Bayesian Non-Parametric Mixtures of GARCH(1,1) Models

Traditional GARCH models describe volatility levels that evolve smoothly over time, generated by a single GARCH regime. However, nonstationary time series data may exhibit abrupt changes in volatility, suggesting changes in the underlying GARCH regimes. Further, the number and times of regime changes are not always obvious. This article outlines a nonparametric mixture of GARCH models that is able to estimate the number and time of volatility regime changes by mixing over the Poisson-Kingman process. The process is a generalisation of the Dirichlet process typically used in nonparametric models for time-dependent data provides a richer clustering structure, and its application to time series data is novel. Inference is Bayesian, and a Markov chain Monte Carlo algorithm to explore the posterior distribution is described. The methodology is illustrated on the Standard and Poor's 500 financial index

The influence of allogenic controls on facies variability within two basins: the Triassic Sherwood Sandstone Group of Central and Northern England

Allogenic controls (tectonics, eustasy, and climate) on sedimentation are thought to exert the most influence on depositional trends seen within sedimentary basin fill. This study examines two adjacent early Triassic basins, with similar allogenic factors of climate, eustasy and sediment supply. What is unclear is how the expression of facies/depositional trends might manifest in these two tectonically different, but otherwise similar, basins. The East Midlands shelf, is a passive shelf-edge basin marginal to the South Permian Basin. The Needwood Basin, in contrast, is a half graben created by extensional tectonics and typified by normal synsedimentary faulting. Much of the sediment supply to the basins was derived from a single sediment source (the London-Brabant High and Armorican Massif) located in present-day SE England and Northern France, with a local input to the Needwood Basin from the Pennine high. Architectural element and lithofacies analysis on three selected outcrops, and borehole logging on 8 boreholes, was conducted from across the two basins. This indicates that both basin successions comprise amalgamated channel fill, with emphasis on downstream accreting elements. In the East Midlands Shelf (Yorkshire-Nottinghamshire), the sedimentary basin infill is characterised by sandy, trough cross-bedded sequences; palaeoenvironmental interpretation suggests a sandy braided river environment. Successions from the Needwood Basin are indicative of a higher depositional energy, possibly influenced by proximity to several sources of sediment into an actively subsiding basin. Tectonic allogenic forcing factors exert a large degree of influence on depositional trends in both basins. Most notably, the degree of subsidence and distance from the basin margin is thought to have the most effect on facies type and distribution. This enhances our understanding of facies predictability and depositional trends away from data points, and can feed into the development of better reservoir models

Characteristics of deformation bands and relationship to primary deposition: an outcrop study from the Wirral, north-west England

The gross environment of deposition has been recognised as a major influence on the development of deformation bands. Deformation bands represent local zones of grainsize reduction/crushing and fusing that develop in response to the accommodation of stress, and typically develop in sandstones. As they can result in crosscutting planes of low permeability compared to undeformed rock, deformation bands can degrade reservoir quality, and have an adverse impact on the performance of economically important hydrocarbon reservoirs, aquifers or potential repositories for carbon capture. Outcrop of the Middle Triassic (Anisian) Sherwood Sandstone Group from Thurstaston Hill and West Kirby (Wirral, north-west England) comprises a series of stacked dune and interdune facies, with rare heterolithic fluvial associations (channel and channel lag). Aeolian dunes are characterised by relatively large-scale, low- to high-angle cross-sets with common bimodal ‘pinstripe’- type lamination, with interdunes typified by planar and ripple-laminated sandstone and silty sandstone. A striking feature is the development of deformation bands which are locally pervasive. Initial data collection shows that deformation bands are more common in grainfall and grainflow facies, becoming rare/not observed in trough, planar cross-bedded and pebbly sandstone facies. Their morphology has been categorised into 4 distinct classes based on the spatial density and relationship between individual deformation bands (see image). The permeability of these features, assessed in the field by mini-permeameter, does not appear to be related to the class of the deformation band. These features have a high permeability contrast with the surrounding sandstone, and permeability values up to two orders of magnitude lower than undeformed sandstone is indicated. Where present in reservoir rocks such as the Leman Sandstone of the North Sea, or regional aquifers such as the Wilmslow Sandstone onshore, present day bulk permeabilities may be higher in fluvial facies with no deformation bands, rather than silt and clay-poor aeolian facies that host these features. Deformation bands may have a stronger influence on fluid flow toward the end of the production history of a well or field, when reservoir pressures are depleted. These observations, could mean that reappraisal of reservoirs is required to optimise production in declining fields/aquifers

Fluid transport in the Sherwood Sandstone: influences of diagenesis and lithofacies

The Triassic age Sherwood Sandstone Group (SSG) is of great importance to the UK for several applied reasons: i) it is the lateral equivalent of the hydrocarbon producing Lower Triassic (Olenkian) Bunter Sandstone in the North Sea and the Middle Triassic (Anisian) Ormskirk Sandstone in the East Irish Sea; ii) it is a major aquifer in the UK; iii) it has storage potential for anthropogenic CO2. Increased understanding of the SSG is required to further improve efficiency of extraction, protect aquifers and reduce overall risk associated with such activities. Despite these economically important uses, the SSG has previously seen little work to ascertain any possible connections between primary sedimentological facies and diagenesis. As such, this study has analysed 30 thin sections of fluvial sandstones from 5 boreholes in and adjacent to the Needwood Basin. Using optical microscopy and scanning electron microscopy a diagenetic history was deduced and analysed with respect to sedimentological facies. The diagenetic history of the Needwood Basin SSG is comparable with the SSG from other UK sedimentary basins, with the exception of a lower quantity of well-developed authigenic quartz, feldspar and increased framework grain and cement dissolution. The results indicate that primary sedimentological facies does have a control on subsequent diagenesis. The highest porosities were found in cross bedded sandstones and massive sandstones; the lowest porosities were found in conglomerates and muddy facies; low angled cross bedded sandstones and horizontally bedded sandstones displayed a wide range of porosities. The presence of diagenetic cements had a significant effect on porosity due simply to the reduction in available pore space: calcrete or dolocrete reduced porosity on average by 17.5%, baryte by 23% and iron oxide by 8%. This data can be used to populate databases for use in fluid flow modelling to inform the hydrocarbon industry as well as hydrogeology, predictive models for contaminant transport and green technology including Carbon Capture and Storage and geothermal energy

Facies heterogeneity in the Triassic Sherwood Sandstone Group of the UK: comparing and contrasting coeval depositional basins

The primarily fluvial Triassic Sherwood Sandstone Group is found at outcrop fringing the northern part of the Needwood Basin (between Stoke-on-Trent and Nottingham) then northwards along the western margin of the East Midlands Shelf (Figure 1). The offshore lateral equivalents of the group in the East Irish Sea and North Sea (Ormskirk and Bunter sandstones) are reservoirs for oil and gas. Additionally, the Sherwood Sandstone Group is of regional importance in eastern England as the principle groundwater aquifer that supplies water for potable and industrial use. In some areas the aquifer has become contaminated by a variety of pollutants including Non-Aqueous Phase Liquids (NAPLs) and nitrates. Some pathways through the aquifer are via intergranular flow and this is partly influenced by variations in porosity and permeability, of which lithofacies is a major control. As such, further understanding of the spatial relationships between different lithofacies and associated properties at outcrop can be used to augment predictive models applicable to both the water and hydrocarbons industries. Data collection for this study focussed on 6 field localities covering the East Midlands Shelf and Needwood Basin. From these field localities numerous lithofacies have been identified and these include: i) clean homogeneous massive sandstones, ii) sandy conglomerates, iii) poorly- to moderately- sorted cross-bedded sandstones, iv) fine to very-fine cross-laminated sandstones, and v) thin horizontally laminated siltstones. Data from these field localities comprises a series of pseudo-three dimensional architectural panels which illustrate the relationship and three-dimensional configuration of observed lithofacies types. Cores from eight boreholes were also logged and provide information on the spatial distribution and relative abundance of the identified lithofacies where outcrop is sparse. This study allows a comparison of the Sherwood Sandstone Group between depocentres separated by the Charnwood palaeo-high. The dataset is being used to create qualitative and quantitative models that depict the variations in lithofacies types and configurations in the Sherwood Sandstone Group spatially; contrasting lithofacies from linked contemporaneously depositing basins. Preliminary results suggest more lateral and vertical variation in lithofacies types than has been previously described, which implies that a greater complexity of lithofacies architecture needs to be captured to improve models of fluid flow in the Sherwood Sandstone Group

‘It's all the way you look at it, you know’: reading Bill ‘Bojangles’ Robinson's film career

This paper engages with a major paradox in African American tap dancer Bill ‘Bojangles’ Robinson's film image – namely, its concurrent adherences to and contestations of dehumanising racial iconography – to reveal the complex and often ambivalent ways in which identity is staged and enacted. Although Robinson is often understood as an embodiment of popular cultural imagery historically designed to dehumanise African Americans, this paper shows that Robinson's artistry displaces these readings by providing viewing pleasure for black, as much as white, audiences. Robinson's racially segregated scenes in Dixiana (1930) and Hooray for Love (1935) illuminate classical Hollywood's racial codes, whilst also showing how his inclusion within these otherwise all-white films provides grounding for creative and self-reflexive artistry. The films' references to Robinson's stage image and artistry overlap with minstrelsy-derived constructions of ‘blackness’, with the effect that they heighten possible interpretations of his cinematic persona by evading representational conclusion. Ultimately, Robinson's films should be read as sites of representational struggle that help to uncover the slipperiness of performances of African American identities in 1930s Hollywood

X-ray emission from the Sombrero galaxy: discrete sources

We present a study of discrete X-ray sources in and around the bulge-dominated, massive Sa galaxy, Sombrero (M104), based on new and archival Chandra observations with a total exposure of ~200 ks. With a detection limit of L_X = 1E37 erg/s and a field of view covering a galactocentric radius of ~30 kpc (11.5 arcminute), 383 sources are detected. Cross-correlation with Spitler et al.'s catalogue of Sombrero globular clusters (GCs) identified from HST/ACS observations reveals 41 X-rays sources in GCs, presumably low-mass X-ray binaries (LMXBs). We quantify the differential luminosity functions (LFs) for both the detected GC and field LMXBs, whose power-low indices (~1.1 for the GC-LF and ~1.6 for field-LF) are consistent with previous studies for elliptical galaxies. With precise sky positions of the GCs without a detected X-ray source, we further quantify, through a fluctuation analysis, the GC LF at fainter luminosities down to 1E35 erg/s. The derived index rules out a faint-end slope flatter than 1.1 at a 2 sigma significance, contrary to recent findings in several elliptical galaxies and the bulge of M31. On the other hand, the 2-6 keV unresolved emission places a tight constraint on the field LF, implying a flattened index of ~1.0 below 1E37 erg/s. We also detect 101 sources in the halo of Sombrero. The presence of these sources cannot be interpreted as galactic LMXBs whose spatial distribution empirically follows the starlight. Their number is also higher than the expected number of cosmic AGNs (52+/-11 [1 sigma]) whose surface density is constrained by deep X-ray surveys. We suggest that either the cosmic X-ray background is unusually high in the direction of Sombrero, or a distinct population of X-ray sources is present in the halo of Sombrero.Comment: 11 figures, 5 tables, ApJ in pres

The swimming kinematics of larval Atlantic cod, Gadus morhua L., are resilient to elevated seawater pCO2

Kinematics of swimming behavior of larval Atlantic cod, aged 12 and 27 days post-hatch (dph) and cultured under three pCO2 conditions (control-370, medium-1800, and high-4200 μatm) from March to May 2010, were extracted from swim path recordings obtained using silhouette video photography. The swim paths were analyzed for swim duration, distance and speed, stop duration, and horizontal and vertical turn angles to determine whether elevated seawater pCO2—at beyond near-future ocean acidification levels—affects the swimming kinematics of Atlantic cod larvae. There were no significant differences in most of the variables tested: the swimming kinematics of Atlantic cod larvae at 12 and 27 dph were highly resilient to extremely elevated pCO2 levels. Nonetheless, cod larvae cultured at the highest pCO2 concentration displayed vertical turn angles that were more restricted (median turn angle, 15°) than larvae in the control (19°) and medium (19°) treatments at 12 dph (but not at 27 dph). Significant reduction in the stop duration of cod larvae from the high treatment (median stop duration, 0.28 s) was also observed compared to the larvae from the control group (0.32 s) at 27 dph (but not at 12 dph). The functional and ecological significance of these subtle differences are unclear and, therefore, require further investigation in order to determine whether they are ecologically relevant or spurious

Search for neutral MSSM Higgs bosons decaying to a pair of tau leptons in pp collisions

Peer reviewe

Measurement of top quark–antiquark pair production in association with a W or Z boson in pp collisions at √s=8 TeV

Peer reviewe