations of gas-phase oxidation of organic vapors. In addition to the detailed 9-species VBS, a simplified mechanism using 2 volatility species (2-species VBS is developed and tested for similarity to the 9-species VBS in terms of both mass and oxygen-to-carbon ratios of organic aerosols in the atmosphere. WRF-Chem results are evaluated against field measurements of organic aerosols collected during the MILAGRO 2006 campaign in the vicinity of Mexico City. The simplified 2-species mechanism reduces the computational cost by a factor of 2 as compared to 9-species VBS. Both ground site and aircraft measurements suggest that the 9-species and 2-species VBS predictions of total organic aerosol mass as well as individual organic aerosol components including primary, secondary, and biomass burning are comparable in magnitude. In addition, oxygen-to-carbon ratio predictions from both approaches agree within 25 %, providing evidence that the 2-species VBS is well suited to represent the complex evolution of organic aerosols. Model sensitivity to amount of anthropogenic semi-volatile and intermediate volatility (S/IVOC precursor emissions is also examined by doubling the default emissions. Both the emission cases significantly under-predict primary organic aerosols in the city center and along aircraft flight transects. Secondary organic aerosols are predicted reasonably well along flight tracks surrounding the city, but are consistently over-predicted downwind of the city. Also, oxygen-to-carbon ratio predictions are significantly improved compared to prior studies by adding 15 % oxygen mass per generation of oxidation; however, all modeling cases
Structural Design of Oligopeptides for Intestinal Transport Model.
Hong, Seong-Min; Tanaka, Mitsuru; Koyanagi, Riho; Shen, Weilin; Matsui, Toshiro
2016-03-16
Glycyl-sarcosine (Gly-Sar) is a well-known model substrate for the intestinal uptake of dipeptides through peptide transporter 1 (PepT1). However, there are no other model peptides larger than tripeptides to evaluate their intestinal transport ability. In this study, we designed new oligopeptides based on the Gly-Sar structure in terms of protease resistance. Gly-Sar-Sar was found to be an appropriate transport model for tripeptides because it does not degrade during the transport across the rat intestinal membrane, while Gly-Gly-Sar was degraded to Gly-Sar during the 60 min transport. Caco-2 cell transport experiments revealed that the designed oligopeptides based on Gly-Sar-Sar showed a significantly (p transport ability by factors of 1/10-, 1/25-, and 1/40-fold for Gly-Sar-Sar, Gly-Sar-Sar-Sar, and Gly-Sar-Sar-Sar-Sar, respectively, compared to Gly-Sar (apparent permeability coefficient: 38.6 ± 11.4 cm/s). Cell experiments also showed that the designed tripeptide and Gly-Sar were transported across Caco-2 cell via PepT1, whereas the tetra- and pentapeptides were transported through the paracellular tight-junction pathway.
IOT technology application model research of transportation industry in China
Institute of Scientific and Technical Information of China (English)
Lai Mingyong; Zhou Tang; Liu Zhengchi
2013-01-01
The paper studied the connection between intemet of things (IOT) technology and transportation industry.Meanwhile,the definition of IOT in transportation was given.Concerning that many problems occurred during the process of traditional intelligent transportation system,the paper proposed a promising model of IOT in transportation.The advantage of the information utilization model from information to function was confirmed through comparative study.Finally,the model presented that a real interconnection of transportation would be achieved based on the unified information collection.It can greatly save cost on technology transfer,exploit potential value of information,and promote the emergence of a sustainable information service market and the industrial upgrade.
Synchronizing production and air transportation scheduling using mathematical programming models
Zandieh, M.; Molla-Alizadeh-Zavardehi, S.
2009-08-01
Traditional scheduling problems assume that there are always infinitely many resources for delivering finished jobs to their destinations, and no time is needed for their transportation, so that finished products can be transported to customers without delay. So, for coordination of these two different activities in the implementation of a supply chain solution, we studied the problem of synchronizing production and air transportation scheduling using mathematical programming models. The overall problem is decomposed into two sub-problems, which consists of air transportation allocation problem and a single machine scheduling problem which they are considered together. We have taken into consideration different constraints and assumptions in our modeling such as special flights, delivery tardiness and no delivery tardiness. For these purposes, a variety of models have been proposed to minimize supply chain total cost which encompass transportation, makespan, delivery earliness tardiness and departure time earliness tardiness costs.
Tsai, C. H.; Yeh, G. T.
2015-12-01
In this investigation, a coupled model of multiphase flow, reactive biogeochemical transport, thermal transport and geo-mechanics in subsurface media is presented. It iteratively solves the mass conservation equation for fluid flow, thermal transport equation for temperature, reactive biogeochemical transport equations for concentration distributions, and solid momentum equation for displacement with successive linearization algorithm. With species-based equations of state, density of a phase in the system is obtained by summing up concentrations of all species. This circumvents the problem of having to use empirical functions. Moreover, reaction rates of all species are incorporated in mass conservation equation for fluid flow. Formation enthalpy of all species is included in the law of energy conservation as a source-sink term. Finite element methods are used to discretize the governing equations. Numerical experiments are presented to examine the accuracy and robustness of the proposed model. The results demonstrate the feasibility and capability of present model in subsurface media.
Caven-Quantrill, Darren J; Buglass, Alan J
2011-02-18
A stir bar sorptive extraction (SBSE) method coupled with gas chromatography-mass spectrometry was optimised for the analysis of volatile components of a model wine, based on a previously optimised method used for analysis of the same components in model grape juice. The presence of ethanol in the model wine sample matrix resulted in decreased sensitivity of the method toward most of the volatile constituents. Mean percent relative recoveries and reproducibilities (%CV) were 22.8% and 7.1%, respectively, compared with 28.4% and 8.5% for model grape juice. The mean limit of detection (LoD) ratio (juice:wine) was 0.25. Similar sensitivities for the two sample matrices using this method were achieved by changing the split ratio from 20:1 (grape juice) to 5:1 (wine), giving a mean limit of detection ratio (juice:wine) of 1.0, thus allowing direct comparison of chromatograms of volatile components in the two matrices. This enabled direct comparisons of grape juices and the wines derived from them by alcoholic yeast fermentation. The influence of ethanol concentration in the range 9-15% on method sensitivity is discussed, using an overlay of the total ion chromatograms. The use of a gas saver device for the 5:1 split ratio analysis of desorbed model wine aroma compounds is discussed in terms of preventing extraneous reaction of sorbent and stationary phases with air during analysis. Copyright © 2011 Elsevier B.V. All rights reserved.
Fast Cherenkov model of optical photons generation and transportation
The ATLAS collaboration
2017-01-01
This note describes the technical details of Fast Cherenkov model of optical photons generation and transportation: in particular, the mechanism of Cherenkov photons transportation through the straight bar geometry. As an example of usage, the implemetation of the method inside Quartic detector simulation in GEANT4 will be presented and compared to the nominal results.
Modeling Quantum Transport in Nanoscale Vertical SOI nMOSFET
Institute of Scientific and Technical Information of China (English)
TONG Jian-nong; ZOU Xue-chang; SHEN Xu-bang
2004-01-01
The electron transports in micro-architecture semiconductor are simulated using vertical SOI nMOSFET with different models. Some details in transport can be presented by changing channel length, channel thickness and drain voltage. An interesting phenomenon similar to collimation effect in mesoscopic system is observed. This may suggest the quite intriguing possibility that scattering may open new channel in sufficiently narrow devices.
Finite difference methods for coupled flow interaction transport models
Directory of Open Access Journals (Sweden)
Shelly McGee
2009-04-01
Full Text Available Understanding chemical transport in blood flow involves coupling the chemical transport process with flow equations describing the blood and plasma in the membrane wall. In this work, we consider a coupled two-dimensional model with transient Navier-Stokes equation to model the blood flow in the vessel and Darcy's flow to model the plasma flow through the vessel wall. The advection-diffusion equation is coupled with the velocities from the flows in the vessel and wall, respectively to model the transport of the chemical. The coupled chemical transport equations are discretized by the finite difference method and the resulting system is solved using the additive Schwarz method. Development of the model and related analytical and numerical results are presented in this work.
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.
Risk assessment framework of fate and transport models applied to hazardous waste sites
Energy Technology Data Exchange (ETDEWEB)
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.
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.; Frith, S. M.; Gettleman, A.; Hardiman, S. C.; Kinnison, D. E.; Lamarque, J.-F.; Mancini, E.; Marchand, M.; Michou, M.; Morgenstern, O.; Nakamura, T.; Olivie, D.; Pawson, S.; Pitari, G.; Plummer, D. A.; Pyle, J. A.
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.
Modelling heat transport through completely positive maps
Wichterich, H; Gemmer, J; Henrich, M J; Michel, M; Breuer, Heinz-Peter; Gemmer, Jochen; Henrich, Markus J.; Michel, Mathias; Wichterich, Hannu
2007-01-01
We investigate heat transport in a spin-1/2 Heisenberg chain, coupled locally to independent thermal baths of different temperature. The analysis is carried out within the framework of the theory of open systems by means of appropriate quantum master equations. The standard microscopic derivation of the weak-coupling Lindblad equation in the secular approximation is considered, and shown to be inadequate for the description of stationary nonequilibrium properties like a non-vanishing energy current. Furthermore, we derive an alternative master equation that is capable to describe a stationary energy current and, at the same time, leads to a completely positive dynamical map. This paves the way for efficient numerical investigations of heat transport in larger systems based on Monte Carlo wave function techniques.
Modeling of titration experiments by a reactive transport model
Institute of Scientific and Technical Information of China (English)
Ma Hongyun; Samper Javier; Xin Xin
2011-01-01
Acid mine drainage (AMD) is commonly treated by neutralization with alkaline substances. This treatment is supported by titration experiments that illustrate the buffering mechanisms and estimate the base neutralization capacity (BNC) of the AMD. Detailed explanation of titration curves requires modeling with a hydro-chemical model. In this study the titration curves of water samples from the drainage of the As Pontes mine and the corresponding dumps have been investigated and six buffers are selected by analyzing those curves. Titration curves have been simulated by a reactive transport model to discover the detailed buffering mechanisms. These simulations show seven regions involving different buffering mechanism. The BNC is primarily from buffers of dissolved Fe, Al and hydrogen sulfate. The BNC can be approximated by: BNC = 3(CFe + CAl) + 0.05Csulfate, where the units are mol/L. The BNC of the sample from the mine is 9.25 × 10-3 mol/L and that of the dumps sample is 1.28 × 10-2 mol/L.
Modelling aeolian sand transport using a dynamic mass balancing approach
Mayaud, Jerome R.; Bailey, Richard M.; Wiggs, Giles F. S.; Weaver, Corinne M.
2017-03-01
Knowledge of the changing rate of sediment flux in space and time is essential for quantifying surface erosion and deposition in desert landscapes. Whilst many aeolian studies have relied on time-averaged parameters such as wind velocity (U) and wind shear velocity (u*) to determine sediment flux, there is increasing field evidence that high-frequency turbulence is an important driving force behind the entrainment and transport of sand. At this scale of analysis, inertia in the saltation system causes changes in sediment transport to lag behind de/accelerations in flow. However, saltation inertia has yet to be incorporated into a functional sand transport model that can be used for predictive purposes. In this study, we present a new transport model that dynamically balances the sand mass being transported in the wind flow. The 'dynamic mass balance' (DMB) model we present accounts for high-frequency variations in the horizontal (u) component of wind flow, as saltation is most strongly associated with the positive u component of the wind. The performance of the DMB model is tested by fitting it to two field-derived (Namibia's Skeleton Coast) datasets of wind velocity and sediment transport: (i) a 10-min (10 Hz measurement resolution) dataset; (ii) a 2-h (1 Hz measurement resolution) dataset. The DMB model is shown to outperform two existing models that rely on time-averaged wind velocity data (e.g. Radok, 1977; Dong et al., 2003), when predicting sand transport over the two experiments. For all measurement averaging intervals presented in this study (10 Hz-10 min), the DMB model predicted total saltation count to within at least 0.48%, whereas the Radok and Dong models over- or underestimated total count by up to 5.50% and 20.53% respectively. The DMB model also produced more realistic (less 'peaky') time series of sand flux than the other two models, and a more accurate distribution of sand flux data. The best predictions of total sand transport are achieved using
DEFF Research Database (Denmark)
Larsen, Erik Hviid; Møbjerg, N.; Sørensen, J. N.
2006-01-01
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...... 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...
DEFF Research Database (Denmark)
Larsen, E.H.; Møbjerg, N.; Sørensen, Jens Nørkær
2006-01-01
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...... 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...
Feedback network models for quantum transport.
Gough, John
2014-12-01
Quantum feedback networks have been introduced in quantum optics as a framework for constructing arbitrary networks of quantum mechanical systems connected by unidirectional quantum optical fields, and has allowed for a system theoretic approach to open quantum optics systems. Our aim here is to establish a network theory for quantum transport systems where typically the mediating fields between systems are bidirectional. Mathematically, this leads us to study quantum feedback networks where fields arrive at ports in input-output pairs, making it a special case of the unidirectional theory where inputs and outputs are paired. However, it is conceptually important to develop this theory in the context of quantum transport theory-the resulting theory extends traditional approaches which tend to view the components in quantum transport as scatterers for the various fields, in the process allowing us to consider emission and absorption of field quanta by these components. The quantum feedback network theory is applicable to both Bose and Fermi fields, moreover, it applies to nonlinear dynamics for the component systems. We advance the general theory, but study the case of linear passive quantum components in some detail.
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...
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.
Energy Technology Data Exchange (ETDEWEB)
NONE
2003-07-01
COPERT III (computer programme to calculate emissions from road transport) is the third version of an MS Windows software programme aiming at the calculation of air pollutant emissions from road transport. COPERT estimates emissions of all regulated air pollutants (CO, NO{sub x}, VOC, PM) produced by different vehicle categories as well as CO{sub 2} emissions on the basis of fuel consumption. This research seminar was organized by the French agency of environment and energy mastery (Ademe) around the following topics: the uncertainties and sensitiveness analysis of the COPERT III model, the presentation of case studies that use COPERT III for the estimation of road transport emissions, and the future of the modeling of road transport emissions: from COPERT III to ARTEMIS (assessment and reliability of transport emission models and inventory systems). This document is a compilation of 8 contributions to this seminar and dealing with: the uncertainty and sensitiveness analysis of the COPERT III model; the road mode emissions of the ESCOMPTE program: sensitivity study; the sensitivity analysis of the spatialized traffic at the time-aggregation level: application in the framework of the INTERREG project (Alsace); the road transport aspect of the regional air quality plan of Bourgogne region: exhaustive consideration of the road network; intercomparison of tools and methods for the inventory of emissions of road transport origin; evolution of the French park of vehicles by 2025: new projections; application of COPERT III to the French context: a new version of IMPACT-ADEME; the European ARTEMIS project: new structural considerations for the modeling of road transport emissions. (J.S.)
Modeling Reactive Transport in Coupled Groundwater-Conduit Systems
Spiessl, S. M.; Sauter, M.; Zheng, C.; Viswanathan, H. S.
2002-05-01
Modeling reactive transport in coupled groundwater-conduit systems requires consideration of two transport time scales in the flow and transport models. Consider for example a subsurface mine consisting of a network of highly conductive shafts, drifts or ventilation raises (i.e., conduits) within the considerably less permeable ore material (i.e., matrix). In the conduits, potential contaminants can travel much more rapidly than in the background aquifer (matrix). Since conduits cannot necessarily be regarded as a continuum, double continuum models are only of limited use for simulation of contaminant transport in such coupled groundwater-conduit systems. This study utilizes a "hybrid" flow and transport model in which contaminants can in essence be transported at a slower time scale in the matrix and at a faster time scale in the conduits. The hybrid flow model uses an approach developed by Clemens et al. (1996), which is based on the modelling of flow in a discrete pipe network, coupled to a continuum representing the low-permeability inter-conduit matrix blocks. Laminar or turbulent flow can be simulated in the different pipes depending on the flow conditions in the model domain. The three-dimensional finite-difference groundwater flow model MODFLOW (Harbaugh and McDonald, 1996) is used to simulate flow in the continuum. Contaminant transport within the matrix is simulated with a continuum approach using the three-dimensional multi-species solute transport model MT3DMS (Zheng and Wang, 1999), while that in the conduit system is simulated with a one-dimensional advective transport model. As a first step for reactive transport modeling in such systems, only equilibrium reactions among multiple species are considered by coupling the hybrid transport model to a geochemical speciation package. An idealized mine network developed by Viswanathan and Sauter (2001) is used as a test problem in this study. The numerical experiment is based on reference date collected from
Electronic transport in VO{sub 2}—Experimentally calibrated Boltzmann transport modeling
Energy Technology Data Exchange (ETDEWEB)
Kinaci, Alper; Rosenmann, Daniel; Chan, Maria K. Y., E-mail: debasish.banerjee@toyota.com, E-mail: mchan@anl.gov [Center for Nanoscale Materials, Argonne National Laboratory, Argonne, Illinois 60439 (United States); Kado, Motohisa [Higashifuji Technical Center, Toyota Motor Corporation, Susono, Shizuoka 410-1193 (Japan); Ling, Chen; Zhu, Gaohua; Banerjee, Debasish, E-mail: debasish.banerjee@toyota.com, E-mail: mchan@anl.gov [Materials Research Department, Toyota Motor Engineering and Manufacturing North America, Inc., Ann Arbor, Michigan 48105 (United States)
2015-12-28
Materials that undergo metal-insulator transitions (MITs) are under intense study, because the transition is scientifically fascinating and technologically promising for various applications. Among these materials, VO{sub 2} has served as a prototype due to its favorable transition temperature. While the physical underpinnings of the transition have been heavily investigated experimentally and computationally, quantitative modeling of electronic transport in the two phases has yet to be undertaken. In this work, we establish a density-functional-theory (DFT)-based approach with Hubbard U correction (DFT + U) to model electronic transport properties in VO{sub 2} in the semiconducting and metallic regimes, focusing on band transport using the Boltzmann transport equations. We synthesized high quality VO{sub 2} films and measured the transport quantities across the transition, in order to calibrate the free parameters in the model. We find that the experimental calibration of the Hubbard correction term can efficiently and adequately model the metallic and semiconducting phases, allowing for further computational design of MIT materials for desirable transport properties.
Plasma transport simulation modeling for helical confinement systems
Energy Technology Data Exchange (ETDEWEB)
Yamazaki, K.; Amano, T.
1991-08-01
New empirical and theoretical transport models for helical confinement systems are developed based on the neoclassical transport theory including the effect of radial electric field and multi-helicity magnetic components, and the drift wave turbulence transport for electrostatic and electromagnetic modes, or the anomalous semi-empirical transport. These electron thermal diffusivities are compared with CHS (Compact Helical System) experimental data, which indicates that the central transport coefficient of the ECH plasma agrees with the neoclassical axi-symmetric value and the transport outside the half radius is anomalous. On the other hand, the transport of NBI-heated plasmas is anomalous in the whole plasma region. This anomaly is not explained by the electrostatic drift wave turbulence models in these flat-density-profile discharges. For the detailed prediction of plasma parameters in LHD (Large Helical Device), 3-D(dimensional) equilibrium/1-D transport simulations including empirical or drift wave turbulence models are carried out, which suggests that the global confinement time of LHD is determined mainly by the electron anomalous transport near the plasma edge region rather than the helical ripple transport in the core region. Even if the ripple loss can be eliminated, the increase of the global confinement is 10%. However, the rise in the central ion temperature is more than 20%. If the anomalous loss can be reduced to the half level of the present scaling, like so-called `H-mode` of the tokamak discharge, the neoclassical ripple loss through the ion channel becomes important even in the plasma core. The 5% radial inward shift of the plasma column with respect to the major radius is effective for improving plasma confinement and raising more than 50% of the fusion product by reducing this neoclassical asymmetric ion transport loss and increasing 10% in the plasma radius. (author).
Modelling sediment transport processes in macro-tidal estuary
Institute of Scientific and Technical Information of China (English)
Rauen; William; B.
2009-01-01
This paper outlines a numerical modeling study to predict the sediment transport processes in a macro-tidal estuary, namely the Mersey Estuary, UK. An integrated numerical model study is conducted to investigate the interaction between the hydrodynamic, morphological and sediment transport processes occurring in the estuary. The numerical model widely used in environmental sediment transport studies worldwide, namely ECOMSED is used to simulate flow and sediment transport in estuary. A wetting and drying scheme is proposed and applied to the model, which defines "dry" cells as regions with a thin film of fluid O (cm). The primitive equations are solved in the thin film as well as in other regular wet cells. A model for the bed load transport is included in the code to account for the dynamics of the mobile bed boundary. The bed evolution due to bed load transport which is calculated according to van Rijn (1984a) is obtained by solving the sediment mass-balance equation. An estuary-related laboratory flume experiment is used to verify the model. Six sets of field measured hydrodynamic data are used to verify the corresponding predictions of the model, with the model-predicted water elevations and salinity levels generally agreeing well with the field measurements. The numerical model results show that in the Mersey Estuary both the tidal level and river discharge affect significantly the sediment transport. Reasonable agreement between the model results and field data has been obtained, indicating that the model can be used as computer-based tool for the environment management of estuarine system.
Sánchez, R.; van Milligen, B. Ph.; Carreras, B. A.
2005-05-01
It is argued that the modeling of plasma transport in tokamaks may benefit greatly from extending the usual local paradigm to accommodate scale-free transport mechanisms. This can be done by combining Lévy distributions and a nonlinear threshold condition within the continuous time random walk concept. The advantages of this nonlocal, nonlinear extension are illustrated by constructing a simple particle density transport model that, as a result of these ideas, spontaneously exhibits much of nondiffusive phenomenology routinely observed in tokamaks. The fluid limit of the system shows that the kind of equations that are appropriate to capture these dynamics are based on fractional differential operators. In them, effective diffusivities and pinch velocities are found that are dynamically set by the system in response to the specific characteristics of the fueling source and external perturbations. This fact suggests some dramatic consequences for the extrapolation of these transport properties to larger size systems.
The thermoballistic transport model a novel approach to charge carrier transport in semiconductors
Lipperheide, Reinhard
2014-01-01
The book presents a comprehensive survey of the thermoballistic approach to charge carrier transport in semiconductors. This semi-classical approach, which the authors have developed over the past decade, bridges the gap between the opposing drift-diffusion and ballistic models of carrier transport. While incorporating basic features of the latter two models, the physical concept underlying the thermoballistic approach constitutes a novel, unifying scheme. It is based on the introduction of "ballistic configurations" arising from a random partitioning of the length of a semiconducting sample into ballistic transport intervals. Stochastic averaging of the ballistic carrier currents over the ballistic configurations results in a position-dependent thermoballistic current, which is the key element of the thermoballistic concept and forms the point of departure for the calculation of all relevant transport properties. In the book, the thermoballistic concept and its implementation are developed in great detai...
Kinetic modelling of coupled transport across biological membranes.
Korla, Kalyani; Mitra, Chanchal K
2014-04-01
In this report, we have modelled a secondary active co-transporter (symport and antiport), based on the classical kinetics model. Michaelis-Menten model of enzyme kinetics for a single substrate, single intermediate enzyme catalyzed reaction was proposed more than a hundred years ago. However, no single model for the kinetics of co-transport of molecules across a membrane is available in the literature We have made several simplifying assumptions and have followed the basic Michaelis-Menten approach. The results have been simulated using GNU Octave. The results will be useful in general kinetic simulations and modelling.
Directory of Open Access Journals (Sweden)
V. Gutiérrez
2010-02-01
Full Text Available Ambient samples of volatile organic compounds (VOCs were measured between 2000 and 2007 in south-eastern 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 of the quantified 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 activities. Domestic use of liquefied petroleum gas and vehicle exhaust are suggested to be the principal emission sources, contributing together between 70% and 80% to total VOC. Both diurnal and seasonal patterns, as well as a weekend effect were recognized in the modelled source activities. Furthermore, vehicle exhaust emissions showed a decreasing trend over time, with a reduction of about 8% per year.
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...... means (RMSPE) of 5.86, 5.75, 11.3, and 4.12, respectively. The epithelial blood flow was predicted with 26.3% RMSPE. Sensitivity analyses indicated that when ruminal butyrate concentration increased from 4.0 to 37.4 mmol/L, blood flow of the epithelium increased 47% and the ruminal disappearance rate...... of propionate increased 11%. The concentration gradient of propionate between ruminal fluid and epithelium was no more than 3:1 and increased with increasing blood flow. In conclusion, a dynamic model based on rumen epithelial blood flow and bidirectional fluxes of VFA between ruminal fluid and epithelium gave...
Wang, De-Gao; 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(-1) and 0.343 μg L(-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(-1). High solid-water partition coefficients result in high VMS concentrations in sludge with the mean value of 5030 μg kg(-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(-1)1000 inhabitants(-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.
Quantum Model of Energy Transport in Collagen Molecules
Institute of Scientific and Technical Information of China (English)
XIAO Yi; LIN Xian-Zhe
2001-01-01
A semi-quantum model for energy transport in collagen molecules is presented. Soliton-like dynamics of this model is investigated numerically without and with the temperature effect taking into account. It is found that in both the cases energy can transport for a long distance along the collagen chain. This indicates that collagen molecules can be taken as a candidate for the acupuncture channel.
Based on Structural Breaks Volatility Decomposition Model%基于结构突变的波动率分解模型
Institute of Scientific and Technical Information of China (English)
张群; 张超; 孙彬
2011-01-01
在Heston-Nandi模型的基础上提出了一种波动率分解模型,分解模型同时考虑了金融波动的长记忆性和杠杆效应.从资产收益率的无条件方差发生结构突变出发,认为收益率的无条件方差随时间变化,将波动率分解为长期影响和短期冲击两部分,其中长期影响用来刻画波动率的持续性,短期冲击刻画金融波动的短期扰动.上证综指数据实证表明上海证券综合指数收益率序列的波动性同时具有长记忆性和杠杆效应,利用模型能很好的刻画这两种性质.%This paper presents a volatility decomposition model based on Heston-Nandi model, decomposition model taking into account the long memory in financial volatility and leverage. In this paper, we assume the un-conditional variance of returns on assets has structure breaks. That means the unconditional variance of returns over time, so, volatility can be divided into long-term impact of volatility and short-term impact, Long-term impact is used to describe the long-term effects of continuous volatility, short-term impact Describe the short-term financial volatility disturbance. Empirical data show that the Shanghai Composite Index also has long memory of volatility and leverage effect, use of our model can well describethis two properties.
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...
Transport properties of stochastic Lorentz models
Beijeren, H. van
1982-01-01
Diffusion processes are considered for one-dimensional stochastic Lorentz models, consisting of randomly distributed fixed scatterers and one moving light particle. In waiting time Lorentz models the light particle makes instantaneous jumps between scatterers after a stochastically distributed waiti
Overview of research and development in subsurface fate and transport modeling
Energy Technology Data Exchange (ETDEWEB)
Sullivan, T.M. [Brookhaven National Lab., Upton, NY (United States); Chehata, M. [Science Applications Internationa Corp. (United States)
1995-05-01
The US Department of Energy is responsible for the remediation of over 450 different subsurface-contaminated sites. Contaminant plumes at these sites range in volume from several to millions of cubic yards. The concentration of contaminants also ranges over several orders of magnitude. Contaminants include hazardous wastes such as heavy metals and organic chemicals, radioactive waste including tritium, uranium, and thorium, and mixed waste, which is a combination of hazardous and radioactive wastes. The physical form of the contaminants includes solutes, nonaqueous phase liquids (NAPLs), and vapor phase contaminants such as volatilized organic chemicals and radon. The subject of contaminant fate and transport modeling is multi-disciplinary, involving hydrology, geology, microbiology, chemistry, applied mathematics, computer science, and other areas of expertise. It is an issue of great significance in the United States and around the world. As such, many organizations have substantial programs in this area. In gathering data to prepare this report, a survey was performed of research and development work that is funded by US government agencies to improve the understanding and mechanistic modeling of processes that control contaminant movement through subsurface systems. Government agencies which fund programs that contain fate and transport modeling components include the Environmental Protection Agency, Nuclear Regulatory Commission, Department of Agriculture, Department of Energy, National Science Foundation, Department of Defense, United States Geological Survey, and National Institutes of Health.
Overview of research and development in subsurface fate and transport modeling
Energy Technology Data Exchange (ETDEWEB)
Sullivan, T.M. [Brookhaven National Lab., Upton, NY (United States); Chehata, M. [Science Applications Internationa Corp. (United States)
1995-05-01
The US Department of Energy is responsible for the remediation of over 450 different subsurface-contaminated sites. Contaminant plumes at these sites range in volume from several to millions of cubic yards. The concentration of contaminants also ranges over several orders of magnitude. Contaminants include hazardous wastes such as heavy metals and organic chemicals, radioactive waste including tritium, uranium, and thorium, and mixed waste, which is a combination of hazardous and radioactive wastes. The physical form of the contaminants includes solutes, nonaqueous phase liquids (NAPLs), and vapor phase contaminants such as volatilized organic chemicals and radon. The subject of contaminant fate and transport modeling is multi-disciplinary, involving hydrology, geology, microbiology, chemistry, applied mathematics, computer science, and other areas of expertise. It is an issue of great significance in the United States and around the world. As such, many organizations have substantial programs in this area. In gathering data to prepare this report, a survey was performed of research and development work that is funded by US government agencies to improve the understanding and mechanistic modeling of processes that control contaminant movement through subsurface systems. Government agencies which fund programs that contain fate and transport modeling components include the Environmental Protection Agency, Nuclear Regulatory Commission, Department of Agriculture, Department of Energy, National Science Foundation, Department of Defense, United States Geological Survey, and National Institutes of Health.
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
Transport modelling in coastal waters using stochastic differential equations
Charles, W.M.
2007-01-01
In this thesis, the particle model that takes into account the short term correlation behaviour of pollutants dispersion has been developed. An efficient particle model for sediment transport has been developed. We have modified the existing particle model by adding extra equations for the suspensio
Setting up a freight transportation model for Java in Indonesia
De Baat, M.J.; Den Hertog, V.; De Jong, S.; De Regt, K.; Wijgergangs, K.
2015-01-01
The project consisted of the development of a freight transportation model for the island Java in Indonesia. A literature study concerning freight modelling has been performed to formulate an appropriate framework of such a model for the given situation. Different data sources have been identified,
Analysing Models as a Knowledge Technology in Transport Planning
DEFF Research Database (Denmark)
Gudmundsson, Henrik
2011-01-01
Models belong to a wider family of knowledge technologies, applied in the transport area. Models sometimes share with other such technologies the fate of not being used as intended, or not at all. The result may be ill-conceived plans as well as wasted resources. Frequently, the blame for such a ......Models belong to a wider family of knowledge technologies, applied in the transport area. Models sometimes share with other such technologies the fate of not being used as intended, or not at all. The result may be ill-conceived plans as well as wasted resources. Frequently, the blame...... critical analytic literature on knowledge utilization and policy influence. A simple scheme based in this literature is drawn up to provide a framework for discussing the interface between urban transport planning and model use. A successful example of model use in Stockholm, Sweden is used as a heuristic...
Gowrishankar, T R; Stewart, Donald A; Martin, Gregory T; Weaver, James C
2004-11-17
Investigation of bioheat transfer problems requires the evaluation of temporal and spatial distributions of temperature. This class of problems has been traditionally addressed using the Pennes bioheat equation. Transport of heat by conduction, and by temperature-dependent, spatially heterogeneous blood perfusion is modeled here using a transport lattice approach. We represent heat transport processes by using a lattice that represents the Pennes bioheat equation in perfused tissues, and diffusion in nonperfused regions. The three layer skin model has a nonperfused viable epidermis, and deeper regions of dermis and subcutaneous tissue with perfusion that is constant or temperature-dependent. Two cases are considered: (1) surface contact heating and (2) spatially distributed heating. The model is relevant to the prediction of the transient and steady state temperature rise for different methods of power deposition within the skin. Accumulated thermal damage is estimated by using an Arrhenius type rate equation at locations where viable tissue temperature exceeds 42 degrees C. Prediction of spatial temperature distributions is also illustrated with a two-dimensional model of skin created from a histological image. The transport lattice approach was validated by comparison with an analytical solution for a slab with homogeneous thermal properties and spatially distributed uniform sink held at constant temperatures at the ends. For typical transcutaneous blood gas sensing conditions the estimated damage is small, even with prolonged skin contact to a 45 degrees C surface. Spatial heterogeneity in skin thermal properties leads to a non-uniform temperature distribution during a 10 GHz electromagnetic field exposure. A realistic two-dimensional model of the skin shows that tissue heterogeneity does not lead to a significant local temperature increase when heated by a hot wire tip. The heat transport system model of the skin was solved by exploiting the mathematical
Directory of Open Access Journals (Sweden)
Martin Gregory T
2004-11-01
Full Text Available Abstract Background Investigation of bioheat transfer problems requires the evaluation of temporal and spatial distributions of temperature. This class of problems has been traditionally addressed using the Pennes bioheat equation. Transport of heat by conduction, and by temperature-dependent, spatially heterogeneous blood perfusion is modeled here using a transport lattice approach. Methods We represent heat transport processes by using a lattice that represents the Pennes bioheat equation in perfused tissues, and diffusion in nonperfused regions. The three layer skin model has a nonperfused viable epidermis, and deeper regions of dermis and subcutaneous tissue with perfusion that is constant or temperature-dependent. Two cases are considered: (1 surface contact heating and (2 spatially distributed heating. The model is relevant to the prediction of the transient and steady state temperature rise for different methods of power deposition within the skin. Accumulated thermal damage is estimated by using an Arrhenius type rate equation at locations where viable tissue temperature exceeds 42°C. Prediction of spatial temperature distributions is also illustrated with a two-dimensional model of skin created from a histological image. Results The transport lattice approach was validated by comparison with an analytical solution for a slab with homogeneous thermal properties and spatially distributed uniform sink held at constant temperatures at the ends. For typical transcutaneous blood gas sensing conditions the estimated damage is small, even with prolonged skin contact to a 45°C surface. Spatial heterogeneity in skin thermal properties leads to a non-uniform temperature distribution during a 10 GHz electromagnetic field exposure. A realistic two-dimensional model of the skin shows that tissue heterogeneity does not lead to a significant local temperature increase when heated by a hot wire tip. Conclusions The heat transport system model of the
ATTILA - Atmospheric Tracer Transport In a Langrangian Model
Energy Technology Data Exchange (ETDEWEB)
Reithmeier, C.; Sausen, R.
2000-07-01
The Lagrangian model ATTILA (atmospheric tracer transport in a Lagrangian model) has been developed to treat the global-scale transport of passive trace species in the atmosphere within the framework of a general circulation model (GCM). ATTILA runs online within the GCM ECHAM4 and uses the GCM produced wind field to advect the centrois of 80.000 to 180.000 constant mass air parcels into which the model atmosphere is divided. Each trace constituent is thereby represented by a mass mixing ratio in each parcel. ATTILA contains state-of-the-art parameterizations of convection, turbulent boundary layer mixing, and interparcel transport and provides an algorithm to map the tracer concentrations from the trajectories to the ECHAM model grid. We use two experiments to evaluate the transport characteristics of ATTILA against observations and the standard semiLagrangian transport scheme of ECHAM. In the first experiment we simulate the distribution of the short-lived tracer Radon ({sup 222}Rn) in order to examine fast vertical transport over continents, and long-range transport from the continents to remote areas. In the second experiment, we simulate the distribution of radiocarbon ({sup 14}C) that was injected into the northern stratosphere during the nuclear weapon tests in the early 60ties, in order to examine upper tropospheric and stratospheric transport characteristics. ATTILA compares well to the observations and in many respects to the semiLagrangian scheme. However, contrary to the semiLagrangian scheme, ATTILA shows a greatly reduced meridional transport in the upper troposphere and lower stratosphere, and a reduced downward flux from the stratosphere to the troposphere, especially in midlatitudes. Since both transport schemes use the same model meteorology, we conclude that the often cited enhanced meridional transport and overestimated downward flux in ECHAM as described above is rather due to the numerical properties of the semiLagrangian scheme than due to an
ATTILA - Atmospheric Tracer Transport In a Langrangian Model
Energy Technology Data Exchange (ETDEWEB)
Reithmeier, C.; Sausen, R.
2000-07-01
The Lagrangian model ATTILA (atmospheric tracer transport in a Lagrangian model) has been developed to treat the global-scale transport of passive trace species in the atmosphere within the framework of a general circulation model (GCM). ATTILA runs online within the GCM ECHAM4 and uses the GCM produced wind field to advect the centrois of 80.000 to 180.000 constant mass air parcels into which the model atmosphere is divided. Each trace constituent is thereby represented by a mass mixing ratio in each parcel. ATTILA contains state-of-the-art parameterizations of convection, turbulent boundary layer mixing, and interparcel transport and provides an algorithm to map the tracer concentrations from the trajectories to the ECHAM model grid. We use two experiments to evaluate the transport characteristics of ATTILA against observations and the standard semiLagrangian transport scheme of ECHAM. In the first experiment we simulate the distribution of the short-lived tracer Radon ({sup 222}Rn) in order to examine fast vertical transport over continents, and long-range transport from the continents to remote areas. In the second experiment, we simulate the distribution of radiocarbon ({sup 14}C) that was injected into the northern stratosphere during the nuclear weapon tests in the early 60ties, in order to examine upper tropospheric and stratospheric transport characteristics. ATTILA compares well to the observations and in many respects to the semiLagrangian scheme. However, contrary to the semiLagrangian scheme, ATTILA shows a greatly reduced meridional transport in the upper troposphere and lower stratosphere, and a reduced downward flux from the stratosphere to the troposphere, especially in midlatitudes. Since both transport schemes use the same model meteorology, we conclude that the often cited enhanced meridional transport and overestimated downward flux in ECHAM as described above is rather due to the numerical properties of the semiLagrangian scheme than due to an
Collisional broadening of angular correlations in a multiphase transport model
Edmonds, Terrence; Wang, Fuqiang
2016-01-01
Systematic comparisons of jetlike correlation data to radiative and collisional energy loss model calculations are essential to extract transport properties of the quark-gluon medium created in relativistic heavy ion collisions. This paper presents a transport study of collisional broadening of jetlike correlations, by following parton-parton collision history in a multiphase transport (AMPT) model. The correlation shape is studied as a function of the number of parton-parton collisions suffered by a high transverse momentum probe parton ($N_{\\rm coll}$) and the azimuth of the probe relative to the reaction plane ($\\phi_{\\rm fin.}^{\\rm probe}$). Correlation is found to broaden with increasing $N_{\\rm coll}$ and $\\phi_{\\rm fin.}^{\\rm probe}$ from in- to out-of-plane direction. This study provides a transport model benchmark for future jet-medium interaction studies.
Economic model of pipeline transportation systems
Energy Technology Data Exchange (ETDEWEB)
Banks, W. F.
1977-07-29
The objective of the work reported here was to develop a model which could be used to assess the economic effects of energy-conservative technological innovations upon the pipeline industry. The model is a dynamic simulator which accepts inputs of two classes: the physical description (design parameters, fluid properties, and financial structures) of the system to be studied, and the postulated market (throughput and price) projection. The model consists of time-independent submodels: the fluidics model which simulates the physical behavior of the system, and the financial model which operates upon the output of the fluidics model to calculate the economics outputs. Any of a number of existing fluidics models can be used in addition to that developed as a part of this study. The financial model, known as the Systems, Science and Software (S/sup 3/) Financial Projection Model, contains user options whereby pipeline-peculiar characteristics can be removed and/or modified, so that the model can be applied to virtually any kind of business enterprise. The several dozen outputs are of two classes: the energetics and the economics. The energetics outputs of primary interest are the energy intensity, also called unit energy consumption, and the total energy consumed. The primary economics outputs are the long-run average cost, profit, cash flow, and return on investment.