Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework

This study explores the theoretical possibility of co-movement and causality between crude oil implied volatility (OVX) and financial stress in a wavelet framework. The paper contributes to the existing literature in at least three possible ways: (a) First, the study considers not only composite financial stress indicators but also uses the categorical stress components such as Credit, Equity Valuation, Funding, Safe Assets and Volatility. (b) Second, the study employs a wavelet-based approach in tracking the co-movement and causality between oil and financial stress in a continuous time-frequency space. Lastly, (c) while previous studies mainly use oil price changes to assess the relationship with financial stress, the present study evaluates the role of forward-looking (30-days ahead) oil price uncertainty (proxied by OVX). The findings indicate the existence of co-movement between oil volatility and financial stress, mainly around the phases of economic turbulence. The patterns and strength of such co-movements are time-variant. The direction of the relationship is mostly positive, and the lead-lag relationship reveals that OVX tends to drive the relationship. It is further observed that the causalities between the variables are mostly bi-directional. However, relatively stronger causalities are transmitted from OVX towards FSI. Furthermore, the association between OVX and stress indicators is assessed in two different states of the economy, i.e., state of distress and tranquillity. The findings suggest that the causal co-movement intensifies majorly during the state of distress. Overall, the outcome of this study could be useful to policymakers and investors to anticipate the impending changes in the relationship to mitigate its potential adverse impact.© 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).fi=vertaisarvioitu|en=peerReviewed

Coherence analysis: Methods, solutions and problems

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.A coherence function is a measure of the correlation of two signals and may be used as a measure for functional relationship between brain areas. In studying functional relationships, referenced EEG (REEG) coherence analysis yields important new aspects of brain activities, which complement the data obtained by power spectral analysis. However, REEG-based coherence tends to show a false high value due to volume conduction from un correlated sources (VCUS). Existing signal processing methods address this issue using a Fourier coherence function of scalp Laplacian. Although this method has been proved useful to reveal correlation between EEG signals with minimum VCUS effects, it only provides frequency-domain analysis. Since EEG signals are highly non-stationary, it is more appropriate to use time-frequency methods for coherence analysis of scalp Laplacian. Thus this research applies the wavelet transform on coherence analysis of scalp Laplacian. To verify our technique, already recorded EEG data of event related potentials were obtained from a study of two large groups of alcoholic and abstinent alcoholic subjects, performing visual picture-recognition tasks. The proposed coherence method successfully detected time-frequency correlation between EEG signals with minimum VCUS effects. It showed significant spatial specificity and revealed detailed coherence patterns. Some new important results regarding time-frequency characteristics of VCUS effects on wavelet and short-time Fourier transform (STFT) coherence analysis of REEG signals were deduced. The proposed coherence method was also compared to a conventional wavelet coherence method of REEG signals in the study of coherence difference between coherences of alcoholic and abstinent alcoholic EEG signals. Results of this study provided substantial evidence that VCUS effects are not additive and therefore can not be ignored in comparison of different brain states between groups of subjects

Coherence analysis : methods, solutions and problems

A coherence function is a measure of the correlation of two signals and may be used as a measure for functional relationship between brain areas. In studying functional relationships, referenced EEG (REEG) coherence analysis yields important new aspects of brain activities, which complement the data obtained by power spectral analysis. However, REEG-based coherence tends to show a false high value due to volume conduction from un correlated sources (VCUS). Existing signal processing methods address this issue using a Fourier coherence function of scalp Laplacian. Although this method has been proved useful to reveal correlation between EEG signals with minimum VCUS effects, it only provides frequency-domain analysis. Since EEG signals are highly non-stationary, it is more appropriate to use time-frequency methods for coherence analysis of scalp Laplacian. Thus this research applies the wavelet transform on coherence analysis of scalp Laplacian. To verify our technique, already recorded EEG data of event related potentials were obtained from a study of two large groups of alcoholic and abstinent alcoholic subjects, performing visual picture-recognition tasks. The proposed coherence method successfully detected time-frequency correlation between EEG signals with minimum VCUS effects. It showed significant spatial specificity and revealed detailed coherence patterns. Some new important results regarding time-frequency characteristics of VCUS effects on wavelet and short-time Fourier transform (STFT) coherence analysis of REEG signals were deduced. The proposed coherence method was also compared to a conventional wavelet coherence method of REEG signals in the study of coherence difference between coherences of alcoholic and abstinent alcoholic EEG signals. Results of this study provided substantial evidence that VCUS effects are not additive and therefore can not be ignored in comparison of different brain states between groups of subjects.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Microearthquake evidence for reaction-driven cracking within the Trans-Atlantic Geotraverse active hydrothermal deposit

Author Posting. © American Geophysical Union, 2014. This article is posted here by permission of American Geophysical Union for personal use, not for redistribution. The definitive version was published in Journal of Geophysical Research: Solid Earth 119 (2014): 822–839, doi:10.1002/2013JB010110.We detected 32,078 very small, local microearthquakes (average ML = −1) during a 9 month deployment of five ocean bottom seismometers on the periphery of the Trans-Atlantic Geotraverse active mound. Seismicity rates were constant without any main shock-aftershock behavior at ~243 events per day at the beginning of the experiment, 128 events per day after an instrument failed, and 97 events per day at the end of the experiment when whale calls increased background noise levels. The microearthquake seismograms are characterized by durations of <1 s and most have single-phase P wave arrivals (i.e., no S arrivals). We accurately located 6207 of the earthquakes, with hypocenters clustered within a narrow depth interval from ~50 to 125 m below seafloor on the south and west flanks of the deposit. We model the microearthquakes as reaction-driven fracturing events caused by anhydrite deposition in the secondary circulation system of the hydrothermal mound and show that under reasonable modeling assumptions an average event represents a volume increase of 31–58 cm3, yielding an annual (seismogenic) anhydrite deposition rate of 27–51 m3.This work was supported in part by the U.S. National Science Foundation, National Science and Engineering Graduate Fellowship, and the Woods Hole Oceanographic Institution Deep Ocean Exploration Institute.2014-09-1

Multi-scale controls on spatial patterns of soil water storage in the hummocky regions of North America

The intensification of land-water management due to agriculture, forestry, and urbanization is a global phenomenon increasing the pressure on world’s water resources and threatening water security in North America. The Prairie Pothole Region of North America covers approximately 775,000 km2 and contains millions of wetlands that serve important hydrological and ecological functions. The unique hummocky topography and the variable effect of different processes contribute to high spatio-temporal variability in soil water, posing major challenges in hydrological studies. The objectives of this study were to a) examine the spatial pattern of soil water storage and its scale and location characteristics; and b) to identify its controls at multiple scales. Soil water content at 20 cm intervals down to 140 cm was measured along a transect extending over several knoll–depression cycles in a hummocky landscape. High water storage in depressions and low water storage on the knolls created a spatial pattern that was inversely related to elevation. Spatial patterns were strongly similar within any given season (intra-season rank correlation coefficient as high as 0.99), moreso than between the same season over different years (inter-annual rank correlation coefficient as high as 0.97). Less similar spatial patterns were observed between different seasons (inter-season rank correlation coefficients as high as 0.90). While the intra-season and inter-annual spatial patterns were similar at scales >18 m, the inter-season spatial patterns were similar at much large scales (>72 m). This may be due to the variations in landform elements and micro-topography. The similarity at scales >72 m were present at any time and depth. However, small- and medium-scale spatial patterns changed with depth and with season due to a change in the hydrological processes. The relative dominance of a given set of processes operating both within a season and for the same season over different years yielded strong intra-season and inter-annual similarity at scales >18 m. Moreover, similarity was stronger with increasing depth, and was thought to be due to the dampening effect of overlying soil layers that are more dynamic. Similarity of spatial patterns over time helps to identify the location that best represents the field averaged soil water and improves sampling efficiency. Change in the similarity of scales of spatial pattern helps identify the change in sampling domain as controlled by hydrological processes. The scale information can be used to improve prediction for use in environmental management and modeling of different surface and subsurface hydrological processes. The similarity of spatial pattern between the surface and subsurface layers help make inferences on deep layer hydrological processes as well as groundwater dynamics from surface water measurements

Champ d'ondes, variabilité spatiale et cohérence des mouvements sismiques : effets en champ proche et en vallée alluviale

Spatial variation of earthquake ground motion over short distances significantly affects the dynamic response of engineered structures with large dimensions. In current practices, the ground motion excitation across the foundation of a structure is assumed to be spatially uniform, which becomes inadequate for spatially extended structures in the near-fault region or on sites with lateral inhomogeneity. This PhD thesis seeks to understand the key parameters that locally control the ground motion spatial variability with the intent of putting forth practical propositions for incorporating such effects in seismic design and hazard assessment. The first part of the thesis addresses the within-event component of the standard deviation of ground-motion distribution in near source region by means of numerical simulation of ground motions for extended sources with realistic rupture kinematics. The results suggest that the within-event variability significantly depends on the rupture type, depicting an increase with distance for bilateral ruptures and a decrease for unilateral ruptures. The second part deals with the characterization of seismic wave field at the Koutavos-Argostoli site, a small-size, shallow, alluvial valley located in the seismically active Cephalonia Island in Western Greece. The seismic wave field was investigated from the recordings of a dense seismological array for a set of 46 earthquakes, with magnitude 2 to 5 and epicentral distance up to 200 km. The MUSIQUE array analysis algorithm was used to extract the phase velocity, back-azimuth, type and polarization of the dominant waves crossing the array. The results clearly indicate dominant scattering of seismic surface waves, mainly from the valley-edge directions, beyond the fundamental frequency of the valley. While Love surface waves clearly dominate the wave field close to the resonance frequency, Rayleigh waves strongly dominate only in relatively narrow frequency bands at higher frequency. Besides, an excellent consistency is observed between the dominance of the identified surface wave type in the wave field and the site amplification. The "lagged coherency" of the most energetic part of the ground motion has been quantified for each station-pair within the array. In general, spatial coherency estimated from the horizontal components exhibit decays with frequency and interstation distance. Estimates from the vertical component exhibit rather larger values at some higher frequencies. Although coherency does not show any consistent trend indicating dependence on the magnitude, back-azimuth or site-to-source distance of the event, it seems to be primarily controlled by the site geometry. Larger coherency is systematically observed when the station pair is oriented parallel to the valley axis, while lower values are observed in the perpendicular direction. This observation proves to be consistent with the MUSIQUE analysis results: the predominance of scattered surface waves propagating across the valley implies an in-phase motion along valley-parallel direction and out-of-phase motion along valley-perpendicular direction. The findings of the present research are expected to contribute in enhancing our understanding of spatial variability of ground motion and improving the coherency models used in engineering. This work also opens up new insights and many questions in need of further investigation.La variation spatiale du mouvement sismique a des effets significatifs sur la réponse dynamique des structures de génie civil de grandes dimensions. Dans la pratique courante, l'excitation du mouvement sismique le long de la fondation de la structure est considérée uniforme, approche cependant inadéquate pour les structures de large portance au sol localisées à proximité des failles ou sur des sites présentant une structure du sous-sol latéralement hétérogène. Cette thèse se propose donc de comprendre les facteurs clefs contrôlant localement la variabilité spatiale du mouvement sismique, avec en ligne de mire la mise en place de recommendations en vue d'incorporer ces effets dans l'estimation de l'aléa sismique et le dimensionnement des structures. La première partie de cette thèse s'intéresse à la composante intra-évènement de l'écart-type de la distribution du mouvement sismique en champ proche à l'aide de simulations numériques du mouvement sismique pour des sources étendues présentnat une cinématique de rupture réaliste. Les résultats suggèrent que la variabilité intra-évènement dépend significativement du type de rupture, cette variabilité augmentant avec la distance pour les ruptures bilatérales et diminuant pour les ruptures unilatérales. La seconde partie traite de la caractérisation de la composition du champ d'onde dans la vallée de Koutavos-Argostoli, qui est une vallée de petite dimension et d'épaisseur sédimentaire faible, située sur l'île – sismiquement active - de Céphalonie en Grèce. Les champs d'onde générés par 46 séismes, ayant des magnitudes variant entre 2 et 5 et des distances épicentrales jusqu'à 200 km, ont été analysés à partir de l'enregistrement par deux réseaux denses de capteurs sismologiques. L'algorithme de traitement d'antenne MUSIQUE est utilisé pour extraire la vitesse, l'azimut, le type et la polarisation des ondes dominantes se propageant à travers le réseau. Les résultats montrent clairement d'importantes diffractions d'ondes de surface aux bords de vallée au-delà de la fréquence de résonance de la vallée. Tandis que les ondes de Love dominent clairement le champ d'ondes proche de la fréquence de résonance, les ondes de Rayleigh dominent à plus haute fréquence dans des gammes de fréquences étroites. Par ailleurs, un excellent accord est observé entre les champs d'onde de surface diffractés localement et les caractéristiques d'amplification du site. La “cohérence décalée” de la partie la plus énergétique du signal a été quantifiée pour chaque paire de stations du réseau. En général, la cohérence calculée sur les composantes horizontales diminue avec la distance entre stations et la fréquence. La cohérence sur la composante verticale indique des valeurs relativement fortes à haute fréquence. Les valeurs de cohérence apparaissent très faiblement corrélées à la magnitude, l'azimut et la distance épicentrale du séisme, mais sont au contraire liées aux caractéristiques géométriques de la vallée. La coherence est systématiquement plus forte pour les couples de capteurs orientés selon la direction parallèle à l'axe de la vallée, et moins forte pour des couples de capteurs orientés dans la direction perpendiculaires. Cette observation est en accord avec les résultats du traitement d'antenne: la prédominance d'ondes de surface diffractées sur les bords de la vallée conduit à des mouvements en phase le long de la direction parrallèle à l'axe de la vallée. Les résultats de cette thèse apporte des elements de compréhension sur la variabilité spatiale du movement sismique et ouvrent de nombreuses perspectives d'application

Champ d'ondes, variabilité spatiale et cohérence des mouvements sismiques : effets en champ proche et en vallée alluviale

Spatial variation of earthquake ground motion over short distances significantly affects the dynamic response of engineered structures with large dimensions. In current practices, the ground motion excitation across the foundation of a structure is assumed to be spatially uniform, which becomes inadequate for spatially extended structures in the near-fault region or on sites with lateral inhomogeneity. This PhD thesis seeks to understand the key parameters that locally control the ground motion spatial variability with the intent of putting forth practical propositions for incorporating such effects in seismic design and hazard assessment. The first part of the thesis addresses the within-event component of the standard deviation of ground-motion distribution in near source region by means of numerical simulation of ground motions for extended sources with realistic rupture kinematics. The results suggest that the within-event variability significantly depends on the rupture type, depicting an increase with distance for bilateral ruptures and a decrease for unilateral ruptures. The second part deals with the characterization of seismic wave field at the Koutavos-Argostoli site, a small-size, shallow, alluvial valley located in the seismically active Cephalonia Island in Western Greece. The seismic wave field was investigated from the recordings of a dense seismological array for a set of 46 earthquakes, with magnitude 2 to 5 and epicentral distance up to 200 km. The MUSIQUE array analysis algorithm was used to extract the phase velocity, back-azimuth, type and polarization of the dominant waves crossing the array. The results clearly indicate dominant scattering of seismic surface waves, mainly from the valley-edge directions, beyond the fundamental frequency of the valley. While Love surface waves clearly dominate the wave field close to the resonance frequency, Rayleigh waves strongly dominate only in relatively narrow frequency bands at higher frequency. Besides, an excellent consistency is observed between the dominance of the identified surface wave type in the wave field and the site amplification. The "lagged coherency" of the most energetic part of the ground motion has been quantified for each station-pair within the array. In general, spatial coherency estimated from the horizontal components exhibit decays with frequency and interstation distance. Estimates from the vertical component exhibit rather larger values at some higher frequencies. Although coherency does not show any consistent trend indicating dependence on the magnitude, back-azimuth or site-to-source distance of the event, it seems to be primarily controlled by the site geometry. Larger coherency is systematically observed when the station pair is oriented parallel to the valley axis, while lower values are observed in the perpendicular direction. This observation proves to be consistent with the MUSIQUE analysis results: the predominance of scattered surface waves propagating across the valley implies an in-phase motion along valley-parallel direction and out-of-phase motion along valley-perpendicular direction. The findings of the present research are expected to contribute in enhancing our understanding of spatial variability of ground motion and improving the coherency models used in engineering. This work also opens up new insights and many questions in need of further investigation.La variation spatiale du mouvement sismique a des effets significatifs sur la réponse dynamique des structures de génie civil de grandes dimensions. Dans la pratique courante, l'excitation du mouvement sismique le long de la fondation de la structure est considérée uniforme, approche cependant inadéquate pour les structures de large portance au sol localisées à proximité des failles ou sur des sites présentant une structure du sous-sol latéralement hétérogène. Cette thèse se propose donc de comprendre les facteurs clefs contrôlant localement la variabilité spatiale du mouvement sismique, avec en ligne de mire la mise en place de recommendations en vue d'incorporer ces effets dans l'estimation de l'aléa sismique et le dimensionnement des structures. La première partie de cette thèse s'intéresse à la composante intra-évènement de l'écart-type de la distribution du mouvement sismique en champ proche à l'aide de simulations numériques du mouvement sismique pour des sources étendues présentnat une cinématique de rupture réaliste. Les résultats suggèrent que la variabilité intra-évènement dépend significativement du type de rupture, cette variabilité augmentant avec la distance pour les ruptures bilatérales et diminuant pour les ruptures unilatérales. La seconde partie traite de la caractérisation de la composition du champ d'onde dans la vallée de Koutavos-Argostoli, qui est une vallée de petite dimension et d'épaisseur sédimentaire faible, située sur l'île – sismiquement active - de Céphalonie en Grèce. Les champs d'onde générés par 46 séismes, ayant des magnitudes variant entre 2 et 5 et des distances épicentrales jusqu'à 200 km, ont été analysés à partir de l'enregistrement par deux réseaux denses de capteurs sismologiques. L'algorithme de traitement d'antenne MUSIQUE est utilisé pour extraire la vitesse, l'azimut, le type et la polarisation des ondes dominantes se propageant à travers le réseau. Les résultats montrent clairement d'importantes diffractions d'ondes de surface aux bords de vallée au-delà de la fréquence de résonance de la vallée. Tandis que les ondes de Love dominent clairement le champ d'ondes proche de la fréquence de résonance, les ondes de Rayleigh dominent à plus haute fréquence dans des gammes de fréquences étroites. Par ailleurs, un excellent accord est observé entre les champs d'onde de surface diffractés localement et les caractéristiques d'amplification du site. La “cohérence décalée” de la partie la plus énergétique du signal a été quantifiée pour chaque paire de stations du réseau. En général, la cohérence calculée sur les composantes horizontales diminue avec la distance entre stations et la fréquence. La cohérence sur la composante verticale indique des valeurs relativement fortes à haute fréquence. Les valeurs de cohérence apparaissent très faiblement corrélées à la magnitude, l'azimut et la distance épicentrale du séisme, mais sont au contraire liées aux caractéristiques géométriques de la vallée. La coherence est systématiquement plus forte pour les couples de capteurs orientés selon la direction parallèle à l'axe de la vallée, et moins forte pour des couples de capteurs orientés dans la direction perpendiculaires. Cette observation est en accord avec les résultats du traitement d'antenne: la prédominance d'ondes de surface diffractées sur les bords de la vallée conduit à des mouvements en phase le long de la direction parrallèle à l'axe de la vallée. Les résultats de cette thèse apporte des elements de compréhension sur la variabilité spatiale du movement sismique et ouvrent de nombreuses perspectives d'application

A magnetotelluric investigation of an electrical conductivity anomaly in the southwestern United States

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Geology and Geophysics, 1967.Vita.Bibliography: leaves 201-210.by Charles Moore Swift, Jr.Ph.D