An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

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.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

International Portfolio Investments and The Informational Value of Trade

A large volume of literature suggests that information asymmetry resulting from the spatial separation between investors and investments have a significant impact on the composition of investors’ domestic and international portfolios. I show that institutional factors affecting trading in tangible goods help explain a substantial portion of investors’ spatial bias. More importantly, I demonstrate that an information flow medium with breadth and richness directly linked to the bilateral commitment of resources between countries, that I measure by their trading intensity in tangible goods, is consistent with the prevailing country allocation in investors’ international portfolios.

The Impact of FDI on International Portfolio Investments

Some empirical research has argued that part of the reason for the observed "home bias" is that investors are able to indirectly achieve internationally diversified portfolios via domestically listed multinational firms. Another branch of this research attributes the "home bias" and country allocations to more deeply rooted informational causes. Using a four-year annual panel of Finnish international portfolios and Foreign Direct Investments in twenty-five countries, I provide evidence consistent with an information asymmetry explanation

Sneutrino-antisneutrino oscillations at colliders

Modern elementary particle physics is based on quantum field theories. Currently, our understanding is that, on the one hand, the smallest structures of matter and, on the other hand, the composition of the universe are based on quantum field theories which present the observable phenomena by describing particles as vibrations of the fields. The Standard Model of particle physics is a quantum field theory describing the electromagnetic, weak, and strong interactions in terms of a gauge field theory. However, it is believed that the Standard Model describes physics properly only up to a certain energy scale. This scale cannot be much larger than the so-called electroweak scale, i.e., the masses of the gauge fields W^+- and Z^0. Beyond this scale, the Standard Model has to be modified. In this dissertation, supersymmetric theories are used to tackle the problems of the Standard Model. For example, the quadratic divergences, which plague the Higgs boson mass in the Standard model, cancel in supersymmetric theories. Experimental facts concerning the neutrino sector indicate that the lepton number is violated in Nature. On the other hand, the lepton number violating Majorana neutrino masses can induce sneutrino-antisneutrino oscillations in any supersymmetric model. In this dissertation, I present some viable signals for detecting the sneutrino-antisneutrino oscillation at colliders. At the e-gamma collider (at the International Linear Collider), the numbers of the electron-sneutrino-antisneutrino oscillation signal events are quite high, and the backgrounds are quite small. A similar study for the LHC shows that, even though there are several backrounds, the sneutrino-antisneutrino oscillations can be detected. A useful asymmetry observable is introduced and studied. Usually, the oscillation probability formula where the sneutrinos are produced at rest is used. However, here, we study a general oscillation probability. The Lorentz factor and the distance at which the measurement is made inside the detector can have effects, especially when the sneutrino decay width is very small. These effects are demonstrated for a certain scenario at the LHC.

Measurement of acceleration while walking as an automated method for gait assessment in dairy cattle

The aims were to determine whether measures of acceleration of the legs and back of dairy cows while they walk could help detect changes in gait or locomotion associated with lameness and differences in the walking surface. In 2 experiments, 12 or 24 multiparous dairy cows were fitted with five 3-dimensional accelerometers, 1 attached to each leg and 1 to the back, and acceleration data were collected while cows walked in a straight line on concrete (experiment 1) or on both concrete and rubber (experiment 2). Cows were video-recorded while walking to assess overall gait, asymmetry of the steps, and walking speed. In experiment 1, cows were selected to maximize the range of gait scores, whereas no clinically lame cows were enrolled in experiment 2. For each accelerometer location, overall acceleration was calculated as the magnitude of the 3-dimensional acceleration vector and the variance of overall acceleration, as well as the asymmetry of variance of acceleration within the front and rear pair of legs. In experiment 1, the asymmetry of variance of acceleration in the front and rear legs was positively correlated with overall gait and the visually assessed asymmetry of the steps (r ≥0.6). Walking speed was negatively correlated with the asymmetry of variance of the rear legs (r=−0.8) and positively correlated with the acceleration and the variance of acceleration of each leg and back (r ≥0.7). In experiment 2, cows had lower gait scores [2.3 vs. 2.6; standard error of the difference (SED)=0.1, measured on a 5-point scale] and lower scores for asymmetry of the steps (18.0 vs. 23.1; SED=2.2, measured on a continuous 100-unit scale) when they walked on rubber compared with concrete, and their walking speed increased (1.28 vs. 1.22m/s; SED=0.02). The acceleration of the front (1.67 vs. 1.72g; SED=0.02) and rear (1.62 vs. 1.67g; SED=0.02) legs and the variance of acceleration of the rear legs (0.88 vs. 0.94g; SED=0.03) were lower when cows walked on rubber compared with concrete. Despite the improvements in gait score that occurred when cows walked on rubber, the asymmetry of variance of acceleration of the front leg was higher (15.2 vs. 10.4%; SED=2.0). The difference in walking speed between concrete and rubber correlated with the difference in the mean acceleration and the difference in the variance of acceleration of the legs and back (r ≥0.6). Three-dimensional accelerometers seem to be a promising tool for lameness detection on farm and to study walking surfaces, especially when attached to a leg.

Polarization studies in electromagnetic scattering by small Solar-system particles

In remote-sensing studies, particles that are comparable to the wavelength exhibit characteristic features in electromagnetic scattering, especially in the degree of linear polarization. These features vary with the physical properties of the particles, such as shape, size, refractive index, and orientation. In the thesis, the direct problem of computing the unknown scattered quantities using the known properties of the particles and the incident radiation is solved at both optical and radar spectral regions in a unique way. The internal electromagnetic fields of wavelength-scale particles are analyzed by using both novel and established methods to show how the internal fields are related to the scattered fields in the far zone. This is achieved by using the tools and methods that were developed specifically to reveal the internal field structure of particles and to study the mechanisms that relate the structure to the scattering characteristics of those particles. It is shown that, for spherical particles, the internal field is a combination of a forward propagating wave with the apparent wavelength determined by the refractive index of the particle, and a standing wave pattern with the apparent wavelength the same as for the incident wave. Due to the surface curvature and dielectric nature of the particle, the incident wave front undergoes a phase shift, and the resulting internal wave is focused mostly at the forward part of the particle similar to an optical lens. This focusing is also seen for irregular particles. It is concluded that, for both spherical and nonspherical particles, the interference at the far field between the partial waves that originate from these concentrated areas in the particle interior, is responsible for the specific polarization features that are common for wavelength-scale particles, such as negative values and local extrema in the degree of linear polarization, asymmetry of the phase function, and enhancement of intensity near the backscattering direction. The papers presented in this thesis solve the direct problem for particles with both simple and irregular shapes to demonstrate that these interference mechanisms are common for all dielectric wavelength-scale particles. Furthermore, it is shown that these mechanisms can be applied to both regolith particles in the optical wavelengths and hydrometeors at microwave frequencies. An advantage from this kind of study is that it does not matter whether the observation is active (e.g., polarimetric radar) or passive (e.g., optical telescope). In both cases, the internal field is computed for two mutually perpendicular incident polarizations, so that the polarization characteristics can then be analyzed according to the relation between these fields and the scattered far field.

The German Military Entrepreneur Ernst von Mansfeld and His Conduct of Asymmetrical Warfare in the Thirty Years War

The dissertation examines aspects of asymmetrical warfare in the war-making of the German military entrepreneur Ernst von Mansfeld during his involvement in the Thirty Years War. Due to the nature of the inquiry, which combines history with military-political theory, the methodological approach of the dissertation is interdisciplinary. The theoretical framework used is that of asymmetrical warfare. The primary sources used in the dissertation are mostly political pamphlets and newsletters. Other sources include letters, documents, and contemporaneous chronicles. The secondary sources are divided into two categories, literature on the history of the Thirty Years War and textbooks covering the theory of asymmetrical warfare. The first category includes biographical works on Ernst von Mansfeld, as well as general histories of the Thirty Years War and seventeenth-century warfare. The second category combines military theory and political science. The structure of the dissertation consists of eight lead chapters, including an introduction and conclusion. The introduction covers the theoretical approach and aims of the dissertation, and provides a brief overlook of the sources and previous research on Ernst von Mansfeld and asymmetrical warfare in the Thirty Years War. The second chapter covers aspects of Mansfeld s asymmetrical warfare from the perspective of operational art. The third chapter investigates the illegal and immoral aspects of Mansfeld s war-making. The fourth chapter compares the differing methods by which Mansfeld and his enemies raised and financed their armies. The fifth chapter investigates Mansfeld s involvement in indirect warfare. The sixth chapter presents Mansfeld as an object and an agent of image and information war. The seventh chapter looks into the counter-reactions, which Mansfeld s asymmetrical warfare provoked from his enemies. The eighth chapter offers a conclusion of the findings. The dissertation argues that asymmetrical warfare presented itself in all the aforementioned areas of Mansfeld s conduct during the Thirty Years War. The operational asymmetry arose from the freedom of movement that Mansfeld enjoyed, while his enemies were constrained by the limits of positional warfare. As a non-state operator Mansfeld was also free to flout the rules of seventeenth-century warfare, which his enemies could not do with equal ease. The raising and financing of military forces was another source of asymmetry, because the nature of early seventeenth-century warfare favoured private military entrepreneurs rather than embryonic fiscal-military states. The dissertation also argues that other powers fought their own asymmetrical and indirect wars against the Habsburgs through Mansfeld s agency. Image and information were asymmetrical weapons, which were both aimed against Mansfeld and utilized by him. Finally, Mansfeld s asymmetrical threat forced the Habsburgs to adapt to his methods, which ultimately lead to the formation of a subcontracted Imperial Army under the management and leadership of Albrecht von Wallenstein. Therefore Mansfeld s asymmetrical warfare ultimately paved way for the kind of state-monopolized, organised, and symmetrical warfare that has prevailed from 1648 onwards. The conclusion is that Mansfeld s conduct in the Thirty Years War matched the criteria for asymmetrical warfare. While traditional historiography treated Mansfeld as an anomaly in the age of European state formation, his asymmetrical warfare has begun to bear resemblance to the contemporary conflicts, where nation states no longer hold the monopoly of violence.