Maximum Likelihood Estimation of the Equity Premium

The equity premium — the expected return on the aggregate stock market less the government bill rate – is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the sample average excess return. We propose an alternative estimator, based on maximum likelihood, that takes into account information contained in dividends and prices. Applied to the postwar sample, our method leads to an economically significant reduction from 6.4% to 5.1%. Simulation results show that our method produces more reliable estimates under a wide range of specifications

Integrating Research Data Management into Geographical Information Systems

Ocean modelling requires the production of high-fidelity computational meshes upon which to solve the equations of motion. The production of such meshes by hand is often infeasible, considering the complexity of the bathymetry and coastlines. The use of Geographical Information Systems (GIS) is therefore a key component to discretising the region of interest and producing a mesh appropriate to resolve the dynamics. However, all data associated with the production of a mesh must be provided in order to contribute to the overall recomputability of the subsequent simulation. This work presents the integration of research data management in QMesh, a tool for generating meshes using GIS. The tool uses the PyRDM library to provide a quick and easy way for scientists to publish meshes, and all data required to regenerate them, to persistent online repositories. These repositories are assigned unique identifiers to enable proper citation of the meshes in journal articles.Comment: Accepted, camera-ready version. To appear in the Proceedings of the 5th International Workshop on Semantic Digital Archives (http://sda2015.dke-research.de/), held in Pozna\'n, Poland on 18 September 2015 as part of the 19th International Conference on Theory and Practice of Digital Libraries (http://tpdl2015.info/

The effect of mesh size and bed roughness on the simulation of sediment transport off the east coast of Norfolk

Water Qualit

Tidal modelling with Thetis: preliminary English Channel benchmarking

This report describes the application and benchmarking of the Thetis coastal ocean model for tidal modelling, and makes use of a test case based upon the English Channel. Comparisons are made between model predictions and tide gauge data at a number of locations across the English Channel. A preliminary investigation of the impact of mesh resolution and bathymetry data is given. A demonstration is also provided of Thetis’s ability to use adjoint technology to optimise model predictions through the assimilation of observational data. In the example presented here the bottom friction field is optimised to provide an improved match between the model results and tide gauge data. This adjoint based optimisation capability may also be used to optimise the location, size and design of tidal power generation schemes

Shoreline and Bathymetry Approximation in Mesh Generation for Tidal Renewable Simulations

Due to the fractal nature of the domain geometry in geophysical flow simulations, a completely accurate description of the domain in terms of a computational mesh is frequently deemed infeasible. Shoreline and bathymetry simplification methods are used to remove small scale details in the geometry, particularly in areas away from the region of interest. To that end, a novel method for shoreline and bathymetry simplification is presented. Existing shoreline simplification methods typically remove points if the resultant geometry satisfies particular geometric criteria. Bathymetry is usually simplified using traditional filtering techniques, that remove unwanted Fourier modes. Principal Component Analysis (PCA) has been used in other fields to isolate small-scale structures from larger scale coherent features in a robust way, underpinned by a rigorous but simple mathematical framework. Here we present a method based on principal component analysis aimed towards simplification of shorelines and bathymetry. We present the algorithm in detail and show simplified shorelines and bathymetry in the wider region around the North Sea. Finally, the methods are used in the context of unstructured mesh generation aimed at tidal resource assessment simulations in the coastal regions around the UK

Efficient unstructured mesh generation for marine renewable energy applications

Renewable energy is the cornerstone of preventing dangerous climate change whilst maintaining a robust energy supply. Tidal energy will arguably play a critical role in the renewable energy portfolio as it is both predictable and reliable, and can be put in place across the globe. However, installation may impact the local and regional ecology via changes in tidal dynamics, sediment transport pathways or bathymetric changes. In order to mitigate these effects, tidal energy devices need to be modelled in order to predict hydrodynamic changes. Robust mesh generation is a fundamental component required for developing simulations with high accuracy. However, mesh generation for coastal domains can be an elaborate procedure. Here, we describe an approach combining mesh generators with Geographical Information Systems. We demonstrate robustness and efficiency by constructing a mesh with which to examine the potential environmental impact of a tidal turbine farm installation in the Orkney Islands. The mesh is then used with two well-validated ocean models, to compare their flow predictions with and without a turbine array. The results demonstrate that it is possible to create an easy-to-use tool to generate high-quality meshes for combined coastal engineering, here tidal turbines, and coastal ocean simulations

Sea-level change, palaeotidal modelling and hominin dispersals : The case of the southern Red Sea.

We examine the likelihood of early human sea crossings of the southern Red Sea during Pleistocene low sea-level stands, using palaeotopographic reconstruction of coastlines, modelling of palaeo-tidal flows and simulation of passive movements using Lagrangian particles. Existing isotopic and geological data demonstrate that the marine connection between the Red Sea and the Indian Ocean has remained open for at least the past half million years, ruling out the possibility of a land crossing. Many authors have argued for the plausibility of a successful sea crossing during the Pleistocene as a southern route for human dispersal from Africa, especially for the dispersal of Homo sapiens. However, decisive evidence is lacking. Other authors have preferred the default northern route of land-based dispersal via the Sinai Peninsula as the more likely option and viewed the southern sea crossing as a barrier rather than a gateway, especially if tidal flow was much stronger through the narrowed sea channel at low sea levels. We use Fluidity, a finite element modelling procedure, to model tidal flows and assess their validity by comparison with modern tide-gauge data. To model palaeotidal flows, we use reconstructions of palaeoshorelines and coastal palaeotopography extending for 150 km from the Bab al Mandab Strait to the Hanish Sill region, which take account of eustatic, GIA and tectonic effects. We then simulate passive movements using Lagrangian particles and a 4th-order guided search Runge-Katta algorithm. We ran simulations for six days from three different starting points on the African shore and 13 different times in the tidal cycle.We show that crossing distances are much shorter during the Pleistocene than today with clear inter-visibility of the opposing shorelines, but that tidal currents were much stronger.We also show that the highest chances of successful crossing, involving passive rafting or drifting, with a duration of 3 -4 days, are in the vicinity of the islands in the Hanish sill region. With directed rafting or swimming, the crossing times would be much shorter. We conclude that sea crossings would be easily accomplished during long periods of the glacial cycle, regardless of hominin status, especially given attractive terrestrial landscapes and environments on both sides of the southern Red Sea