Volatility forecasting: long memory,regime switching and heteroscedasticity

In this article, we account for the first time for long memory, regime switching and the conditional time-varying volatility of volatility (heteroscedasticity) to model and forecast market volatility using the heterogeneous autoregressive model of realized volatility (HAR-RV) and its extensions. We present several interesting and notable findings. First, existing models exhibit significant nonlinearity and clustering, which provide empirical evidence on the benefit of introducing regime switching and heteroscedasticity. Second, out-of-sample results indicate that combining regime switching and heteroscedasticity can substantially improve predictive power from a statistical viewpoint. More specifically, our proposed models generally exhibit higher forecasting accuracy. Third, these results are widely consistent across a variety of robustness tests such as different forecasting windows, forecasting models, realized measures, and stock markets. Consequently, this study sheds new light on forecasting future volatility.     

When Do Qualitative Risk Disclosures Backfire? The Effects of a Mismatch in Hedge Disclosure Formats on Investors' Judgments

Disclosure standards mandate the quantitative disclosure of hedging‐instrument‐related risks but not the disclosure of hedged‐item‐related risks. We examine how a match (mismatch) in formats, caused by making quantitative (qualitative) hedged item disclosures alongside quantitative hedging instrument disclosures, affects investors' integration of information from these two related disclosures. Our first experiment varies the hedged item disclosure format (quantitative or qualitative) and the portion of risk hedged (small or large). We find that when disclosure formats are mismatched, the less comparable nature of the two disclosures caused investors to neglect the offsetting relationship when assessing net risks. As a result, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our second experiment finds that the use of a qualitative debiaser that clarifies the relationship between the two disclosures led to the integration of information and mitigated this effect.     

Upflow anaerobic sludge blanket (UASB) treatment of supernatant of cow manure by thermal pre-treatment.

Upflow anaerobic sludge blanket (UASB) methane fermentation treatment of cow manure that was subjected to screw pressing, thermal treatment and subsequent solid-liquid separation was studied. Conducting batch scale tests at temperatures between 140 and 180 degrees C, the optimal temperature for sludge settling and the color suppression was found to be between 160-170 degrees C. UASB treatment was carried out with a supernatant obtained from the thermal treatment at the optimal conditions (170 degrees C for 30 minutes) and polymer-dosed solid-liquid separation. In the UASB treatment with a COD(Cr) loading of 11.7 kg/m3/d and water temperature of 32.2 degrees C, the COD(Cr) level dropped from 16,360 mg/L in raw water to 3,940 mg/L in treated water (COD(Cr), removal rate of 75.9%), and the methane production rate per COD(Cr) was 0.187 Nm3/kg. Using wastewater thermal-treated at the optimal conditions, also a methane fermentation treatment with a continuously stirred tank reactor (CSTR) was conducted (COD(Cr) in raw water: 38,000 mg/L, hydraulic retention time (HRT): 20 days, 35 degrees C). At the COD(Cr) loading of 1.9 kg/m3/d, the methane production rate per COD(Cr), was 0.153 Nm3/kg. This result shows that UASB treatment using thermal pre-treatment provides a COD(Cr), loading of four times or more and a methane production rate of 1.3 times higher than the CSTR treatment.     

Analysis of phosphorus removal and anaerobic selector performance in a full-scale activated sludge process in Singapore.

This paper analyses the performance of the anaerobic selector (A/O process) in a full-scale activated sludge process receiving mostly industrial sewage discharge (> 60%) in Singapore. In addition to the sludge settleability, enhanced biological phosphorus removal (EBPR) was studied. The sludge volume index (SVI) reduced from 200 to 80 ml g(-1) and foaming was suppressed significantly, indicating the effectiveness of the anaerobic selector in improving sludge settleability. The phosphorus removal efficiency was 66%, and 7.5 mg HAc-COD was consumed per mg PO4(3-) -P removed. In the anaerobic compartment, 31% of the SCOD and 73% of the acetic acid in the settled sewage were removed with PO4(3-) -P release of 14.1 mg PO4(3-)-P l(-1). The linear correlation between PO4(3-) -P release in the anaerobic compartment and PO4(3-) -P uptake in the aerobic compartment indicates that there is about 0.8 mg PO4(3-) -P release in the anaerobic compartment per mg PO34(3-) -P uptake in the aerobic compartment. The fates of volatile fatty acids (VFAs) and its short chain acids (SCAs) in the process were studied and discussed.     

Membrane separation of indigenous noroviruses from sewage sludge and treated wastewater.

In this study, feasibility of membrane separation for the removal of indigenous noroviruses (NVs) is evaluated. The indigenous NV gene was never detected from ultrafiltration (UF) permeates of sewage sludge and treated wastewater. Indigenous NV gene was also not detected from permeates of sewage sludge and treated wastewater by microfiltration (MF) with a pore size of 0.1 microm (MF0.1). Even though the pore size of MF (0.1 microm) was much larger than the diameter of virus particle (approximately 30-40nm), more than 4-log10 reduction value (LRV) at maximum was achieved by membrane separation with MF0.1. NV genes were often detected from permeates of sewage sludge and treated wastewater by MF with a pore size of 0.45 microm (MF0.45), although the maximum log10 reduction values were more than 3.59 for sewage sludge and more than 2.90 for treated wastewater. It is important to verify factors determining the removal efficiency of viruses with MF membranes.     

Identification of the adverse effect of nitrate on the phosphate release rate and improvement of EBPR process models.

The adverse effect of nitrate on the phosphate release rate in the anaerobic phase was observed and was hardly explainable with conventional EBPR process models. Four possible mechanisms were proposed including substrate competition, reduced fermentation, parallel reaction and sequential reaction. Batch experiments were designed and conducted to identify the dominant mechanism. Results showed that the sequential reaction was the only possible mechanism where only denitrification occurred if any nitrate existed in the anaerobic phase. Then the phosphate release following after the nitrate was completely removed. Nitrate inhibition effect was added into the PHA storage rate to incorporate the sequential reaction in the conventional ASM3 plus EAWAG bio-P module (ASM3 + P). Nitrate inhibition coefficient, K(I,NO,PAO) was found to be as low as 0.05 mg/L. This correlated well with experimental observation where no also meant that the anaerobic compartment of a continuous flow reactor could be seriously affected by the residual nitrate contained in the sludge recycle flow. This phenomenon caused overestimation of the phosphate uptake rate and consequently underestimation of PO4(3-) -P concentration. This problem was resolved by incorporation of a nitrate inhibition term in the ASM3 + P for more accurate simulation of the EBPR process.     

浅谈参地开发中水土流失防治对策

本文通过对典型小流域内参地开发造成水土流失的分析,提出适合本区域操作的参地防治对策。     

Effects of surface charge, micro-bubble size and particle size on removal efficiency of electro-flotation.

Flotation is a water treatment alternative to sedimentation, and uses small bubbles to remove low-density particles from potable water and wastewater. The effect of zeta potential, bubble size and particle size on removal efficiency of the electro-flotation process was investigated because previous model-simulations indicated that these attributes are critical for high collision efficiency between micro-bubbles and particles. Solutions containing Al3+ as the metal ion were subjected to various conditions. The zeta potentials of bubbles and particles were similar under identical conditions, and their charges were influenced by metal ion concentration and pH. Maximum removal efficiency was 98 and 12% in the presence and absence of flocculation, respectively. Removal efficiency was higher when particle size was similar to bubble size. These results agree with modelling simulations and indicate that collision efficiency is greater when the zeta potential of one is negative and that of the other is positive and when their sizes are similar.     

Knowledge-based control and case-based diagnosis based upon empirical knowledge and fuzzy logic for the SBR plant.

Because biological wastewater treatment plants (WWTPs) involve a long time-delay and various disturbances, in general, skilled operators manually control the plant based on empirical knowledge. And operators usually diagnose the plant using similar cases experienced in the past. For the effective management of the plant, system automation has to be accomplished based upon operating recipes. This paper introduces automatic control and diagnosis based upon the operator's knowledge. Fuzzy logic was employed to design this knowledge-based controller because fuzzy logic can convert the linguistic information to rules. The controller can manage the influent and external carbon in considering the loading rate. The input of the controller is not the loading rate but the dissolved oxygen (DO) lag-time, which has a strong relation to the loading rate. This approach can replace an expensive sensor, which measures the loading rate and ammonia concentration in the reactor, with a cheaper DO sensor. The proposed controller can assure optimal operation and prevent the over-feeding problem. Case-based diagnosis was achieved by the analysis of profile patterns collected from the past. A new test profile was diagnosed by comparing it with template patterns containing normal and abnormal cases. The proposed control and diagnostic system will guarantee the effective and stable operation of WWTPs.