Not necessarily. Convection currents arise proximately due to differences in density. Temperature differences causes convection
currents in air (and other gases) because temperature differences cause density differences. With dissimilar gases, though, a denser gas will tend to
settle out underneath a less dense one, regardless of temperature. This separation is not a two-phase system, not exactly, because the boundary is not
a strict layer; there's some mixing. Nevertheless, if the molecular weight difference is high enough, the boundary region can be fairly narrow.
As to woelen's original question, I don't know that there's much that's inexpensive that satisfies all the other criteria. One class of substances,
however, that are readily available, though not terribly inexpensive, are the perfluorinated polyethers that are used for vapor phase soldering, and
at even higher molecular weights, for vacuum pump oils. Look up the Galden HT line. They need to be heated to vaporize, but it means you could make
your demonstration boat change height in a tall tube depending on the relationship of heat vs. cooling.
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