pinecone/core-2020-05-10-deduplication huggingface dataset:
Barium Borosilicate Sealing Glasses Synthesized by a Sol-Gel Process: Chemical Interactions with a Stainless Steel and Gas-Tightness of a SOFC

Abstract Several glasses synthesized by sol-gel route and based on the BaO-B2O3-X-Al2O3-SiO2 (X=CaO, MgO) glass system have been investigated to evaluate their applicability as sealant for solid oxide fuel cell (SOFC). Chemical interactions with K41X stainless steel and hydrogen-tightness of these materials were evaluated after operations at high temperatures over 1,000h in air atmosphere. Formation of a new phase at the steel?glass interface and formation of porosity in the glass were observed and determined as critical problems over mid-term operations. The role of MgO is important to obtain a gas-tight sealing. Application of the glass paste without binder addition was performed in order to avoid possible residual porosity related problems. The best glass was finally used as sealant between anodic and cathodic compartments in complete SOFCs operated at 760 and at 800°C. Open circuit voltages and power densities of the cells were recorded during the first hours of operation
A multi-function compact micro-channel reactor coated with sulphur tolerant catalyst for LPG steam reforming

This is the peer reviewed version of the following article: REED, J. ... et al, 2015. A multi-function compact micro-channel reactor coated with sulphur tolerant catalyst for LPG steam reforming. Fuel Cells, 15 (3), pp. 516 - 522, which has been published in final form at http://dx.doi.org/10.1002/fuce.201400055. This article may be used for non-commercial purposes in accordance With Wiley-VCH Terms and Conditions for self-archiving.Hydrogen fuelled polymer electrolyte fuel cells (PEFC) offer clear environmental benefits. Lack of viable hydrogen infrastructure in the near future means that a key issue is availability of hydrogen at the point of use. Liquefied petroleum gas (LPG) offers advantages as a fuel over other hydrocarbons because there is already an infrastructure in place for remote areas. Hydrogen supply via steam reforming of LPG is therefore a feasible avenue of achieving the environmental benefits. Commercial grade LPG unavoidably contain sulphur as an odorant, the sulphur needs to be removed from the fuel stream before it reaches the reformer catalyst and fuel cell. Utilizing sulphur tolerant catalysts in the reformer leads to a simpler fuel processor design. Thermal management and reforming efficiency has been a challenge for the sulphur tolerant catalysts. In this paper, a multi-function compact micro-channel reactor designed for hydrocarbon steam reforming was evaluated for use with LPG. A sulphur tolerant catalyst was wash-coated on to the reforming layers. The reformer was tested over a wide range of reactor temperatures, steam to carbon ratios and fuel flow rates. Over 60% of H2 composition can be achieved at high reforming temperatures with a LPG supply rate of 0.75 dm3 min−1 (STP) and a S/C ratio of 4
Advantages of a Polyimide Membrane Support in Nonhumidified Fluorohydrogenate-Polymer Composite Membrane Fuel Cells

Article first published online: 11 FEB 2015We have successfully prepared composite membranes consisting of the ionic liquid N-ethyl-N-methylpyrrolidinium fluorohydrogenate and the polymer 2-hydroxyethylmethacrylate and have secured them on a polyimide (PI) membrane support. The resulting EMPyr(FH)[1.7]F–HEMA (9:1 molar ratio) composite possesses ionic conductivity of 75 mS cm[−1] at 120 °C when a 16-µm support is employed, showing improved performance with elevated temperature; this marks a significant difference from devices using conventional polytetrafluoroethylene supports. In the single cell test, a maximum power density of 31 mW cm[−2] is observed at 120 °C. Cross-sectional SEM images of the corresponding membrane electrode assemblies reveal no significant difference in membrane thickness before and after cell testing, implying that this support does not suffer from membrane softening issues
Short stack and full system test using a ceramic A-site deficient strontium titanate anode

Funding acknowledgement: SCOTAS FCHJU 256730A lanthanum and calcium co-doped A-site deficient strontium titanate (LSCTA–) was used as alternative anode material in Solid Oxide Fuel Cells (SOFC) with an active area of 100 cm2. Cell performance was tested in both short (5 cell) stack configuration, as well as a full HEXIS Galileo system (nominally 1 kW AC). Impregnation with various electrocatalysts, such as nickel and ceria, yielded promising fuel cell performance at this scale. The system test initially produced 70% of the nominal output power and is to the authors' knowledge the first all-oxide SOFC test on this scale. The strontium titanate backbone provides sufficient electronic conductivity to ensure acceptable ohmic losses. Power densities up to 200 mA cm−2 could be obtained at 900 °C, which compares well with Ni-cermet based anodes. Degradation is however severe at 900 °C, due to impregnate coarsening, but operation at 850 °C minimizes this effect. Short stacks could be stably operated for 1,600 hours with an output power of 100 mA cm−2. Stacks are redox stable, but currently not sulphur tolerant.PostprintPeer reviewe
Fault diagnosis of practical polymer electrolyte membrane (PEM) fuel cell system with data-driven approaches

This is the peer reviewed version of the following article: MAO, L., JACKSON, L.M. and DUNNETT, S.J., 2016. Fault diagnosis of practical polymer electrolyte membrane (PEM) fuel cell system with data-driven approaches. Fuel Cells, 17 (2), pp. 247–258, which has been published in final form at http://dx.doi.org/10.1002/fuce.201600139. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.In this paper, data-driven approaches are applied to identify faults of a practical PEM fuel cell system. Signal processing\ud
approaches are selected and employed to multiple sensor measurements, including methodologies reducing the dimension\ud
of the original dataset, and techniques extracting features. Both supervised and unsupervised techniques are applied in this study to investigate the robustness of the diagnostic procedure. Moreover, due to the fact that a series of features can be extracted from these sensors, the singular value decomposition (SVD) technique is applied to select features\ud
providing better diagnostic performance. Results demonstrate that with features selected from SVD, fuel cell system faults can be detected more effectively, and various fuel cell faults can also be discriminated with good quality. From the findings, conclusions are made and further work suggested
Bioelectrochemical Dechlorination of 1,2-DCA with an AQDS-Functionalized Cathode Serving as Electron Donor

In the present study we describe a simple method to immobilize the redox mediator anthraquinone‐2,6‐disulfonate (AQDS) at the surface of graphite electrodes, by means of a commercial anion exchange membrane. Cyclic voltammetry experiments confirmed the efficacy of the immobilization protocol and the long‐term (over 70 days) electrochemical stability of the AQDS‐functionalized electrode. Potentiostatic (–300 mV vs. SHE) batch experiments proved the capability of the electrode in accelerating the bioelectrochemical reductive dechlorination of the groundwater contaminant 1,2‐dichloroethane (1,2‐DCA) to harmless ethene by a mixed microbial culture, by serving as electron donor in the process. Considering the reported broad range of anodic and cathodic reactions catalyzed by AQDS, the herein described functionalized electrode has a remarkable potential for application in the environmental and industrial sector.info:eu-repo/semantics/publishedVersio
The effect of net positions by type of trader on volatility in foreign currency futures markets

We investigate the effect of net positions by type of trader on return volatility in six foreign currency futures markets using the weekly Commitments of Traders (COT) data. When net positions are decomposed into expected and unexpected components, we find that expected net positions by type of trader generally do not co-vary with volatility. However, volatility is positively associated with shocks (in either direction) in net positions of speculators and small traders, and negatively related to shocks (in either direction) in net positions of hedgers. This evidence suggests that changes in speculative positions destabilize the market. Consistent with dispersion of beliefs models and noise trading theories, hedgers appear to possess private information, whereas speculators and small traders are less informed in these markets.
The behavior and performance of major types of futures traders

This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (negatively) correlated with subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power. Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers have a destabilizing impact on futures prices.
Investor sentiment and return predictability in agricultural futures markets

This study examines the usefulness of trader-position-based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability.
A simplified approach to modeling the co-movement of asset returns

Author's draft dated October 2004 issued as XFi working paperThe authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series. The covariance between each pair of return series is then imputed from these variance estimates. The proposed model is considerably easier to estimate than existing multivariate GARCH models and does not suffer from the convergence problems that characterize many of these models. Moreover, the model can be easily extended to include more complex dynamics or alternative forms of the GARCH specification. The S-GARCH model is used to estimate the minimum-variance hedge ratio for the FTSE (Financial Times and the London Stock Exchange) 100 Index portfolio, hedged using index futures, and compared to four of the most widely used multivariate GARCH models. Using both statistical and economic evaluation criteria, it was found that the S-GARCH model performs at least as well as the other models that were considered, and in some cases it was better
Cross-commodity analysis and applications to risk management

The understanding of joint asset return distributions is an important ingredient
for managing risks of portfolios. Although this is a well-discussed issue in fixed
income and equity markets, it is a challenge for energy commodities. In this study
we are concerned with describing the joint return distribution of energy-related
commodities futures, namely power, oil, gas, coal, and carbon. The objective of
the study is threefold. First, we conduct a careful analysis of empirical returns
and show how the class of multivariate generalized hyperbolic distributions performs
in this context. Second, we present how risk measures can be computed for
commodity portfolios based on generalized hyperbolic assumptions. And finally,we discuss the implications of our findings for risk management analyzing the
exposure of power plants, which represent typical energy portfolios. Our main
findings are that risk estimates based on a normal distribution in the context of
energy commodities can be statistically improved using generalized hyperbolic
distributions. Those distributions are flexible enough to incorporate many characteristics
of commodity returns and yield more accurate risk estimates. Our
analysis of the market suggests that carbon allowances can be a helpful tool
for controlling the risk exposure of a typical energy portfolio representing a power
plantPublicad
Liquidity and hedging effectiveness under futures mispricing: International evidence

We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding futures contracts through the application of a dynamic, stochastic hedging strategy proposed by Lafuente, J. A. and Novales, A. (2003). Conclusive gains do not emerge in any of the markets analyzed over the period considered, relative to the use of a constant unit hedge ratio. These findings are consistent with the trend observed in the IBEX 35 futures market study of Lafuente, J. A. and Novales, A. (2003). Our empirical evidence suggests that, contrary to what happens in less liquid markets, the discrepancy between theoretical and quoted prices in index futures contracts in fully developed markets does not represent a noise factor that can be successfully exploited for hedging
The CBOE S&P 500 Three-month variance futures

In this article, we study the market of the Chicago Board Options Exchange S&P 500 three-month variance futures that were listed on May 18, 2004. By using a simple mean-reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed time-to-maturity variance futures and the VIX2. The model prediction is supported by empirical tests. We find that a model with a fixed mean-reverting speed of 1.2929 and a daily-calibrated floating long-term mean level has a good fit to the market data between May 18, 2004, and August 17, 2007. The market price of volatility risk estimated from the 30-day realized variance and VIX2 has a mean value of -19.1184. © 2009 Wiley Periodicals, Inc.postprin
Alternative Tilts for Nonparametric Option Pricing

This paper generalizes the nonparametric approach to option pricing of
Stutzer (1996) by demonstrating that the canonical valuation methodology in-
troduced therein is one member of the Cressie-Read family of divergence mea-
sures. While the limiting distribution of the alternative measures is identical
to the canonical measure, the finite sample properties are quite different. We
assess the ability of the alternative divergence measures to price European call
options by approximating the risk-neutral, equivalent martingale measure from
an empirical distribution of the underlying asset. A simulation study of the
finite sample properties of the alternative measure changes reveals that the
optimal divergence measure depends upon how accurately the empirical distri-
bution of the underlying asset is estimated. In a simple Black-Scholes model,
the optimal measure change is contingent upon the number of outliers observed,
whereas the optimal measure change is a function of time to expiration in the
stochastic volatility model of Heston (1993). Our extension of Stutzer’s tech-
nique preserves the clean analytic structure of imposing moment restrictions to
price options, yet demonstrates that the nonparametric approach is even more
general in pricing options than originally believed.
An analytical formula for VIX futures and its applications

In this study we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly derived formula is then used to show that the well-known convexity correction approximations can sometimes lead to large errors. Utilizing the newly derived formula, we also conduct an empirical study, the results of which demonstrate that the Heston stochastic volatility model is a good candidate for the pricing of VIX futures. While incorporating jumps into the underlying price can further improve the pricing of VIX futures, adding jumps to the volatility process appears to contribute little improvement for pricing VIX futures
Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level

Equity options have a significant influence on the price discovery process. This study presents unique evidence of substantial price clustering in individual equity options contracts. A particular contribution arises from investigating competing hypotheses on the roles of moneyness and maturity as determinants of option price clustering. We assert that options price clustering can be decomposed to price level, moneyness, and maturity effects. After controlling for other factors, price clustering has an inverse relation with time‐to‐maturity. This supports the negotiation hypothesis, but not the price resolution hypothesis. Price clustering also tends to be inversely related to moneyness. This effect is linked to the intrinsic value component of option price. Both the maturity and moneyness effects act in an opposite direction to what would be anticipated on the basis of price level alone; hence, these two effects are identified as additional influences on option price clustering. It is also found that the designated market maker scheme at NYSE Euronext London International Financial Futures Exchange (LIFFE) has little influence on trade price clustering
Strategic and Tactical Roles of Enhanced Commodity Indices

This article formally compares two traditional long-only commodity indices, Standard & Poor's Goldman Sachs Commodity Index (S&P-GSCI) and Dow Jones-UBS Commodity Index (DJ-UBSCI), with their enhanced versions that exploit signals based on contract maturity, momentum, and term structure. The enhanced indices are found to be useful for tactical asset allocation. With alphas ranging from 2.77% to 5.49% per annum, the maturity-enhanced indices offer the best abnormal performance after accounting for liquidity risk. Momentum and term structure enhancements also earn a positive, albeit smaller, alpha of 2.10% per annum on average. All the enhanced indices are found to have comparable effectiveness for risk diversification and inflation hedging as their traditional counterparts, making them useful for strategic asset allocation
Recursive formula for arithmetic Asian option prices

We derive a recursive formula for arithmetic Asian option prices with finite
observation times in semimartingale models. The method is based on the
relationship between the risk-neutral expectation of the quadratic variation of
the return process and European option prices. The computation of arithmetic
Asian option prices is straightforward whenever European option prices are
available. Applications with numerical results under the Black-Scholes
framework and the exponential L\'evy model are proposed
Measuring the hedging effectiveness of index futures contracts: Do dynamic   models outperform static models? A regime-switching approach

This paper estimates linear and non-linear GARCH models to find optimal hedge ratios

with futures contracts for some of the main European stock indexes. By introducing 

non-linearities through a regime-switching model, we can obtain more efficient hedge 

ratios and superior hedging performance in both in-sample and out-sample analysis 

compared with other methodologies (constant hedge ratios and linear GARCH). 

Moreover, non-linear models also reflect different patterns followed by the dynamic 

relationship between the volatility of spot and futures returns during low and high 

volatility periods
Volatility Discovery Across Stock Limit Order Book and Options Markets

Foucault [Journal of Financial Markets, 2, 99–134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE‐listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness of the stock limit order book and option volatility trading Granger‐cause each other. Further, I find that the aggressiveness of the stock limit order book and option volatility trading are inversely related, which is both statistically and economically significant. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:934–956, 201
High moment variations and their application

We propose a new method of measuring the third and fourth moments of return
distribution based on quadratic variation method when the return process is
assumed to have zero drift. The realized third and fourth moments variations
computed from high frequency return series are good approximations to
corresponding actual moments of the return distribution. An investor holding an
asset with skewed or fat-tailed distribution is able to hedge the tail risk by
contracting the third or fourth moment swap under which the float leg of
realized variation and the predetermined fixed leg are exchanged. Thus
constructed portfolio follows more Gaussian-like distribution and hence the
investor effectively hedge the tail risk
Monte carlo simulation of the CGMY process and option pricing

We present a joint Monte Carlo-Fourier transform sampling scheme for pricing derivative products under a Carr–Geman–Madan–Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305–332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies on numerical transform inversion with computable error estimates, which allow generating the unknown cumulative distribution function of the CGMY process increments at the desired accuracy level. We use this to generate samples and simulate the entire trajectory of the process without need of truncating the process small jumps. We illustrate the computational efficiency of the proposed method by comparing it to the existing methods in the literature on pricing a wide range of option contracts, including path-dependent univariate and multivariate products
Commodity strategies based on momentum, term structure, and idiosyncratic volatility

This article demonstrates that momentum, term structure, and idiosyncratic volatility signals in commodity futures markets are not overlapping, which inspires a novel triple-screen strategy. We show that simultaneously buying contracts with high past performance, high roll-yields, and low idiosyncratic volatility, and shorting contracts with poor past performance, low roll-yields, and high idiosyncratic volatility yields a Sharpe ratio over the 1985 to 2011 period that is five times that of the S&P-GSCI. The triple-screen strategy dominates the double-screen and individual strategies and this outcome cannot be attributed to overreaction, liquidity risk, transaction costs, or the financialization of commodity futures markets