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Information Content of Iron Butterfly Arbitrage Bounds

Description: Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underlying stocks. These iron butterfly arbitrage bounds (IBBs) use intraday call and put option prices from the Bloomberg database. Narrow and wide IBBs are expected to reveal the options market valuation of volatility by market participants. Data series is gathered by using successive one-minute intervals from the Bloomberg database. The data comprise the most recent bid and ask option prices and volumes. I collect S&P 500 index values and index options and use 30 underlying stock prices and option prices for the contracts that have the largest option trading volume during the sampling interval. These bid and ask prices reflect the information generated by intraday price pressures implied by S&P 500 index options or stock options. Consistent with the option micro-structure literature, I find that the IBB measure for actively traded stock options attains its highest level immediately after the open of the market, declines steadily throughout the first trading hour and remains relatively stable until market close. However, index IBBs behave differently. S&P 500 index option IBB attains its lowest level during the first hour of the trading day, then increases and remains relatively stable until market close. I present new evidence regarding the dynamic relation between stock returns and innovations in expected volatility by using the minute-by-minute change in implied volatility (IV) as a proxy. Unlike the relationship between individual stock returns and their respective changes in implied ...
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Date: December 2016
Creator: Kochan, Mucahit
Partner: UNT Libraries

Effect of fuel volatility characteristics on ignition-energy requirements in a turbojet combustor

Description: Report presenting an investigation to determine the effect of fuel volatility characteristics on the minimum spark energy required to ignite a single tubular turbojet-engine combustor. Results regarding the ignition at sea-level conditions, ignition at altitude conditions, relation between distillation data and minimum ignition-energy requirements, and application of relation to data from a previous investigation are provided.
Date: January 13, 1953
Creator: Foster, Hampton H. & Straight, David M.
Partner: UNT Libraries Government Documents Department

Effect of fuel volatility and mixture temperature on the knocking characteristics of a liquid-cooled single-cylinder test engine

Description: Report discussing an investigation to determine the effect of fuel volatility on the relation between mixture temperature and knock-limited performance on a liquid-cooled single-cylinder test engine. The mixture temperature at which the curve of indicated mean effective pressure plotted against mixture temperature becomes nonlinear was found to be independent of fuel volatility. The effects of vaporization on the knock-limited power output are also described.
Date: April 1945
Creator: Tauschek, Max J. & Lietzke, A. F.
Partner: UNT Libraries Government Documents Department

ENGINEERING EVALUATION OF VOLATILITY PILOT PLANT EQUIPMENT

Description: The operation of the ORNL Volatility Pilot Plant for decontaminating and recovering uranium from molten-salt reactor fuels is discussed. A description of equipment, operating details, and performance of each system within the plant is contained. (C.J.G.)
Date: September 30, 1960
Creator: Miles, F W & Carr, W H
Partner: UNT Libraries Government Documents Department

Energy-Efficiency Improvement Opportunities for the Textile Industry

Description: The textile industry is one of the most complicated manufacturing industries because it is a fragmented and heterogeneous sector dominated by small and medium enterprises (SMEs). Energy is one of the main cost factors in the textile industry. Especially in times of high energy price volatility, improving energy efficiency should be a primary concern for textile plants. There are various energy-efficiency opportunities that exist in every textile plant, many of which are cost-effective. However, even cost-effective options often are not implemented in textile plants mostly because of limited information on how to implement energy-efficiency measures, especially given the fact that a majority of textile plants are categorized as SMEs and hence they have limited resources to acquire this information. Know-how on energy-efficiency technologies and practices should, therefore, be prepared and disseminated to textile plants. This guidebook provides information on energy-efficiency technologies and measures applicable to the textile industry. The guidebook includes case studies from textile plants around the world and includes energy savings and cost information when available. First, the guidebook gives a brief overview of the textile industry around the world, with an explanation of major textile processes. An analysis of the type and the share of energy used in different textile processes is also included in the guidebook. Subsequently, energy-efficiency improvement opportunities available within some of the major textile sub-sectors are given with a brief explanation of each measure. The conclusion includes a short section dedicated to highlighting a few emerging technologies in the textile industry as well as the potential for the use of renewable energy in the textile industry.
Date: September 29, 2010
Creator: Group, China Energy & Hasanbeigi, Ali
Partner: UNT Libraries Government Documents Department

Social Welfare implications of demand response programs in competitive electricity markets

Description: The price volatility exhibited by wholesale electricity markets has stymied the movement to restructure the industry, and may derail it altogether. Market designers argue that prices are superior to regulation for directing long-term investments to the proper location and function, and that price volatility is a natural manifestation of a robustly competitive market. However, episodes of prices that soar to previously unimaginable heights try customers' patience and cause policy makers to reconsider if the prize is worth the consequences.
Date: August 1, 2003
Creator: Boisvert, Richard N. & Neenan, Bernard F.
Partner: UNT Libraries Government Documents Department

Development and Characterization of a Thermodenuder for Aerosol Volatility Measurements

Description: This SBIR Phase I project addressed the critical need for improved characterization of carbonaceous aerosol species in the atmosphere. The proposed work focused on the development of a thermodenuder (TD) system capable of systematically measuring volatility profiles of primary and secondary organic aerosol species and providing insight into the effects of absorbing and nonabsorbing organic coatings on particle absorption properties. This work provided the fundamental framework for the generation of essential information needed for improved predictions of ambient aerosol loadings and radiative properties by atmospheric chemistry models. As part of this work, Aerodyne Research, Inc. (ARI) continued to develop and test, with the final objective of commercialization, an improved thermodenuder system that can be used in series with any aerosol instrument or suite of instruments (e.g., aerosol mass spectrometers-AMS, scanning mobility particle sizers-SMPS, photoacoustic absorption spectrometers-PAS, etc.) to obtain aerosol chemical, physical, and optical properties as a function of particle volatility. In particular, we provided the proof of concept for the direct coupling of our improved TD design with a full microphysical model to obtain volatility profiles for different organic aerosol components and to allow for meaningful comparisons between different TD-derived aerosol measurements. In a TD, particles are passed through a heated zone and a denuding (activated charcoal) zone to remove semi-volatile material. Changes in particle size, number concentration, optical absorption, and chemical composition are subsequently detected with aerosol instrumentation. The aerosol volatility profiles provided by the TD will strengthen organic aerosol emission inventories, provide further insight into secondary aerosol formation mechanisms, and provide an important measure of particle absorption (including brown carbon contributions and identification, and absorption enhancements due to coatings on soot particles). The successfully completed Phase I project included construction of a prototype design for the TD with detailed physical modeling, testing with laboratory and ambient aerosol ...
Date: September 9, 2009
Creator: Onasch, Dr. Timothy
Partner: UNT Libraries Government Documents Department

THERMODYNAMICS IN THE FUSED SALT DISSOLUTION PROCESS FOR ZIRCONIUM FUEL

Description: A discussion is given of the role of thermodynamics in the fused-salt volatility process, particularly as it applies to oxidation-reduction reactions affecting zirconium, uranium, nickel, chromium, ruthenium, and other elements present in the hydrofluorination head-end step. (auth)
Date: November 19, 1959
Creator: Cathers, G.I.
Partner: UNT Libraries Government Documents Department

Comparison of AEO 2008 Natural Gas Price Forecast to NYMEX Futures Prices

Description: On December 12, 2007, the reference-case projections from Annual Energy Outlook 2008 (AEO 2008) were posted on the Energy Information Administration's (EIA) web site. We at LBNL have, in the past, compared the EIA's reference-case long-term natural gas price forecasts from the AEO series to contemporaneous natural gas prices that can be locked in through the forward market, with the goal of better understanding fuel price risk and the role that renewables can play in mitigating such risk. As such, we were curious to see how the latest AEO reference-case gas price forecast compares to the NYMEX natural gas futures strip. This brief memo presents our findings. Note that this memo pertains only to natural gas fuel price risk (i.e., the risk that natural gas prices might differ over the life of a gas-fired generation asset from what was expected when the decision to build the gas-fired unit was made). We do not take into consideration any of the other distinct attributes of gas-fired and renewable generation, such as dispatchability (or lack thereof) or environmental externalities. A comprehensive comparison of different resource types--which is well beyond the scope of this memo--would need to account for differences in all such attributes, including fuel price risk. Furthermore, our analysis focuses solely on natural-gas-fired generation (as opposed to coal-fired generation, for example), for several reasons: (1) price volatility has been more of a concern for natural gas than for other fuels used to generate power; (2) for environmental and other reasons, natural gas has, in recent years, been the fuel of choice among power plant developers (though its appeal has diminished somewhat as prices have increased); and (3) natural gas-fired generators often set the market clearing price in competitive wholesale power markets throughout the United States. That said, a more-complete analysis of how ...
Date: January 7, 2008
Creator: Bolinger, Mark A; Bolinger, Mark & Wiser, Ryan
Partner: UNT Libraries Government Documents Department

Comparison of AEO 2009 Natural Gas Price Forecast to NYMEX Futures Prices

Description: On December 17, 2008, the reference-case projections from Annual Energy Outlook 2009 (AEO 2009) were posted on the Energy Information Administration's (EIA) web site. We at LBNL have, in the past, compared the EIA's reference-case long-term natural gas price forecasts from the AEO series to contemporaneous natural gas prices that can be locked in through the forward market, with the goal of better understanding fuel price risk and the role that renewables can play in mitigating such risk. As such, we were curious to see how the latest AEO reference-case gas price forecast compares to the NYMEX natural gas futures strip. This brief memo presents our findings. Note that this memo pertains only to natural gas fuel price risk (i.e., the risk that natural gas prices might differ over the life of a gas-fired generation asset from what was expected when the decision to build the gas-fired unit was made). We do not take into consideration any of the other distinct attributes of gas-fired and renewable generation, such as dispatchability (or lack thereof), differences in capital costs and O&M expenses, or environmental externalities. A comprehensive comparison of different resource types--which is well beyond the scope of this memo--would need to account for differences in all such attributes, including fuel price risk. Furthermore, our analysis focuses solely on natural-gas-fired generation (as opposed to coal-fired or nuclear generation, for example), for several reasons: (1) price volatility has been more of a concern for natural gas than for other fuels used to generate power; (2) for environmental and other reasons, natural gas has, in recent years, been the fuel of choice among power plant developers; and (3) natural gas-fired generators often set the market clearing price in competitive wholesale power markets throughout the United States. That said, a more-complete analysis of how renewables ...
Date: January 28, 2009
Creator: Bolinger, Mark & Wiser, Ryan
Partner: UNT Libraries Government Documents Department

REPROCESSING OF ARE FUEL, VOLATILITY PILOT PLANT RUNS E-1 AND E-2

Description: After two batches ( approximately 340 kg) of fluoride salt from the ARE were reprocessed, a pilot plant operations were terminated because of a leak through which an estimated 780 g of uranium (as UF/sub 6/ escaped. Of the 21 kg of highly enriched uranium in the feed, 93.12% was collected as UF/sub 6/ product, 0.13% represented measured losses, and 3.72% was unaccounted for (leak). An additional 3.03% was reclaimed from NaF beds and equipment washes. The produce met both chemical purity and activity specifications for product level UF/ sub 6/. Decontamination from fission products was essentially complete. A gross gamma decontamination factor was apparently limited by the low activity of the feed salt. (auth)
Date: May 11, 1959
Creator: Whitmarsh, C.L.
Partner: UNT Libraries Government Documents Department

Aqueous Processes for Separation and Decontamination of Irradiated Fuels

Description: . A review of recent dcvelopments and improvements in aqueous processes for accomplishing separation and decontamination of irradiated fuels from power reactors is presented Research and development is currently being pursued in tbe United States on three distinct types of fuel processing methods; pyrometallurgical processes, fluoride volatility processes, and aqueous processes. Although the ultimate role of these processing methods in a nuclear power economy cannot be accurately assessed at the present time, it is felt that the proven reliabilita and versatility of aqueous processes guarantees them a prominent role in power reactor fuel reprocessing. Aqueous solvent extraction processes, for example, are ideally suited for installation in central processing plants which are designed to handle fuels from a number of power reactors generating a total of several thousand megawatts or more of power. Under these circumstances, nuclear fuels can be processed by continuous processes at high throughputs and at high on-stream efficiency and therefore at low unit cost. (auth)
Date: October 31, 1958
Creator: Cooper, V. R. & Walling, M. T., Jr.
Partner: UNT Libraries Government Documents Department

ZIRCEX URANIUM SUBLIMATE LOSS

Description: One of the limitations of the Zircex Process is the large percentage loss of U which is carried off with the volatile ZrCl/sub 4/. Since the ratio of U to Zr in the fuel element is quite small (< 1%), a large percentage of U loss can be caused by small amounts of U in the ZrCl/sub 4/ sublimate. The U loss must be kept below 1% if the Zircex Process is to be adapted to industrial scale processing. (W.L.H.)
Date: January 24, 1958
Creator: Jaworowski, T.R. & King, C.J. III
Partner: UNT Libraries Government Documents Department