Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence

Commodity futures have long been used to facilitate risk management and inventory stabilization. The study of commodity futures prices has attracted much attention in the literature because they are highly volatile and because commodities represent a large proportion of the export value in many developing countries. Previous research has found apparently contradictory findings about the presence of long memory or more generally, long-range dependence. This note investigates the nature of long-range dependence in the volatility of 14 energy and agricultural commodity futures price series using the improved Hurst coefficient (H) estimator of Abry, Teyssière and Veitch. This estimator is motivated by the ability of wavelets to detect self-similarity and also enables a test for the stability of H. The results show evidence of long-range dependence for all 14 commodities and of a non-stationary H for 9 of 14 commodities.     

Ultrasonic velocity of binary systems at elevated pressures

Various empirical theories of ultrasonic velocity have been applied to three binary liquid mixtures, under pressures up to 200 MPa and their validity have been tested. A pressure dependent study of ultrasonic velocities has been made at 303.15 K. The agreement between theory and experiment is found to be quite satisfactory.     

Energy dependence of non-linear dynamical features in e^＋e^- collisions

A study of the d.ynamical fluctuation properties at various c.m.energies in e~ e~- collisions is performed using the Monte Carlo method.The results suggest that,after the normalized factorial moments of 3-dimensional phase space are analyzed using an isotropical phase space partition,the NFM describing non- linear dynamical properties show a power-law scaling,i.e.,the dynamical fluctuations in higher dimensional phase space are isotropic.For c.m.energies s~(1/2)≤80 GeV,the scaling exponentsφ_q increase rapidly with the c.m.energy and for c.m.energies s~(1/2)>80 GeV,theφ_q gradually saturate.     

On generalized measures of entropy and dependence

Various authors have studied extensions of Shannon’s entropy but their inferential properties and applications in applied sciences have not invited proper attention from researchers. In the present paper we explore the motivation and implication of using various classes of the generalized entropies and conditional entropies. We evaluate β-class and (α, β)-class entropies for multivariate normal density function. We also obtain the measures of dependence in terms of the classes of generalized entropies.      

A limit to alternate column recycle chromatography

Summary It was found experimentally that the potential for routine, rapid high-efficiency separations by alternate column, recycle, reversed-phase chromatography is limited by the increase of capacity factors with pressure.     

35Cl NQR studies of 1‐chloro‐2,4‐dinitrobenzene and 1,2‐dichloro‐3‐nitrobenzene as a function of pressure and temperature

The temperature and pressure dependences of ³⁵Cl nuclear quadrupole resonance (NQR) frequency and spin–lattice relaxation time (T₁) were investigated for 1‐chloro‐2,4‐dinitrobenzene and 1,2‐dichloro‐3‐nitrobenzene. T₁ was measured in the temperature range 77–300 K. Furthermore, the NQR frequency (ν) and T₁ for these compounds were measured as a function of pressure up to 5.1 kbar at 300 K. Relaxation was found to be due to the torsional motion of the molecule and the reorientation motion of the nitro group. By analysing the temperature dependence of T₁, the activation energy for the reorientation motion of the nitro group was obtained. The temperature dependence of the average torsional lifetimes of the molecules and the transition probabilities W₁ and W₂ for the Δm = ±1 and Δm = ±2 transitions, were also obtained. Both compounds showed a non‐linear variation of NQR frequency with pressure. The pressure coefficients were observed to be positive. A thermodynamic analysis of the data was carried out to determine the constant‐volume temperature coefficients of the NQR frequency. The spin–lattice relaxation time T₁ for both the compounds was found to be weakly dependent on pressure, showing that the relaxation is mainly due to the torsional motions. Copyright © 2002 John Wiley & Sons, Ltd.     

Convergence of series of dependent φ-subgaussian random variables

The almost sure convergence of weighted sums of φ-subgaussian m-acceptable random variables is investigated. As corollaries, the main results are applied to the case of negatively dependent and m-dependent subgaussian random variables. Finally, an application to random Fourier series is presented.     

广义分数Poisson过程

本文给出了广义分数Poisson过程WH^j(t)的定义及基本性质，并提出了Wh^(j)(t)可能在金融中的应用．WH^j(t)是宽意义下的自相似过程；对j=3，4，5．WH^j(t)是增量平稳过程；WH^j(t)的分布具有尖峰、胖尾特征．并且具有长期依赖性．