On the role of financial derivatives for the genesis and analysis of volatility in commodity markets

Seit der Nahrungsmittelpreiskrise 2007/08 ist die Volatilität von Nahrungsmittelpreisen wieder als wichtiges Thema in der politischen Diskussion aufgetaucht. Nicht nur die Beobachtung eines steigenden Preisniveaus, sondern auch der scheinbare Anstieg der Volatilität auf Schlüsselmärkten (vor allem Getreide) hat viele Studien sowohl auf konzeptioneller als auch auf empirischer Ebene ausgelöst. Da Menschen, insbesondere in Entwicklungsländern, unter hohen und instabilen Preisen leiden, ist diese Entwicklung als globales Problem und ein Haupthindernis zur Bekämpfung von Hunger und Mangelernährung erkannt worden. Diese Doktorarbeit hat das Ziel, zu der Debatte beizutragen, wie am besten mit Preisvolatilität auf Agrarmärkten umzugehen ist. Um einen umfassenden Überblick über Agrarpreisvolatilität, ihre Ursachen und die Möglichkeiten, betroffenen Marktteilnehmern sinnvoll zu helfen, zu geben, konzentriert sich diese Arbeit auf drei bedeutende Aspekte, welche die drei Hauptkapitel dieser kumulativen Dissertation bilden: Kapitel 2 hat das Ziel, die Frage, wie sich Volatilität seit der Nahrungsmittelpreiskrise 2007/08 entwickelt hat, robust zu beantworten. Generelle Unterschiede im Volatilitätslevel, der Volatilität der Volatilität und der Persistenz der Volatilität werden für ein Set von realisierten, GARCH-Modell basierten und impliziten Volatilitäten auf drei Agrarmärkten – Weizen, Mais und Sojabohnen – betrachtet. Darüber hinaus werden verbreitete Aussagen bezüglich des Anstiegs der Volatilität seit der Nahrungsmittelpreiskrise 2007/08 und weitere relevante Aspekte wie die Veränderung der Persistenz der Volatilität und die Quantifizierung des Anstiegs hinsichtlich einer robusten Schlussfolgerung geprüft. Kapitel 3 identifiziert die Treiber von Volatilität für verschiedene Ölsaaten und pflanzliche Ölmärkte. Das Kapitel liefert eine Untersuchung der gemeinsamen Effekte von fundamentalen Volatilitätstreibern und der Übertragungseffekte zwischen verwandten Märkten. Kapitel 4 stellt ein Set von verwandten Risikomaßen vor, um die detaillierte Struktur der Volatilität in Agrarmärkten zu charakterisieren. Diese Maße erlauben die Zerlegung einer allgemeinen Preisbewegung in „große“ Veränderungen mit möglicherweise schwerwiegenden ökonomischen Konsequenzen und „normale“ Veränderungen. Es werden zukunftsgerichtete Schätzer der Risikomaße abgeleitet, die die Erwartungen des Marktes über zukünftige Bewegungen der Rohwarenpreise aus aktuellen Optionspreisen extrahieren. Eine empirische Studie für wichtige Getreidemärkte demonstriert die Vorhersagekraft der impliziten Schätzer. Insgesamt zeigt die Doktorarbeit, dass Risikomanagement und die Abmilderung der Effekte erhöhter Preisvolatilität nur dann wirkungsvoll ist, wenn man sich bewusst ist, welche Agrarmärkte betroffen sind, mit welcher genauen Art von Preisrisiko man konfrontiert ist und somit welche Gruppe von Marktteilnehmern Schutz benötigt und wenn das Risiko frühzeitig erkannt wird, um hilfreiche Maßnahmen zu unternehmen

Optisches Geschwindigkeitsmesssystem zur vektoriellen Erfassung instationärer Strömungsprozesse

Die Reduzierung des Ressourcenverbrauchs und der Lärm- und Schadstoffemissionen von technischen Strömungsprozessen wie Verbrennungs- und Einspritzvorgängen ist von hoher gesellschaftlicher Bedeutung und erfordert ein tieferes Verständnis der auftretenden Strömungsphänomene. Hierfür ist die messtechnische Erfassung der Strömungen notwendig, wobei insbesondere die Strömungsgeschwindigkeit von hohem Interesse ist. Strömungsgeschwindigkeitsmessungen in dynamischen oder reaktiven Fluiden stellen jedoch hohe Anforderungen an die eingesetzte Messtechnik. Um Strömungsoszillationen und instationäre Phänomene mit kurzen Zeitskalen erfassen zu können, muss eine Messung simultan dreikomponentig und mit einer hohen Messrate von 100 kHz oder mehr erfolgen. Zur Analyse komplexer und kleinskaliger Geschwindigkeitsfelder ist eine bildgebende oder volumetrische Messung mit einer hohen örtlichen Auflösung wünschenswert. Momentan verfügbare Messsysteme genügen bisher nicht allen genannten Anforderungen. Das Ziel dieser Arbeit ist daher die Entwicklung, Charakterisierung und Qualifizierung eines geeigneten Systems zur zeitaufgelösten Erfassung instationärer Strömungsprozesse in hochdynamischen und reaktiven Fluiden. Einen für diese Zwecke vielversprechenden Ansatz stellt die Doppler-Global-Velozimetrie (FM-DGV) dar, da diese eine berührungslose Messung mit hoher Messrate gestattet und prinzipiell auch dreikomponentige und volumetrische Messungen ermöglicht. Daher erfolgte die Entwicklung und Realisierung eines simultan dreikomponentigen FM-DGV-Systems und eines FM-DGV-Systems zur bildgebenden und volumetrischen Messung. Die aufgebauten Systeme wurden hinsichtlich ihrer Geschwindigkeitsmessunsicherheit charakterisiert. Hierbei konnte gezeigt werden, dass die resultierenden Messunsicherheiten hinreichend klein sind und der Einfluss von Brechungsindexfluktuationen auf die Messunsicherheit vernachlässigt werden kann. Die Analyse der Messunsicherheiten aufgrund von Strömungsgeschwindigkeits- und Streulichtleistungsfluktuationen erfolgte mittels eines modellbasierten Ansatzes. Dabei wurde gezeigt, dass Streulichtleistungsfluktuationen einen dominanten Beitrag zum Messunsicherheitsbudget leisten können. Um die Eignung für die simultan dreikomponentige Messung mit hoher Messrate zu demonstrieren, wurden Messungen an einem Bias-Flow-Liner (BFL) durchgeführt. Dabei gelang erstmals an einem BFL die Untersuchung des Leistungsdichtespektrums in kartesischen Koordinaten und der Nachweis eines breitbandigen Energietransfers von Energie der Schallanregung hin zur kinetischen Energie der Strömung. Zur Demonstration der Messung in reaktiven Fluiden wurde ein drallstabilisierter Gasbrenner untersucht, wie er in stationären Gasturbinen und Flugzeugtriebwerken eingesetzt wird. Hierbei konnte eine thermo-akustische Wechselwirkung zwischen der Wärmefreisetzungsrate und dem Druck nachgewiesen werden und es zeigte sich ein Zusammenhang zwischen den lokalen Geschwindigkeitsoszillationen innerhalb der Flamme und den globalen Schalldruckemissionen. Durch die bildgebende, zeit- und ortsaufgelöste Messung mit hoher Messrate konnten zudem erstmals instationäre Phänomene der Strömungsgeschwindigkeit im düsennahen Bereich einer Hochdruck-Einspritzdüse ohne Seedingzufuhr vermessen werden. Diese Entwicklungen ermöglichen weitere Untersuchungen zum stabileren Betrieb von Gasbrennern mit mageren Gemischen, ein tieferes Verständnis der Dämpfungsmechanismen an BFL und die Optimierung des Einspritzvorganges in Motoren. Somit kann perspektivisch ein Beitrag zum ressourcenschonenden, umweltfreundlichen und leisen Betrieb von technischen Strömungsmaschinen wie Flugzeugtriebwerken, stationären Gasturbinen und Verbrennungsmotoren geleistet werden.The reduction of the consumption of resources and the noise and polluting emissions of technical flow processes such as combustion and injection processes is of high social relevance and requires a deeper understanding of the occurring flow phenomena. For this purpose the metrological acquisition of the flows is necessary, whereat especially the flow velocity is of high interest. However, flow velocity measurements in dynamic or reactive fluids make great demands on the engaged measurement techniques. In order to resolve velocity oscillations or unsteady phenomena with short timescales a simultaneous three component measurement with a high measurement rate of 100 kHz or more is required. To analyze complex and small-scale velocity fields an imaging or volumetric measurement with a high spatial resolution is desired. Currently available measurement systems do not fulfill all these requirements. Hence, the goal of this work is the development, characterization and qualification of a measurement system suitable for the temporally resolved acquisition of unsteady flow processes in highly dynamic and reactive fluids. For this purpose the Doppler global velocimetry with laser frequency modulation (FM-DGV) represents a promising approach, since it allows a contactless measurement with high measurement rate and in principle enables simultaneous three component and volumetric measurements. Hence, as a first step a simultaneous three component FM-DGV system and a FM-DGV system for imaging and volumetric measurements were developed. Subsequently, the realized systems were characterized regarding their velocity measurement uncertainty. It was shown, that the resulting measurement uncertainty is sufficiently small and that the influence of fluctuations of the refractive index on the measurement uncertainty can be neglected. The analysis of the measurement uncertainty due to fluctuations of the flow velocity and the scattered light power was conducted using a model-based approach. It was thereby shown, that fluctuations of the scattered light power can lead to a dominant term of the uncertainty budget. In order to demonstrate the suitability for simultaneous three component measurement with high measurement rate, measurements at a bias flow liner (BFL) were conducted. Thereby for the first time at a BFL it was possible to determine the power spectral density in Cartesian coordinates and to show the broadband energy transfer from the energy of the sound excitation to the kinetic energy of the flow. To demonstrate the measurement in reactive flows, a swirl-stabilized burner was investigated, as it is used in stationary gas turbines and airplane engines. It was possible to prove a thermo-acoustic interaction between the heat release rate and the pressure and to show a correlation between the local velocity oscillations within the flame and the global sound pressure emissions. By means of the imaging, temporally and spatially resolved measurement with high measurement rate it was furthermore possible to resolve unsteady phenomena in the near-nozzle region of a high-pressure injection nozzle without the addition of tracer particles. These developments allow further investigations regarding the stable operation of gas burners with lean mixtures, a deeper understanding of the damping effects at BFL and the optimization of injection processes in engines. Consequently, it is perspectively possible to contribute to the resource-efficient, environment-friendly and quiet operation of technical flow machines as aircraft engines, stationary gas turbines and combustion engines

Optical quantification of intracellular mass density and cell mechanics in 3D mechanical confinement

Biophysical properties of cells such as intracellular mass density and cell mechanics are known to be involved in a wide range of homeostatic functions and pathological alterations. An optical readout that can be used to quantify such properties is the refractive index (RI) distribution. It has been recently reported that the nucleus, initially presumed to be the organelle with the highest dry mass density (ρ) within the cell, has in fact a lower RI and ρ than its surrounding cytoplasm. These studies have either been conducted in suspended cells, or cells adhered on 2D substrates, neither of which reflects the situation in vivo where cells are surrounded by the extracellular matrix (ECM). To better approximate the 3D situation, we encapsulated cells in 3D covalently-crosslinked alginate hydrogels with varying stiffness, and imaged the 3D RI distribution of cells, using a combined optical diffraction tomography (ODT)-epifluorescence microscope. Unexpectedly, the nuclei of cells in 3D displayed a higher ρ than the cytoplasm, in contrast to 2D cultures. Using a Brillouin-epifluorescence microscope we subsequently showed that in addition to higher ρ, the nuclei also had a higher longitudinal modulus (M) and viscosity (η) compared to the cytoplasm. Furthermore, increasing the stiffness of the hydrogel resulted in higher M for both the nuclei and cytoplasm of cells in stiff 3D alginate compared to cells in compliant 3D alginate. The ability to quantify intracellular biophysical properties with non-invasive techniques will improve our understanding of biological processes such as dormancy, apoptosis, cell growth or stem cell differentiation. <br

Mapping Tumor Spheroid Mechanics in Dependence of 3D Microenvironment Stiffness and Degradability by Brillouin Microscopy

Altered biophysical properties of cancer cells and of their microenvironment contribute to cancer progression. While the relationship between microenvironmental stiffness and cancer cell mechanical properties and responses has been previously studied using two-dimensional (2D) systems, much less is known about it in a physiologically more relevant 3D context and in particular for multicellular systems. To investigate the influence of microenvironment stiffness on tumor spheroid mechanics, we first generated MCF-7 tumor spheroids within matrix metalloproteinase (MMP)-degradable 3D polyethylene glycol (PEG)-heparin hydrogels, where spheroids showed reduced growth in stiffer hydrogels. We then quantitatively mapped the mechanical properties of tumor spheroids in situ using Brillouin microscopy. Maps acquired for tumor spheroids grown within stiff hydrogels showed elevated Brillouin frequency shifts (hence increased longitudinal elastic moduli) with increasing hydrogel stiffness. Maps furthermore revealed spatial variations of the mechanical properties across the spheroids’ cross-sections. When hydrogel degradability was blocked, comparable Brillouin frequency shifts of the MCF-7 spheroids were found in both compliant and stiff hydrogels, along with similar levels of growth-induced compressive stress. Under low compressive stress, single cells or free multicellular aggregates showed consistently lower Brillouin frequency shifts compared to spheroids growing within hydrogels. Thus, the spheroids’ mechanical properties were modulated by matrix stiffness and degradability as well as multicellularity, and also to the associated level of compressive stress felt by tumor spheroids. Spheroids generated from a panel of invasive breast, prostate and pancreatic cancer cell lines within degradable stiff hydrogels, showed higher Brillouin frequency shifts and less cell invasion compared to those in compliant hydrogels. Taken together, our findings contribute to a better understanding of the interplay between cancer cells and microenvironment mechanics and degradability, which is relevant to better understand cancer progression

PNIPAAm microgels with defined network architecture as temperature sensors in optical stretchers

Stretching individual living cells with light is a standard method to assess their mechanical properties. Yet, heat introduced by the laser light of optical stretchers may unwittingly change the mechanical properties of cells therein. To estimate the temperature induced by an optical trap, we introduce cell-sized, elastic poly(N-isopropylacrylamide) (PNIPAAm) microgels that relate temperature changes to hydrogel swelling. For their usage as a standardized calibration tool, we analyze the effect of free-radical chain-growth gelation (FCG) and polymer-analogous photogelation (PAG) on hydrogel network heterogeneity, micromechanics, and temperature response by Brillouin microscopy and optical diffraction tomography. Using a combination of tailor-made PNIPAAm macromers, PAG, and microfluidic processing, we obtain microgels with homogeneous network architecture. With that, we expand the capability of standardized microgels in calibrating and validating cell mechanics analysis, not only considering cell and microgel elasticity but also providing stimuli-responsiveness to consider dynamic changes that cells may undergo during characterization

Combined fluorescence, optical diffraction tomography and Brillouin microscopy

Quantitative measurements of physical parameters become increasingly important for understanding biological processes. Brillouin microscopy (BM) has recently emerged as one technique providing the 3D distribution of viscoelastic properties inside biological samples — so far relying on the implicit assumption that refractive index (RI) and density can be neglected. Here, we present a novel method (FOB microscopy) combining BM with optical diffraction tomography and epi-fluorescence imaging for explicitly measuring the Brillouin shift, RI and absolute density with molecular specificity. We show that neglecting the RI and density might lead to erroneous conclusions. Investigating the cell nucleus, we find that it has lower density but higher longitudinal modulus. Thus, the longitudinal modulus is not merely sensitive to the water content of the sample — a postulate vividly discussed in the field. We demonstrate the further utility of FOB on various biological systems including adipocytes and intracellular membraneless compartments. FOB microscopy can provide unexpected scientific discoveries and shed quantitative light on processes such as phase separation and transition inside living cells

Correlative all-optical quantification of mass density and mechanics of subcellular compartments with fluorescence specificity

Quantitative measurements of physical parameters become increasingly important for understanding biological processes. Brillouin microscopy (BM) has recently emerged as one technique providing the 3D distribution of viscoelastic properties inside biological samples − so far relying on the implicit assumption that refractive index (RI) and density can be neglected. Here, we present a novel method (FOB microscopy) combining BM with optical diffraction tomography and epifluorescence imaging for explicitly measuring the Brillouin shift, RI, and absolute density with specificity to fluorescently labeled structures. We show that neglecting the RI and density might lead to erroneous conclusions. Investigating the nucleoplasm of wild-type HeLa cells, we find that it has lower density but higher longitudinal modulus than the cytoplasm. Thus, the longitudinal modulus is not merely sensitive to the water content of the sample − a postulate vividly discussed in the field. We demonstrate the further utility of FOB on various biological systems including adipocytes and intracellular membraneless compartments. FOB microscopy can provide unexpected scientific discoveries and shed quantitative light on processes such as phase separation and transition inside living cells

Adipose cells and tissues soften with lipid accumulation while in diabetes adipose tissue stiffens

Adipose tissue expansion involves both differentiation of new precursors and size increase of mature adipocytes. While the two processes are well balanced in healthy tissues, obesity and diabetes type II are associated with abnormally enlarged adipocytes and excess lipid accumulation. Previous studies suggested a link between cell stiffness, volume and stem cell differentiation, although in the context of preadipocytes, there have been contradictory results regarding stiffness changes with differentiation. Thus, we set out to quantitatively monitor adipocyte shape and size changes with differentiation and lipid accumulation. We quantified by optical diffraction tomography that differentiating preadipocytes increased their volumes drastically. Atomic force microscopy (AFM)-indentation and -microrheology revealed that during the early phase of differentiation, human preadipocytes became more compliant and more fluid-like, concomitant with ROCK-mediated F-actin remodelling. Adipocytes that had accumulated large lipid droplets were more compliant, and further promoting lipid accumulation led to an even more compliant phenotype. In line with that, high fat diet-induced obesity was associated with more compliant adipose tissue compared to lean animals, both for drosophila fat bodies and murine gonadal adipose tissue. In contrast, adipose tissue of diabetic mice became significantly stiffer as shown not only by AFM but also magnetic resonance elastography. Altogether, we dissect relative contributions of the cytoskeleton and lipid droplets to cell and tissue mechanical changes across different functional states, such as differentiation, nutritional state and disease. Our work therefore sets the basis for future explorations on how tissue mechanical changes influence the behaviour of mechanosensitive tissue-resident cells in metabolic disorders

Axonal Transport, Phase-Separated Compartments, and Neuron Mechanics - A New Approach to Investigate Neurodegenerative Diseases

Many molecular and cellular pathogenic mechanisms of neurodegenerative diseases have been revealed. However, it is unclear what role a putatively impaired neuronal transport with respect to altered mechanical properties of neurons play in the initiation and progression of such diseases. The biochemical aspects of intracellular axonal transport, which is important for molecular movements through the cytoplasm, e.g., mitochondrial movement, has already been studied. Interestingly, transport deficiencies are associated with the emergence of the affliction and potentially linked to disease transmission. Transport along the axon depends on the normal function of the neuronal cytoskeleton, which is also a major contributor to neuronal mechanical properties. By contrast, little attention has been paid to the mechanical properties of neurons and axons impaired by neurodegeneration, and of membraneless, phase-separated organelles such as stress granules (SGs) within neurons. Mechanical changes may indicate cytoskeleton reorganization and function, and thus give information about the transport and other system impairment. Nowadays, several techniques to investigate cellular mechanical properties are available. In this review, we discuss how select biophysical methods to probe material properties could contribute to the general understanding of mechanisms underlying neurodegenerative diseases