Article
Reference
Thermal maturity of the Swiss Molasse Basin: indications for paleogeothermal anomalies ?
SCHEGG, Roland Albert
Abstract
Ce travail présente une étude de la maturation de la matière organique dans les sédiments de la Molasse du Plateau et de la Molasse subalpine en Suisse, et un essai de reconstitution de l'histoire thermique de l'avant-pays alpin au cours du Tertiaire. 136 échantillons de charbon ont été analysés. Leur pouvoir réflecteur moyen de la vitrinite (Rr) varie de 0.21 % à 0.97%.
La distribution de la réflectance de la vitrinite met en évidence un contrôle stratigraphique sur la maturation de la matière organique. Les valeurs moyennes varient de 0.39% Rr pour les échantillons de l'OSM à 0.53% Rr pour ceux de l'USM. Les courbes d'égal pouvoir réflecteur montrent une tendance régionale indiquant clairement une maturation croissante vers le front alpin. Cette tendance régionale est compliquée par des variations secondaires dans la Molasse du Plateau, qui semblent être liées à des accidents tectoniques. Ces derniers peuvent suivre les vallées principales (lac de Zürich). La modélisation thermique indique des paléotempératures maximales qui sont de l'ordre de 40, 70, 90 et 110 °C pour des valeurs de [...]
SCHEGG, Roland Albert. Thermal maturity of the Swiss Molasse Basin: indications for paleogeothermal anomalies ? Eclogae Geologicae Helvetiae, 1992, vol. 85, no. 3, Symposium on Swiss Molasse Basin, p. 745-764
DOI : 10.5169/seals-167031
Available at:
http://archive-ouverte.unige.ch/unige:154281
Disclaimer: layout of this document may differ from the published version.
1 / 1
7KHUPDO PDWXULW\ RIWKH 6ZLVV 0RODVVH %DVLQ
,QGLFDWLRQV IRU SDOHRJHRWKHUPDO DQRPDOLHV"
%\
5RODQG
6FKHJJ.H\ :RUGV YLWULQLWH UHIOHFWDQFH WKHUPDO PRGHOOLQJ IOXLG IORZ IRUHODQG EDVLQ 6ZLW]HUODQG 0RODVVH
$%675$&7
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
$UHDVRILQFUHDVHGYLWULQLWHUHIOHFWDQFHRFFXUQHDUIDXOW]RQHVRUOLHSDUDOOHOWRDPDMRU WRSRJUDSKLFVWUXFWXUH/DNH
=ULFK ZKLFK PD\ EH WHFWRQLFDOO\ FRQWUROOHG 7KHUPDO PRGHOOLQJ RIRXWFURS VDPSOHV LQ WKH 3ODWHDX 0RODVVH UHTXLUHVPD[LPXPSDOHRWHPSHUDWXUHV RIDERXW DQG &IRUPHDVXUHGYLWULQLWH UHIOHFWDQFH YDOXHVRI
DQG UHVSHFWLYHO\ 7KHVH WHPSHUDWXUHVFRXOGKDYHRFFXUUHG LQDK\SRWKHUPDO SHULSKHUDO IRUHODQG EDVLQLIHURGHGRYHUEXUGHQ WKLFNQHVVHVRIXS WR NP DUH DVVXPHG +RZHYHUWKHUH LVQRJHRORJLFDO HYLGHQFH IRU WKLV DPRXQW RIEXULDO DQG FRQVHFXWLYH XSOLIWHURVLRQ GXULQJ WKH 1HRJHQH HVSHFLDOO\ LQ WKH GLVWDO SDUWV RIWKH 0RODVVH EDVLQ 7KHUPDO PRGHOOLQJ WDNLQJ LQWR DFFRXQW FRQYHFWLYH KHDW WUDQVSRUW FRXOG H[SODLQ LQ SDUW WKH LQIHUUHG SDOHRWHPSHUDWXUHVDQG WKH REVHUYHGFRDOLILFDWLRQ SDWWHUQV =RQHVRILQFUHDVHGWKHUPDOPDWXUDWLRQPD\
WKHUHIRUH EH UHODWHG WRDQ LQFUHDVHG UHJLRQDO GLVFKDUJHRIZDUP JURXQGZDWHU FRQWUROOHG E\ WHFWRQLF VWUXFWXUHV
5(680(
&HWUDYDLOSUpVHQWH XQHpWXGHGH OD PDWXUDWLRQGH OD PDWLqUHRUJDQLTXH GDQV OHVVpGLPHQWVGH OD 0RODVVHGX 3ODWHDXHW GHOD0RODVVH VXEDOSLQH HQ 6XLVVH HWXQHVVDL GHUHFRQVWLWXWLRQGHOKLVWRLUHWKHUPLTXHGHODYDQWSD\V DOSLQ DX FRXUV GX 7HUWLDLUH pFKDQWLOORQV GHFKDUERQ RQW pWp DQDO\VpV /HXU SRXYRLU UpIOHFWHXU PR\HQ GHOD YLWULQLWH5UYDULH GH j /DGLVWULEXWLRQGH ODUpIOHFWDQFHGHOD YLWULQLWHPHWHQpYLGHQFH XQFRQWU{OH VWUDWLJUDSKLTXH VXU ODPDWXUDWLRQGH ODPDWLqUH RUJDQLTXH /HV YDOHXUV PR\HQQHV YDULHQWGH 5U SRXUOHV pFKDQWLOORQV GH O260 j 5U SRXUFHX[ GH O860 /HV FRXUEHV GpJDO SRXYRLU UpIOHFWHXU PRQWUHQW XQH WHQGDQFH UpJLRQDOH LQGLTXDQW FODLUHPHQW XQH PDWXUDWLRQFURLVVDQWH YHUVOH IURQW DOSLQ &HWWH WHQGDQFH UpJLRQDOH HVWFRPSOLTXpHSDUGHVYDULDWLRQVVHFRQGDLUHV GDQV OD 0RODVVHGX 3ODWHDXTXL VHPEOHQW rWUH OLpHV j GHVDFFLGHQWV WHFWRQLTXHV &HVGHUQLHUV SHXYHQW VXLYUHOHVYDOOpHV SULQFLSDOHVODFGH=ULFK /D PRGpOLVDWLRQ WKHUPLTXH LQGLTXH GHVSDOpRWHPSpUDWXUHV PD[LPDOHVTXLVRQWGHORUGUHGH HW &SRXUGHVYDOHXUV GH UpIOHFWDQFHGHOD YLWULQLWHGH HWUHVSHFWLYHPHQW $GPHWWDQWXQSDOpRJUDGLHQW JpRWKHUPLTXHGH &NPRQDUULYH
jGHVYDOHXUV GHQIRXLVVHPHQWTXL YDULHQWHQWUH HWNP,O\DMXVTXjSUpVHQW DXFXQ PRGqOH JpRORJLTXHYLDEOH TXLSRXUUDLW H[SOLTXHUODVpGLPHQWDWLRQHWOpURVLRQFRQVpFXWLYHGXQH FRXYHUWXUHPRODVVLTXHVLGpYHORSSpHVXUWRXW GDQVOHVSDUWLHV GLVWDOHV GXEDVVLQ /D PRGpOLVDWLRQ WKHUPLTXHDYHFXQ PRGqOH TXL LQFOXW OH WUDQVSRUWGHFKDOHXU SDU FRQYHFWLRQ SHUPHW GLQWHUSUpWHU OpWDW GH OD PDWXUDWLRQ WKHUPLTXH GX EDVVLQ PRODVVLTXHDYHF GHV YDOHXUV
6ZLVV 1DWLRQDO )RXQGDWLRQ IRU 6FLHQWLILF 5HVHDUFK 3URMHFWQ : :LOGL
'pSDUWHPHQWGH *pRORJLHHW 3DOpRQWRORJLH UXHGHV 0DUDvFKHUV &+ *HQqYH
GHQIRXLVVHPHQW PRGHVWHV NP /HV YDULDWLRQV VHFRQGDLUHV GH OD UpIOHFWDQFHGH OD YLWULQLWH SRXUUDLHQW rWUH DVVRFLpHVj GHV DQRPDOLHVSDOpRJpRWKHUPLTXHV GXHV jOD UHPRQWpHGHDX[ FKDXGHV GDQVGHV]RQHV WHFWRQLVpHV
,QWURGXFWLRQ
7KH JHRWKHUPDO UHJLPH LQ SHULSKHUDO IRUHODQG EDVLQV LV JHQHUDOO\ FKDUDFWHUL]HG DV
K\SRWKHUPDO WKDW LVFRROHUWKDQ QRUPDO $OOHQ $OOHQ 5REHUW 7KH SUHVHQW WKHUPDO FRQGLWLRQV
RI
WKH 6ZLVV 0RODVVH EDVLQ LQGLFDWH D ORZ JHRWKHUPDO UHJLPH RQ D EDVLQZLGHVFDOH *HRWKHUPDO JUDGLHQWVJUDGXDOO\ GHFUHDVHIURP !
&NPFORVHWR
WKH 5KLQH *UDEHQ LQWKH1RUWK
WR &NPWRZDUGV WKH$OSV 5\EDFK 7KH SUHVHQW KHDWIORZ
SDWWHUQ LVFKDUDFWHUL]HG E\ VHYHUDO SRVLWLYHDQRPDOLHV LQWKH HDVWHUQ SDUWRI
WKHEDVLQ DQG D PRUH RU OHVV SURQRXQFHG WUHQG
RI
GHFUHDVLQJ YDOXHV P:P WRZDUGV WKH $OSV 6FKZHL]HULVFKH *HRSK\VLNDOLVFKH .RPPLVVLRQ6LPLODU JUDGLHQWV DUH UHSRUWHG
IRU
WKH *HUPDQ 0RODVVH EDVLQ 9ROOPD\U 7HLFKPOOHU 7HLFKPOOHU LQWHUSUHWHG WKH REVHUYHG GHFUHDVHRI
FRDOLILFDWLRQ JUDGLHQWV WR 5PNP LQ ERUHKROHVRI
WKH %DYDULDQ 0RODVVH WRZDUGV WKH 6RXWKDVFDXVHG E\DGHFUHDVHRIWKH
JHRWKHUPDOJUDGLHQW LQWKH VDPHGLUHFWLRQ 6XFK ORZ JUDGLHQWV ZHUH SUHYDLOLQJ VLQFH /DWH 0LRFHQH3OLRFHQH WLPHV7KH REVHUYHG GHFUHDVH LQ FRDOLILFDWLRQDQG JHRWKHUPDO JUDGLHQWV LQ WKH
1RUWK
$OSLQH )RUHODQG EDVLQKDYH EHHQH[SODLQHGDV DUHVXOWRI
WKLFNHQLQJRIWKH
FUXVWWRZDUGV WKH$OSV 7HLFKPOOHU 7HLFKPOOHU 5\EDFK 2WKHULPSRUWDQW
IDFWRUVFRXOG LQIOXHQFH WKH JHRWKHUPDO SDWWHUQ LQ WKH 0RODVVH EDVLQL 7KH V\VWHPDWLF YDULDWLRQ
RI
VHGLPHQW WKLFNQHVV LQFUHDVLQJ WRZDUGV WKH $OSV DQG W\SHRI
VHGLPHQWV 0RODVVH IRUPDWLRQV DUH FRDUVHU JUDLQHG WRZDUGV WKH $OSV FRXOG DPSOLI\ WKH REVHUYHG WUHQGRI
WKH JHRWKHUPDO JUDGLHQWV 5\EDFK QRWLFHG WKDW JHRWKHUPDO JUDGLHQWV DUH LQYHUVHO\SURSRUWLRQDO
WR WKH GHSWK WR EDVHPHQW$Q LPSRUWDQW FRQWUROOLQJ
IDFWRURQ WKHEXON WKHUPDO SURSHUWLHVRI
VHGLPHQWDU\ URFNV LV SRURVLW\ GXH WR WKH GLIIHUHQFHV LQ WKH WKHUPDO SURSHUWLHVRI
WKH SRUH IOXLGV DQG URFN PDWUL[ 7KH VSHFLILF KHDW FDSDFLW\ LVPXFK KLJKHUIRU
ZDWHU WKDQIRU
URFNV E\ D IDFWRURI
DERXW WR ZKHUHDV WKH WKHUPDO FRQGXFWLYLW\ LV ORZHU 7KHUHIRUH WKH WKHUPDOFRQGXFWLYLW\ RI
ZDWHU VDWXUDWHG VHGLPHQWV PD\ LQFUHDVHFRQVLGHUDEO\GXULQJ FRPSDFWLRQ 3RURVLW\LQ
WKH 6ZLVV 0RODVVH EDVLQ VHHPV WR GHFUHDVH WRZDUGV WKH DOSLQHIURQW
/HPFNHHW DO GXH WR FHPHQWDWLRQDQGRULQFUHDVHG EXULDO $VVXPLQJ DFRQGXFWLYLW\GRPLQDWHG JHRWKHUPDO UHJLPH VXFK D SRURVLW\ GHFUHDVH VKRXOG UHVXOW LQ KLJKHU JHRWKHUPDO JUDGLHQWV WRZDUGV WKH $OSV 7KLV LV FRQWUDU\ WR SUHVHQW GD\ REVHUYDWLRQV
LL
*LYHQ WKH KLJK KHDW FDSDFLW\RI
ZDWHU JHRWKHUPDOJUDGLHQW SDWWHUQVDUH QHFHVVDULO\LQIOXHQFHG E\ WKH K\GURG\QDPLF UHJLPH
RI
D EDVLQ+LWFKRQ
/DP HWDO 5HFKDUJHDUHDVWRSRJUDSKLFKLJKVDUHH[SHFWHG WR GLVSOD\ ORZJHRWKHUPDOJUDGLHQWVGXH WRLQILOWUDWLRQ RI
FROG VXUIDFH ZDWHU$OWHUQDWLYHO\ UHJLRQDO WRSRJUDSKLFORZV PD\ GLVSOD\KLJK JHRWKHUPDOJUDGLHQWV GXH WRWKH GLVFKDUJH
RI
ZDUP ZDWHUIURP
GHSWKDQGRU
GXH WR SHUWXUEDWLRQVRI
WKHLVRWKHUPVDVDUHVXOWRI
DWRSRJUDSKLFHIIHFWHJ ULYHUYDOOH\V 7KHUH LVJURZLQJHYLGHQFHWKDW JHRWKHUPDO DQRPDOLHV LQ VHGLPHQWDU\EDVLQV DUH RIWHQFDXVHG E\XSULVLQJ GHHS JURXQGZDWHU RU RWKHU IOXLGV LQFOXGLQJ ZDWHU
IURP
WKH EDVHPHQW DORQJ KLJKO\ SHUPHDEOH ]RQHV 1HVELWW %HFNHWDO +LWFKRQ
'HPLQJHWDO
FDOFXODWHG WKDW WHPSHUDWXUH SHUWXUEDWLRQ UHVXOWLQJ IURP SRVVLEOH
IOXLG
LQYDVLRQ FDQ EH DV KLJK DV & &DWKOHV 6PLWK FRQFOXGHG WKDW WKH UHODWLYHO\ KLJKWHPSHUDWXUHV & DW VKDOORZ GHSWKV
NP DVVRFLDWHGZLWK
WKHIRUPDWLRQ
RI
0LVVLVVLSSL 9DOOH\W\SH OHDG]LQF GHSRVLWV UHVXOWHGIURPHSLVRGLFGHZDWHULQJZLWK EULHI
SXOVHV
RI
KRW EULQHV FDUU\LQJ KHDW DQG GLVVROYHG VROXWHV WRZDUG EDVLQ PDUJLQV 8SULVLQJ GHHS JURXQGZDWHU LV VXJJHVWHG DV D FDXVHRI
WKH SUHVHQW GD\ KHDWIORZ
DQRPDO\!
P:P LQ WKH GLVWDO SDUWRIWKH
0RODVVH EDVLQ DQG WKH -XUD UDQJHV LQ1RUWKHUQ
6ZLW]HUODQG 5\EDFK HW DO)HZ GDWD KDYH EHHQ SXEOLVKHG RQ WKH WKHUPDO
PDWXULW\ RI
WKH 6ZLVV 0RODVVH EDVLQ 6FKHJJ %XUNKDUG.DLNUHXWK 0RQQLHU
5\EDFK %RGPHU.EOHU
HW DO 2XUNQRZOHGJHRI
WKHEXULDO KLVWRU\ SDOHRJHRWKHUPDO UHJLPH DQGWKH SURFHVVHV ZKLFK FRQWURO WKLV UHJLPH LV WKHUHIRUH TXLWH LQFRPSOHWH ,QGLFDWLRQVRI
SDOHRJHRWKHUPDO DQRPDOLHV DUH UHSRUWHG IURP WKH :HVWHUQ 0RODVVH EDVLQ 6FKHJJ DQG
IURP
WKH *HUPDQ 0RODVVH EDVLQ -DFRE .XFNHONRUQ 7KH\ DUH SUREDEO\ OLQNHG WR WKH SDOHRK\GURORJLFDO UHJLPH7KH DLP
RI
WKLV VWXG\ LV WR GHWHUPLQH WKH WKHUPDOPDWXULW\ RI
VHGLPHQWV IURP WKH 6ZLVV 0RODVVH EDVLQ DQG WR UHFRQVWUXFW LWV WKHUPDO KLVWRU\ GXULQJ WKH &HQR]RLF>IRU
DQLQWURGXFWLRQ
WR WKH JHRORJLFDO VHWWLQJRI
WKH 6ZLVV 0RODVVH EDVLQ VHH +RPHZRRG HW DO3ILIIQHU
0DWWHU
HW DO DQG 7UPS\ @9LWULQLWH
UHIOHFWDQFH VHH 6WDFK HW DOIRU
UHIHUHQFHV LV D ZLGHO\ XVHG SDUDPHWHU WR HVWLPDWH WKH GHJUHHRI
PDWXUDWLRQRI
RUJDQLF PDWWHU &RDO VDPSOHV IURP WKH 3ODWHDX 0RODVVH DQG 6XEDOSLQH 0RODVVHRI
6ZLW]HUODQG KDYH EHHQ FROOHFWHG LQ RUGHU WR HVWDEOLVK ORFDO DQG UHJLRQDO YDULDWLRQV LQYLWULQLWH
UHIOHFWDQFHH[DPLQH WKH UHODWLRQVKLS EHWZHHQ DJH DQG PDWXUDWLRQ
RI
WKH PDMRU 0RODVVH VXEGLYLVLRQV/RZHU )UHVKZDWHU 0RODVVH 860 8SSHU 0DULQH 0RODVVH
200
8SSHU )UHVKZDWHU 0RODVVH 2609RVJHV %ODFN NP
5KLQH
?A
)RUHVW 02/$66(*UDEHQ // )/:%/
6"AU9 \ U9 U9 U9 UU9 U9
U63æ U6U6
L
A\M A U9 U9 U9 U9 U U U
æ ææ Y-3Y-3æ æææææ\\ 9
\M
\M
Vª%%%A9 BA) B ) B )
A A! ª
V3 6RXWKHUQ $OSV)LJ 6LPSOLILHG WHFWRQLFPDS RI 6ZLW]HUODQGVKRZLQJ WKH VWXG\ DUHDV , *URVGH9DXG (DVWHUQ 6ZLW]HUODQG
7KHUPDO PRGHOOLQJ HQDEOHV WKH HVWLPDWLRQ
RI
WKH OHYHORI
PDWXUDWLRQIRU
D JLYHQ WLPHWHPSHUDWXUH KLVWRU\,W
DOVR SURYLGHVLPSRUWDQW LQIRUPDWLRQ
RQ WKH WLPLQJRI
PDWXUDWLRQ RQ WKHFDXVHVRI
YDULDWLRQ LQPDWXUDWLRQ LQFUHDVHV DQG RQ WKH EXULDO KLVWRU\RI
DEDVLQ 6ZHHQH\ %XUQKDP /DUWHU %XVWLQHW DO :DSOHV 7KH PHDVXUHG GDWDZLOO
WKHUHIRUH EH FRPSDUHG WR H[SHFWHG YDOXHV DV REWDLQHGIURP
PRGHO FDOFXODWLRQV,Q
WKLV VWXG\ WKH UHJLRQDO SDWWHUQRI YLWULQLWH
UHIOHFWDQFH YDULDWLRQIRU
WKH *URV'H 9DXG :HVWHUQ 6ZLW]HUODQG DQGIRU
(DVWHUQ 6ZLW]HUODQG LV RXWOLQHG )LJ6DPSOLQJ DQG DQDO\WLFDO PHWKRG
FRDO VDPSOHV IURP RXWFURSV
RI
WKH 860 WKH200
DQG WKH 260 KDYH EHHQ DQDO\]HGIRU
WKLV VWXG\,Q
RUGHU WR REWDLQ WKH PRVW UHOLDEOH GDWD RQ WKHUPDO PDWXUDWLRQ RQO\ WKHYLWULQLWH
UHIOHFWDQFH UHVXOWVRI
PDFURVFRSLF FRDO\ SDUWLFOHV EUDQFKHV VWHPV DQG FRDO VHDPV DUH LQFOXGHG 3K\WRFODVWV DUH PRVW SUREDEO\ IUDJPHQWVRI
WKH ZRRG\ PDWHULDO ZKLFK ZDV RIWHQ ZDVKHG LQWR WKH VHGLPHQWDU\ HQYLURQPHQWRI
WKH 0RODVVH URFNV7KH DQDO\VLV
RI
VKDOH VDPSOHV IURP WKH 3ODWHDX 0RODVVH FRQWDLQLQJ DEXQGDQW GLVSHUVHG RUJDQLF PDWWHUVKRZVYHU\KLJKUHIOHFWDQFH YDOXHV 5UDQG DODUJH VFDWWHURI
WKH PHDVXUHPHQWV 7KHVH REVHUYDWLRQV LQGLFDWH UHZRUNLQJRI
RUJDQLF PDWWHU ZKLFK ZDVDOUHDG\FRDOLILHG 7KLV W\SHRI
PDWHULDOZDV WKHUHIRUHQRWXVHGIRU
WKLV VWXG\6XUIDFH VDPSOHV
ZLOO
LQYDULDEO\ EHR[LGL]HG WRVRPH GHJUHH $FFRUGLQJ WR %XVWLQHW DOYLWULQLWH
UHIOHFWDQFHRI
QDWXUDOO\ R[LGL]HG FRDOV LV W\SLFDOO\ UHGXFHG +RZHYHU0DUFKLRQL
IRXQG WKDW ORZUDQN FRDOV VKRZ UHIOHFWDQFH LQFUHDVHZLWK
LQFUHDVHG ZHDWKHULQJ 7KH UHODWLYH LQFUHDVH RU GHFUHDVHRI YLWULQLWH
UHIOHFWDQFH GXH WR ZHDWKHULQJ FDQ EH XS WR0DUFKLRQL
7KHUHIRUH VPDOO YDULDWLRQV LQYLWULQLWH
UHIOHFWDQFH VKRXOG EH LQWHUSUHWHGZLWK
FDUH7KH FRDO VDPSOHV ZHUHFUXVKHG WR DSDUWLFOH VL]H EHWZHHQ DQG XUQ PRXQWHG LQHSR[\UHVLQWKHQJURXQGDQG SROLVKHG
ZLWK
GLIIHUHQW GLDPRQGVSUD\V XUQ 0HDQ UDQGRPYLWULQLWH
UHIOHFWDQFH5U
ZDV GHWHUPLQHG XVLQJ D /HLW] 039 FRPSDFW PLFURVFRSH XQGHU VWDQGDUGL]HG FRQGLWLRQV 7KH PHDVXUHPHQW SURFHGXUH IROORZHG WKH UXOHVRXWOLQHGLQ
WKH ,QWHUQDWLRQDO +DQGERRNRI
&RDO3HWURORJ\ 7KH UHVXOWV ZHUH REWDLQHG IURP DW OHDVW PHDVXUHPHQWV SHU VDPSOH&RDOLILFDWLRQ GDWD
7KH UHVXOWV
RI
WKHYLWULQLWH
UHIOHFWDQFH PHDVXUHPHQWV DUH VXPPDUL]HG LQ WDEOH 5HIOHFWDQFH YDOXHV UDQJHIURP
5U LQ D VDPSOHIURP
WKH 8SSHU )UHVKZDWHU0RODVVH 260
RIWKH +|UQOL
JUDYHO IDQ LQ (DVWHUQ 6ZLW]HUODQG WR 5U LQ D VDPSOHIURP
WKH /RZHU )UHVKZDWHU 0RODVVH 860 VLWXDWHG LQ WKH 6XEDOSLQH 0RODVVHRI
:HVWHUQ 6ZLW]HUODQG 7KH
GLVWULEXWLRQ RI YLWULQLWH
UHIOHFWDQFH YDOXHV LQ WKH VWXGLHGVHGLPHQWDU\ IRUPDWLRQV
860 200
260 FOHDUO\ UHYHDOV WKDW WKHUH LV D VWUDWLJUDSKLHFRQWURO
RQ PDWXUDWLRQ 0HDQ DYHUDJH YDOXHV LQFUHDVHZLWK
DJHIURP 5U IRU
VDPSOHV IURP WKH PLGGOH 0LRFHQH 260 WR 5U
IRU
VDPSOHV IURP WKH XSSHU 2OLJRFHQH 860 VLWXDWHG LQ WKH 3ODWHDX 0RODVVH860
VDPSOHV IURP WKH 6XEDOSLQH 0RODVVH VKRZ D VOLJKWO\ KLJKHU DYHUDJH 5U1R /RFDWLRQ ;;RRUG <&RRUG 5U 6 1
*526'(9$8' :HVWHUQ 6ZLW]HUODQG
6XEDOSLQH 0RODVVH
860 56 6DYLJQ\
56 6DYLJQ\
56 2URQ OH&KkWHO
56 /HV %DUDWWHV
56 3URJHQV
56 %RLV GX 5LH]
56 )RUrW GHOD -RX[
:HLG $X /DYLDX -RQJQ\
:HLG /D*LVHWWD
:HLG -RQJQ\
:HLG /D&RQYHUVLRQ
:HLG %HOPRQW
:HLG 5RFKHWWHV
:HLG 0LQHGH 3URJHQV
:HLG 0LQH GH %UHPRQW
:HLG 7DERULQ
:HLG 0LQH GH 6W0DUWLQ
:HLG 0RXOLQ 0RQRG
:HLG -RQJQ\
:HLG 3RQW $5 1 VXU 9HYH\VH
:HLG &UDX&RXOHW 1
:HLG $5 1 NP
:HLG 7XQQHOGH %HOPRQW $5 1
:HLG 7XQQHOGH %HOPRQW $5 1
:HLG 7XQQHOGH %HOPRQW $5 1
:HLG /HV %UOpHV
:HLG 7DYHUQHV &RXGHGH OD%UR\H
:HLG /D%LRUGH
:HLG 0LQH GHOD&RQYHUVLRQ
:HLG 0LQH GH 0DUDFRQ
:HLG 0LQH G2URQ
:HLG 0LQH GH &KDWWLOHQV
:HLGO22 5XLVVGH 6W$PRXU
:HLG &UrW 5RXJH
:HLGO /HV&KDUERQQLqUHV
:HLG 3DULPERW
:Î 2URQ 9'
:Î 2URQ
:Î 2URQ
:Î /HV7KLROH\UHV
3ODWHDX
0RODVVH
860 :HLGO )ORQ 0RUDQG
:HLG 7DOHQW
:HLG 7DOHQW
:HLG 7DOHQW
:HLG 5XLVVGH 9LOODU]HO 0RXOLQ GHV$QHV
7DEOH 9LWULQLWH UHIOHFWDQFH GDWD IRU WKH 6ZLVV 0RODVVH EDVLQ 5Uææ GHYLDWLRQ 1 QXPEHURIPHDVXUHPHQWV6ZLVVFRRUGLQDWHV XVHG
PHDQ YLWULQLWH UHIOHFWDQFH 6 VWDQGDUG
1R /RFDWLRQ ;;RRUG <&RRUG 5U 6 1
:HLG 6DXY DEHOLQ
:HLG 3ULOO\
:HLG %RLV 0HUPHW
:HLG 0DOOH\
:HLG 5HQHQV
:HLG 3ODFHGX7XQQHOj/DXVDQQH
:HLG 3ODFH &KDXGURQj/DXVDQQH
:HLG 3ODFH &KDXGURQj/DXVDQQH
:HLG /D%RUGH
:HLG 5RYHUpD]
:HLG 9HQQH $5
:HLG $UULVVRXOHV
:HLG 5XLVVGHOD&URL[
:HLG %RWWHQV
:HLG &XDUQ\
:HLG /D0HQWXH
:HLG %DYRLV$5 1
:HLG %DYRLV
:HLG 7DOHQW
:HLG &KDQGHODU)ORQ 0RUDQG
200 56 )ORQGH&DUURXJH
56 %UR\H
56 /D 1HLULJXH
:HLG 5XLVVHDXGH0DQORXG
:HLG )ORQ 0RUDQG
:HLG /H)ORQ
:HLG 5XLVVHDX GHV/RVLDUGHV /DXVDQQH
:HLG 5LDX*UHVLQ SW
:HLG 5XLVVHDX GH /DYDX[0RUDWWHO SW
:HLG 5XLVVHDXGH3ODQFKH5RJXLQ
:HLG /D1HLULJXH
:HLG /D *ODQHVXU&KkWHO
:HLG 5XLVVHDXGH 6HLJQHX[SUqV &DQWRQV
:HLG 5XLVVHDX GH &RODQV
:HLG /D *ODQH 0RXOLQ GH &KpQHQV
:HLG 5XLVVHDX GH 7UH\
:HLG 5XLVVHDXGHV9DX[
:HLG /D7UpPHXOH
:HLG &KHPLQ6HLJQHX[ /HV *UDQJHV
:HLG /D &HUMDXOH VRXV2Q]H0DOOHV
:HLG /D &HUMDXOH VRXV OHV (QYHUV
:HLG /H 5HFRXOHW SW 3LVVHYDFKH
:HLG /H 5HFRXOHW SW
:HLG 5XLVVGHOD &KDVVH /XFHQV
:HLG 5XLVV GH9LOOHQHXYH
:HLGO *UDQG 0RQW
:HLG 0RQWHQDLOOHV
:HLG 6FLHULH GH &URLVHWWHV
:HLG /H )ORQSUqV(SDOLQJHV
:HLG /H)ORQ
:HLG /H)ORQ
1R /RFDWLRQ ;;RRUG <&RRUG 5U 6 1
:HLG &HQWUDOH /XFHQV
:HLG /H )ORQ]HO7RXU GH6W 0DUWLQ
:HLG /H 0DXVVRQ *UDQJHWWHV
:HLG /H )ORQ]HO /D6FLH
:HLG 7RXUGH OD 0ROLqUH
:HLG &DUULqUH GX 'p]DOH\ 6HLU\
($67(51 6:,7=(5/$1' 6XEDOSLQH 0RODVVH
860 56 0KOHEDFKWREHO *UHLW
:HLG 7HXIHQ
:HLG %UlXQ:DQQH
3ODWHDX
0RODVVH
860 56 8]QDEHUJ
56 1HXKVOHU7REHW
56 =XJ
200 56 (FKHOWVVFKZLO
56 &XUWL EHUJ
56 0lJHQZLO
56 5lQJJORFK
56 +DQHQEHUJ
56 0lJHQZLO
56 :UHQORV
260 56 2EHU7lJHUQDX
56 %UXHGHUZDOG
56 %lUWREHO
56 %DUWREHO
56 /HLDFKHUWREHO
56 /HLDFKHUWREHO
56 &KOLK|UQOL
56 &KOLK|UQOL
56 )LVFKEDFK
56 %UXQQHQWREHO
56 .\EXUJ
56 1HXKHLP
56D $HXJVW D $OELV
56E $HXJVW D $OELV
56 6FKZL]HUWREHO
56 .lSIQDFK 6WROOHQHLQJDQJ
56 .DSIQDFK
56 %UWWHQ
56 %DDU
56D 3IHIIHUEHUJ
56E 3IHIIHUEHUJ
NP
)2/'(' -85$
? A
?I
22
A
$
2
$
RVD
R!©
2Jª
2 R 22
RR
2
?26
$?
LR
2V
-
2V 2V Î
I"--
Î Î BB h$ BB
2 \I6!A.
h$ h$
AAA
\\,=2AA
²
/2 D6A $
N!R /2 /2 DD 66
A7AH
0
$
$ A
?
/DNH RW *HQHYD
?w
?!
A ??
A
Y?Y
1!
2
22
GO WI
D3 G G
!©©
WIuA J AY1OA
WWVA YA Y1 Y1 A
2 200
$ 860 R 9LWULQLWH 5HIOHFWDQFH5U
$
$
$
$
R\
B
B
)LJ 6LPSOLILHG WHFWRQLF PDS RI:HVWHUQ 6ZLW]HUODQG *URV'H9DXG ZLWKPHDQ YLWULQLWH UHIOHFWDQFH YDOXHV IURP VXUIDFH VDPSOHV LQ WKH 0RODVVH EDVLQ
7KH WKHUPDO
PDWXULW\ RI
WKH FRDO VDPSOHV YDULHV DOVR JHRJUDSKLFDOO\,Q
RUGHU WR UHSUHVHQW WKLVYDULDWLRQ
UHIOHFWDQFH YDOXHV ZHUHPDSSHG DQG LVRUHILHFWDQFHFRQWRXUVZHUH FDOFXODWHG E\ NULJLQJ 7KHOLPLWHGQXPEHU DQG XQHYHQGLVWULEXWLRQ RI
VDPSOHV GRHV QRW HQDEOH D XQLTXH LQWHUSUHWDWLRQ 7KH FKRVHQ UHSUHVHQWDWLRQ QHYHUWKHOHVV VKRZV WKH JHQHUDOWUHQGV DQG VRPH LQWHUHVWLQJ DQRPDOLHV
*URV'H9DXG )LJV DQG
7KH LVRUHILHFWDQFH OLQHV LQ WKH VRXWKHUQ SDUW
RI
WKLV DUHD LQGLFDWH DQ LQFUHDVH LQPDWXULW\ RI
WKHRUJDQLF PDWWHU WRZDUGV WKH$OSV 7KLVWUHQG SUHGRPLQDQWO\RFFXUVLQ WKH 6XEDOSLQH 0RODVVHQRUWK RI
/DNH *HQHYD,Q
WKH 3ODWHDX 0RODVVH YDULDWLRQV LQYLWULQLWH
UHIOHFWDQFH DUH UDWKHU VSRUDGLF 7KH PRVW VWULNLQJ IHDWXUHV DUH WZR OLPLWHG UHJLRQVZLWK
UHODWLYHO\ KLJKPDWXULW\
OHYHOV5U !
2QH ]RQH LV VLWXDWHG MXVW VRXWKRI
/DNH 1HXFKkWHO,W
LVLQWHUHVWLQJ WR QRWHWKDWWKHWKUHH DQDO\]HG VDPSOHVLQ WKLVUHJLRQ DUHO\LQJ DORQJ WKH 3RP\&XDUQ\ WKUXVW 3&LQ
)LJ $QRWKHU DUHDRI
LQFUHDVHG WKHUPDO PDWXULW\LV VLWXDWHG DERXW
NP
VRXWKHDVWRI
/DNH 1HXFKkWHO LQ WKH /D %UR\H YDOOH\ ZKHUH YDOXHVRI
XS WR5U
ZHUH PHDVXUHG $JDLQ D PDMRU WKUXVW 6DUHQV/HV*UDQJHV 6/* LQ )LJ LV ORFDWHG FORVH WR WKLV ]RQH)2/'(' -85$
&=Aa()()\
, NPA
%&& /*
3&
5% 9!
A
(3
9 (6
\
0 2
WI A
R?
R
WI
! !
A WW
A ?A AA
200 860
/DNHRI*HQHYD
LVRUHIOHFWDQFH OLQH 5U
)LJ ,VRUHILHFWDQFH PDSRI:HVWHUQ6ZLW]HUODQG ,QWHUSUHWDWLRQ RIPHDQYLWULQLWH UHIOHFWDQFH YDOXHV E\NULJLQJ 7KH LVRUHILHFWDQFH OLQHV LQGLFDWH DQ LQFUHDVH LQ PDWXULW\ RIRUJDQLF PDWWHU WRZDUGV WKH $OSV 7KHUH DUH KRZHYHU ]RQHVRILQFUHDVHG WKHUPDOPDWXULW\ 5U ! LQ WKH 3ODWHDX 0RODVVH 7HFWRQLF VWUXFWXUHVDUH PRGLILHG IURP -RUGL %&& %DXOPHV&KDPEORQ&KHYUHVV\ WKUXVW (6 (VVHUWLQHV IDXOW (3 (SHQGHV IDXOW 0 0HQWXH WKUXVW 3& 3RP\&XDUQ\ WKUXVW 5% 5DQFHV%DXOPHV IDXOW 6 /D 6DUUD] IDXOW 6/* 6DUHQV/HV*UDQJHV WKUXVW
(DVWHUQ 6ZLW]HUODQG )LJV DQG
'HVSLWH D OLPLWHG QXPEHU
RI
VDPSOHV LQ WKLV DUHD VRPH JHQHUDO WUHQGV DUH FOHDUO\REVHUYHG ,VRUHILHFWDQFHOLQHVVKRZ D JHQHUDOLQFUHDVH LQ WKHUPDO
PDWXUDWLRQ
WRZDUGV WKH$OSLQH IURQW 7KLV SDWWHUQ LV GLVWXUEHG E\ DQ DUHD
RI
LQFUHDVHGYLWULQLWH
UHIOHFWDQFH UXQQLQJ SDUDOOHO WR /DNH =ULFK 6DPSOHVIURP
WKH GLVWDOSDUW RI
WKH 3ODWHDX 0RODVVH EHWZHHQ WKH HDVWHUQ WHUPLQDWLRQRIWKH
IROGHG -XUDDQG =ULFK GLVSOD\ VXUSULVLQJO\ KLJKPDWXULW\ YDOXHV
5U7KHUPDO PRGHOOLQJ
D 7KHRUHWLFDO &RQVLGHUDWLRQV
9LWULQLWH
UHIOHFWDQFH LV D ZLGHO\ XVHG LQGLFDWRURI
WKHUPDOPDWXULW\
LQ RLO DQG JDVH[SORUDWLRQ 7LVVRW HWDO 7LVVRW :HOWH DQG UHJDUGHG DV WKH PRVW UHOLDEOH DQG SUHFLVH PHWKRG
IRU
TXDQWLI\LQJ RUJDQLF GLDJHQHVLV %XVWLQ HW DO,W
LV UHFRJ%/$&
)25(
3/$7($8 -85$ Ì1]
AA
3/$7($802/$66(
5RPDQVKRUQ
24
)2/'('
-85$
ª &
Aªª
=QFK
Y!
æ
©
AA
æ
6
9
æ
2602
ææ
200
$ 860 /X]HUQ
U
NP,
R
2 9LWULQLWH 5H+HFWDQFH 5U
)LJ 6LPSOLILHGWHFWRQLF PDSRI(DVWHUQ6ZLW]HUODQG ZLWKPHDQYLWULQLWHUHIOHFWDQFH YDOXHVIURPVXUIDFH VDPSOHV LQ WKH 0RODVVH EDVLQ
3/$7($8 )!
<
©-85$
%/$&L\
)25(67" 3/$7($8 02/$66(
5RPDQVKRUQ
=XQ
2A
)2/'(' -85$
1SE9
F"
/X]HUQ
A
WI ©ª
æ
2602
ææ
200
$ 860 NP
,
LVRUHILHFWDQFH OLQH 5U
)LJ ,VRUHILHFWDQFH PDSRI(DVWHUQ6ZLW]HUODQG ,QWHUSUHWDWLRQ RIPHDQ YLWULQLWHUHIOHFWDQFH YDOXHV E\ NULJLQJ 7KH LVRUHILHFWDQFH OLQHV LQGLFDWH DQ LQFUHDVH LQPDWXUDWLRQRIRUJDQLFPDWWHU WRZDUGVWKH$OSV $]RQHRILQFUHDVHG WKHUPDO PDWXULW\ UXQQLQJ SDUDOOHO WR WKH /DNH RI=ULFK GLVWXUEVWKLV VLPSOH SDWWHUQ
QL]HG WKDW WKH UDQN
RI
FRDO QRUPDOO\ GHILQHG E\YLWULQLWH
UHIOHFWDQFH LV PDLQO\D IXQFWLRQRI
WHPSHUDWXUH DQG WLPH .DUZHLO 7KHUHIRUHYLWULQLWH
UHIOHFWDQFH DQG RWKHUPDWXUDWLRQ LQGLFHV
RI
RUJDQLF PDWWHU &DUERQ 3UHIHUHQFH ,QGH[ &3, 7KHUPDO$OWHUDWLRQ
,QGH[7$,
FDQQRWEHGLUHFWO\FRQYHUWHG WR SDOHRWHPSHUDWXUH$OO
LQGLFHVRI
RUJDQLFGLDJHQHVLV DUH D IXQFWLRQ
RI
WKH WKHUPDO KLVWRU\ WKURXJK UDWKHU FRPSOH[ NLQHWLFV ZKLFK DUH IUHTXHQWO\ LQIOXHQFHG E\ WKH W\SHRI
RUJDQLF PDWWHU 7LVVRW HW DO$
SRSXODUDQG VLPSOH DSSURDFKIRU
TXDQWLI\LQJ RUJDQLFGLDJHQHVLV ZDV GHYHORSHG E\/RSDWLQ 7KLV PHWKRG FDOFXODWHV D PDWXUDWLRQ SDUDPHWHUE\ WKH LQWHJUDWLRQ
RIWKH
HQWLUHWLPHWHPSHUDWXUHKLVWRU\
RI
D VWUDWXPDVVXPLQJ WKDWLQFUHDVLQJWKH WHPSHUDWXUH E\& GRXEOHV WKH PDWXUDWLRQ UHDFWLRQ UDWH
$
PRGLILHG YHUVLRQRI
/RSDWLQV PHWKRG ZKLFKFRUUHODWHVDFDOFXODWHGPDWXUDWLRQSDUDPHWHU77,
WHPSHUDWXUH WLPHLQGH[ZLWK YLWULQLWH
UHIOHFWDQFH ZDV SXEOLVKHG E\ :DSOHV 7KHVH DSSURDFKHV KDYH EHHQFULWLFL]HGEHFDXVHWKHHIIHFW
RI
WKHGXUDWLRQ RI
KHDWLQJ RQ WKH WKHUPDOPDWXUDWLRQRI
VHGLPHQWDU\RUJDQLFPDWWHU VHHPVOLPLWHG %DUNHU 3ULFH $FFRUGLQJ WR %DUNHU RUJDQLFPDWWHUVWDELOL]HV
ZLWK
UHVSHFWWR WHPSHUDWXUHDIWHUDERXW WR \HDUVLQ
EXULDO GLDJHQHVLV \HDUV LQ JHRWKHUPDO V\VWHPV DQG DERXW WR \HDUV LQ FRQWDFW PHWDPRUSKLVP E\ LQWUXVLYH VKHHWV 7KH DVVXPSWLRQ WKDW WKH UDWHRI
PDWXUDWLRQ GRXEOHV HYHU\ & LV FRQVLGHUHG WR EH LQDFFXUDWH %XUQKDP 6ZHHQH\:LWK
WKH DFWXDO DFWLYDWLRQHQHUJLHVRI
NHURJHQ WUDQVIRUPDWLRQ UHDFWLRQV NFDOPROH GRXEOLQJWKH UHDFWLRQ WLPH LV HTXLYDOHQW WR D WHPSHUDWXUH LQFUHDVHRI
& 7LVVRWHWDO
$FFRUGLQJO\ WKH /RSDWLQ:DSOHV FDOFXODWLRQV WHQG WR XQGHUHVWLPDWH WKHUPDO
PDWXULW\
DW KLJK KHDWLQJ UDWHV UDSLG EXULDO DQG RYHUHVWLPDWHLW
DW ORZ KHDWLQJ UDWHV :RRG 0RUH UHFHQWO\ WKH GHYHORSPHQWRI
NLQHWLF PRGHOVIRU YLWULQLWH
UHIOHFWDQFH HYROXWLRQ EDVHG RQ YLDEOH FKHPLFDO SULQFLSOHV SURYLGH QHZ WRROVIRU
WKHUPDO PRGHOOLQJ 6ZHHQH\6ZHHQH\ %XUQKDP /DUWHU 7KHVHPRGHOV DUH EDVHG RQ WKH FODVVLFDO IRUPXODWLRQ
RI
ILUVWRUGHU NLQHWLFV ZKLFK DUH DOVR DSSOLFDEOH WR WKH GHJUDGDWLRQRI
NHURJHQ
$Q LPSRUWDQW
DVSHFW LV WKH FRQVLGHUDWLRQRI
VHYHUDO SDUDOOHO UHDFWLRQV ZKLFK DFFRXQWVIRU
WKHGLYHUVLW\RI
FRPSRVLWLRQ DQGGLVWULEXWLRQ RI
FKHPLFDO ERQG W\SHV LQ WKH RULJLQDO NHURJHQ 7LVVRW HW DOE 0RGHOOLQJ 6WUDWHJ\
)RU WKH UHFRQVWUXFWLRQ
RI
WKH WKHUPDO KLVWRU\ DQ LWHUDWLRQ SURFHVV LV XVHG 7KH FRPELQDWLRQRI
WKH VWUXFWXUDO KLVWRU\ EXULDO YV WLPH DQG D ILUVW VLPSOLILHG WKHUPDO KLVWRU\ JHRWKHUPDO JUDGLHQW YV WLPH UHVXOWV LQ D WHPSHUDWXUH KLVWRU\ %\PDWKHPDWLFDO PRGHOOLQJ WKH HYROXWLRQRI
NHURJHQ DQG UHODWHGPDWXULW\
LQGLFHV FDQ EH REWDLQHG 7KH FRPSDULVRQRI
PRGHOOHG DQGPHDVXUHG PDWXULW\LQGLFHVDOORZV WR DGMXVWSURJUHVVLYHO\ WKH SDUDPHWHUV ZKLFK GHWHUPLQH WKH WKHUPDO KLVWRU\7KHUH LV JURZLQJHYLGHQFH WKDW WKH SDOHRJHRWKHUPDO UHJLPH
RI
VHGLPHQWDU\ EDVLQV LV LQIOXHQFHG E\ WKH SDOHRJHRK\GURORJLFDO FRQGLWLRQV %HFNHWDO
2OLYHU 7KH WKHUPDO UHJLPHRI
DVHGLPHQWDU\ EDVLQ PD\EHLQIOXHQFHG E\IDFWRUVVXFK DVWKHK\GUDXOLF
FRQGXFWLYLW\ GHQVLW\ DQG YLVFRVLW\RI
ZDWHU EDVLQ JHRPHWU\ WRSRJUDSK\ ZDWHUWDEOH FRQILJXUDWLRQ WKHUPDOFRQGXFWLYLW\JHRWKHUPDO KHDWIORZ
DQGFOLPDWH*DUYHQ )UHH]H 0DQ\RI
WKHVH SDUDPHWHUV FKDQJH LQ WLPH DQG VSDFH DQG REYLRXVO\ KHDWIORZ
YDOXHV DQGRU JHRWKHUPDO JUDGLHQWV
ZLOO
EH GLUHFWO\ DIIHFWHG E\ WKHVH YDULDWLRQV7ZRGLIIHUHQW DSSURDFKHVDUH FKRVHQ
IRU
WKLV VWXG\ 7KHEXULDO
KLVWRU\DSSURDFKDVVXPHVWKDW WKHWHPSHUDWXUH KLVWRU\
RI
DIRUPDWLRQ
PDLQO\GHSHQGV RQWKHEXULDO
GHSWK7KH WKHUPDOFRQGLWLRQVDUHJRYHUQHG E\FRQVWDQW UHODWLYHO\ ORZJHRWKHUPDOJUDGLHQWV DQG ORZKHDWIORZYDOXHV 7KHUHLV DVORZLQFUHDVHLQ WHPSHUDWXUHGXULQJ EXULDO DQGDGHFUHDVH GXULQJHURVLRQ 7KH JHRK\GURORJLFDODSSURDFK LVEDVHGRQDPRGLILHGEXULDO KLVWRU\
7KLV DSSURDFK DVVXPHV YDU\LQJ JHRWKHUPDO JUDGLHQWV ERWK LQ WLPH DQG GHSWK GXH WR FKDQJLQJSDOHRJHRK\GURORJLFDO FRQGLWLRQV 5DSLG FKDQJHV LQ WHPSHUDWXUH
IRU
VKRUW WLPH SHULRGV FRXOG EH H[SHFWHGZLWK
DQLQIOX[ RI
KRW RU FROG ZDWHUF
%XULDO
+LVWRU\ $SSURDFK7KH
($6<
5RPRGHORI
6ZHHQH\ %XUQKDP ZDV XVHGIRU
WKLV VWXG\ 7KLV PRGHO XVHV DQ $UUKHQLXV ILUVWRUGHU SDUDOOHO UHDFWLRQ DSSURDFKZLWK
DGLVWULEXWLRQ RI
DFWLYDWLRQ HQHUJ\,W
HQDEOHV WKH FDOFXODWLRQRI
WKHYLWULQLWH
PDWXUDWLRQ KLVWRU\5U
YHUVXV WLPH
IRU
D JLYHQ WHPSHUDWXUH KLVWRU\ WHPSHUDWXUH YHUVXV WLPH DQG DSSOLHV WR YDOXHVRI
PHDQ UDQGRPYLWULQLWH
UHIOHFWDQFH IURP 5U7KH PDWXUDWLRQ KLVWRU\
IRU
WZR WLPHKRUL]RQV FRUUHVSRQGLQJ WRWKH EDVHRIWKH 860
DQG WKH200
P\ DQG P\ LQ WKH 3ODWHDX 0RODVVH ZDV FDOFXODWHG 7KH PRGHOOHGILQDO
SUHVHQWGD\ YDOXHV DUH FRPSDUHG WR WKH PHDVXUHG YDOXHVRI
RXWFURS VDPSOHV,Q
RUGHU WR FRQVWUDLQ WKH WKHUPDO KLVWRU\ WKHIROORZLQJ
DVVXPSWLRQV DUH PDGH 7KH PHDQ DQQXDO VXUIDFH WHPSHUDWXUH LVHVWLPDWHG DW & GXULQJ WKH 2OLJRFHQH DQG 0LRFHQH 7KLV LV D UDWKHU FRQVHUYDWLYH YDOXH DV SDO\QRORJLFDO LQYHVWLJDWLRQV +RFKXOL VXJJHVW WHPSHUDWXUHVRI
& GXULQJ WKH 2OLJRFHQH 3UHVHQW GD\ YDOXHV DUH DW & 0D[LPXP SDOHRGHSWKV ZHUH UHDFKHG WRZDUG WKH HQGRI
WKH PLGGOH 0LRFHQH P\7KLVLVPDUNHG E\ WKHHQG
RI
0RODVVHVHGLPHQWDWLRQ DQG WKHVWDUWRI XSOLIW
DQG HURVLRQ 3ILIIQHU 0XJQLHU 0HQDUG 1DHIHW DO /HPFNH 7KHVWDUWRI
WKH
XSOLIW
KLVWRU\ LV VHW DW P\ DOWKRXJK WKUXVWLQJ DQGXSOLIW
LQ PRUH LQWHUQDO SDUWVRI
WKH EDVLQ 6XEDOSLQH 0RODVVH SUREDEO\ WRRNSODFH HDUOLHU %XUNKDUG.DLNUHXWK
7KH WHPSHUDWXUH LQFUHDVH
RI
D WLPH KRUL]RQ LV RQO\ GHSHQGHQW RQ WKH EXULDO KLVWRU\7HPSHUDWXUH KLVWRULHV
ZLWK
PD[LPXP SDOHRWHPSHUDWXUHV YDU\LQJIURP
WR &DUH XVHG WR PRGHO
ILQDO
SUHVHQW GD\ PDWXUDWLRQ YDOXHVIRU
HDFK WLPH KRUL]RQ )LJXUH VKRZV D GLDJUDPRI
FDOFXODWHGYLWULQLWH
UHIOHFWDQFH YDOXHV 5U YHUVXV PD[LPXP SDOHRWHPSHUDWXUHV 7PD[ 7KHSORWFOHDUO\ LQGLFDWHVWKDW WLPHSOD\V
RQO\DPLQRU
UROH 0HDVXUHGYLWULQLWH
UHIOHFWDQFH YDOXHVRI
RXWFURS VDPSOHVLQ
WKH 3ODWHDX 0RODVVH UDQJH IURP WR 5U 0RGHOOLQJ VKRZV WKDW WKLV ZRXOG FRUUHVSRQG WR PD[LPXPSDOHRWHPSHUDWXUHV
RI
XS WR &:LWK
DQ DVVXPHG DYHUDJH SDOHRJHRWKHUPDO JUDGLHQWRI
&NP SDOHRGHSWKV
RI
XS WR NP ZRXOG EH UHTXLUHG WR H[SODLQ WKHVHYLWULQLWH
UHIOHFWDQFHYDOXHVIURP VXUIDFHVDPSOHV 7KLVLVPXFK PRUHWKDQ H[SHFWHG
IURP
WKH RYHUOD\LQJ VWUDWLJUDSKLH FROXPQ DOPRVW HQWLUHO\ SUHVHUYHG LQ WKH HDVWHUQ SDUWRI
WKH 6ZLVV 0RODVVHEDVLQ 7KH WKLFNQHVV
RI
VHGLPHQWV RYHUO\LQJ DQDO\]HG RXWFURS VDPSOHV HJ200
DQG 260 PD\ KDYH H[WHQGHG WR NPLQ
WKH PRVW SUR[LPDO SDUWRI
WKH EDVLQ,Q
WKH GLVWDO SDUWV KRZHYHU WKLV RYHUEXUGHQ WKLFNQHVV GHFUHDVHV WR VRPH KXQGUHG PHWHUV0DWWHU
HW DO
7KH ]RQH
RI
LQFUHDVHG WKHUPDOPDWXULW\
LQ WKH /D %UR\H YDOOH\ )LJV DQG VKRZVYLWULQLWH
UHIOHFWDQFH YDOXHVRI
7KLV LV DQ LQFUHDVHRI
RYHU5U
ZKHQ FRPSDUHG WR WKH DYHUDJH YDOXHVIURP
WKH VXUURXQGLQJ DUHD,Q
WHUPVRI
PD[LPXPSDOHRWHPSHUDWXUHV DQ LQFUHDVH
RI
DERXW & LV VXJJHVWHG E\ WKHVH FDOFXODWLRQV0RGHOSDUDPHWHUVDV XVHG IRU WKHFDOFXODWLRQRIWZR SRLQWVRIWKH 5UYV7PD[ GLDJUDP
7,0(LQP\ ES
7,0(LQP\ ES
RF &
7PD[ &
7PD[ &
& &
WLPH KRUL]RQ P\
?
Q Q
3 !V
WLPH KRUL]RQP\
7PD[PD[LPXP WHPSHUDWXUHXVHG,QWKH WLPHWHPSHUDWXUHKLVWRU\
OQ&
)LJ 7KHUPDO PRGHOOLQJZLWK WKH($6<5RPRGHORI6ZHHQH\ F %XUQKDP HQDEOHV WKHFDOFXODWLRQRI
PHDQ YLWULQLWHUHIOHFWDQFH YDOXHV5U GXULQJ WLPH IRUDJLYHQ VWUDWLJUDSKLH OHYHO LIWKH WLPHWHPSHUDWXUH KLVWRU\
LVNQRZQ7KH ILQDO 5UYDOXHVRIWZR GLIIHUHQW WLPH KRUL]RQV IRUFKDQJLQJWHPSHUDWXUH KLVWRULHVDUH SORWWHG RQD 5U YV 7PD[PD[LPXP SDOHRWHPSHUDWXUH IRUHDFKWHPSHUDWXUH KLVWRU\ JUDSK
G *HRK\GURORJLFDO $SSURDFK
7KLV DSSURDFK XVHV D FRQFHSWXDO IUDPHZRUN GLIIHUHQW WR WKDW XVHG LQ WKH
EXULDO
KLVWRU\ DSSURDFK,W
LV SUREDEO\ D VSHFXODWLYH PRGHO +RZHYHU LWV DLP LV WR VKRZ WKDW WKH REVHUYHG FRDOLILFDWLRQ SDWWHUQ FRXOG EH PRGHOOHGZLWKRXW
WKH UHTXLUHPHQWRI
D KLJK DPRXQWRI
HURVLRQ LQ D JHQHUDOO\ ORZWHPSHUDWXUH UHJLPH 7KH ODWWHU LV W\SLFDOIRU
WKH 0RODVVH EDVLQ6LQFHRQO\ RXWFURS VDPSOHV DUH DQDO\]HG LQ WKLV VWXG\ PRGHOOLQJ UHVXOWVZRXOG KDYH WR EHFDOLEUDWHG
ZLWK
RQO\ RQHPHDVXUHGYLWULQLWH
UHIOHFWDQFH YDOXH 7KLVLV SUREDEO\ QRWD YHU\ UHOLDEOH DSSURDFK
)RU
WKLV UHDVRQ SXEOLVKHGYLWULQLWH
UHIOHFWDQFH GDWD IURP WKH .VQDFKWGULOOKROH
DUH XVHG 5\EDFK %RGPHU WR FDOLEUDWH WKH JHRK\GURORJLFDO DSSURDFK $V LQ RWKHUZHOOVRIWKH
0RODVVH EDVLQ 7HLFKPOOHU 7HLFKPOOHU WKHUH LV D ORZ FRDOLILFDWLRQ JUDGLHQW 5PNP LQGLFDWLQJ DORZ SDOHRJHRWKHUPDO JUDGLHQW )RU WKH FRQVWUXFWLRQRI
WKH EXULDO KLVWRU\ FXUYHV WKH DPRXQWRI
WKH HURGHG VHFWLRQ KDV EHHQ VHW WR D YDOXHRI
NP 7KLV LV KLJKHU WKDQ DVVXPHG HURVLRQ HVWLPDWHVIRU
WKLV UHJLRQ 1DHIHW DO /DXEVFKHU /HPFNH EXW ORZHUWKDQ HVWLPDWHVRIWKH
EXULDO
KLVWRU\ DSSURDFK RURI
DUHFHQW VWXG\ RQURFNGHQVLW\ DQGFRPSDFWLRQLQ
WKH6ZLVVGHSWK 7 &
VXUIDFH JUDGLHQWEDVHRI QHDU P EHORZVXUIDFHP
G7G]
&NP
QHDU VXUIDFH
JUDGLHQW
JHQHUDO
JUDGLHQW
7&
s
DQQXDO VXUIDFHWHPSHUDWXUH & ;
EXULDO GHSWK P
EXULDO KLVWRU\260
HURGHG
260
200
WHPSHUDWXUH KLVWRU\
IRU WLPH KRUL]RQV
EDVH200
Y EDVH 260
9WRS260
PRGHOOHG YLWULQLWH UHIOHFWDQFH
V
KLVWRU\
M
EDVH200
K
\\
EDVH 260 WRS 260
\\
LQP\ ESPRGHOOHG DQG
A 9
PHDVXUHG FRDOLILFDWLRQæ
PHDVXUHG 5U 5U 6=D PRGHOOHG5U
5U = SURILOH
?©
æ (
æ F F
WLPH LQP\ ES
YLWULQLWHUHIOHFWDQFH 5U
)LJ ,KHUPDO PRGHOOLQJ RIGDWD IURPWKH .VQDFKW ZHOO ZLWK WKH ($6< 5R PRGHO 6ZHHQH\ %XUQKDP _DQLDFRQFHSWXDO PRGHO ZKLFKWDNHVLQWRDFFRXQW K\SRWKHWLFDOHIIHFWVRIFRQYHFWLYH KHDWWUDQVSRUW JHRK\
GUROFLJLFLO DSSURDFK 7KHYDULDWLRQRIGLIIHUHQWLQSXWSDUDPHWHUV$'HQDEOHVWKHFDOFXODWLRQRIWLPHWHPSHUDWXUH
KLVWRULHV ( 8VLQJWKH ($6<5R PRGHO WKHVH WHPSHUDWXUH KLVWRULHVFDQ EHWUDQVIRUPHGLQWR PDWXULW\
KLVWRLULHV) * VKRZV WKH FRPSDULVRQ EHWZHHQ PRGHOOHG DQG PHDVXUHG FRDOLILFDWLRQ SURILOH
0RODVVH EDVLQ
.lOLQ
HW DO 7KH ODWWHU VWXG\ LQGLFDWHG YHU\ KLJK YDOXHVRI
DERXWNP XQDFFRXQWHG
IRU
E\ DQ\ JHRORJLFDO REVHUYDWLRQ7KH SUHVHQW GD\ JHRWKHUPDO JUDGLHQW SDWWHUQ
RI
WKH 6ZLVV 0RODVVH EDVLQ 5\EDFK HW DO 9ROOPD\U LV FKDUDFWHUL]HG E\ D UDSLG LQFUHDVHRI
WHPSHUDWXUH QHDU WKH VXUIDFH &NP P 7KLV KLJK QHDUVXUIDFH JUDGLHQW FRXOG EH GXH WRFRQYHFWLYH KHDWWUDQVSRUW E\ JURXQGZDWHU 5\EDFK %RGPHU
$OWKRXJK
WKHUHDUH QR LQGLFDWLRQV \HWLW
LVSUREDEOH WKDWWKHWKHUPDO JUDGLHQW DQG GHSWKRI
WKLV ]RQHFRXOG KDYH FKDQJHG LQ WLPH DQG VSDFH 7KLV PD\ EH WKH UHVXOWRI
D FKDQJH LQ WKHIOXLG IORZ
SDWWHUQ LQ WKH 0RODVVH EDVLQ GXH WR D YDULDWLRQRI
WKH WRSRJUDSK\ IOXLGV WHFWRQLFDOO\ H[SHOOHG IURP WKH RURJHQLF EHOW FOLPDWLF YDULDWLRQV LQIOXHQFLQJ WKHLQILOWUDWLRQ
UDWHRI
UHFKDUJH DUHDV %DOGHUHU D YDULDWLRQRI
WKH JURXQGZDWHULQWHUIDFH VXUIDFH VHSDUDWLQJ ORZ PLQHUDOL]HG JURXQGZDWHURI 1D+&W\SH
DERYH DQG VWURQJO\ PLQHUDOL]HG JURXQGZDWHURI
1D&OW\SH EHORZ REVHUYHGZLWKLQ
WKH GHHSHU DQG FHQWUDO SDUWRI
WKH 0RODVVH EDVLQ %DOGHUHU)LJXUH SUHVHQWV WKH LQSXWSDUDPHWHUV DQG UHVXOWLQJ WHPSHUDWXUH DV ZHOO DV
PDWXULW\
YDOXHV
RI
DVXFFHVVIXO VLPXODWLRQ 7KH PDLQ DVVXPSWLRQVDUH D GHHSHQLQJRI
WKH EDVH DQGDQ LQFUHDVH LQ WKH QHDU VXUIDFH JUDGLHQW YDOXH DW WKH WLPH
RI
PD[LPXP EXULDO 7KLV YDULDWLRQ SUREDEO\ GXH WR LQFUHDVHG FRQYHFWLYH KHDW WUDQVSRUW FRXOG EH FDXVHG LQ SDUW E\ WKH KLJK UHOLHIRI
WKH $OSV GXULQJ WKH (DUO\DQG 0LGGOH0LRFHQH3ILIIQHU
7KH FRPELQDWLRQRIWKH
EXULDO KLVWRU\ )LJ'
DQG WKH YDULDWLRQRIWKH
PHQWLRQHG WKHUPDO SDUDPHWHUV)LJ$&
HQDEOHVWKH FDOFXODWLRQRIWKH
WHPSHUDWXUH KLVWRU\)LJ (IRU
FHUWDLQ WLPHKRUL]RQV 8VLQJ WKH($6<5RPRGHO WKHVH WHPSHUDWXUH KLVWRULHV FDQ EH WUDQVIRUPHGLQWR PDWXULW\
KLVWRULHV )LJ ) 7KH FRPSDULVRQ EHWZHHQ WKH PRGHOOHG DQG PHDVXUHG FRDOLILFDWLRQ SURILOHRIWKH
.VQDFKWGULOOKROH
)LJ * LQGLFDWHV D JRRGILW
,PSOLFDWLRQV
IRU
WKH SDOHRJHRWKHUPDO UHJLPHRI
WKH 0RODVVH EDVLQ7KHPDLQ IHDWXUHV UHVXOWLQJ IURP WKH
YLWULQLWH
UHIOHFWDQFH DQDO\VLV DQG WKHUPDOPRGHOOLQJ FDQ EH VXPPDUL]HG DV IROORZV
L 3URQRXQFHG YDULDWLRQV DUH IRXQG LQ WKH
PDWXULW\
YDOXHV IURP RXWFURS VDPSOHVRI
WKH 3ODWHDX 0RODVVH
5ULL ,VRUHILHFWDQFHFRQWRXUV LQGLFDWH WKDW YDULDWLRQV LQWKHUPDOPDWXUDWLRQ PLJKW KDYH
D VWUXFWXUDO FRQWURO $UHDV
RI
LQFUHDVHGYLWULQLWH
UHIOHFWDQFH RFFXU QHDUIDXOW
]RQHV RU OLH SDUDOOHO WR D PDMRU WRSRJUDSKLF VWUXFWXUH /DNH =ULFK ZKLFK PD\ EH WHFWRQLFDOO\FRQWUROOHG +DQWNH
LLL
7KHGHJUHHRI
WKHUPDOPDWXULW\
LQWKH 3ODWHDX 0RODVVH HVSHFLDOO\LQWKH*URV'H 9DXG DUHD DQG ZHVWRI
/DNH =ULFK LV KLJKHU WKDQ H[SHFWHG$
UHJLRQRI
ORZ WKHUPDO PDWXULW\ FDQ EH REVHUYHG HDVWRI
/DNH =ULFK+|UQOL
DUHDLY
0DWXULW\ RI
RUJDQLF PDWWHU JHQHUDOO\ LQFUHDVHV WRZDUGV WKH $OSVY 7KHUPDO PRGHOOLQJ