Modeling Nonlinearities and Asymmetries in Asset Pricing

Financial time series tend to behave in a manner that is not directly drawn from a normal distribution. Asymmetries and nonlinearities are usually seen and these characteristics need to be taken into account. To make forecasts and predictions of future return and risk is rather complicated. The existing models for predicting risk are of help to a certain degree, but the complexity in financial time series data makes it difficult. The introduction of nonlinearities and asymmetries for the purpose of better models and forecasts regarding both mean and variance is supported by the essays in this dissertation. Linear and nonlinear models are consequently introduced in this dissertation. The advantages of nonlinear models are that they can take into account asymmetries. Asymmetric patterns usually mean that large negative returns appear more often than positive returns of the same magnitude. This goes hand in hand with the fact that negative returns are associated with higher risk than in the case where positive returns of the same magnitude are observed. The reason why these models are of high importance lies in the ability to make the best possible estimations and predictions of future returns and for predicting risk.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Leadership through the Gender Lens: Women and Men in Organisations

Leadership and management remain highly gendered. Recent decades have seen a major international growth of studies on gender relations in leadership, organisations and management, in both empirical research and theoretical analysis. The differential relations of women and men to leadership and management are a key question for both theory and practice. Recent research and discussion on the gendering of leadership have been influenced by and have addressed: feminism; recognition of women and women’s situations, experiences and voices in leadership; organisational culture; communication; divisions of labour, hierarchy, power and authority; imagery and symbolism; information technology; sexuality, harassment, bullying and violence in organisations; home-work relations; men and masculinities in leadership; globalisation, transnationalism, intersectionality and post¬¬colonialism – amongst other issues. Having said that, the vast majority of mainstream work on leadership retains little or no gender analysis. In most business schools and other universities the position of gender-explicit work on leadership is still not well established. Leadership through the Gender Lens brings together critical analyses and debates on gender, leadership and management with contributions from 13 countries and five continents. How leadership and management are gendered can mean more gender equal or more gender unequal conditions for women and men. This includes how education and training can contribute to gendered leadership and management. The volume is organised in three main sections, on: careers and leadership; management, hierarchy and leadership: and interventions in leadership.

Analysts' Accuracy of Estimation and the Relative Trading Volume

This study contributes to the neglect effect literature by looking at the relative trading volume in terms of value. The results for the Swedish market show a significant positive relationship between the accuracy of estimation and the relative trading volume. Market capitalisation and analyst coverage have in prior studies been used as proxies for neglect. These measures however, do not take into account the effort analysts put in when estimating corporate pre-tax profits. I also find evidence that the industry of the firm influence the accuracy of estimation. In addition, supporting earlier findings, loss making firms are associated with larger forecasting errors. Further, I find that the average forecast error increased in the year 2000 – in Sweden.

Effects of Mean Luminance Changes on Human Contrast Perception

Background When we are viewing natural scenes, every saccade abruptly changes both the mean luminance and the contrast structure falling on any given retinal location. Thus it would be useful if the two were independently encoded by the visual system, even when they change simultaneously. Recordings from single neurons in the cat visual system have suggested that contrast information may be quite independently represented in neural responses to simultaneous changes in contrast and luminance. Here we test to what extent this is true in human perception. Methodology/Principal Findings Small contrast stimuli were presented together with a 7-fold upward or downward step of mean luminance (between 185 and 1295 Td, corresponding to 14 and 98 cd/m2), either simultaneously or with various delays (50–800 ms). The perceived contrast of the target under the different conditions was measured with an adaptive staircase method. Over the contrast range 0.1–0.45, mainly subtractive attenuation was found. Perceived contrast decreased by 0.052±0.021 (N = 3) when target onset was simultaneous with the luminance increase. The attenuation subsided within 400 ms, and even faster after luminance decreases, where the effect was also smaller. The main results were robust against differences in target types and the size of the field over which luminance changed. Conclusions/Significance Perceived contrast is attenuated mainly by a subtractive term when coincident with a luminance change. The effect is of ecologically relevant magnitude and duration; in other words, strict contrast constancy must often fail during normal human visual behaviour. Still, the relative robustness of the contrast signal is remarkable in view of the limited dynamic response range of retinal cones. We propose a conceptual model for how early retinal signalling may allow this.

Estimation of cutting volume with three inventory methods for harvest planning in Canadian boreal forests.

Two methods of pre-harvest inventory were designed and tested on three cutting sites containing a total of 197 500 m3 of wood. These sites were located on flat-ground boreal forests located in northwestern Quebec. Both methods studied involved scaling of trees harvested to clear the road path one year (or more) prior to harvest of adjacent cut-blocks. The first method (ROAD) considers the total road right-of-way volume divided by the total road area cleared. The resulting volume per hectare is then multiplied by the total cut-block area scheduled for harvest during the following year to obtain the total estimated cutting volume. The second method (STRATIFIED) also involves scaling of trees cleared from the road. However, in STRATIFIED, log scaling data are stratified by forest stand location. A volume per hectare is calculated for each stretch of road that crosses a single forest stand. This volume per hectare is then multiplied by the remaining area of the same forest stand scheduled for harvest one year later. The sum of all resulting estimated volumes per stand gives the total estimated cutting-volume for all cut-blocks adjacent to the studied road. A third method (MNR) was also used to estimate cut-volumes of the sites studied. This method represents the actual existing technique for estimating cutting volume in the province of Quebec. It involves summing the cut volume for all forest stands. The cut volume is estimated by multiplying the area of each stand by its estimated volume per hectare obtained from standard stock tables provided by the governement. The resulting total estimated volume per cut-block for all three methods was then compared with the actual measured cut-block volume (MEASURED). This analysis revealed a significant difference between MEASURED and MNR methods with the MNR volume estimate being 30 % higher than MEASURED. However, no significant difference from MEASURED was observed for volume estimates for the ROAD and STRATIFIED methods which respectively had estimated cutting volumes 19 % and 5 % lower than MEASURED. Thus the ROAD and STRATIFIED methods are good ways to estimate cut-block volumes after road right-of-way harvest for conditions similar to those examined in this study.

Accurate mass-based analysis in human sport doping control : Application of liquid chromatography - time-of-flight mass spectrometry

Human sport doping control analysis is a complex and challenging task for anti-doping laboratories. The List of Prohibited Substances and Methods, updated annually by World Anti-Doping Agency (WADA), consists of hundreds of chemically and pharmacologically different low and high molecular weight compounds. This poses a considerable challenge for laboratories to analyze for them all in a limited amount of time from a limited sample aliquot. The continuous expansion of the Prohibited List obliges laboratories to keep their analytical methods updated and to research new available methodologies. In this thesis, an accurate mass-based analysis employing liquid chromatography - time-of-flight mass spectrometry (LC-TOFMS) was developed and validated to improve the power of doping control analysis. New analytical methods were developed utilizing the high mass accuracy and high information content obtained by TOFMS to generate comprehensive and generic screening procedures. The suitability of LC-TOFMS for comprehensive screening was demonstrated for the first time in the field with mass accuracies better than 1 mDa. Further attention was given to generic sample preparation, an essential part of screening analysis, to rationalize the whole work flow and minimize the need for several separate sample preparation methods. Utilizing both positive and negative ionization allowed the detection of almost 200 prohibited substances. Automatic data processing produced a Microsoft Excel based report highlighting the entries fulfilling the criteria of the reverse data base search (retention time (RT), mass accuracy, isotope match). The quantitative performance of LC-TOFMS was demonstrated with morphine, codeine and their intact glucuronide conjugates. After a straightforward sample preparation the compounds were analyzed directly without the need for hydrolysis, solvent transfer, evaporation or reconstitution. The hydrophilic interaction technique (HILIC) provided good chromatographic separation, which was critical for the morphine glucuronide isomers. A wide linear range (50-5000 ng/ml) with good precision (RSD<10%) and accuracy (±10%) was obtained, showing comparable or better performance to other methods used. In-source collision-induced dissociation (ISCID) allowed confirmation analysis with three diagnostic ions with a median mass accuracy of 1.08 mDa and repeatable ion ratios fulfilling WADA s identification criteria. The suitability of LC-TOFMS for screening of high molecular weight doping agents was demonstrated with plasma volume expanders (PVE), namely dextran and hydroxyethylstarch (HES). Specificity of the assay was improved, since interfering matrix compounds were removed by size exclusion chromatography (SEC). ISCID produced three characteristic ions with an excellent mean mass accuracy of 0.82 mDa at physiological concentration levels. In summary, by combining TOFMS with a proper sample preparation and chromatographic separation, the technique can be utilized extensively in doping control laboratories for comprehensive screening of chemically different low and high molecular weight compounds, for quantification of threshold substances and even for confirmation. LC-TOFMS rationalized the work flow in doping control laboratories by simplifying the screening scheme, expediting reporting and minimizing the analysis costs. Therefore LC-TOFMS can be exploited widely in doping control, and the need for several separate analysis techniques is reduced.

Methods and applications for improving parameter prediction models for stand structures in Finland

This thesis report attempts to improve the models for predicting forest stand structure for practical use, e.g. forest management planning (FMP) purposes in Finland. Comparisons were made between Weibull and Johnson s SB distribution and alternative regression estimation methods. Data used for preliminary studies was local but the final models were based on representative data. Models were validated mainly in terms of bias and RMSE in the main stand characteristics (e.g. volume) using independent data. The bivariate SBB distribution model was used to mimic realistic variations in tree dimensions by including within-diameter-class height variation. Using the traditional method, diameter distribution with the expected height resulted in reduced height variation, whereas the alternative bivariate method utilized the error-term of the height model. The lack of models for FMP was covered to some extent by the models for peatland and juvenile stands. The validation of these models showed that the more sophisticated regression estimation methods provided slightly improved accuracy. A flexible prediction and application for stand structure consisted of seemingly unrelated regression models for eight stand characteristics, the parameters of three optional distributions and Näslund s height curve. The cross-model covariance structure was used for linear prediction application, in which the expected values of the models were calibrated with the known stand characteristics. This provided a framework to validate the optional distributions and the optional set of stand characteristics. Height distribution is recommended for the earliest state of stands because of its continuous feature. From the mean height of about 4 m, Weibull dbh-frequency distribution is recommended in young stands if the input variables consist of arithmetic stand characteristics. In advanced stands, basal area-dbh distribution models are recommended. Näslund s height curve proved useful. Some efficient transformations of stand characteristics are introduced, e.g. the shape index, which combined the basal area, the stem number and the median diameter. Shape index enabled SB model for peatland stands to detect large variation in stand densities. This model also demonstrated reasonable behaviour for stands in mineral soils.

Phonological Mean Length of Utterance as an indicator of typical and impaired phonological development in children acquiring Finnish

The aim of this study was to examine the applicability of the Phonological Mean Length of Utterance (pMLU) method to the data of children acquiring Finnish, for both typically developing children and children with a Specific Language Impairment (SLI). Study I examined typically developing children at the end of the one-word stage (N=17, mean age 1;8), and Study II analysed children s (N=5) productions in a follow-up study with four assessment points (ages 2;0, 2;6, 3;0, 3;6). Study III was carried out in the form of a review article that examined recent research on the phonological development of children acquiring Finnish and compared the results with general trends and cross-linguistic findings in phonological development. Study IV included children with SLI (N=4, mean age 4;10) and age-matched peers. The analyses in Studies I, II and IV were made using the quantitative pMLU method. In the pMLU method, pMLU values are counted for both the words that the children targeted (so-called target words) and the words produced by the children. When the child s average pMLU value was divided with the average target word pMLU value, it is possible to examine that child s accuracy in producing the words with the Whole-Word Proximity (PWP) value. In addition, the number of entirely correctly produced words is counted to obtain the Whole-Word Correctness (PWC) value. Qualitative analyses were carried out in order to examine how the children s phoneme inventories and deficiencies in phonotactics would explain the observed pMLU, PWP and PWC values. The results showed that the pMLU values for children acquiring Finnish were relatively high already at the end of the one-word stage (Study I). The values were found to reflect the characteristics of the ambient language. Typological features that lead to cross-linguistic differences in pMLU values were also observed in the review article (Study III), which noted that in the course of phonological acquisition there are a large number of language-specific phenomena and processes. Study II indicated that overall the children s phonological development during the follow-up period was reflected in the pMLU, PWP and PWC values, although the method showed limitations in detecting qualitative differences between the children. Correct vowels were not scored in the pMLU counts, which led to some misleadingly high pMLU and PWP results: vowel errors were only reflected in the PWC values. Typically developing children in Study II reached the highest possible pMLU results already around age 3;6. At the same time, the differences between the children with SLI and age-matched peers in the pMLU values were very prominent (Study IV). The values for the children with SLI were similar to the ones reported for two-year-old children. Qualitative analyses revealed that the phonologies of the children with SLI largely resembled the ones of younger, typically developing children. However, unusual errors were also witnessed (e.g., vowel errors, omissions of word-initial stops, consonants added to the initial position in words beginning with a vowel). This dissertation provides an application of a new tool for quantitative phonological assessment and analysis in children acquiring Finnish. The preliminary results suggest that, with some modifications, the pMLU method can be used to assess children s phonological development and that it has some advantages compared to the earlier, segment-oriented approaches. Qualitative analyses complemented the pMLU s observations on the children s phonologies. More research is needed in order to verify the levels of the pMLU, PWP and PWC values in children acquiring Finnish.