Miracle-dz/UniFAR-FTUs huggingface dataset:
A Closed-Form GARCH Option Pricing Model

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston's (1993) stochastic volatility model as a diffusion limit and therefore unifies the discrete-time GARCH and continuous-time stochastic volatility literature of option pricing. The new model provides the first readily computed option formula for a random volatility model in which current volatility is easily estimated from historical asset prices observed at discrete intervals. Empirical analysis on S&P 500 index options shows the single-factor version of the GARCH model to be a substantial improvement over the Black-Scholes (1973) model. The GARCH model continues to substantially outperform the Black-Scholes model even when the Black-Scholes model is updated every period and uses implied volatilities from option prices, while the parameters of the GARCH model are held constant and volatility is filtered from the history of asset prices. The improvement is due largely to the ability of the GARCH model to describe the correlation of volatility with spot returns. This allows the GARCH model to capture strike-price biases in the Black-Scholes model that give rise to the skew in implied volatilities in the index options market.
Residence time control on hot moments of net nitrate production and uptake in the hyporheic zone

The retention capacity for biologically available nitrogen within streams can be influenced by dynamic hyporheic zone exchange, a process that may act as either a net source or net sink of dissolved nitrogen. Over 5 weeks, nine vertical profiles of streambed chemistry (NO3− and NH4+) were collected above two beaver dams along with continuous high‐resolution vertical hyporheic flux data. The results indicate a non‐linear relation of net NO3− production followed by net uptake in the hyporheic zone as a function of residence time. This Lagrangian‐based relation is consistent through time and across varied morphology (bars, pools, glides) above the dams, even though biogeochemical and environmental factors varied. The empirical continuum between net NO3− production and uptake and residence time is useful for identifying two crucial residence time thresholds: the transition to anaerobic respiration, which corresponds to the time of peak net nitrate production, and the net sink threshold, which is defined by a net uptake in NO3− relative to streamwater. Short‐term hyporheic residence time variability at specific locations creates hot moments of net production and uptake, enhancing NO3− production as residence times approach the anaerobic threshold, and changing zones of net NO3− production to uptake as residence times increase past the net sink threshold. The anaerobic and net sink thresholds for beaver‐influenced streambed morphology occur at much shorter residence times (1.3 h and 2.3 h, respectively) compared to other documented hyporheic systems, and the net sink threshold compares favorably to the lower boundary of the anaerobic threshold determined for this system with the new oxygen Damkohler number. The consistency of the residence time threshold values of NO3− cycling in this study, despite environmental variability and disparate morphology, indicates that NO3− hot moment dynamics are primarily driven by changes in physical hydrology and associated residence times. Copyright © 2013 John Wiley & Sons, Ltd.
Deep magma storage at Hekla volcano, Iceland, revealed by InSAR time series analysis

[1] Hekla volcano is one of the most active volcanoes in Iceland. The most recent eruption occurred from 26 February to 8 March 2000 when about 0.19 km3 of magma was erupted. We present deformation data from multitemporal analyses of synthetic aperture radar (SAR) images acquired between 1993 and 2008, focusing on pixels with low-phase variance (using persistent scatterer and small baseline approaches). Prior to and after the 2000 eruption, we find a broad area of inflation around the volcano (radius about 20 km), with satellite line-of-sight (LOS) shortening of up to 5 mm/yr. We interpret this signal as the result of pressure increase in a deep-seated magma chamber, which we model as a spherical source at 14–20 km depth increasing in volume by 0.003–0.02 km3/yr. Within a ∼6 km radius of the summit of the volcano, a LOS lengthening is superimposed on the broad inflation signal, which correlates partly with recent lava flows. We interpret this signal as the result of thermally contracting lava flows, combined with viscoelastic yielding due to the load of the volcano and its lavas. Coeruptive deflation during the 2000 eruption was similar to the cumulative inflation from 1993 to 2000 and is consistent with a spherical magma chamber at 14–18 km depth that decreases in volume by 0.04–0.08 km3. Interferograms spanning the 2000 eruption show a local coeruptive deformation signal near the eruptive fissure. This is consistent with a dike opening from the surface to depths up to 5.8 km with a volume of 0.005–0.006 km3.
Evaluation of kinetic uncertainty in numerical models of petroleum generation

Oil-prone marine petroleum source rocks contain type I or type II kerogen having Rock-Eval pyrolysis hydrogen indices greater than 600 or 300–600 mg hydrocarbon/g total organic carbon (HI, mg HC/g TOC), respectively. Samples from 29 marine source rocks worldwide that contain mainly type II kerogen (HI = 230–786 mg HC/g TOC) were subjected to open-system programmed pyrolysis to determine the activation energy distributions for petroleum generation. Assuming a burial heating rate of 1C/m.y. for each measured activation energy distribution, the calculated average temperature for 50% fractional conversion of the kerogen in the samples to petroleum is approximately 136 7C, but the range spans about 30C (121–151C). Fifty-two outcrop samples of thermally immature Jurassic Oxford Clay Formation were collected from five locations in the United Kingdom to determine the variations of kinetic response for one source rock unit. The samples contain mainly type I or type II kerogens (HI = 230–774 mg HC/g TOC). At a heating rate of 1C/m.y. , the calculated temperatures for 50% fractional conversion of the Oxford Clay kerogens to petroleum differ by as much as 23C (127–150C). The data indicate that kerogen type, as defined by hydrogen index, is not systematically linked to kinetic response, and that default kinetics for the thermal decomposition of type I or type II kerogen can introduce unacceptable errors into numerical simulations. Furthermore, custom kinetics based on one or a few samples may be inadequate to account for variations in organofacies within a source rock. We propose three methods to evaluate the uncertainty contributed by kerogen kinetics to numerical simulations: (1) use the average kinetic distribution for multiple samples of source rock and the standard deviation for each activation energy in that distribution; (2) use source rock kinetics determined at several locations to describe different parts of the study area; and (3) use a weighted-average method that combines kinetics for samples from different locations in the source rock unit by giving the activation energy distribution for each sample a weight proportional to its Rock-Eval pyrolysis S2 yield (hydrocarbons generated by pyrolytic degradation of organic matter).
Macrofaunal communities on the continental shelf off Victoria Land, Ross Sea, Antarctica

Abstract In austral summer 2004 benthic macrofauna was sampled along a latitudinal gradient along the northern Victoria Land coast (Ross Sea). An Agassiz trawl was used for semi-quantitative data collection of macrozoobenthos at depths from 84 to 537 m. Multivariate analysis of abundance of higher taxonomic units discriminated between the four sample sites along the latitudinal gradient. A SIMPROF analysis emphasized these geographical clusters, as the samples showed no significant differences within each cluster. A change in community structure with depth was not observed. The dominant taxonomic groups along the Victoria Land coast were Echinodermata (39%), Arthropoda (24%), Polychaeta (14%), and Mollusca (12%), not accounting for colonial organisms. Thus, the overall structure of the benthic community off the Victoria Land coast is comparable to other Antarctic regions and shows a closer relationship to the eastern Weddell Sea shelf, which may be attributable to the extensive impact of grounded ice affecting both areas.
Geologic setting of the Peña de Bernal Natural Monument, Querétaro, México: An endogenous volcanic dome

Pena de Bernal is a natural monument located near the town of Bernal, in Queretaro State, central Mexico. It is one of the tallest monoliths of the world, with a maximum height of 433 m. Pena de Bernal was recently declared Intangible Cultural Heritage of Humanity Patrimony by United Nations Educational, Scientific, and Cultural Organization (UNESCO). In spite of being both a natural and cultural monument, little is known about its origin, physical characteristics, and chemical composition. It is a leucocratic-igneous rock intruding marine Mesozoic sedimentary rocks and has been misinterpreted as a pluton of Eocene or older age. However, this study shows that Pena de Bernal is a dacitic dome with SiO 2 = 67 wt% and an age of 8.7 ± 0.2 Ma. The complete Pena de Bernal body includes three plugs that crop out in an ∼3.5 × 1.5 km area elongated N40°E. Texture of the rock is porphyritic, nearly holocrystalline (80 vol% crystals and 20 vol% glass), with a mineral assemblage of pyroxene, hornblende, biotite, plagioclase, and quartz, plus accessory apatite and zircon. Pena de Bernal dacite is a spine-type endogenous dome that was forcefully intruded through the Mesozoic sequence practically as a solid plug.
Reduced‐complexity modeling of free bar morphodynamics in alluvial channels

[1] Reduced-complexity models of river behavior that neglect much of the physics governing fluvial processes have become increasingly popular in recent years. However, previous studies have demonstrated that channel morphology simulated by such models can be both unrealistic and highly sensitive to model grid resolution. A new reduced-complexity model is presented here and applied to simulate the development and migration of free alternate bars in straight channels. This model incorporates a simple new treatment of lateral flow redistribution driven by topographic steering but neglects the role of momentum conservation, secondary circulation, and factors such as spatial variability in bed roughness. This approach is shown to replicate many of the characteristics of alternate bars observed in individual laboratory experiments conducted by Lanzoni (2000) and to produce results that are in agreement with more generic relationships evident in a larger experimental data set presented previously by Ikeda (1984). Moreover, model results are shown to be independent of grid resolution and are largely consistent with those obtained using more sophisticated models based on the depth-averaged form of the Navier-Stokes equations. There remains a need to evaluate and refine model process parameterizations for a wider range of conditions (including those in natural channels) and to examine model behavior in situations involving variable channel width and curvature. However, the results presented here provide the first evidence that such reduced-complexity models may be able to simulate the vertical and streamwise scaling of free bars in alluvial channels and represent the morphodynamic feedbacks that control their temporal evolution.
Linkages between atmospheric circulation, climate and streamflow in the northern North Atlantic: research prospects

This paper evaluates the relationships between atmospheric circulation, climate and streamflow in the northern North Atlantic region over the last century and especially the last 50 years. Improved understanding of climatic influences on streamflow is vital given the great importance of fluvial processes to natural systems and water resources, especially in the light of recent and predicted climate change. The main focus lies with climatic and hydrologic implications of the major circulation patterns in the northern North Atlantic, namely the North Atlantic Oscillation (NAO) and Arctic Oscillation (AO). The studies reviewed here reveal key relationships between circulation, climate and streamflow across the northern North Atlantic, allowing the construction of a simple conceptual model for this system. Generally positive NAO/AO-streamflow relationships are found in northwest Europe and northeast USA, with both positive and negative NAO/AO-streamflow linkages apparent for parts of eastern Canada. To help promote a better understanding of the system, several research gaps are identified and critically examined, including: the spatial scope and coverage of investigations; data quality and homogeneity; appropriateness of analytical techniques; and the need for greater knowledge and technique sharing between hydrology and climatology, particularly regarding the rigorous characterization of atmospheric circulation patterns. Among these, the development of seasonally varying, or mobile, NAO indices, to capture variations in subseasonal, seasonal and annual movements in the centres of action, and the need to develop analyses of more hydrologically meaningful climate variables beyond conventional time averaged statistics, are deemed particularly important.
Anthropogenic aerosol forcing and the structure of temperature trends in the southern Indian Ocean

Over the past decades surface warming in the southern subtropical Indian Ocean (IO) has been greater than that in other oceans. The warming penetrates to a depth of 800 m, in contrast to the off‐equatorial surface warming which co‐exists with subsurface cooling. We examine the dynamics for this rich structure. Results from the 20th century experiments of the Intergovernmental Panel on Climate Change (IPCC) confirm that the southern subtropical IO surface‐to‐800 m warming is greater than that in the Pacific and Atlantic Oceans. Outputs from two targeted ensemble sets of coupled model experiments, one with and one without increasing anthropogenic aerosols, show that increasing aerosols strengthen the global Conveyor, and generate a greater poleward shift and intensification of the Agulhas outflow and its retroflection; the process increases the warming rate in the subtropics, and takes heat out of the off‐equatorial region generating a cooling.
Illusions in reasoning about consistency.

Reasoners succumb to predictable illusions in evaluating whether sets of assertions are consistent. We report two studies of this computationally intractable task of "satisfiability. " The results show that as the number of possibilities compatible with the assertions increases, the difficulty of the task increases, and that reasoners represent what is true according to assertions, not what is false. This procedure avoids overloading memory, but it yields illusions of consistency and of inconsistency. These illusions modify our picture of human rationality.
A fossil fish of the family Saurichthyidae from the Lower Jurassic of western Alberta, Canada

A partial skull of a fish belonging to the saurichthyid genus Acidorhynchus is reported from lower Toarcian black shales of the Fernie Group in western Alberta, Canada. This is the first North American record of the genus, which is otherwise known only from the Lower Jurassic of Europe. The synonymy and diagnostic features of the genus Acidorhynchus and its two included species are reviewed, and the new fossil is found to be most closely related to, and possibly conspecific with, the species A. acutus.
Organization of convection within the Madden-Julian oscillation

Convection associated with the Madden-Julian oscillation (MJO) is organized over a broad range of time and space scales within a large-scale envelope of activity. The large-scale envelope of convection is characterized as an eastward propagating disturbance, predominantly of zonal wavenumber 2, which is confined over the warmest waters of the Indian and western Pacific oceans. Large-scale convection is shifted toward the disturbance's temperature anomaly, which appears to result from frictional effects in the boundary layer. Synoptic and mesoscale convective activity is enhanced within the wet phase of the large-scale envelope. The increase at synoptic scales occurs uniformly over all scales, but little difference in the character of the variability is observed between dry and wet phases. The enhanced mesoscale activity within the wet phases exhibits a marked tendency to be organized into westward propagating clusters with periods near 2 days and half wavelengths of about 1000 km. The role of these modes for the evolution of the MJO is discussed.
Handbook of Human Performance Measures and Crew Requirements for Flightdeck Research.

Abstract : The Federal Aviation Administration (FAA) Technical Center envisions that their studies will require standard measure of pilot/crew performance. Therefore, the FAA commissioned the Crew System Ergonomics Information Analysis Center (CSERIAC) to (1) identify state-of-the-art pilot(crew performance measures in selected areas of interest, (2) provide guidance material to allow the FAA Technical Center to determine appropriate measures for a given study classification, and (3) provide guidelines on pilot subject characteristics used in their studies. Adhering to accepted standards will allow performance data to he translated between FAA studies and generalized across other government and industry partners. Three areas of human performance that have achieved the most attention in the literature are: workload, situational awareness, and vigilance. An extensive literature search was conducted on each of these areas and leading experts in the human performance research industry were consulted. The tools and techniques used to measure each of these three areas are investigated. Guidelines are provided to assist the human factors practitioner in choosing the most appropriate performance measure for a given study classification (e.g., part-task, full mission, end-to-end). A set of criteria and guidelines on pilot subject characteristics, such as, number of subjects, experience level required, and the we of different airline flightcrews, is also provided.
Identifying step changes in single streamflow and evaporation records due to forest cover change

Techniques that identify forestry‐induced changes to streamflow or evaporation are needed to assess available water resources. Equally, there is a growing appreciation that climate cycles may be having a profound impact on the land‐surface hydrology. The ability to see forestry‐induced change above the effects of climate dynamics, therefore, becomes a critical issue. Paired‐catchment analyses have proved very valuable in identifying change, but cannot quantify the relative impacts of climate and land‐cover change, and data from adjacent reference basins are not always available. Within this study, we examined whether step changes within single time‐series of streamflow or evaporation (P‐Q) could be identified without reference to those of a control catchment. The UC‐DHR method was used for this analysis, and included a special routine to allow a known change‐point (e.g. start of logging) to be specified or alternatively identified by the model. Data from three experimental catchments important for their seminal forestry impact studies were selected for the analyses.
Two-dimensional ideal magnetohydrodynamic waves on a rotating sphere under a non-Malkus field: I. Continuous spectrum and its ray-theoretical interpretation

Two-dimensional (2D) ideal incompressible magnetohydrodynamic (MHD) linear waves at the surface of a rotating sphere are studied as a model imitating the outermost Earth's core or the solar tachocline. This thin conducting layer is permeated by a toroidal magnetic field whose magnitude depends only on the latitude. The Malkus background field, which is proportional to the sine of the colatitude, gives two well-known groups of branches on which Alfv\'en waves gradually become fast or slow magnetic Rossby (MR) waves as the field amplitude decreases. For non-Malkus fields, we show that the associated eigenvalue problems can yield a continuous spectrum instead of Alfv\'en and slow MR discrete modes. Critical latitudes attributed to the Alfv\'en resonance wipe out these discrete eigenvalues and produce an infinite number of singular eigenmodes. The theory of slowly varying wave trains in an inhomogeneous magnetic field shows that a wave packet related to this continuous spectrum propagates toward a critical latitude corresponding to the wave and is eventually absorbed there. The expected behaviour that the retrograde propagating packets which pertain to the continuous spectrum approach the latitudes from the equatorial side and that the prograde ones approach there from the polar side is consistent with the profiles of their eigenfunctions shown by our numerical calculations. Further in-depth discussions of the Alfv\'en continuum would progress the theory of ``wave-mean field interaction'' in the MHD system and one's understanding of the dynamics in such thin layers.
Paleomagnetism of the Deccan Trap Basalts in India

The paleomagnetism of the Deccan Trap lavas in the western Ghats were studied in detail. Several stability tests were performed but the most effective one seemed to be progressive alternating field demagnetization. The direction of stable remanence was determined in 28 Mahabaleshwar and 5 Amboli lavas. It was noted that there is a good correlation between the stability of remanence and certain properties of magnetic minerals. Most rocks with evidence of high temperature oxidation are magnetically more stable than others.As there is no significant serial correlation nor systematic large movement in directions of NRM in Mahabaleshwar lavas, the directions of the NRM may well represent the secular variation in the geomagnetic field in Eary Tertiary. The present data show a scatter of directions larger than the Quaternary paleomagnetic results, suggesting a bigger secular variation at that time. A statistical method to determine the upper limit of the time interval of volcanism was applied to the Mahabaleshwar section with the result that their activity had not lasted more than 5m.y. at 5% significance level. The mean pole position for all the lavas in this study shows a good agreement with the hypothesis that India moved northward in the Cenozoic era with great speed.
Invariants of genus 4 curves

The present paper gives an explicit classification of the isomorphism classes of non-hyperelliptic genus 4 curves over an algebraically closed field of characteristic 0. A non-hyperelliptic genus 4 curve lies on a quadric in $\mathbb{P^3}$ of rank 3 or 4. In the case of rank 3, we give a set of 60 invariants which classify the isomorphism classes, and in the case of rank 4, we find 65 invariants. These invariants are defined by transvectants and can be efficiently computed on a given example.