Statistical and nonlinear analyses of return volatility dynamics on energy futures

The energy markets, as important parts of global financial markets, have been regarded as complex nonlinear systems. The researches on the return volatility of energy futures are of great significance for grasping the law of operations and measuring the risks of markets. This paper introduces two novel volatility statistics — volatility two-component range intensity (VTRI) and cumulative volatility two-component range intensity (CVTRI) into energy futures markets to investigate the volatility dynamics of eight important energy futures. These two statistics combine the volatility shortest passage time (or volatility duration) with the volatility maximum change intensity and the volatility cumulative change intensity. Then, some statistical properties including probability distribution and tail power-law distribution of VTRI series and CVTRI series for eight energy futures are studied by some statistical analyses methods. Moreover, various nonlinear analytical methods are used to explore some nonlinear behaviors including correlation behavior, similarity behavior and multifractal property of VTRI series and CVTRI series.

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Time-dependent Kramers escape rate in overdamped system with power-law distribution

International Journal of Modern Physics B ◽

10.1142/s0217979216500958 ◽

2016 ◽

Vol 30 (17) ◽

pp. 1650095 ◽

Cited By ~ 1

Author(s):

Yanjun Zhou ◽

Cangtao Yin

Keyword(s):

Power Law ◽

First Passage Time ◽

Passage Time ◽

Time Dependent ◽

Escape Rate ◽

Power Law Distribution ◽

Brownian Particles ◽

Time Dependent Solution ◽

Power Law Distributions ◽

Overdamped System

The probability distribution of Brownian particles moving in an overdamped complex system follows the generalized Smoluchowski equation, which can be rigorously proven that the exact time-dependent solution for this equation follows Tsallis form. Time-dependent escape rate in overdamped system with power-law distributions is then established based on the flux over population theory. The stationary state escape rate in overdamped system with power-law distribution which has been obtained before based on mean first passage time theory is recovered from time-dependent escape rate as time toward infinity.

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Return volatility duration analysis of NYMEX energy futures and spot

Energy ◽

10.1016/j.energy.2017.09.046 ◽

2017 ◽

Vol 140 ◽

pp. 837-849 ◽

Cited By ~ 10

Author(s):

Hongli Niu ◽

Jun Wang

Keyword(s):

Duration Analysis ◽

Return Volatility ◽

Energy Futures

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Spectroscopic Observations of Visual Double Stars

International Astronomical Union Colloquium ◽

10.1017/s0252921100027536 ◽

1965 ◽

Vol 5 ◽

pp. 109-111

Author(s):

Frederick R. West

Keyword(s):

Radial Velocity ◽

High Dispersion ◽

Velocity Difference ◽

Spectrograph Slit ◽

Spectroscopic Observations ◽

Double Stars ◽

Visual Double Stars ◽

Relative Orbit ◽

Two Component ◽

Star Images

There are certain visual double stars which, when close to a node of their relative orbit, should have enough radial velocity difference (10-20 km/s) that the spectra of the two component stars will appear resolved on high-dispersion spectrograms (5 Å/mm or less) obtainable by use of modern coudé and solar spectrographs on bright stars. Both star images are then recorded simultaneously on the spectrograph slit, so that two stellar components will appear on each spectrogram.

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A technique for protecting delicate specimens during processing

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100156894 ◽

1989 ◽

Vol 47 ◽

pp. 982-983

Author(s):

R.J. Mount ◽

R.V. Harrison

Keyword(s):

Basilar Membrane ◽

Low Cost ◽

Organ Of Corti ◽

Region Of Interest ◽

Sensory Epithelium ◽

Physical Damage ◽

Air Drying ◽

Specimen Handling ◽

Two Component

The sensory end organ of the ear, the organ of Corti, rests on a thin basilar membrane which lies between the bone of the central modiolus and the bony wall of the cochlea. In vivo, the organ of Corti is protected by the bony wall which totally surrounds it. In order to examine the sensory epithelium by scanning electron microscopy it is necessary to dissect away the protective bone and expose the region of interest (Fig. 1). This leaves the fragile organ of Corti susceptible to physical damage during subsequent handling. In our laboratory cochlear specimens, after dissection, are routinely prepared by the O-T- O-T-O technique, critical point dried and then lightly sputter coated with gold. This processing involves considerable specimen handling including several hours on a rotator during which the organ of Corti is at risk of being physically damaged. The following procedure uses low cost, readily available materials to hold the specimen during processing ,preventing physical damage while allowing an unhindered exchange of fluids.Following fixation, the cochlea is dehydrated to 70% ethanol then dissected under ethanol to prevent air drying. The holder is prepared by punching a hole in the flexible snap cap of a Wheaton vial with a paper hole punch. A small amount of two component epoxy putty is well mixed then pushed through the hole in the cap. The putty on the inner cap is formed into a “cup” to hold the specimen (Fig. 2), the putty on the outside is smoothed into a “button” to give good attachment even when the cap is flexed during handling (Fig. 3). The cap is submerged in the 70% ethanol, the bone at the base of the cochlea is seated into the cup and the sides of the cup squeezed with forceps to grip it (Fig.4). Several types of epoxy putty have been tried, most are either soluble in ethanol to some degree or do not set in ethanol. The only putty we find successful is “DUROtm MASTERMENDtm Epoxy Extra Strength Ribbon” (Loctite Corp., Cleveland, Ohio), this is a blue and yellow ribbon which is kneaded to form a green putty, it is available at many hardware stores.

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