Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Space Weathering in Houston: A Role for the Experimental Impact Laboratory at JSC

The effective investigation of space weathering demands an interdisciplinary approach that is at least as diversified as any other in planetary science. Because it is a macroscopic process affecting all bodies in the solar system, impact and its resulting shock effects must be given detailed attention in this regard. Direct observation of the effects of impact is most readily done for the Moon, but it still remains difficult for other bodies in the solar system. Analyses of meteorites and precious returned samples provide clues for space weathering on asteroids, but many deductions arising from those studies must still be considered circumstantial. Theoretical work is also indispensable, but it can only go as far as the sometimes meager data allow. Experimentation, however, can permit near real-time study of myriad processes that could contribute to space weathering. This contribution describes some of the capabilities of the Johnson Space Center's Experimental Impact Laboratory (EIL) and how they might help in understanding the space weathering process

Nanoscale Mineralogy and Composition of Experimental Regolith Agglutinates Produced under Asteroidal Impact Conditions

On the Moon, the energetics of smaller impactors and the physical/chemical characteristics of the granular regolith target combine to form a key product of lunar space weathering: chemically reduced shock melts containing optically-active nanophase Fe metal grains (npFe0) [1]. In addition to forming the optically dark glassy matrix phase in lunar agglutinitic soil particles [1], these shock melts are becoming increasingly recognized for their contribution to optically active patina coatings on a wide range of exposed rock and grain surfaces in the lunar regolith [2]. In applying the lessons of lunar space weathering to asteroids, the potential similarities and differences in regolith-hosted shock melts on the Moon compared to those on asteroids has become a topic of increasing interest [3,4]. In a series of impact experiments performed at velocities applicable to the asteroid belt [5], Horz et al. [6] and See and Horz [7] have previously shown that repeated impacts into a gabbroic regolith analog target can produce melt-welded grain aggregates morphologically very similar to lunar agglutinates [6,7]. Although these agglutinate-like particles were extensively analyzed by electron microprobe and scanning electron microscopy (SEM) as part of the original study [7], a microstructural and compositional comparison of these aggregates to lunar soil agglutinates at sub-micron scales has yet to be made. To close this gap, we characterized a representative set of these aggregates using a JEOL 7600 field-emission scanning electron microscope (FE-SEM), and JEOL 2500SE field-emission scanning transmission electron microscope (FE-STEM) both optimized for energy dispersive X-ray spectroscopy (EDX) compositional spectrum imaging at respective analytical spatial resolutions of 0.5 to 1 micron, and 2 to 4 nm

Self-stresses and Crack Formation by Particle Swelling in Cohesive Granular Media

We present a molecular dynamics study of force patterns, tensile strength and crack formation in a cohesive granular model where the particles are subjected to swelling or shrinkage gradients. Non-uniform particle size change generates self-equilibrated forces that lead to crack initiation as soon as strongest tensile contacts begin to fail. We find that the coarse-grained stresses are correctly predicted by an elastic model that incorporates particle size change as metric evolution. The tensile strength is found to be well below the theoretical strength as a result of inhomogeneous force transmission in granular media. The cracks propagate either inward from the edge upon shrinkage and outward from the center upon swelling

Shear strength properties of wet granular materials

We investigate shear strength properties of wet granular materials in the pendular state (i.e. the state where the liquid phase is discontinuous) as a function of water content. Sand and glass beads were wetted and tested in a direct shear cell and under various confining pressures. In parallel, we carried out three-dimensional molecular dynamics simulations by using an explicit equation expressing capillary force as a function of interparticle distance, water bridge volume and surface tension. We show that, due to the peculiar features of capillary interactions, the major influence of water content over the shear strength stems from the distribution of liquid bonds. This property results in shear strength saturation as a function of water content. We arrive at the same conclusion by a microscopic analysis of the shear strength. We propose a model that accounts for the capillary force, the granular texture and particle size polydispersity. We find fairly good agreement of the theoretical estimate of the shear strength with both experimental data and simulations. From numerical data, we analyze the connectivity and anisotropy of different classes of liquid bonds according to the sign and level of the normal force as well as the bond direction. We find that weak compressive bonds are almost isotropically distributed whereas strong compressive and tensile bonds have a pronounced anisotropy. The probability distribution function of normal forces is exponentially decreasing for strong compressive bonds, a decreasing power-law function over nearly one decade for weak compressive bonds and an increasing linear function in the range of tensile bonds. These features suggest that different bond classes do not play the same role with respect to the shear strength.Comment: 12 page

Multiscale Analysis of the Stress State in a Granular Slope in Transition to Failure

By means of contact dynamics simulations, we analyze the stress state in a granular bed slowly tilted towards its angle of repose. An increasingly large number of grains are overloaded in the sense that they are found to carry a stress ratio above the Coulomb yield threshold of the whole packing. Using this property, we introduce a coarse-graining length scale at which all stress ratios are below the packing yield threshold. We show that this length increases with the slope angle and jumps to a length comparable to the depth of the granular bed at an angle below the angle of repose. This transition coincides with the onset of dilatation in the packing. We map this transition into a percolation transition of the overloaded grains, and we argue that in the presence of long-range correlations above the transition angle, the granular slope is metastable.Comment: 11 pages, 14 Fig, submitted to PR

Rheophysics of dense granular materials : Discrete simulation of plane shear flows

We study the steady plane shear flow of a dense assembly of frictional, inelastic disks using discrete simulation and prescribing the pressure and the shear rate. We show that, in the limit of rigid grains, the shear state is determined by a single dimensionless number, called inertial number I, which describes the ratio of inertial to pressure forces. Small values of I correspond to the quasi-static regime of soil mechanics, while large values of I correspond to the collisional regime of the kinetic theory. Those shear states are homogeneous, and become intermittent in the quasi-static regime. When I increases in the intermediate regime, we measure an approximately linear decrease of the solid fraction from the maximum packing value, and an approximately linear increase of the effective friction coefficient from the static internal friction value. From those dilatancy and friction laws, we deduce the constitutive law for dense granular flows, with a plastic Coulomb term and a viscous Bagnold term. We also show that the relative velocity fluctuations follow a scaling law as a function of I. The mechanical characteristics of the grains (restitution, friction and elasticity) have a very small influence in this intermediate regime. Then, we explain how the friction law is related to the angular distribution of contact forces, and why the local frictional forces have a small contribution to the macroscopic friction. At the end, as an example of heterogeneous stress distribution, we describe the shear localization when gravity is added.Comment: 24 pages, 19 figure

Frictionless bead packs have macroscopic friction, but no dilatancy

The statement of the title is shown by numerical simulation of homogeneously sheared packings of frictionless, nearly rigid beads in the quasistatic limit. Results coincide for steady flows at constant shear rate γ in the limit of small γ and static approaches, in which packings are equilibrated under growing deviator stresses. The internal friction angle ϕ, equal to 5.76 $\pm$ 0.22 degrees in simple shear, is independent on the average pressure P in the rigid limit. It is shown to stem from the ability of stable frictionless contact networks to form stress-induced anisotropic fabrics. No enduring strain localization is observed. Dissipation at the macroscopic level results from repeated network rearrangements, like the effective friction of a frictionless slider on a bumpy surface. Solid fraction Φ remains equal to the random close packing value ≃ 0.64 in slowly or statically sheared systems. Fluctuations of stresses and volume are observed to regress in the large system limit, and we conclude that the same friction law for simple shear applies in the large psystem limit if normal stress or density is externally controlled. Defining the inertia number as I = γ m/(aP), with m the grain mass and a its diameter, both internal friction coefficient $\mu$∗ = tan ϕ and volume 1/Φ increase as powers of I in the quasistatic limit of vanishing I, in which all mechanical properties are determined by contact network geometry. The microstructure of the sheared material is characterized with a suitable parametrization of the fabric tensor and measurements of connectivity and coordination numbers associated with contacts and near neighbors.Comment: 19 pages. Additional technical details may be found in v