The role of information asymmetry and the level of market trading activity in shaping the time-to-maturity pattern of futures return volatility

I consider two explanations for the mixed empirical results on the Samuelson effect, which postulates that futures return volatility increases closer to maturity when the futures price becomes more sensitive to information flows. First, I empirically investigate Hong’s (2000) theoretical suggestion that information asymmetry has an impact on the time-to-maturity pattern of commodity futures return volatility (the “volatility pattern”) by testing the relationships information asymmetry has with the time-to-maturity and return volatility of commodity futures. I find that information asymmetry rises as commodity futures near maturity and that this increases return volatility. Thus, this “speculative effect” amplifies return volatility and can potentially be a more significant driver of the volatility pattern than Samuelson’s (1965) price elasticity effect. Second, I directly examine the time-to-maturity pattern of the sensitivity of futures return volatility to information flows (the “sensitivity pattern”) and find that it has an inverted U-shape. I point out that the results for tests of a linear volatility pattern are more significant when the inverted U-shape of the sensitivity pattern tilts more towards maturity. As an example of the practical implication of my findings, I show that a futures price series constructed based on contracts that are closest to the peak of the sensitivity pattern captures higher volatility (9.98% in-sample and 2.63% out-of-sample) than the often used closest-to-maturity series.Thesis (Ph.D.) -- University of Adelaide, Business School, 201

Toward a fast and accurate modeling strategy for thermal management in air-cooled data centers

Computational fluid dynamics (CFD) has become a popular tool compared to experimental measurement for thermal management in data centers. However, it is very time-consuming and resource-intensive when used to model large-scale data centers, and may not be ready for real-time thermal monitoring. In this thesis, the two main goals are first to develop rapid flow simulation to reduce the computing time while maintaining good accuracy, and second, to develop a whole building energy simulation (BES) strategy for data center modeling. To achieve this end, hybrid modeling and model training methodologies are investigated for rapid flow simulation, and a multi-zone model is proposed for BES. In the scope of hybrid modeling, two methods are proposed, i.e., the hybrid zero/two-equation turbulence model utilizing the zone partitioning technique and a combination of turbulence and floor tile models for the development of the composite performance index. It shows that the zero-equation coupled with either body force and modified body force tile models have the best potential in reducing the computing time, while preserving reasonable accuracy. The hybrid zero/two-equation method cuts down the computing time in half compared to the traditional practice of using only two-equation model. In the scope of model training, reduced order method via proper orthogonal decomposition (POD) and response surface methodology (RSM) are comprehensively studied for data center modeling. Both methods can quickly reconstruct the data center thermal profile and retain good accuracy. The RSM method especially shows numerous advantages in several optimization studies of data centers. Whether it is for the tile selection to control the server rack temperature difference or impacting the decision for the input design parameters in the early stage of data center infrastructure design, RSM can replace the costly experiments and the time-consuming and resource-intensive CFD simulations. Finally, for the whole BES study, the proposed multi-zone model is found to be much more effective compared to the common use single zone model. The location factor plays an important role in deciding whether some of boundary conditions are affecting the cooling electricity consumption. In addition, the effect of supply temperature and volumetric flow rate have significant effects on the energy consumption

On the Electrostatic Forces acting on Point Charges in the Presence of a Dielectric Slab

How will the electrostatic interaction between two point charges change if we introduce a dielectric slab in the middle of them? While the physical setting of this problem is relatively simple, it is easy to be wronged and the solution is surprisingly complicated. Here we will show the correct answer by using the method of images, which should be approachable for undergraduate students and advance high school students. We also obtain analytical and algebraic results in some special cases

Enriching Biomedical Knowledge for Vietnamese Low-resource Language Through Large-Scale Translation

Biomedical data and benchmarks are highly valuable yet very limited in low-resource languages other than English such as Vietnamese. In this paper, we make use of a state-of-the-art translation model in English-Vietnamese to translate and produce both pretrained as well as supervised data in the biomedical domains. Thanks to such large-scale translation, we introduce ViPubmedT5, a pretrained Encoder-Decoder Transformer model trained on 20 million translated abstracts from the high-quality public PubMed corpus. ViPubMedT5 demonstrates state-of-the-art results on two different biomedical benchmarks in summarization and acronym disambiguation. Further, we release ViMedNLI - a new NLP task in Vietnamese translated from MedNLI using the recently public En-vi translation model and carefully refined by human experts, with evaluations of existing methods against ViPubmedT5