The effect of trading activity on volatility in commodity futures

Analytikere og forskere bruker økonomisk teori og empiriske funn for å identifisere forklaringsvariabler som kan forbedre prognoser for volatilitet. I denne oppgaven undersøker jeg forholdet mellom volatilitet, volum og open interest for seks utvalgte råvarefutures handlet i USA. Jeg benytter meg av to forskjellige metoder, OLS-basert og GARCH-basert modelleringsmetodikk, for å undersøke dette forholdet. Volum og open interest blir inkludert i variansligningen som forklaringsvariabler i begge modellene. Handlet volum og open interest blir inndelt i forventede og uforventede komponenter for å kunne skille mellom effekten av disse på volatiliteten. Dummy variabler for de uforventede komponentene blir også inkludert i variansligningen for å se om det finnes en asymmetrisk effekt av uforventet handelsaktivitet på volatiliteten. Resultatene indikerer at både volum og open interest kan forklare volatiliteten i råvarefutures. Empiriske funn i denne oppgaven tyder på at volatiliteten er høyere i perioder med høyt handlet volum for råvarefutures. Både forventet og uforventet volum er positivt korrelert med volatiliteten, hvor en økning i uforventet volum har en større effekt på volatiliteten i forhold til en økning i forventet volum. Resultatene oppnådd i denne oppgaven viser ingen tegn på at eksisterende open interest reduserer eller "demper" volatiliteten i et marked. Derimot viser resultatene at en økning i uforventet open interest reduserer volatiliteten. Med andre ord kan effekten av et volumsjokk på volatiliteten reduseres, avhengig av om open interest øker eller minker. Tilslutt viser resultatene ingen asymmetrisk effekt av uforventet handelsaktivitet på volatiliteten med unntak av for gull- og sølvkontrakten. For disse kontraktene har positive sjokk i volum en større effekt på volatiliteten enn negative sjokk i volum. Økt kunnskap om forholdet mellom volatilitet, volum og open interest vil kunne hjelpe markedsaktører til å ta bedre beslutninger i futuresmarkedet. Markedsaktører kan benytte volum og open interest som en proxy for henholdsvis informasjonsankomst og markedsdybde i markedene.Analysts and researchers use economic theory and empirical findings to identify variables that can improve volatility forecasts. In this paper I examine the relationship between volatility, volume and open interest for six selected commodity futures traded in the United States. Two different methods, OLS-based and GARCH-based modeling methodology, is used to examine this relationship. Volume and open interest are included in the variance equation as explanatory variables in both models. Traded volume and open interest are divided into expected and unexpected components to distinguish between the effects of these on volatility. Dummy variables for the unexpected components are also included in the variance equation to see if there is an asymmetrical effect of unexpected trading activity on volatility. The results indicate that both volume and open interest can explain volatility in commodity futures. Empirical findings in this thesis suggest that there is higher volatility in periods of high trading volume in commodity futures. Both expected and unexpected volume is positively correlated with volatility, where an increase in unexpected volume has a greater effect on volatility relative to expected volume. The results obtained in this study show no evidence that existing open interest significantly "mitigates" price volatility in a market. However, the results show that an increase in unexpected open interest reduces volatility. In other words, the effect of a volume shock on volatility decreases, depending on whether open interest increases or decreases. Finally, the results show no asymmetrical effect of unexpected trading activity on volatility, except for the gold and silver contracts. For these contracts, positive shocks in volume have a greater effect on volatility that negative shocks in volume. Increased knowledge about the relationship between volatility, volume and open interest will be able to help market participants make better decisions in the commodity futures market. Market participants can use volume as a proxy for information arrival and open interest as a proxy for market depth in the commodity futures market.M-Ø

Flyash as a Resource Material in Construction Industry: A Clean Approach to Environment Management

The maximum amount of electricity is produced by most of the thermal power plants by burning coal at their operating facilities. Due to this activity, various types of secondary materials are generated. Any material resulting from coal-combustion processes may be called as a coal-combustion product (CCP). Among different CCPs reported worldwide by coal-burning power plants, flyash is the most common one. As per the characterization report, flyash is considered as a powdery material being collected by dust collectors installed in the thermal power plants with the use of coal as fuel. There are different problems related to flyash like requirement of large area of land for disposal and toxicity caused by flyash which leach to groundwater. The study has established flyash as air and water pollution source. It is considered as waste that may act as a resource material in construction industry, thereby acting as a resource for waste and environment management. Till a decade back, flyash was treated as waste material worldwide, but now it is developed as an environment savior

Factor XIII deficiency in Pakistan

Patients with undiagnosed haemostatic defects seen at The Aga Khan Hospital and Fatimid Blood Transfusion Centre during the period of 7 years (1 985-1 992) were screened with routine tests including bleeding time (BT), whole blood clotting time (CT), platelet count, activated partial thromboplastin time (APTT), prothrombin time (PT) and 5 molar urea test. Nine patients had a positive 5 molar urea test indicating factor XIII deficiency. Rest of the screening tests were normal in these patients. High incidence of consanguinity was observed in affected families. Clinical features included excessive bleeding from umbilical stump, bruising, post-traumatic bleeding, epistaxis, melaena and intracerebral bleeding. All the patients were treated with fresh frozen plasma and cryoprecipitat

ANTI-OXIDANT, ANTI-MICROBIAL AND GLUCOSE DIFFUSION INHIBITION ACTIVITIES OF THE AQUEOUS AND CHLOROFORM EXTRACT OF PHYLLANTHUS URINARIA

Objective: The aim of this research was to analyze the antioxidant, anti-microbial and in-vitro glucose diffusion inhibition of the phytochemicals extracted from Phyllanthus urinaria.Methods: The anti-oxidant activity of the two extracts was done using DPPH method. The antimicrobial activity was performed using plate hole diffusion method. The in vitro anti-diabetic activity was determined using glucose diffusion inhibition technique.Results: Both the aqueous and chloroform extract were shown to have declined in antioxidant activity with the increase in concentration. There was a considerable amount of zone of inhibition observed in antimicrobial activity when the assay was performed against E. coli. However, no such zone of inhibition was observed against Bacillus subtilis. The glucose diffusion inhibition was found to be maximum for chloroform extract.Conclusion: The present study validates the effective use of P. urinaria against the microbial growth and also has anti-oxidant activity. The in vitro glucose diffusion inhibition proves the fact that it can act as a potent anti-diabetic agent.Keywords: DPPH, Anti-oxidant, Anti-microbial, Glucose Diffusion Inhibition, Phytochemical

An eco-friendly dyeing of woolen yarn by Terminalia chebula extract with evaluations of kinetic and adsorption characteristics

In the present study Terminalia chebula was used as an eco-friendly natural colorant for sustainable textile coloration of woolen yarn with primary emphasis on thermodynamic and kinetic adsorption aspects of dyeing processes. Polyphenols and ellagitannins are the main coloring components of the dye extract. Assessment of the effect of pH on dye adsorption showed an increase in adsorption capacity with decreasing pH. Effect of temperature on dye adsorption showed 80 °C as optimum temperature for wool dyeing with T. chebula dye extract. Two kinetic equations, namely pseudo first-order and pseudo second-order equations, were employed to investigate the adsorption rates. Pseudo second-order model provided the best fit (R2 = 0.9908) to the experimental data. The equilibrium adsorption data were fitted by Freundlich and Langmuir isotherm models. The adsorption behavior accorded well (R2 = 0.9937) with Langmuir isotherm model. Variety of eco-friendly and sustainable shades were developed in combination with small amount of metallic mordants and assessed in terms of colorimetric (CIEL∗a∗b∗ and K/S) properties measured using spectrophotometer under D65 illuminant (10° standard observer). The fastness properties of dyed woolen yarn against light, washing, dry and wet rubbing were also evaluated

Significance of Holter Monitoring in Evaluation of Non-Specific Symptoms

Background: To determine the diagnostic significanceof Holter monitoring in evaluation of non-specificsymptoms (like palpitations, dizziness, syncope,etc.).Methods: In this descriptive study 100 consecutivepatients referred for the evaluation of non-specificsymptoms were selected for Holter monitoring after initialevaluation. Through Holter monitoring two channels viafive leads, placed over the anterior chest wall, wererecorded. The disc was attached to a strap, which thepatient wore on his shoulder. The recording was usuallystarted in the morning at hospital and the patient wasallowed to resume his normal activities. He was advised tomaintain his activity log and asked to report back at thesame time next day.Results: Ventricular ectopics less than 10% werepresent as isolated events in 81%. Supraventricularepisodes less than 10% were present as isolated events in93%.Mean minimum heart rate was 43 , mean maximumheart rate was 123 and mean average heart rate was 71 . TheST-segment shift was present in 21% of the population inwhich 3% were ST-segment elevation and 19% were STsegmentdepressions.Conclusion: For the patients with non-specificsymptoms Holter monitoring has got an insignificant role,in the primary diagnosis of myocardial ischemia orarrhythmia as a cause of such symptom

SIMPLE: Stable Increased-throughput Multi-hop Protocol for Link Efficiency in Wireless Body Area Networks

In this work, we propose a reliable, power efficient and high throughput routing protocol for Wireless Body Area Networks (WBANs). We use multi-hop topology to achieve minimum energy consumption and longer network lifetime. We propose a cost function to select parent node or forwarder. Proposed cost function selects a parent node which has high residual energy and minimum distance to sink. Residual energy parameter balances the energy consumption among the sensor nodes while distance parameter ensures successful packet delivery to sink. Simulation results show that our proposed protocol maximize the network stability period and nodes stay alive for longer period. Longer stability period contributes high packet delivery to sink which is major interest for continuous patient monitoring.Comment: IEEE 8th International Conference on Broadband and Wireless Computing, Communication and Applications (BWCCA'13), Compiegne, Franc

Compliance of End Stage Renal Disease Patients on Haemodialysis

Background: To find out the factors which are responsible for non-compliance, even with free dialysis facilities. Methods: In this prospective study the patients with renal failure who were on maintenance dialysis were studied . All had end stage renal disease (ESRD) and were on either twice weekly or thrice weekly dialysis with a 3 hour dialysis at each session. Adequacy of dialysis was assessed by the urea reduction ratio (URR). Results: Out of the 30 patients studied 10% failed to report back after the second or third dialysis. 11.11% proceeded for renal transplant. 22.22% complied strictly with the prescribed dialysis prescription. The remaining 66.66% patients were non-compliant with the dialysis prescription and reported back to the dialysis unit at irregular intervals usually in a medical crisis. The period between each dialysis was directly proportional to the distance they had to travel from their homes to the dialysis unit. Staff attitude, explanation about the procedure, social support from relatives and financial constraints were all directly related to the degree of compliance. Conclusion: Compliance with haemodialysis is unsatisfactory. The number of dropouts is alarming

To evaluate the role of sonography as an adjunct to mammography in women with dense breasts

OBJECTIVE: To assess the role of sonography as an adjunct to mammography in women with dense breast tissue by determining yield and validity of sonography using histopathology/follow-up mammography as gold standard. METHODS: It was a descriptive analytical study conducted at the Radiology Department of Aga Khan University Hospital, from September 2005 to April 2007. A total of 76, mammographically dense breasts were evaluated with ultrasound. Of these 32 had palpable lumps on mammography, and were excluded from the study. A total of 44 patients had either symptoms of vague nodularity, nipple discharge, mastalgia or had no symptoms and the mammograms showed dense breast parenchyma without any focal abnormality. All these patients underwent whole breast ultrasound. The findings on ultrasound and subsequent histopathology and follow-up mammography were used to calculate the sensitivity, specificity, positive and negative predictive value of whole breast ultrasound as an adjunct to mammography. RESULTS: The age range of patients was 35 to 56 years, mean age was 42 +/- 7.33 years. Of the 44 patients included, 37 had normal ultrasound examinations and had the same findings on one year follow-up mammograms and ultrasound examinations. The remaining, seven patients were categorized as BI RADS category 4 due to presence of suspicious findings on ultrasound examination. They underwent ultrasound guided biopsy of the detected lesions. Out of seven solid lesions biopsied six were benign and one was reported malignant on histopathological examination. The sensitivity, specificity, positive and negative predictive values were 100%, 85%, 14% and 86% respectively. CONCLUSION: Breast ultrasound can be a useful adjunct to mammography in women with dense breast by detecting small cancers not identified on mammography or clinical breast examination. Larger studies will be required to suggest that ultrasound could be used as an adjunct