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Thesis (Ph. D.)--Open University. BLDSC no. DX72763/87.

Thesis (Ph. D.)--University of Texas at Austin, 1999. / Vita. Includes bibliographical references (leaves 364-374). Available also in a digital version from Dissertation Abstracts.

Thesis (Ph. D.)--University of Oklahoma, 1996. / Includes bibliographical references.

Thesis (M.B.A.)--University of Hong Kong, 1981.

Thesis (M. Sc.)--University of Hong Kong, 1978.

Since its’ invention at Morgan Stanley in 1987 pairs trading has grown to be one of the most common and most researched strategies for market neutral returns. The strategy identifies stocks, or other financial securities, that historically has co-moved and forms a trading pair. If the price relation is broken a short position is entered in the overperforming stock and a long in the underperforming. The positions are closed when the spread returns to the long-term relation. A pairs trading portfolio is formed by combining a number of pairs. To detect adequate pairs different types of data analysis has been used. The most common way has been to study historical price data with different statistical models such as the distance method. Gatev et al (2006) used this method and provided the most extensive research on the subject and this study will follow the standards set by that article and add new interesting factors. This is done through an investigation on how the analysis can be improved by using the stocks fundamental data, e.g. P/E, P/B, leverage, industry classification. This data is used to set up restrictions and Lasso models (type of regression) to optimize the trading portfolio and achieve higher returns. All models have been back-tested using S&P 500 stocks between 2001-04-01 and 2015-04-01 with portfolios changed every six months. The most important finding of the study is that restricting stocks to have close P/E-ratios combined with traditional price series analysis increases returns. The most conservative measure gives annual returns of 3.99% to 4.98% depending on the trading rules for this portfolio. The returns are significantly (5%-level) higher than those obtained by the traditional distance method. Considerable variations in return levels is shown to be created when capital commitments are changed and trading rules, transaction costs and restrictions on unique portfolio stocks are implemented. Further research regarding how analysis of P/E-ratios can improve pairs trading is suggested. The thesis has been written independently without an external client and studied an area that the author found interesting.

Rigorous CO₂ absorption models were developed for aqueous 4.5 m K+/4.5 m PZ, monoethanolamine (7m - 9m), and piperazine (8m) in Aspen Plus® RateSepTM. The 4.5 m K+/4.5 m PZ model uses the Hilliard thermodynamic representation and kinetics based on work by Chen. The MEA (Phoenix) and PZ (5deMayo) models incorporate new data for partial pressure of CO₂ vs. loading and kinetics from wetted wall column data. They use reduced reaction sets based on the more relevant species present at the expected operating loading. Kinetics were regressed to match reported carbon dioxide flux data using a wetted wall column (WWC). Density and viscosity were satisfactorily regressed to match newly obtained experimental data. The activity coefficient of CO₂ was also regressed to include newly obtained CO₂ solvent solubility data. The models were reconciled and validated using pilot plant data obtained from five campaigns conducted at the Pickle Research Center. Performance was matched within 10% of NTU for most runs. Temperature profiles are adequately represented in all campaigns. The calculated temperature profiles showed the effect of the L/G on the location and magnitude of the temperature bulge. As the L/G is increased the temperature bulge moves from near the top of the column towards the bottom and its magnitude decreases. Performance improvement due to intercooling was validated across the campaigns that evaluated this process option. Absorber intercooling was studied using various solvent rates (Lmin, 1.1 Lmin and 1.2 Lmin). It is most effective at the critical L/G where the temperature bulge without intercooling is in the middle of the column. In this case it will allow for higher absorption by reducing the magnitude of the bulge temperature. The volume of packing to get 90% removal with L/Lmin =1.1 at the critical L/G is reduced by 30% for 8m PZ. For MEA and a solvent flow rate of 1.1 Lmin packing volume is increased with intercooling at constant L/G. This increase is compensated by higher solvent loadings that suggest lower stripping energy requirements. The critical L/G is 4.3 for 8m PZ, 6.9 for 9m MEA and 4.1 for K+/PZ. / text

CO₂ enhanced oil recovery (CO₂-EOR) in residual oil zones has emerged as a viable technique to maximize both the oil production and carbon storage. Most CO₂ field projects suffer from inadequate sweep because of high mobility of CO₂ compared to the oil. Gas conformance techniques have the potential to further improve the effectiveness of CO₂-EOR projects. The choice of mobility control to improve the sweep efficiency is critical and simulation studies with hysteretic relative permeability and mechanistic foam model can assist in the choice of technique and optimization of the process for each reservoir. Two promising mobility control practices of Water Alternating Gas (WAG) and foam are evaluated using the in-house compositional gas reservoir simulator (DOE-CO₂). The effect of hysteresis and cycle dependent relative permeability on WAG and foam injections incorporating a new three-phase hysteresis model has been investigated. Simulations are performed with and without hysteresis to assess the impact of the saturation history and saturation path on gas entrapment, fluid injectivity and oil recovery. The foam assisted technique in CO₂-EOR processes has also been investigated. Here foam is generated in-situ by injecting surfactant solution with CO₂ rather than directly injecting foam. A simplified yet mechanistic population-balance model implemented in the in-house simulator has been applied to test the impact of foam. The results have been compared with an empirical foam model which is the standard model in commercial simulators. Simulations have been performed on actual field models for selection and optimization of the CO₂ injection scheme, quantifying the impact of hysteresis, depicting the effectiveness of CO₂-EOR process as against a surfactant flood, the effectiveness of foam assisted floods and insights into low tension gas flooding process. All the above analyses have also been performed on layer cake models with properties replicating the Permian Basin carbonate reservoirs and Gulf Coast sandstone reservoirs. Hysteresis shows an improvement in oil recovery of gas injection schemes where flow reversal takes place. Foam has been found to be effective and the models show lower CO₂ utilizations factors compared to the case without foam. / text

The Cranfield field, located in southwest Mississippi, is an enhanced oil recovery and carbon sequestration project that has been under a continuous supercritical CO₂ injection by Denbury Onshore LLC since 2008. Two 3D seismic surveys were collected in 2007, pre-CO₂ injection, and in 2010 after > 2 million tons of CO₂ was injected into the subsurface. The goal of this study is to characterize a time-lapse response between two seismic surveys to understand where injected CO₂ is migrating and to map the injected CO₂ plume edge. In order to characterize a time-lapse response, the seismic surveys were cross equalized using a trace-by-trace time shift. A normalized root-mean-square (NRMS) difference value was then calculated to determine the repeatability of the data. The data were considered to have “good repeatability,” so a difference volume was calculated and showed a coherent seismic amplitude anomaly located through the area of interest. A coherent seismic amplitude anomaly was also present below the area of interest, so a time delay analysis was performed and calculated a significant added velocity change. A Gassmann-Wood fluid substitution workflow was then performed at two well locations to predict a saturation profile and observe post-injection expected changes in compressional velocity values at variable CO₂ saturations. Finally, acoustic impedance inversions were performed on the two seismic surveys and an acoustic impedance difference volume was calculated to compare with the fluid substitution results. The Gassmann-Wood fluid substitution results predicted smaller changes in acoustic impedance than those observed from acoustic impedance inversions. At the Cranfield field, time-lapse seismic analysis was successful in mapping and quantifying the acoustic impedance change for some seismic amplitude anomalies associated with injected CO₂. Additional well log data and refinement of the fluid substitution workflow and the model-based inversion performed is necessary to obtain more accurate impedance changes throughout the field instead of at a single well location. / text