Bonded particles models of rock plates with circular cavities in uniaxial and biaxial compression

In this paper, a distinct elements code is used to perform a numerical investigation for the size and stress gradient effects on the fracture initiation and propagation around single or pairs of pre-existing cavities in brittle rock. To investigate the rock fracture around cavities and to assess the potential of the numerical model to simulate this behavior, published laboratory physical model on granite is simulated numerically with a Bonded Particles Model (BPM). The numerical model is presented and the calibration of the BPM micro-parameters is described. Then, the calibrated BPMs are used to investigate the effect of the size of the cavity on the primary, secondary and side wall fracturing, as well as on the fracturing modes. Moreover, BPMs with two circular cavities were used to study the interaction of these holes of the same diameter and to investigate the importance of their relative distance. Finally, the simulated material was studied by biaxial tests on BPMs with a pre-existing hole

Freight options: Price modelling and empirical analysis

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are commonly traded in the freight derivatives market. By exploiting the computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the trip-charter route average Baltic Capesize, Panamax and Supramax Indices. We show that the jump-extended setting yields important model improvements over the basic lognormal setting

Affine-Structure Models and the Pricing of Energy Commodity Derivatives

We consider a seasonal mean-reverting model for energy commodity prices with jumps and Heston-type stochastic volatility, and three nested models for comparison. By exploiting the affine form of the log-spot models, we develop a general valuation framework for futures and discrete arithmetic Asian options. We investigate five major petroleum commodities from Europe (Brent crude oil, gasoil) and US (light sweet crude oil, gasoline, heating oil) and analyse the effects of the competing fitted spot models in futures pricing, Asian options pricing and hedging. We find evidence that price jumps and stochastic volatility are important features of the petroleum price dynamics

Effect of shaft surface roughness on the performance of radial lip seals

Reduction of leakage from the shaft–radial lip seal conjunction is critical in ensuring enduring performance of entire lubrication system. This paper investigates leakage from three types of shaft surfaces, finished using different manufacturing processes. The measurement of surface topography is conducted in order to determine the pertinent roughness parameters which correspond to the observed sealing performance in real practical applications. It is found that the skewness of the surface topography correlates well with the anecdotal leakage failure rate. To quantify this association, a hydrodynamic model, accounting for shaft roughness in a deterministic manner is developed. The results from the numerical analyses confirm that the lubricant mass flow rate is reduced in the case of negatively skewed surface height distributions, when compared with the positively skewed profiles

Shipping Investor Sentiment and International Stock Return Predictability

Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that shipping investor sentiment is a common leading indicator for financial markets. We establish out-of-sample predictability and demonstrate that investor sentiment is also economically significant in providing utility gains to a mean-variance investor. Finally, we find evidence that the predictive power of sentiment works best when negative forecasts are also taken into account

Analysis of Volatility and Correlation for CME Steel Products

Correlation and volatility between commodity prices is a very important factor to consider when designing risk management and investment strategies. The efficiency of hedging strategies for instance, depends on the existence of strong and stable correlation between spot and futures commodity prices; the absence of correlation on the other hand, or even sudden changes in the level of correlations may have detrimental implications not only for hedging and risk management but also in shaping the efficiency of a country’s energy, manufacturing and food policies. In general,co-movements between commodity markets may be attributed to common macroeconomic shocks on world markets, and the complementarity or substitutability in the production or consumption of related commodities. It is also an established fact that although the prices for related commodities are correlated, correlation changes over time and, in particular, correlation changes have become more erratic over the last five years. Recent research by Buyuksahin et. al (2010) and Silvennoinen and Thorp (2010) has found that returns correlation between commodities has increased substantially during the recent financial crisis. Tang and Xiong (2011) also highlight that the increase in the correlations between the returns of different commodity futures started long before the crisis and cannot be simply attributed to the onset of the crisis. In this report we attempt to identify whether the co-movement of HRC CRU, which is the underlying asset for the CME contract, and a basket of related steel commodities is strong enough

Evolving towards a critical point: A possible electromagnetic way in which the critical regime is reached as the rupture approaches

International audienceIn analogy to the study of critical phase transitions in statistical physics, it has been argued recently that the fracture of heterogeneous materials could be viewed as a critical phenomenon, either at laboratory or at geophysical scales. If the picture of the development of the fracture is correct one may guess that the precursors may reveal the critical approach of the main-shock. When a heterogeneous material is stretched, its evolution towards breaking is characterized by the appearance of microcracks before the final break-up. Microcracks produce both acoustic and electromagnetic(EM) emission in the frequency range from VLF to VHF. The microcracks and the associated acoustic and EM activities constitute the so-called precursors of general fracture. These precursors are detectable not only at laboratory but also at geophysical scales. VLF and VHF acoustic and EM emissions have been reported resulting from volcanic and seismic activities in various geologically distinct regions of the world. In the present work we attempt to establish the hypothesis that the evolution of the Earth's crust towards the critical point takes place not only in a mechanical but also in an electromagnetic sense. In other words, we focus on the possible electromagnetic criticality, which is reached while the catastrophic rupture in the Earth's crust approaches. Our main tool is the monitoring of micro-fractures that occur before the final breakup, by recording their radio-electromagnetic emissions. We show that the spectral power law analysis of the electromagnetic precursors reveals distinguishing signatures of underlying critical dynamics, such as: (i) the emergence of memory effects; (ii) the decrease with time of the anti-persistence behaviour; (iii) the presence of persistence properties in the tail of the sequence of the precursors; and (iv) the acceleration of the precursory electro-magnetic energy release. Moreover, the statistical analysis of the amplitudes of the electromagnetic fluctuations reveals the breaking of the symmetry as the theory predicts. Finally, we try to answer the question: how universal the observed electromagnetic critical behaviour of the failing system is

Multivariate statistical process control based on principal component analysis: implementation of framework in R

The interest in multivariate statistical process control (MSPC) has increased as the industrial processes have become more complex. This paper presents an industrial process involving a plastic part in which, due to the number of correlated variables, the inversion of the covariance matrix becomes impossible, and the classical MSPC cannot be used to identify physical aspects that explain the causes of variation or to increase the knowledge about the process behaviour. In order to solve this problem, a Multivariate Statistical Process Control based on Principal Component Analysis (MSPC-PCA) approach was used and an R code was developed to implement it according some commercial software used for this purpose, namely the ProMV (c) 2016 from ProSensus, Inc. (www.prosensus.ca). Based on used dataset, it was possible to illustrate the principles of MSPC-PCA. This work intends to illustrate the implementation of MSPC-PCA in R step by step, to help the user community of R to be able to perform it.FCT - Fundação para a Ciência e a Tecnologia(UID/CEC/00319/2013

Arsenic as an Endocrine Disruptor: Arsenic Disrupts Retinoic Acid Receptor–and Thyroid Hormone Receptor–Mediated Gene Regulation and Thyroid Hormone–Mediated Amphibian Tail Metamorphosis

Background: Chronic exposure to excess arsenic in drinking water has been strongly associated with increased risks of multiple cancers, diabetes, heart disease, and reproductive and developmental problems in humans. We previously demonstrated that As, a potent endocrine disruptor at low, environmentally relevant levels, alters steroid signaling at the level of receptor-mediated gene regulation for all five steroid receptors. Objectives: The goal of this study was to determine whether As can also disrupt gene regulation via the retinoic acid (RA) receptor (RAR) and/or the thyroid hormone (TH) receptor (TR) and whether these effects are similar to previously observed effects on steroid regulation. Methods and results: Human embryonic NT2 or rat pituitary GH3 cells were treated with 0.01–5 μM sodium arsenite for 24 hr, with or without RA or TH, respectively, to examine effects of As on receptor-mediated gene transcription. At low, noncytotoxic doses, As significantly altered RAR-dependent gene transcription of a transfected RAR response element–luciferase construct and the native RA-inducible cytochrome P450 CYP26A gene in NT2 cells. Likewise, low-dose As significantly altered expression of a transfected TR response element–luciferase construct and the endogenous TR-regulated type I deiodinase (DIO1) gene in a similar manner in GH3 cells. An amphibian ex vivo tail metamorphosis assay was used to examine whether endocrine disruption by low-dose As could have specific pathophysiologic consequences, because tail metamorphosis is tightly controlled by TH through TR. TH-dependent tail shrinkage was inhibited in a dose-dependent manner by 0.1– 4.0 μM As. Conclusions: As had similar effects on RAR- and TR-mediated gene regulation as those previously observed for the steroid receptors, suggesting a common mechanism or action. Arsenic also profoundly affected a TR-dependent developmental process in a model animal system at very low concentrations. Because RAR and TH are critical for both normal human development and adult function and their dysregulation is associated with many disease processes, disruption of these hormone receptor–dependent processes by As is also potentially relevant to human developmental problems and disease risk