A Performance Comparison of a Technical Trading System with ARIMA and VAR Models for Soybean Complex Prices

Both technical trading systems and standard economic time series models are based upon the assumption that current market prices are not independent of past market behavior. This study examines the relative performance of a Channel (CHL) technical trading system with an Autoregressive Integrated Moving Average (ARIMA) model and a Vector Autoregressive (VAR) model in forecasting soybean, soybean meal, and soybean oil prices over the period January 1984-June 1988. ARIMA and VAR models are developed over the time period January 1974-December 1983 and then are used to forecast out-of-sample from January 1984 through June 1988. The CHL trading signals and out-of-sample two month ahead forecasts from the ARIMA and VAR models are used to take positions in the futures markets. The resulting trading returns are evaluated to determine the relative economic performance of the models within the soybean complex. Of these models, the CHL technical trading system exhibits consistent trading returns across the soybean complex. Furthermore, the CHL technical trading system is robust across the two subperiods of the out-of-sample period, one of which is characterized by rising commodity prices and the other by declining commodity prices. These results suggest that in the short run, regularities within a single price series can be used to forecast prices within the soybean complex. Further, technical trading system prove more useful in utilizing such regularities for forecasting than the autoregressive or moving average processes found in either ARIMA or VAR modeling techniques

Reanalysis for MSFD

This report gives a brief summary of progress to date in Task 8.6 of AtlantOS. At the time of writing (September 2017) results are being written up in a paper for the peer-reviewed literature (Tinker et al., in prep.), expected to be submitted in Autumn 2017. To maintain the confidentiality of the peer review process only a brief summary of the results of the paper are presented here. The paper will be linked to this deliverable report as soon as it is published. In the mean time access to the paper while under review may be requested from the lead authors of this report at [email protected] and [email protected]

Optimal management of posterior cruciate ligament injuries: current perspectives

Background: The optimal management of posterior cruciate ligament (PCL) injuries is debated by orthopedic surgeons. A natural history study (NHS) of acute, isolated PCL tears in patients with a mean follow-up of 14.3 years was previously published. The purpose of this study was to compare and contrast the results of the NHS study with those of other studies with similar follow-up time after operative and nonoperative management of isolated PCL tears. Material and methods: With reviewing the literature, six operative management and six nonoperative management studies were found for treating isolated PCL injuries. We analyzed the subjective and objective outcomes of these 12 studies and compared them to the results of the NHS to determine optimal management of PCL injuries. Results: Final follow-up times ranged from a mean of 6.2 to 15 years in the nonoperative studies and 6.3 to 12 years in the operative studies. Side-to-side differences in laxity following surgical management ranged from 1.1 to 7 mm on KT-1000 arthrometer testing and 2.8 to 4.7 mm on Telos stress testing. Tegner scores at final follow-up ranged from 6.6 to 7.7 in nonoperative studies and 5.7 to 7.4 in operative studies. International Knee Documentation Committee scores were 73.4, 82.7, and 84 in nonoperative studies and 65 and 87 in the operative studies. Lysholm scores were 85.2 in the nonoperative study and ranged from 81 to 92.1 in operative studies. Osteoarthritis was reported with ranges from 17% to 88% in nonoperative studies and 13.3% to 63.6% in operative studies. Conclusion: We found that the subjective and objective results in the NHS compare favorably to those of outcomes for PCL reconstruction. Unless a technique is found that can completely restore knee stability, it is unlikely that simply reducing posterior laxity will improve outcomes or prevent the development of osteoarthritis

Measuring and modelling of cross-shore sediment transport and profile evolution on natural beaches

Cross-shore sediment transport is the dominant process causing beach profile evolution. The ability to model cross-shore sediment transport allows prediction of the future beach state be made. Due to a balance between opposing mechanisms, cross-shore sediment transport is difficult to predict. One route to make these predictions is with the development of measurement based parameterisation. This study builds on previousp arameterisationtsh at have relatedc ross-shorev elocity moment (predictorso f suspendeds edimentt ransporta ccordingt o the energeticsa pproacht o sediment transport)t o normalisedd epth( a proxy of cross-shorep osition),t o presenta new shapef unction parameterisationT. he presentp arameterisatiohna s beend evelopedf rom field measurementosf depth-integratedcr oss-shores uspendeds edimentt ransportm easuredd uring a month long field campaigna t SennenC ove, Cornwall, UK. This parameterisationis an improvemento f the previouss hapef unction parameterisationin three key areas;i ) removest he dependencyo n the energetics approach, and so includes all transport mechanisms, ii) incident energy (parameteriseda s breakpointd epth- hb) is considereda, nd so allows this shapef unction to be usedu nder a wide rangeo f energyc onditions,i ii) the swashz one processesa re consideredin detail. The new shapef unction parameterisationis the sum of four components hapef unctions that represenmt eana nd oscillatoryt ransporti n the surf- and shoalingz onea nd on- and offshore transporti n the swash-zoneA. s eachc omponents hapef unction respondsin dividually to energy level, the net-transport shape function responds to varying conditions. Under high-energy conditions the shape function predicts onshore transport in the shoaling zone, offshore transport in the surf zone and onshore transport in the inner swash zone, while under low energy the shape function predicts all onshore transport with a peak outside the breakpoint and in the inner surf-zone. The shapef unction is implementedin a simple heuristicp rofile evolutionm odel that allows the examination of beach behaviour of under varying conditions to be examined over long (decadal) time-scalesP. reliminaryr esultss how that the shapef unction model is able to replicateo nshore and offshoreb ar migration,b ar developmenat nd bar degenerationo ver timescalen ot previously modelled.F uture work will use this model to investigatet he responseto subtletiesi n driving conditions,s ucha s the varying effect of seasonalityc omparedto randoms torms.the Natural Environnient Research Counci

Electric Sail Tether Deployment System for CubeSats

An Electric Sail (E-Sail) propulsion system consists of long, thin tethers - positively-charged wires extending radially and symmetrically outward from a spacecraft. Tethers must be biased using a high-voltage power supply to ensure that the solar wind produces thrust. While the E-Sail concept shows great promise for flying heliopause missions with higher characteristic acceleration than solar sails, there are significant technical challenges related to deploying and controlling multiple tethers. A typical full-scale design involves a hub and spoke arrangement of 10 to 100 tethers, each 20 km long. In the last 20 years, there have been multiple space mission failures due to tether deployment and control issues, and most configurations involved a single tether. This paper describes an effort to develop and test a simple yet robust single-tether deployment system for a two-6U CubeSat configuration. The project included the following: a) Tether dynamic modeling/simulation b) E-Sail single-tether prototype development and testing c) Space environmental effects testing to identify best materials for further development. These three areas of investigation were needed to provide technical rationale for an E-Sail flight demonstration mission that is expected to be proposed for the 2022 time frame. The project team used an agile engineering approach in which E-Sail single-tether prototype designs were iteratively developed and tested to solve problems and identify design improvements. The agile approach was ideal for this low Technology Readiness Level (TRL) project because tether deployer development involved many unknowns in prototype development that could only be discovered through iterative cycles of construction and testing. Extensive modeling and simulation were accomplished for three types of tether deployment: a) Stage 1: propulsive separation with one 6U fixed b) Stage 2: propulsive spin-up with one 6U fixed c) Stage 3: propulsive spin-up with both 6Us free Simulation results were valuable for understanding the propulsive and braking forces needed for controlled tether deployment. This paper describes the evolution, insights, and test/ performance data related to the resultant single-tether two-6U E-Sail test article which has been demonstrated in a test laboratory. The development effort suggests near-term work needed to achieve a useful flight demonstration, and provides ideas for how multiple-tether deployment systems might evolve going forward. A planned next-generation E-Sail prototype will include autonomous propulsive tether deployment while monitoring tether tension, location on the floor, distance between tether ends, acceleration, velocity, and propellant used

Non-Gaussian Scatter in Cluster Scaling Relations

We investigate the impact of non-Gaussian scatter in the cluster mass-observable scaling relation on the mass and redshift distribution of clusters detected by wide area surveys. We parameterize non-Gaussian scatter by incorporating the third and forth moments (skewness and kurtosis) into the distribution P(Mobs|M). We demonstrate that for low scatter mass proxies the higher order moments do not significantly affect the observed cluster mass and redshift distributions. However, for high scatter mass indicators it is necessary for the survey limiting mass threshold to be less than 10^14 h^-1 Msol to prevent the skewness from having a significant impact on the observed number counts, particularly at high redshift. We also show that an unknown level of non-Gaussianity in the scatter is equivalent to an additional uncertainty on the variance in P(Mobs|M) and thus may limit the constraints that can be placed on the dark energy equation of state parameter w. Furthermore, positive skewness flattens the mass function at the high mass end, and so one must also account for skewness in P(Mobs|M) when using the shape of the mass function to constrain cluster scaling-relations.Comment: 6 Pages, 3 Figures, to be submitted to ApJ Letter

Carbon on the Northwest European Shelf: Contemporary Budget and Future Influences

A carbon budget for the northwest European continental shelf seas (NWES) was synthesized using available estimates for coastal, pelagic and benthic carbon stocks and flows. Key uncertainties were identified and the effect of future impacts on the carbon budget were assessed. The water of the shelf seas contains between 210 and 230 Tmol of carbon and absorbs between 1.3 and 3.3 Tmol from the atmosphere annually. Off-shelf transport and burial in the sediments account for 60–100 and 0–40% of carbon outputs from the NWES, respectively. Both of these fluxes remain poorly constrained by observations and resolving their magnitudes and relative importance is a key research priority. Pelagic and benthic carbon stocks are dominated by inorganic carbon. Shelf sediments contain the largest stock of carbon, with between 520 and 1600 Tmol stored in the top 0.1 m of the sea bed. Coastal habitats such as salt marshes and mud flats contain large amounts of carbon per unit area but their total carbon stocks are small compared to pelagic and benthic stocks due to their smaller spatial extent. The large pelagic stock of carbon will continue to increase due to the rising concentration of atmospheric CO2, with associated pH decrease. Pelagic carbon stocks and flows are also likely to be significantly affected by increasing acidity and temperature, and circulation changes but the net impact is uncertain. Benthic carbon stocks will be affected by increasing temperature and acidity, and decreasing oxygen concentrations, although the net impact of these interrelated changes on carbon stocks is uncertain and a major knowledge gap. The impact of bottom trawling on benthic carbon stocks is unique amongst the impacts we consider in that it is widespread and also directly manageable, although its net effect on the carbon budget is uncertain. Coastal habitats are vulnerable to sea level rise and are strongly impacted by management decisions. Local, national and regional actions have the potential to protect or enhance carbon storage, but ultimately global governance, via controls on emissions, has the greatest potential to influence the long-term fate of carbon stocks in the northwestern European continental shelf

The Halo Occupation Distribution of SDSS Quasars

We present an estimate of the projected two-point correlation function (2PCF) of quasars in the Sloan Digital Sky Survey (SDSS) over the full range of one- and two-halo scales, 0.02-120 Mpc/h. This was achieved by combining data from SDSS DR7 on large scales and Hennawi et al. (2006; with appropriate statistical corrections) on small scales. Our combined clustering sample is the largest spectroscopic quasar clustering sample to date, containing ~48,000 quasars in the redshift range 0.4<z<2.5 with median redshift 1.4. We interpret these precise 2PCF measurements within the halo occupation distribution (HOD) framework and constrain the occupation functions of central and satellite quasars in dark matter halos. In order to explain the small-scale clustering, the HOD modeling requires that a small fraction of z~1.4 quasars, fsat=(7.4+/-1.4) 10^(-4), be satellites in dark matter halos. At z~1.4, the median masses of the host halos of central and satellite quasars are constrained to be Mcen=(4.1+0.3/-0.4) 10^12 Msun/h and Msat=(3.6+0.8/-1.0) 10^14 Msun/h, respectively. To investigate the redshift evolution of the quasar-halo relationship, we also perform HOD modeling of the projected 2PCF measured by Shen et al. (2007) for SDSS quasars with median redshift 3.2. We find tentative evidence for an increase in the mass scale of quasar host halos---the inferred median mass of halos hosting central quasars at z~3.2 is Mcen=(14.1+5.8/-6.9) 10^12 Msun/h. The cutoff profiles of the mean occupation functions of central quasars reveal that quasar luminosity is more tightly correlated with halo mass at higher redshifts. The average quasar duty cycle around the median host halo mass is inferred to be fq=(7.3+0.6/-1.5) 10^(-4) at z~1.4 and fq=(8.6+20.4/-7.2) 10^(-2) at z~3.2. We discuss the implications of our results for quasar evolution and quasar-galaxy co-evolution.Comment: matches the ApJ published versio

The Halo Occupation Distribution of Active Galactic Nuclei

Using a fully cosmological hydrodynamic simulation that self-consistently incorporates the growth and feedback of supermassive black holes and the physics of galaxy formation, we examine the effects of environmental factors (e.g., local gas density, black hole feedback) on the halo occupation distribution of low luminosity active galactic nuclei (AGN). We decompose the mean occupation function into central and satellite contribution and compute the conditional luminosity functions (CLF). The CLF of the central AGN follows a log-normal distribution with the mean increasing and scatter decreasing with increasing redshifts. We analyze the light curves of individual AGN and show that the peak luminosity of the AGN has a tighter correlation with halo mass compared to instantaneous luminosity. We also compute the CLF of satellite AGN at a given central AGN luminosity. We do not see any significant correlation between the number of satellites with the luminosity of the central AGN at a fixed halo mass. We also show that for a sample of AGN with luminosity above 10^42 ergs/s the mean occupation function can be modeled as a softened step function for central AGN and a power law for the satellite population. The radial distribution of AGN inside halos follows a power law at all redshifts with a mean index of -2.33 +/- 0.08. Incorporating the environmental dependence of supermassive black hole accretion and feedback, our formalism provides a theoretical tool for interpreting current and future measurements of AGN clustering.Comment: 14 pages, 11 figures, 2 Tables (Matches the MNRAS accepted version