The Day of the Week Effect and Option Pricing - A Study of the German Option Market

The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.

United We Stand - Divided We Fall : A Standard Model of Unit Cohesion

Research on unit cohesion has shown positive correlations between cohesion and valued outcomes such as strong performance, reduced stress, less indiscipline, and high re-enlistment intentions. However, the correlations have varied in strength and significance. The purpose of this study is to show that taking into consideration the multi-component nature of cohesion and relating the most applicable components to specific outcomes could resolve much of the inconsistency. Unit cohesion is understood as a process of social integration among members of a primary group with its leaders, and with the larger secondary groups of which they are a part. Correspondingly, included in the framework are four bonding components: horizontal (peer) and vertical (subordinate and leader) and organizational and institutional, respectively. The data were collected as part of a larger research project on cohesion, leadership, and personal adjustment to the military. In all, 1,534 conscripts responded to four questionnaires during their service in 2001-2002. In addition, sociometric questionnaires were given to 537 group members in 47 squads toward the end of their service. The results showed that platoons with strong primary-group cohesion differed from other platoons in terms of performance, training quality, secondary-group experiences, and attitudes toward refresher training. On the sociometric level it was found that soldiers who were chosen as friends by others were more likely to have higher expected performance, better performance ratings, more positive attitudes toward military service, higher levels of well-being during conscript service, and fewer exemptions from duty during it. On the group level, the selection of the respondents own group leader rather than naming a leader from outside (i.e., leader bonding) had a bearing not only on cohesion and performance, but also on the social, attitudinal, and behavioral criteria. Overall, the aim of the study was to contribute to the research on cohesion by introducing a model that takes into account the primary foci of bonding and their impact. The results imply that primary-group and secondary-group bonding processes are equally influential in explaining individual and group performance, whereas the secondary-group bonding components are far superior in explaining career intentions, personal growth, avoidance of duty, and attitudes toward refresher training and national defense. This should be considered in the planning and conducting of training. The main conclusion is that the different types of cohesion components have a unique, positive, significant, but varying impact on a wide range of criteria, confirming the need to match the components with the specific criteria.

Analysing local algorithms in location-aware quasi-unit-disk graphs

A local algorithm with local horizon r is a distributed algorithm that runs in r synchronous communication rounds; here r is a constant that does not depend on the size of the network. As a consequence, the output of a node in a local algorithm only depends on the input within r hops from the node. We give tight bounds on the local horizon for a class of local algorithms for combinatorial problems on unit-disk graphs (UDGs). Most of our bounds are due to a refined analysis of existing approaches, while others are obtained by suggesting new algorithms. The algorithms we consider are based on network decompositions guided by a rectangular tiling of the plane. The algorithms are applied to matching, independent set, graph colouring, vertex cover, and dominating set. We also study local algorithms on quasi-UDGs, which are a popular generalisation of UDGs, aimed at more realistic modelling of communication between the network nodes. Analysing the local algorithms on quasi-UDGs allows one to assume that the nodes know their coordinates only approximately, up to an additive error. Despite the localisation error, the quality of the solution to problems on quasi-UDGs remains the same as for the case of UDGs with perfect location awareness. We analyse the increase in the local horizon that comes along with moving from UDGs to quasi-UDGs.

Interruption and Uncooperativeness in Academic ELF Group Work : An Application of Linear Unit Grammar

This study addresses the challenge of analyzing interruption in spoken interaction. It begins with my observation of eight hours of academic group work among speakers of English as a lingua franca (ELF) in a university course. Unlike the common findings of ELF research which underscore the cooperative orientation of ELF users, this particular group gave strong impressions of interruption and uncooperativeness as they prepared a scientific group presentation. In the effort to investigate these impressions, I found that no satisfactory method exists for systematically identifying and analyzing interruptions. A useful tool was found in Linear Unit Grammar or LUG (Sinclair & Mauranen 2006), which analyzes spoken interaction prospectively as linear text. In the course of transcribing one of the early group work meetings, I developed a model of LUG-based criteria for identifying individual instances of interruption. With this system in place, I was then able to evaluate the aggregate occurrences of interruption in the group work and identify co-occurring interactive features which further influenced the perception of uncooperativeness. Finally, these aggregate statistics directed a return to the data and a contextually sensitive, qualitative analysis. This research cycle illuminates the interactive features which contributed to my own impressions of uncooperativeness, as well as the group members orientations to their own interruptive practice.