Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Solar-Energetic-Particle Track-Production Rates at 1 au: Comparing In-situ Particle Fluxes with Lunar Sample-Derived Track Densities

Heavy (Z>26) solar energetic particles (SEPs) with energies ~1 MeV/nucleon are known to leave visible damage tracks in meteoritic materials. The density of such solar flare tracks in lunar and asteroidal samples has been used as a measure of a sample's exposure time to space, yielding critical information on planetary space weathering rates, the dynamics and lifetimes of interplanetary dust grains, and the long-term history of solar particle fluxes. Knowledge of the SEP track accumulation rate in planetary materials at 1 au is critical for properly interpreting observed track densities. Here, we use in-situ particle observations of the 0.50-3.0 MeV/nuc Fe-group SEP flux taken by NASA's Advanced Composition Explorer (ACE) to calculate a flux of track-inducing particles at 1 au of 6.0x10^5 /cm2/yr/str. Using the observed energy spectrum of Fe-group SEPs, we find that the depth distribution of SEP-induced damage tracks inferred from ACE measurements matches closely to that recently measured in lunar sample 64455; however, the magnitude of the ACE-inferred rate is approximately 25x higher than that observed in the lunar sample. We discuss several hypotheses for the nature of this discrepancy, including inefficiencies in track formation, thermal annealing of lunar samples, erosion via space weathering processing, and variations in the SEP flux at the Moon, yet find no satisfactory explanation. We encourage further research on both the nature of SEP track formation in meteoritic materials and the flux of Fe-group SEPs at the lunar surface in recent and geologic times to resolve this discrepancy.Comment: 18 pages, 4 figures; Accepted for publication in Astrophys. J. Let

Alteration of Lunar Rock Surfaces through Interaction with the Space Environment

Space weathering occurs on all ex-posed surfaces of lunar rocks, as well as on the surfaces of smaller grains in the lunar regolith. Space weather-ing alters these exposed surfaces primarily through the action of solar wind ions and micrometeorite impact processes. On lunar rocks specifically, the alteration products produced by space weathering form surface coatings known as patina. Patinas can have spectral reflectance properties different than the underlying rock. An understanding of patina composition and thickness is therefore important for interpreting re-motely sensed data from airless solar system bodies. The purpose of this study is to try to understand the physical and chemical properties of patina by expanding the number of patinas known and characterized in the lunar rock sample collection

Ion Irradiation Experiments on the Murchison CM2 Carbonaceous Chondrite: Simulating Space Weathering of Primitive Asteroids

Remote sensing observations show that space weathering processes affect all airless bodies in the Solar System to some degree. Sample analyses and lab experiments provide insights into the chemical, spectroscopic and mineralogic effects of space weathering and aid in the interpretation of remote- sensing data. For example, analyses of particles returned from the S-type asteroid Itokawa by the Hayabusa mission revealed that space-weathering on that body was dominated by interactions with the solar wind acting on LL ordinary chondrite-like materials [1, 2]. Understanding and predicting how the surface regoliths of primitive carbonaceous asteroids respond to space weathering processes is important for future sample return missions (Hayabusa 2 and OSIRIS-REx) that are targeting objects of this type. Here, we report the results of our preliminary ion irradiation experiments on a hydrated carbonaceous chondrite with emphasis on microstructural and infrared spectral changes

Distributed Acoustic Sensing of Seismic Properties in a Borehole Drilled on a Fast‐Flowing Greenlandic Outlet Glacier

Abstract Distributed Acoustic Sensing (DAS) is a new technology in which seismic energy is detected, at high spatial and temporal resolution, using the propagation of laser pulses in a fiber‐optic cable. We show analyses from the first glaciological borehole DAS deployment to measure the englacial and subglacial seismic properties of Store Glacier, a fast‐flowing outlet of the Greenland Ice Sheet. We record compressional and shear waves in 1,043 m‐deep vertical seismic profiles, sampled at 10 m vertical resolution, and detect a transition from isotropic to anisotropic ice at 84% of ice thickness, consistent with the Holocene‐Wisconsin transition. We identify subglacial reflections originating from the base of a 20 m‐thick layer of consolidated sediment and, from attenuation measurements, interpret temperate ice in the lowermost 100 m of the glacier. Our findings highlight the promising potential of DAS technology to constrain the seismic properties of glaciers and ice sheets. Plain Language Summary Distributed Acoustic Sensing (DAS) is a new technology for seismic surveying in which the transmission of light through fiber‐optic cables is used to record seismic energy, with unprecedented spatial resolution compared to traditional techniques. Our paper presents data from the first borehole‐glaciological deployment of DAS, in which fiber‐optic cable was installed in a 1,043 m‐deep vertical borehole on Store Glacier, a fast‐flowing outlet of the Greenland Ice Sheet. The detailed seismic anatomy of the glacier that our survey provides—an independent measurement of the seismic response every 10 m—gives new insights about its internal flow regime and temperature and even allows us to detect layers of sediment underlying it. We predict that DAS surveying will play an increasingly large role in future glaciological investigations as the recognition of its promising potential grows

Problems at the Leading Edge of Space Weathering as Revealed by TEM Combined with Surface Science Techniques

Both transmission electron micros-copy (TEM) and surface analysis techniques such as X-ray photoelectron spectroscopy (XPS) were instrumen-tal in making the first characterizations of material generated by space weathering in lunar samples [1,2]. Without them, the nature of nanophase metallic Fe (npFe0) correlated with the surface of lunar regolith grains would have taken much longer to become rec-ognized and understood. Our groups at JSC and UVa have been using both techniques in a cross-correlated way to investigate how the solar wind contributes to space weathering [e.g., 3]. These efforts have identified a number of ongoing problems and knowledge gaps. Key insights made by UVa group leader Raul Barag-iola during this work are gratefully remembered

Compositional and Microstructural Evolution of Olivine Under Multiple-Cycle Pulsed Laser Irradiation as Revealed by FIB/Field-Emission TEM

The use of pulsed laser irradiation to simulate the short duration, high-energy conditions characteristic of micrometeorite impacts is now an established approach in experimental space weathering studies. The laser generates both melt and vapor deposits that contain nanophase metallic Fe (npFe(sup 0)) grains with size distributions and optical properties similar to those in natural impact-generated melt and vapor deposits. There remains uncertainty, however, about how well lasers simulate the mechanical work and internal (thermal) energy partitioning that occurs in actual impacts. We are currently engaged in making a direct comparison between the products of laser irradiation and experimental/natural hypervelocity impacts. An initial step reported here is to use analytical SEM and TEM is to attain a better understanding of how the microstructure and composition of laser deposits evolve over multiple cycles of pulsed laser irradiation

Shear strength properties of wet granular materials

We investigate shear strength properties of wet granular materials in the pendular state (i.e. the state where the liquid phase is discontinuous) as a function of water content. Sand and glass beads were wetted and tested in a direct shear cell and under various confining pressures. In parallel, we carried out three-dimensional molecular dynamics simulations by using an explicit equation expressing capillary force as a function of interparticle distance, water bridge volume and surface tension. We show that, due to the peculiar features of capillary interactions, the major influence of water content over the shear strength stems from the distribution of liquid bonds. This property results in shear strength saturation as a function of water content. We arrive at the same conclusion by a microscopic analysis of the shear strength. We propose a model that accounts for the capillary force, the granular texture and particle size polydispersity. We find fairly good agreement of the theoretical estimate of the shear strength with both experimental data and simulations. From numerical data, we analyze the connectivity and anisotropy of different classes of liquid bonds according to the sign and level of the normal force as well as the bond direction. We find that weak compressive bonds are almost isotropically distributed whereas strong compressive and tensile bonds have a pronounced anisotropy. The probability distribution function of normal forces is exponentially decreasing for strong compressive bonds, a decreasing power-law function over nearly one decade for weak compressive bonds and an increasing linear function in the range of tensile bonds. These features suggest that different bond classes do not play the same role with respect to the shear strength.Comment: 12 page

Evolution of Shock Melt Compositions in Lunar Regoliths

Space weathering processes - driven primarily by solar wind ion and micrometeorite bombardment, are constantly changing the surface regoliths of airless bodies, such as the Moon. It is essential to study lunar soils in order to fully under-stand the processes of space weathering, and how they alter the optical reflectance spectral properties of the lunar surface relative to bedrock. Lunar agglutinates are aggregates of regolith grains fused together in a glassy matrix of shock melt produced during micrometeorite impacts into the lunar regolith. The formation of the shock melt component in agglutinates involves reduction of Fe in the target material to generate nm-scale spherules of metallic Fe (nanophase Fe0 or npFe0). The ratio of elemental Fe, in the form of npFe0, to FeO in a given bulk soil indicates its maturity, which increases with length of surface exposure as well as being typically higher in the finer-size fraction of soils. The melting and mixing process in agglutinate formation remain poorly understood. This includes incomplete knowledge regarding how the homogeneity and overall compositional trends of the agglutinate glass portions (agglutinitic glass) evolve with maturity. The aim of this study is to use sub-micrometer scale X-ray compositional mapping and image analysis to quantify the chemical homogeneity of agglutinitic glass, correlate its homogeneity to its parent soil maturity, and identify the principal chemical components contributing to the shock melt composition variations. An additional focus is to see if agglutinitic glass contains anomalously high Fe sub-micron scale compositional domains similar to those recently reported in glassy patina coatings on lunar rocks

Frictionless bead packs have macroscopic friction, but no dilatancy

The statement of the title is shown by numerical simulation of homogeneously sheared packings of frictionless, nearly rigid beads in the quasistatic limit. Results coincide for steady flows at constant shear rate γ in the limit of small γ and static approaches, in which packings are equilibrated under growing deviator stresses. The internal friction angle ϕ, equal to 5.76 $\pm$ 0.22 degrees in simple shear, is independent on the average pressure P in the rigid limit. It is shown to stem from the ability of stable frictionless contact networks to form stress-induced anisotropic fabrics. No enduring strain localization is observed. Dissipation at the macroscopic level results from repeated network rearrangements, like the effective friction of a frictionless slider on a bumpy surface. Solid fraction Φ remains equal to the random close packing value ≃ 0.64 in slowly or statically sheared systems. Fluctuations of stresses and volume are observed to regress in the large system limit, and we conclude that the same friction law for simple shear applies in the large psystem limit if normal stress or density is externally controlled. Defining the inertia number as I = γ m/(aP), with m the grain mass and a its diameter, both internal friction coefficient $\mu$∗ = tan ϕ and volume 1/Φ increase as powers of I in the quasistatic limit of vanishing I, in which all mechanical properties are determined by contact network geometry. The microstructure of the sheared material is characterized with a suitable parametrization of the fabric tensor and measurements of connectivity and coordination numbers associated with contacts and near neighbors.Comment: 19 pages. Additional technical details may be found in v