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Maturity Effects (maturity + effects)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	75%

Selected Abstracts

Applicability of Carbazole Migration Indices in Continental Rift Basins: A Case Study of Western Lujiapu Depression in Kailu Basin, NE China

ACTA GEOLOGICA SINICA (ENGLISH EDITION), Issue 3 2010
Shuqing ZHOU
Abstract: Kailu Basin in which the Western Lujiapu Depression is located is a typical continental rift basin. Biomarker parameters of the oils indicate that depositional facies and environments vary between the Bao 1 and Bao 14 fault blocks with a higher saline environment in the Bao 1 fault block, but such difference has no significant impact on carbazole abundance and distribution. Maturity and migration distance are the main controls on carbazole abundance and distribution in the Western Lujiapu Depression. The commonly used migration indices, such as ratios of nitrogen shield isomers to nitrogen exposed isomers (1-/4-methylcarbazole ratio, 1,8-/2,4-dimethylcarbazole (DMC) ratio and half-shield/exposed-DMC ratio), absolute concentrations of alkylated carbazoles and BC ratio (= benzo [a]carbazole/ (benzo[a]carbazole + benzo[c]carbazole)) increase at the low mature range and decrease at a higher mature range with increasing maturity. At relatively low maturity stage (Rc<0.77%), maturation has reversal effects with migration on the ratios of nitrogen shield isomers to nitrogen exposed isomers, which may cover migration influence and makes these parameters fail to indicate migration effects. Valid migration indicators at this maturity stage are concentrations of alkylated carbazoles and BC ratios, which can provide ideal tools for migration direction assessment even within short migration distance. Maturity effects should be taken into account when carbazole compounds are applied to indicate migration direction, and at different maturity stages, these commonly used parameters have different validity in tracing migration direction. Coupled with our previous study in the Eastern Lujiapu Depression, a conceptual model of the variation of nitrogen migration indices can be established for terrestrial rifted basins, that is, strong fractionation lateral migration model through sandy beds, weak fractionation vertical migration model along faults, and maturity impacts on migration assessment. [source]

Are commodity prices chaotic?

AGRICULTURAL ECONOMICS, Issue 2 2002
Arjun Chatrath
Abstract We conduct tests for the presence of low-dimensional chaotic structure in the futures prices of four important agricultural commodities. Though there is strong evidence of non-linear dependence, the evidence suggests that there is no long-lasting chaotic structure. The dimension estimates for the commodity futures series are generally much higher than would be for low dimension chaotic series. Our test results indicate that autoregressive conditional heteroskedasticity (ARCH)-type processes, with controls for seasonality and contract-maturity effects, explain much of the non-linearity in the data. We make a case that employing seasonally adjusted price series is important in obtaining robust results via some of the existing tests for chaotic structure. Finally, maximum likelihood methodologies, that are robust to the non-linear dynamics, lend strong support to the Samuelson hypothesis of maturity effects in futures price changes. [source]

Multiperiod hedging with futures contracts

THE JOURNAL OF FUTURES MARKETS, Issue 12 2002
Aaron Low
The hedging problem is examined where futures prices obey the cost-of-carry model. The resultant hedging model explicitly incorporates maturity effects in the futures basis. Formulas for the optimal static and dynamic hedges are derived. Although these formulas are developed for the case of direct hedging, the framework used is sufficiently flexible so that these formulas can be applied to many cross-hedging situations. The performance of the model is compared with that of several other models for two hedging scenarios: one involving a financial asset and the other involving a commodity. In both cases, significant maturity effects were found in the first and second moments of the futures basis. Our hedging formulas outperformed other hedging strategies on an ex-ante basis. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1179,1203, 2002 [source]