Low Liquid Research Articles

The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods

AbstractThe study examines the effects of market conditions, volatility and liquidity shocks on the arbitrage profits during pre‐COVID and COVID periods. The study uses a conditional quantile regression and finds no significant difference in the impact of market conditions on the arbitrage profits during pre‐COVID and COVID crisis periods. The increase in volatility combined with low liquidity during the COVID period makes arbitrage non‐viable. However, the decline in volatility during the COVID period encourages investors to initiate arbitrage. The results are useful to fund managers and market analysts to develop suitable trading strategies and stock market regulators to take necessary steps to improve price discovery mechanisms and market efficiency.

A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China

AbstractContracts that expire in January, May, and September attract the most trading activity for corn futures in China. Contracts that mature in other months are thinly traded, even when they are the closest to maturity. In this paper, we examine and compare the behavior and determinants of the bid–ask spreads (BASs) of active and inactive contracts using the best bid offer data set. We show that both the magnitude and volatility of BAS for inactive contracts exhibit U‐shaped patterns, whereas active contracts' BAS increase only near their expiration. Inactive contracts are also of low liquidity risk after introducing market makers. On the basis of the simultaneous equation model, we find that BAS responds negatively to volume and positively to volatility and order imbalance. The impacts are larger in inactive contracts. Moreover, introducing market makers to inactive contracts is conducive to attracting trading and lowering trading costs.

Fluorine-Free Super-Liquid-Repellent Surfaces: Pushing the Limits of PDMS

Methods for fabricating super-liquid-repellent surfaces have typically relied on perfluoroalkyl substances. However, growing concerns about the environmental and health effects of perfluorinated compounds have caused increased interest in fluorine-free alternatives. Polydimethylsiloxane (PDMS) is most promising. In contrast to fluorinated surfaces, PDMS-coated surfaces showed only superhydrophobicity. This raises the question whether the poor liquid repellency is caused by PDMS interacting with the probe liquid or whether it results from inappropriate surface morphology. Here, we demonstrate that a well-designed two-tier structure consisting of silicon dioxide nanoparticles combined with surface-tethered PDMS chains allows super-liquid-repellency toward a range of low surface tension liquids. Drops of water-ethanol solutions with surface tensions as low as 31.0 mN m-1 easily roll and bounce off optimized surface structures. Friction force measurements demonstrate excellent surface homogeneity and easy mobility of drops. Our work shows that fluorine-free super-liquid-repellent surfaces can be achieved using scalable fabrication methods and environmentally friendly surface functionalization.

Natural core-based laboratory analysis and comparisons of the mechanical and hydraulic characteristics of the soil skeleton of hydrate reservoirs in the South China Sea

Safe and efficient hydrate production relies on an in-depth understanding of the geotechnical characteristics of hydrate reservoirs. However, the role of the fundamental soil skeleton has not received sufficient attention. Using natural samples cored from the W01/W02 sites of GMGS4 in the Shenhu area of the South China Sea, we primarily performed classical geotechnical tests on their soil skeletons. Our analysis and comparisons indicate that these natural samples are clay-dominated soils with a low liquid limit. Clay-induced complex fluid-solid migration and water-induced bearing capacity decline should be considered. The absolute gas permeability, under confining stress range of 2–2.5 MPa, mainly varies between 0.05 and 1.5 mD with partial closed pores inside. The natural samples exhibit strain-hardening and two-stage stiffness characteristics. Based on other published data, the modulus-strength ratios of the natural soil samples in hydrate reservoirs of the South China Sea seem to be independent of the confining stress, and vary from 24 to 107. In addition, their recommended cohesion and friction angle are 70 kPa and 28.2°, respectively. These findings are expected to provide a fundamental and valuable supplement for parameter selection in numerical simulations and response evaluation of field hydrate productions.

Utility of fuzzy set Qualitative Comparative Analysis (fsQCA) methodology to identify causal relations conducting to cooperative failure

This study focuses on the search for the causes, or combination of circumstances, that lead to business failure processes. There is renewed interest in this subject due to the adverse consequences that the recent economic crisis has caused in the business world. A fuzzy set Qualitative Comparative Analysis (fsQCA) is thus carried out to identify the combination of financial ratios that points to situations of financial difficulty. The study centres on the cooperative sector, represented by a sample of 56 companies holding this legal status, belonging to various different productive sectors. The results obtained, and confirmed through a number of different robustness tests, reveal the presence of sufficient conditions comprising combinations of variables reflecting high indebtedness, low liquidity, low solvency and small firm size, representing a scenario that would be sufficient for an entity to face business continuity problems. Thanks to its ability to identify combinations of variables that warn of business failure, as well as its ease of interpretability, the fsQCA technique can be extremely useful for business management and the identification of business failure situations.

Identifying influential financial stocks using simulation with a two-layer network

Risk spillover from one stock to another tends to create a contagion effect in the stock market. Fire sales due to the overlapping portfolios of mutual funds can amplify the contagion risks, leading to a downward spiral of stock prices. In this paper, we simulate this downward spiral phenomenon for the Chinese financial stocks based on a two-layer network structure and aim to identify the influential financial stocks based on their individual induced systemic risks. Our findings show that stock liquidity and the concentration of funds’ holding on stocks play important roles in determining systemically important financial institutions. Our results also confirm the statements of “too-big-to-fail” and “too-interconnected-to-fail” of financial institutions in the Chinese market. Our results show that a more sensitive flow-performance relationship of mutual funds can amplify the contagion risk by 41%. However, the magnitude can be more drastic in a low market liquidity scenario, where the contagion risk is boosted by 160%.

Low viscosity liquid bridges: Stretching of liquid bridges immersed in a higher viscosity liquid

Low viscosity liquid bridges: Stretching of liquid bridges immersed in a higher viscosity liquid

Preparation of three-dimensionally linked pore-like porous atomized ceramics with high oil and water absorption rates

Ceramic atomization cores are a new application of porous ceramics; however, the challenging regulation of the pore structures of porous ceramics has limited their application. To improve the low liquid absorption rates and low liquid storage capacity of porous ceramics in the field of atomization, this study used three substances, polymethyl methacrylate (PMMA), starch, and diatomaceous earth, to produce porous ceramics with a three-dimensional interconnected triple-porous structure by sacrificial templating. In the porous ceramics, large pores resulting from PMMA increase liquid storing capacity, medium pores resulting from the starch facilitate the transport of liquid, and small pores resulting from diatomaceous earth enhance capillary action, significantly increasing the rate of liquid absorption. By varying the PMMA contents and type of starch in the preform, water and oil storage capacities of up to 123% and 143%, respectively, can be achieved. We found that an optimized porous ceramic with dimensions of 15 mm × 15 mm × 15 mm absorbs water rapidly (reaching saturation in only 1.67 s), demonstrates good solid–liquid properties and shape stability, and is recyclable (requires drying before reuse). The proposed porous ceramics have promising atomization core and oil–water separation applications.

Risk Management and Rate in Growing of Profit-Sharing Financing

As a main characteristic of Islamic banks, profit-sharing financing (PsF) has an actual influence on driving the economy in the real sector. A PsF using mudharabah and musyarakah contract is mostly channeled to fund productive businesses. This study tries to find out how the Islamic bank performance reflected by credit risk, profit-sharing rate, and liquidity can increase the PsF growth in Islamic banks. Using a quantitative approach through regression analysis, this study analyzed the impact arising from the improved credit risk, profit-sharing rate, and liquidity on the growth of PsF. The data used is secondary data obtained from statistics on Islamic banking in Indonesia (ranging from the 1st quarter of 2015 to the 4thquarter of 2021). The findings revealed that the Islamic bank performances as represented by credit risk, profit-sharing rate, and liquidity can be an indicator of growth of PsF. A low profit-sharing rate, credit risk, and liquidity risk will encourage PsF growth.

CFD simulation of a small bubble motion in 3D flow domain: effect of liquid density, viscosity and surface tension

The motion of spherical and slightly deformed bubbles rising rectilinearly in a stagnant liquid was numerically simulated in a fully three-dimensional domain using the CFD solver COMSOL Multiphysics. The interface was tracked by the built-in conservative Level set method on a fixed numerical grid. The purpose of this work was to study the single bubble motion in three industrially used liquids that differ significantly in surface tension, density, and viscosity. The motion of bubbles with diameters up to 1.6 mm was also studied experimentally using a high-speed camera. The data obtained together with the results of theoretical models for bubble motion were used for the validation of the simulation data. Using a 3D domain, very good agreement was obtained in both bubble shape deformations and bubble terminal velocity. The best results were achieved for propanol with low surface tension and low viscosity. In the case of high surface tension and low viscosity liquid (water), both the bubble deformation and the bubble velocity were slightly underestimated. In the case of glycerol (high surface tension and viscosity), the negligible bubble deformation is correctly calculated, but the velocity is again slightly underestimated.Graphical abstract

Free Float in the Polish Capital Market and Its Importance for Investors

Theoretical background: Free float (hereinafter referred to as FF) refers to the ratio of shares held by small investors (less than 5%) to all shares in a company. FF investors are generally unrelated to each other or to ma-jor shareholders and they constantly review the company’s current stock market valuation and thus improve the stock market efficiency. This means that the higher the FF, the potentially higher liquidity and better valuation of the company’s shares. A low FF recalls the institution of protecting the rights of minority shareholders, calls into question the sense of maintaining a public company status, and raises the potential risk of incorrect valuation. The literature generally lacks studies referring to all these issues as well as FF statistics in Poland. Purpose of the article: The purpose of the article is to sum up the term “free float”, analyze FF statistics on the Polish capital market, indicate the link between FF and market liquidity, identify potential risks associated with listed companies having low FF and to determine whether it makes sense for the strategic investor to maintain public company status with low FF. Research methods: Theoretical analysis (including analysis of capital market laws) and statistical analysis. Main findings: The research confirmed that the relationship between FF and stock market liquidity is positive, but only considering FF in nominal terms. On the Polish capital market, as the nominal level of FF increases, market capitalization and trading liquidity increase largely and the average market spread decreases slightly. The article also points out important risks associated with low FF conditioning low liquidity, such as the risk of stock manipulation and the risk of incorrect company valuation. Potential areas for changing the law on squeeze-out/sell out institutions due to the inadequacy of the FF percentage were also pointed out.

Conversion of Sugar Di-Ketals to Bio-Hydrocarbons through Catalytic Cracking over Beta Catalysts in Fixed and Fluidized Catalytic Beds

Second-generation biomass (BM) can be produced in amounts that meet worldwide fuel demands. However, BM favors parallel and undesirable reactions in its transformation chain. We circumvent this problem by first modifying BM by ketalization, giving a user-friendly liquid we named BP (bio-petroleum). This study converted a representative compound of BP, DX (1,2:3,5-di-O-isopropylidene-α-D-xylofuranose), mixed with n-hexane by beta zeolites and catalysts containing beta zeolite. Beta zeolite showed low coke and high liquid product yields in converting this mixture (having 30 wt. % DX) into hydrocarbons in a fixed-bed reactor at 500 °C with a space velocity of 16 h−1 (0.3 catalyst/feed). Its performance was further improved by steam treatment (lowering the coke yield by lowering the acid site density) or incorporation into a catalyst (improving DX participation due to the active sites in the matrix). Further, by changing the conversion process from a fixed bed to a fluidized cracking unit, a much larger amount of the deactivated catalyst could be used (catalyst/feed = 3), remarkably reducing oxygenates and fully converting DX. Additionally, the green hydrocarbon efficiency (olefin, aromatics, furans, and cyclo-alkanes) of DX was approximately 77%. Hence, beta catalysts were shown to have a great potential to provide green fuels for future bio-refineries.

U.S. Multinational Companies’ Payout and Investment Decisions in Response to International Tax Provisions of the Tax Cuts and Jobs Act of 2017

ABSTRACT The Tax Cuts and Jobs Act of 2017 (TCJA) dramatically changed U.S. taxation of foreign earnings for U.S. multinational companies (MNCs). Specifically, the TCJA required taxation of existing unremitted foreign earnings through a deemed repatriation and effectively eliminated future repatriation taxes through a 100 percent dividends received deduction. Additionally, the bill introduced the global intangible low-taxed income (GILTI) regime. We examine MNCs’ responses to the TCJA and find that spending and investment behavior depends on liquidity, investment opportunities, and borrowing costs. Domestic capital expenditures and share repurchases increased for MNCs with low domestic liquidity and high domestic investment opportunities. In contrast, MNCs with low domestic liquidity (high cost of debt) and low domestic investment opportunities increased dividends (decreased debt). Finally, we find that MNCs with high foreign cash and most vulnerable to the GILTI regime increased their foreign but not domestic capital expenditures—a potential unintended consequence. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: F23; G31; G38; H25; M40; M48.

The Impact of Disturbances on the US Stock Market’s Spread and Investor Sentiment Through the Perspective of Risk Management

Abstract The paper aims to address a topic of interest, namely: the influence and effect of the major disruptions from recent years on one of the largest important stock markets. The purpose of the paper is to show the influence of these disruptions on the US stock market, considering market efficiency and measuring the estimated Bid-Ask spread. Using daily and weekly data sets over a period of 13 years, based on the closing stock prices of 10 companies listed in the category of the NASDAQ and NYSE stock indexes and calculating the return at (t) and (t+1) for each stock, the covariance of the two returns at (t) and (t+1) and using at t and (t+1) a "rolling window" of 21 days, which represents the trading days, as well as using the weekly data series in the same way, we obtained the relationship between the spread measurement and its size, a strong negative cross-sectional relationship, for which we performed a series of statistical tests summarized in the paper. Later, we split the data for each year separately so that we’d be able to use for each year a cross-sectional regression of the spread over the logarithmic values of the size and we noticed that there is a strong negative relationship between the two of them. According to the results obtained, it can be observed that the strongest negative correlations are in 2019 and 2021 in the case of data with daily frequency and 2020, and 2021 in the case of data with weekly frequency, for an informationally efficient market, where transaction costs are zero and in which the market price contains all the relevant information. The strongly negative correlations recorded can be explained by the fact that strong negative influences took place during these periods, which contributed to the disruption of the stock market and not only. At the same time, these negative correlations on the stock market analyzed in the last period also show a wider spread increase which theoretically shows low liquidity.

The Doge of Wall Street: Analysis and Detection of Pump and Dump Cryptocurrency Manipulations

Cryptocurrencies are increasingly popular. Even people who are not experts have started to invest in these assets, and nowadays, cryptocurrency exchanges process transactions for over 100 billion US dollars per month. Despite this, many cryptocurrencies have low liquidity and are highly prone to market manipulation. This paper performs an in-depth analysis of two market manipulations organized by communities over the Internet: The pump and dump and the crowd pump. The pump and dump scheme is a fraud as old as the stock market. Now, it has new vitality in the loosely regulated market of cryptocurrencies. Groups of highly coordinated people systematically arrange this scam, usually on Telegram and Discord. We monitored these groups for more than 3 years, detecting around 900 individual events. We report on three case studies related to pump and dump groups. We leverage our unique dataset of the verified pump and dumps to build a machine learning model able to detect a pump and dump in 25 seconds from the moment it starts, achieving the results of 94.5% of F1-score. Then, we move on to the crowd pump, a new phenomenon that hit the news in the first months of 2021, when a Reddit community inflated the price of the GameStop stocks (GME) by over 1,900% on Wall Street, the world’s largest stock exchange. Later, other Reddit communities replicated the operation on the cryptocurrency markets. The targets were DogeCoin (DOGE) and Ripple (XRP). We reconstruct how these operations developed and discuss differences and analogies with the standard pump and dump. We believe this study helps understand a widespread phenomenon affecting cryptocurrency markets. The detection algorithms we develop effectively detect these events in real-time and helps investors stay out of the market when these frauds are in action.

Ultrafast measurement of laser-induced shock waves

We present measurements of laser-induced shockwave pressure rise time in liquids on a sub-nanosecond scale, using custom-designed single-mode fiber optic hydrophone. The measurements are aimed at the study of the shockwave generation process, helping to improve the effectiveness of various applications and decrease possible accidental damage from shockwaves. The developed method allows measurement of the fast shockwave rise time as close as 10 µm from an 8 µm sized laser-induced plasma shockwave source, significantly improving the spatial and temporal resolution of the pressure measurement over other types of hydrophones. The spatial and temporal limitations of the presented hydrophone measurements are investigated theoretically, with actual experimental results agreeing well with the predictions. To demonstrate the capabilities of the fast sensor, we were able to show that the shockwave rise time is linked to liquid viscosity exhibiting logarithmic dependency in the low viscosity regime (from 0.4 cSt to 50 cSt). Additionally, the shockwave rise time dependency on propagation distance close to the source in water was investigated, with shock wave rise times measured down to only 150 ps. It was found that at short propagation distances in water halving the shock wave peak pressure results in the rise time increase by approximately factor of 1.6. These results extend the understanding of shockwave behavior in low viscosity liquids.

Structural evolution of dendritic-structured Mg0.01V2O5 film electrodes of lithium-ion batteries during cycling

The development of viable high-capacity cathode materials is still a challenge for lithium-ion batteries (LIBs). In this work, Mg0.01V2O5 films with an interesting dendritic structure were grown in-situ on indium-tin oxide (ITO) conductive glass by a low temperature liquid phase deposition. The results exhibited the morphologies and properties of film electrodes were greatly affected by different annealing temperature. Among them, the Mg0.01V2O5 film electrode annealed at 450 °C showed the best electrochemical performance. It provided a high-capacity of 164.7 mA h m−2, and 141.2 mA h m−2 after 100 cycles that capacity retention of 85.7% at 176 mA m−2 in the LIB system. In addition, good cycling stability and rate performance were also impressive. The mechanism of Li+ insertion and extraction in the film electrode Mg0.01V2O5 was investigated by analyzing the phase evolution, lattice deformation, and elementary composition and valence of the film electrode after enduring electrochemical cycles. The insertion of Li+ in the interlayer allowed the creation of a new phase and the different diffusion rate of Li+ in the (010) crystal plane of the main phase, which caused the splitting behavior of the X‑ray diffraction peaks of this crystal plane. Encouragingly, it was the new phase produced during the cycle that worked with the principal phase, improving the diffusion kinetics and enhancing the electrochemical properties of LIBs. This work may provide a promising strategy to improve performance for LIBs.

Effect of meniscus curvature on phase-change performance during capillary-enhanced filmwise condensation in porous media

Sustainably enhancing condensation heat transfer performance is a major challenge in thermal management and energy systems, since typical condensation enhancement methods (i.e., dropwise condensation with low surface energy coatings) have limited lifetime/durability, restricted compatibility with working fluids, and sustainability concerns due to the coating composition (e.g., fluorinated compounds). The robust and scalable capillary-enhanced filmwise condensation mode presented in this work demonstrates high heat transfer coefficients for water and low surface tension liquids condensing in a porous wick. Thin porous wicks offer the highest enhancements in heat transfer, however such thin porous wicks have thickness-dependent permeability, and the effective liquid thickness of the wick depends on the shape of the liquid-vapor interface. In this study, we leverage a spatially-discretized porous media model to characterize the effect of the wick thickness on condensation heat transfer performance. The model uses a spatially-varying permeability that depends on the local liquid-vapor interface shape/curvature and the resulting effective wick thickness. We apply this model to investigate the correlation between the heat transfer enhancement and various geometric factors, which enables the design of optimal porous structures for relevant phase-change application. We also predict favorable enhancement in condensation performance with a few common hydrocarbon and fluorocarbon fluid refrigerants. This study provides fundamental insight into the effects of the shape of the liquid-vapor interface on the phase-change performance in the capillary-enhanced filmwise condensation mode.

Investigation on real slag characterization and slag evolution in cohesive zone based on dissected blast furnace

The real composition and evolution process of the slag phase in a dissected cohesive zone is systematically investigated in this paper. The slag phases within the individual charge are accurately identified. FeO-CaO-SiO2-Al2O3-MgO and FeO-CaO-SiO2-Al2O3-MgO-K2O-Na2O are the two main slag phases in cohesive zone. Local circulation of alkali metals in slag phases in the upper part of the cohesive zone promotes the bonding of the charge particles under low liquid phase precipitation. The slag in the middle and lower part of the cohesive zone is dominated by FeO-CaO-SiO2-Al2O3-MgO. As the temperature increases and the wustite content decreases, CaO-SiO2-Al3O2-MgO slag with high Al3O2 and low MgO becomes the dominant slag in the lower part of the cohesive zone. The hysteresis between the formation of liquid phase and the change in viscosity directly affects the cohesive zone. The essence of cohesive zone formation is the difference in properties of the coexisting multiple slag systems at the same temperature.

Design comparative analysis of convection-enhanced evaporation systems

This study presents a detailed mathematical model for cross-flow and parallel-flow configurations of convection-enhanced evaporation (CEE) systems and uses the model to perform a design configuration comparison. Convection-enhanced evaporation is a brine management technology that relies on evaporating saline liquid films from packed wetted surfaces by forced air convection induced by means of a fan, natural wind, or a combination of both (hybrid approach). The systems were modeled numerically using the finite difference method to predict the evaporation rate and the spatial profiles of process variables, based on operating and inlet conditions. Comparison between the model and previously published experimental data showed a good agreement. Three design aspects were explored in this study. The first design aspect investigated the liquid–air flow configuration; cross-flow configuration was found to improve the evaporation performance by up to 6% at high liquid temperatures. The second design aspect was related to the alignment and wetting of the surfaces, where vertical double-sided wetted surfaces reduced the footprint area of the system by up to 77% at low liquid temperatures. Finally, a novel hybrid wind–fan operation to reduce energy consumption was described, achieving an energy savings of 18%.