Less disagreement, better forecasts: adjusted risk measures in the energy futures market

This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under- and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post-adjusted risk forecasts

Mechanical properties of nodular natural gas hydrate-bearing sediment

Natural gas hydrate is a relatively realistic alternative energy source to conventional fossil fuels with considerable reserves. Natural gas hydrate sediments are widely distributed in marine sediment on continental margins. In this study, a numerical modeling method for sediment containing nodular gas hydrates is developed using the two-dimensional discrete element simulation software. The effects of saturation, confining pressure, and nodule radius on the mechanical properties of heterogeneous nodular gas-hydrate-bearing sediment were analyzed using the stress-strain, fracture development, and partial body strain curves, as well as force chain distribution. The results indicated that the mechanical strength of sediment containing round nodular gas hydrates was proportional to the gas hydrate saturation and simulated confining pressure. When hydrate saturation was low, the failure strength of the gas-hydrate-bearing sediment diminished as the nodule radius increased. The simulations showed that variations in sediment porosity influenced the development and evolution of the shear band, resulting in higher porosity around the shear band. These results were analyzed from the perspectives of saturation and confining pressure to determine the failure and deformation law of simple nodular gas hydrate-bearing sediment and provide theoretical support for the subsequent study of the exploitation method of shallow buried deep gas hydrates.Document Type: Original articleCited as: Jiang, Y., Zhang, R., Ye, R., Zhou, K., Gong, B., Golsanami, N. Mechanical properties of nodular natural gas hydrate-bearing sediment. Advances in Geo-Energy Research, 2024, 11(1): 41-53. https://doi.org/10.46690/ager.2024.01.0

Discrete element numerical simulation of mechanical properties of methane hydrate-bearing specimen considering deposit angles

Methane hydrate sediment (MHS) distributes under the seabed in different deposit angles according to the bottom simulating reflector (BSR) exhibitions. The mechanical properties of the combined sediment composed of soil and MHS dominate the stability of the slope. In this work, simulation models that consider the deposit angles, the confining pressures, loading velocities and hydrate saturation (Sh), were generated by using the discrete element method, following which the bi-axial compression of these models is simulated. The deformation response behavior of these models is studied systematically under different loading velocities, deposit angle, and hydrate saturation conditions. With increasing deposit angles, the peak strength approximately increased first and then decreased. The peak stress gradually decreases with increasing deposit angles when the hydrate saturation is more than 70% under the condition that the confining pressure is 10 MPa. The peak strength and stiffness of sediments increased with increasing Sh. The confining pressure enhanced the peak strength linearly, and the elastic modulus increased first and then decreased in a parabolic equation. Under different loading velocities conditions, the peak strength linearly increased, and the elastic modulus logarithmically increased with increasing loading velocity

The Seepage Control of the Tunnel Excavated in High-Pressure Water Condition Using Multiple Times Grouting Method

Groundwater can cause many hazardous problems when a tunnel is excavating. Seepage force acting on the support structure and the tunnel surface cannot be negligible. Under high groundwater table condition, the seepage situation becomes more complex and it is more difficult to control the leakage of groundwater to flow into a tunnel. In the paper, a multiple times grouting method is proposed, and the mechanical deformation behavior of surrounding rock is analyzed using the FLAC3D (Fast Lagrangian Analysis of Continua in 3 Dimensions) software according to the high groundwater table condition of the Hokusatsu tunnel. The results present that multiple times grouting can control leakage and the rock deformation well, compared with one-time grouting condition in rock breaking and high water pressure area. The seepage force decrease around the tunnel and the displacement is controlled effectively. The pore pressure reduces inside the grouting zone using a new kind of grouting material, which is high permeability ultramicro particle cement (average particle size 1.5 μm). In the test fieldwork, the grouting scheme reduces the maximum discharge from 300 t/h to 40 t/h, and there is not obvious deformation and abnormal stress in the tunnel. The multiple times grouting method proposed in this research is verified effectively and can supply a positive experience to on-site construction

The role of smoking and alcohol in mediating the effect of gastroesophageal reflux disease on lung cancer: A Mendelian randomization study

Observational studies have suggested a positive association between gastroesophageal reflux disease and lung cancer, but due to the existence of confounders, it remains undetermined whether gastroesophageal reflux disease (GERD) has a causal association with lung cancer. Therefore, Mendelian randomization (MR) analyses were applied to investigate the relationship between the two conditions. Two-sample Mendelian randomization analysis was utilized with summary genetic data from the European Bioinformatics Institute (602,604 individuals) and International Lung Cancer Consortium, which provides information on lung cancer and its histological subgroups. Furthermore, we used two-step Mendelian randomization and multivariable Mendelian randomization to estimate whether smoking initiation (311,629 cases and 321,173 controls) and alcohol intake frequency (n = 462,346) mediate any effect of gastroesophageal reflux disease on lung cancer risk. The Mendelian randomization analyses indicated that gastroesophageal reflux disease was associated with and significantly increased the risk of lung cancer (ORIVW = 1.35, 95% CI = 1.18–1.54; p = 1.36 × 10–5). Smoking initiation and alcohol intake frequency mediated 35% and 3% of the total effect of gastroesophageal reflux disease on lung cancer, respectively. The combined effect of these two factors accounted for 60% of the total effect. In conclusion, gastroesophageal reflux disease is associated with an increased risk of lung cancer, and interventions to reduce smoking and alcohol intake may reduce the incidence of lung cancer

Toll-Like Receptor 3 Deficiency Leads to Altered Immune Responses to Chlamydia trachomatis Infection in Human Oviduct Epithelial Cells

Reproductive tract pathology caused by Chlamydia trachomatis infection is an important global cause of human infertility. To better understand the mechanisms associated with Chlamydia-induced genital tract pathogenesis in humans, we used CRISPR genome editing to disrupt Toll-like receptor 3 (TLR3) function in the human oviduct epithelial (hOE) cell line OE-E6/E7 in order to investigate the possible role(s) of TLR3 signaling in the immune response to Chlamydia. Disruption of TLR3 function in these cells significantly diminished the Chlamydia-induced synthesis of several inflammation biomarkers, including interferon beta (IFN-β), interleukin-6 (IL-6), interleukin-6 receptor alpha (IL-6Rα), soluble interleukin-6 receptor beta (sIL-6Rβ, or gp130), IL-8, IL-20, IL-26, IL-34, soluble tumor necrosis factor receptor 1 (sTNF-R1), tumor necrosis factor ligand superfamily member 13B (TNFSF13B), matrix metalloproteinase 1 (MMP-1), MMP-2, and MMP-3. In contrast, the Chlamydia-induced synthesis of CCL5, IL-29 (IFN-λ1), and IL-28A (IFN-λ2) was significantly increased in TLR3-deficient hOE cells compared to their wild-type counterparts. Our results indicate a role for TLR3 signaling in limiting the genital tract fibrosis, scarring, and chronic inflammation often associated with human chlamydial disease. Interestingly, we saw that Chlamydia infection induced the production of biomarkers associated with persistence, tumor metastasis, and autoimmunity, such as soluble CD163 (sCD163), chitinase-3-like protein 1, osteopontin, and pentraxin-3, in hOE cells; however, their expression levels were significantly dysregulated in TLR3-deficient hOE cells. Finally, we demonstrate using hOE cells that TLR3 deficiency resulted in an increased amount of chlamydial lipopolysaccharide (LPS) within Chlamydia inclusions, which is suggestive that TLR3 deficiency leads to enhanced chlamydial replication and possibly increased genital tract pathogenesis during human infection

Multi-Granularity Whole-Brain Segmentation Based Functional Network Analysis Using Resting-State fMRI

In this work, we systematically analyzed the effects of various nodal definitions, as determined by a multi-granularity whole-brain segmentation scheme, upon the topological architecture of the human brain functional network using the resting-state functional magnetic resonance imaging data of 19 healthy, young subjects. A number of functional networks were created with their nodes defined according to two types of anatomical definitions (Type I and Type II) each of which consists of five granularity levels of whole brain segmentations with each level linked through ontology-based, hierarchical, structural relationships. Topological properties were computed for each network and then compared across levels within the same segmentation type as well as between Type I and Type II. Certain network architecture patterns were observed in our study: (1) As the granularity changes, the absolute values of each node's nodal degree and nodal betweenness change accordingly but the relative values within a single network do not change considerably; (2) The average nodal degree is generally affected by the sparsity level of the network whereas the other topological properties are more specifically affected by the nodal definitions; (3) Within the same ontology relationship type, as the granularity decreases, the network becomes more efficient at information propagation; (4) The small-worldness that we observe is an intrinsic property of the brain's resting-state functional network, independent of the ontology type and the granularity level. Furthermore, we validated the aforementioned conclusions and measured the reproducibility of this multi-granularity network analysis pipeline using another dataset of 49 healthy young subjects that had been scanned twice

Essays on commodity and foreign exchange derivatives

This thesis consists of three essays on commodity and foreign exchange derivatives. Chapter 2 proposes a comprehensive option pricing model to capture stylized features in the energy commodity market. We use the Brent crude oil as a showcase and show that its implied volatility exhibits seasonal pattern and the skewness of its return distributions is time-varying. The option pricing model we proposed in this paper is able to capture these stylized features. The estimation results show that the model pricing performance for the crude oil options is significantly improved by capturing the time-varying skewness of return distributions, while there is no significant improvement by capturing the seasonal pattern in volatility. Chapter 3 investigates the impact of speculative trading on the commodity futures risk premium. We focus on speculators' spread positions, and study the asset pricing implications of spreading pressure on the cross-section of commodity futures returns. In an era of financialization of commodity markets, a long-short portfolio based on the spreading pressure signal carries a significant risk premium. We show that spreading pressure reflects speculators' expectations about the change in the shape of the futures term structure, which is linked to commodity index investment. The spreading pressure factor can be explained by economic fundamentals and frictions introduced by financial traders. Chapter 4 starts with risk-neutral probabilities of the Brexit referendum using data from both the options and prediction markets. We then provide a risk corrected measure of these probabilities using both non-parametric and parametric methods. While former correction marginally changes the risk-neutral probability, the performance of the latter depends on relative wealth calibration and risk preferences. We estimate subjective Brexit probabilities from past opinion polls and also provide daily estimates of voting intention to leave from BES survey. By comparing the subjective probabilities with our risk-corrected measures, our results show that both FX option and prediction market participants reveal moderate risk seeking preferences before the Brexit referendum

Outlier Detection for Pedestrian Movement

Fast development of tracking devices has made trajectory outlier detection(TOD) possible and meaningful. Given a set of trajectories T, a TOD algorithm outputs a subset of T, of which trajectories are different from mostof the other trajectories in some aspect(s). These trajectories, namely outliers, can indicate important or interesting information and are thus worthnoticing. TOD techniques can be used for surveillance security, accidentdiscovery, and many other purposes. Many of the existing TOD algorithms consider only spatial trajectoryoutliers. They can detect trajectories that follow an abnormal route ordirection. While some existing algorithms are capable of detecting outliersin temporal aspects, like trajectories with abnormal time duration or speed,they have their own weaknesses. For example, they can be computationallyexpensive, or fail to detect important types of outliers. In this work, we aimto overcome these shortcomings of previous TOD algorithms. A novel grid-based TOD algorithm is proposed that is capable of detectingtemporal-spatial outliers including density, direction, duration, and speedoutliers with accuracy as well as fast calculation. The algorithm performsthe following three main steps: (i) it calculates density, direction, duration,and speed features of all trajectories in the input set T; (ii) it transformsfeature information of trajectories into grid information; (iii) it examineseach trajectory grid cell by grid cell. Following these three steps, outlyingtrajectories are extracted. By conducting experiments on several data setsincluding both simulated and real ones, the algorithm is shown to be efficientin detecting density, direction, duration, and speed outliers. It outperformsstate-of-the-art TOD algorithms in various aspects

The Distinct Elemental Analysis of the Microstructural Evolution of a Methane Hydrate Specimen under Cyclic Loading Conditions

Submarine slope instability may be triggered by earthquakes and tsunamis. Methane hydrate sediments (MHS) are commonly buried under submarine slopes. Submarine slides would probably be triggered once the MHS are damaged under cyclic loading conditions. For this reason, it is essential to research the mechanical response of MHSs under dynamic loading conditions. In this study, a series of drained cyclic biaxial compressive tests with constant stress amplitudes were numerically carried out with the distinct element method (DEM). The cyclic loading number decreased as the hydrate saturation (Sh) increased when the MHS were damaged. The failure mode of the MHS was shown to be dependent on the dynamic stress amplitude and hydrate saturation. The microstructure of MHS during the cyclic loading shear process was also analyzed. The results can help us to understand the mechanical behavior of MHS during the cyclic loading process and develop micromechanical-based constitutive models