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Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of low, high, open and close over a given time horizon. Paper [II] measures the returns of a popular day trading strategy, the Opening Range Breakout strategy (ORB), across volatility states. We calculate the average daily returns of the ORB strategy for each volatility state of the underlying asset when applied on long time series of crude oil and S&P 500 futures contracts. We find an average difference in returns between the highest and the lowest volatility state of around 200 basis points per day for crude oil, and of around 150 basis points per day for the S&P 500. This finding suggests that the success in day trading can depend to a large extent on the volatility of the underlying asset. Paper [III] performs empirical analysis on short-term and long-term Commodity Trading Advisor (CTA) strategies regarding their exposures to unanticipated risk shocks. Previous research documents that CTA strategies offer diversification opportunities during equity market crisis situations when evaluated as a group, but do not separate between short-term and long-term CTA strategies. When separating between short-term and long-term CTA strategies, this paper finds that only short-term CTA strategies provide a significant, and consistent, exposure to unanticipated risk shocks while long-term CTA strategies do not. For the purpose of diversifying a portfolio during equity market crisis situations, this result suggests that an investor should allocate to short-term CTA strategies rather than to long-term CTA strategies.

Cette thèse traite la contribution des méthodes d'ondelettes sur la modélisation des séries temporelles économiques et financières et se compose de deux parties: une partie univariée et une partie multivariée. Dans la première partie (chapitres 2 et 3), nous adoptons le cas univarié. Premièrement, nous examinons la classe des processus longue mémoire non-stationnaires. Une étude de simulation a été effectuée afin de comparer la performance de certaines méthodes d'estimation semi-paramétrique du paramètre d'intégration fractionnaire. Nous examinons aussi la mémoire longue dans la volatilité en utilisant des modèles FIGARCH pour les données de l'énergie. Les résultats montrent que la méthode d'estimation Exact Local Whittle de Shimotsu et Phillips [2005] est la meilleure méthode de détection de longue mémoire et la volatilité du pétrole exhibe une forte évidence de phénomène de mémoire longue. Ensuite, nous analysons le risque de marché des séries de rendements univariées de marchés boursier, qui est mesurée par le risque systématique (bêta) à différents horizons temporels. Les résultats montrent que le Bêta n'est pas stable, en raison de multi-trading stratégies des investisseurs. Les résultats basés sur l'analyse montrent que le risque mesuré par la VaR est plus concentrée aux plus hautes fréquences. La deuxième partie (chapitres 4 et 5) traite l'estimation de la variance et la corrélation conditionnelle des séries temporelles multivariées. Nous considérons deux classes de séries temporelles: les séries temporelles stationnaires (rendements) et les séries temporelles non-stationnaires (séries en niveaux). / This thesis deals with the contribution of wavelet methods on modeling economic and financial time series and consists of two parts: the univariate time series and multivariate time series. In the first part (chapters 2 and 3), we adopt univariate case. First, we examine the class of non-stationary long memory processes. A simulation study is carried out in order to compare the performance of some semi-parametric estimation methods for fractional differencing parameter. We also examine the long memory in volatility using FIGARCH models to model energy data. Results show that the Exact local Whittle estimation method of Shimotsu and Phillips [2005] is the better one and the oil volatility exhibit strong evidence of long memory. Next, we analyze the market risk of univariate stock market returns which is measured by systematic risk (beta) at different time horizons. Results show that beta is not stable, due to multi-trading strategies of investors. Results based on VaR analysis show that risk is more concentrated at higher frequency. The second part (chapters 4 and 5) deals with estimation of the conditional variance and correlation of multivariate time series. We consider two classes of time series: the stationary time series (returns) and the non-stationary time series (levels). We develop a novel approach, which combines wavelet multi-resolution analysis and multivariate GARCH models, i.e. the wavelet-based multivariate GARCH approach. However, to evaluate the volatility forecasts we compare the performance of several multivariate models using some criteria, such as loss functions, VaR estimation and hedging strategies.

The Niger Delta militancy ravaged the Nigerian upstream petroleum sector between 2004-2009, bringing it to a standstill. In response, the Nigerian state adopted an amnesty policy―a globally recognized tool for conflict resolution and peacebuilding―to protect the sector and the economy from collapse. Little is known, however, about the unintended consequences of the amnesty implementation for the Nigerian upstream petroleum sector. Thus, the purpose of this study was to fill this gap in the research literature on the Niger Delta amnesty program. Polarity management was the conceptual framework applied; relative deprivation and polarities of democracy constituted the theoretical foundation for this qualitative case study. Face-to-face interviews and focus group discussions were conducted with 29 purposefully selected participants from the senior ranks of the petroleum industry, sector trade unions, relevant government agencies, and a regional university. Data were inductively coded as part of content analysis, the data analysis strategy. Participants viewed the amnesty policy as being poorly conceived and implemented due to the many unintended negative consequences arising from the policy implementation. The key finding from the study indicates that both the sector and the Niger Delta region are worse off post the amnesty policy implementation. The study concludes that by adopting and implementing the study recommendations, stakeholders may be able to mitigate the identified unintended consequences, position the Nigerian upstream petroleum sector for sustainable growth, address the root causes of the militancy, and deliver a positive social change for the residents of Niger Delta.

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The need for energy and the associated economic benefits from the oil and gas deposits found mainly in the Niger Delta region of Nigeria necessitated the exploration and exploitation activities being carried out by the oil and gas Companies. However, these exploration and exploitation activities due to their unpredictable nature have a huge potential for environmental pollution as been experienced in the form of oil spills, gas flaring, irresponsible disposal of waste and several other activities that have resulted in the environmental degradation of the Niger Delta region. In the light of these, the Federal Government of Nigeria having experienced the consequences of pollution of the environment during the Koko Toxic Waste Dump incident in the then Bendel State in 1987 established a regulatory body tasked with the responsibility of harmonizing the economic interest from the oil and gas exploration and exploitation activities with the sustainability of the natural environment by developing well structured and articulated policies aimed at guiding the operations of the oil and gas operators, track their compliance and administer appropriate punitive measures for non compliance. However, this research work which is aimed at evaluating the impact of the environmental protection policies in upstream oil and gas activities in the Niger Delta region, involved the use of questionnaires and interviews. These questionnaires were completed by the management and staff of three major oil and gas companies operating within the area, the Department of Petroleum Resources and members of the Host communities. The interview was carried out to provide relevant feedback on their assessment of the impact made by the environmental protection policies on the upstream oil and gas activities in their operational areas/host communities. The study however concluded that “Although there is a regulatory body tasked with the responsibility to develop, implement and track compliance of the environmental protection policies in the upstream oil industry, the body is ineffective and as such the impact of the environmental protection policies is inadequate. Appropriate informed recommendations on the improvement strategies to the identified gaps that resulted in the unfavorable conditions were also provided. / Thesis (M.Ing. (Development and Management Engineering))--North-West University, Potchefstroom Campus, 2011

The need for energy and the associated economic benefits from the oil and gas deposits found mainly in the Niger Delta region of Nigeria necessitated the exploration and exploitation activities being carried out by the oil and gas Companies. However, these exploration and exploitation activities due to their unpredictable nature have a huge potential for environmental pollution as been experienced in the form of oil spills, gas flaring, irresponsible disposal of waste and several other activities that have resulted in the environmental degradation of the Niger Delta region. In the light of these, the Federal Government of Nigeria having experienced the consequences of pollution of the environment during the Koko Toxic Waste Dump incident in the then Bendel State in 1987 established a regulatory body tasked with the responsibility of harmonizing the economic interest from the oil and gas exploration and exploitation activities with the sustainability of the natural environment by developing well structured and articulated policies aimed at guiding the operations of the oil and gas operators, track their compliance and administer appropriate punitive measures for non compliance. However, this research work which is aimed at evaluating the impact of the environmental protection policies in upstream oil and gas activities in the Niger Delta region, involved the use of questionnaires and interviews. These questionnaires were completed by the management and staff of three major oil and gas companies operating within the area, the Department of Petroleum Resources and members of the Host communities. The interview was carried out to provide relevant feedback on their assessment of the impact made by the environmental protection policies on the upstream oil and gas activities in their operational areas/host communities. The study however concluded that “Although there is a regulatory body tasked with the responsibility to develop, implement and track compliance of the environmental protection policies in the upstream oil industry, the body is ineffective and as such the impact of the environmental protection policies is inadequate. Appropriate informed recommendations on the improvement strategies to the identified gaps that resulted in the unfavorable conditions were also provided. / Thesis (M.Ing. (Development and Management Engineering))--North-West University, Potchefstroom Campus, 2011

Thesis (Master of Military Studies)-Marine Corps Command and Staff College, 2008. / Title from title page of PDF document (viewed on: Dec 29, 2009). Includes bibliographical references.

Les hydrocarbures aromatiques polycycliques (HAP) sont des polluants organiques persistants qui sont présents en mélange complexe dans l’environnement et notamment dans les milieux aquatiques. Ils s’adsorbent sur les particules en suspension, s’accumulent dans les sédiments et dans les premiers maillons de la chaîne trophique. L’objectif de cette étude était de mesurer les effets à long terme d’une contamination par des HAP chez un modèle de vertébrés : le poisson zèbre. Dans un premier temps, des embryons ont été exposés pendant les 4 premiers jours de leur développement sur du sédiment naturel enrobé de 3 HAP individuel (phénanthrène, pyrène et benzo[a]pyrène) puis transférés et élevés en eau propre. Dans un deuxième temps, des poissons ont été exposés par voie alimentaire tout au long du cycle de vie et dès le premier repas à 3 fractions de HAP à doses environnementales enrobées sur les aliments : une fraction pyrolytique (PY) extraite d’un sédiment échantillonné dans la Seine et deux fractions pétrogéniques (un fuel lourd (HO) provenant de l’Erika et un pétrole brut type Arabian light (LO)). Les effets à long terme sur la croissance, la survie, la reproduction et le comportement ont été évalués à différents âges. Ces effets ont pu être observés à plusieurs échelles, i.e. de la molécule, aux tissus et organes puis à l’échelle de l’individu. Globalement, chez les poissons contaminés, la croissance est ralentie, la survie larvaire diminuée chez les HO, la fonction reproduction est altérée fortement à la fois au niveau hormonal, tissulaire et phénotypique ainsi que les réponses comportementales léthargiques ou hyper-réactives selon les cas. L’exposition par voie sédimentaire a révélé des effets visibles lorsque les individus atteignaient 6 mois soulignant l’existence d’effets tardifs, notamment sur les réponses comportementales, d’une exposition très précoce y compris chez la descendance. Quant à l’exposition par voie alimentaire, elle a montré une gradation des effets. Toutes fonctions confondues, les résultats obtenus permettent d'établir une hiérarchie dans la toxicité des fractions étudiées : PY < LO ≈ HO. L'approche multi-échelle utilisée dans ce travail a permis, en partant d'informations acquises au niveau moléculaire, tissulaire et individuel, d'aboutir à une compréhension intégrée des conséquences qu'une exposition à des HAP peut avoir sur l'aptitude à la survie des poissons dans leur milieu naturel ainsi qu'à leur capacité à participer au renouvellement des générations futures. / Polycyclic aromatic hydrocarbons (PAHs) are persistent organic pollutants (POPs) which are found in complex mixtures in the environment including aquatic ecosystems. They adsorb on particles, accumulate in sediment and in the first link of the food web. The aim of this study was to measure long term effects of PAHs contamination on a vertebrate model : the zebrafish. In a first study, embryos were exposed on natural sediment spiked with 3 individual PAH (phenanthrene, pyrene and benzo[a]pyrene) during the first four days of their development. In a second study, to evaluate the consequences of long-term chronic exposure to PAHs, zebrafish were exposed, from their first meal (5 days post fertilisation) until they became reproducing adults, to diets spiked with three PAHs fractions at environmentally relevant concentrations (0.3X, 1X and 3X; with the 1X concentration being in the range of 4.6-6.7 μg.g-1 for total quantified PAHs). The fractions used were representative of PAHs of pyrolytic (PY) origin or of two different oils of differing compositions (a heavy fuel (HO) and a light crude oil (LO)). Long term effects on growth, survival, reproduction and behavior were evaluated at different ages. Effects were observed at molecule, tissue, organ and individual scales. In general, for contaminated fish, growth was reduced, larval survival decreased in HO, and reproduction was strongly impaired at hormonal, tissue and phenotypic levels, and behavioral responses were lethargic or hyperactive depending on fractions and stages. Sediment exposure still revealed visible effects when fish were 6 month old. These results hereby showed significant late effects, especially in behavioral responses after an early exposure, including in larvae issued from contaminated fish. In spiked diets contaminated fish, we observed a gradation of effects. Combining all functions, we established of hierarchy in toxicity in the studied fractions: PY < LO ≈ HO. Finally, our results gathered at a multiscale from molecule, to tissue and individuals, indicate that PAH mixtures of different compositions, representative of situations encountered in the wild, can promote lethal and sublethal effects which are likely to be detrimental for fish survival and recruitment into future generations.

The oil industry is the richest and most influential industry in the world. The industry has moved the fates of nations. Oil is required to fight wars and exert power, and the restriction of this energy source is paramount to the restriction of movement, control, and in the end, power. Management of this resource and the tax revenue it generates are of serious strategic importance, both domestically and internationally. Understanding the results of taxation for this important commodity is important to international relations as well. The tax system affects tax revenue, government actions, oil company actions, and the oil supply itself. Each of these is important to international relations.