Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Modeling Efficient Classification as a Process of Confidence Assessment and Delegation

In visual object detection and recognition, classifiers have two interesting characteristics: accuracy and speed. Accuracy depends on the complexity of the image features and classifier decision surfaces. Speed depends on the hardware and the computational effort required to use the features and decision surfaces. When attempts to increase accuracy lead to increases in complexity and effort, it is necessary to ask how much are we willing to pay for increased accuracy. For example, if increased computational effort implies quickly diminishing returns in accuracy, then those designing inexpensive surveillance applications cannot aim for maximum accuracy at any cost. It becomes necessary to find trade-offs between accuracy and effort. We study efficient classification of images depicting real-world objects and scenes. Classification is efficient when a classifier can be controlled so that the desired trade-off between accuracy and effort (speed) is achieved and unnecessary computations are avoided on a per input basis. A framework is proposed for understanding and modeling efficient classification of images. Classification is modeled as a tree-like process. In designing the framework, it is important to recognize what is essential and to avoid structures that are narrow in applicability. Earlier frameworks are lacking in this regard. The overall contribution is two-fold. First, the framework is presented, subjected to experiments, and shown to be satisfactory. Second, certain unconventional approaches are experimented with. This allows the separation of the essential from the conventional. To determine if the framework is satisfactory, three categories of questions are identified: trade-off optimization, classifier tree organization, and rules for delegation and confidence modeling. Questions and problems related to each category are addressed and empirical results are presented. For example, related to trade-off optimization, we address the problem of computational bottlenecks that limit the range of trade-offs. We also ask if accuracy versus effort trade-offs can be controlled after training. For another example, regarding classifier tree organization, we first consider the task of organizing a tree in a problem-specific manner. We then ask if problem-specific organization is necessary.

Nuorten arvot ja tietoyhteiskunta-asenteet

The aim of this study was to explore the sociocultural value orientations of Finnish adolescents and their attitudes toward information society. In addition, this study explored the association between values and attitudes toward information society. I investigated whether values and attitudes follow social development and whether they can be divided into value categories such as traditional, modern and postmodern. This study falls into the category of youth research. The study uses a multimethodological approach and straddles the following disciplines: the science of education, religious education, sociology and social psychology. The theoretical context of the study is modernisation, understood as a two level process. The first level represents the transition from a religious-based traditional society to a modern industrial society. The second level of modernisation refers to the process of development established after the second world war, called postmodernisation, which is understood as the transition from an emphasis on economical imperatives to an emphasis on subjective well-being and the quality of life. Postmodernisation influences both social organisations and individuals´ values and worldviews. The target group of this survey-study comprised 408 16- to 19-year-old Finnish adolescent students from secondary school and vocational school. The data were gathered with a quantitative questionnaire during the second half of 2001. The results of the study can be generalised to the population of Finnish 16- to 19-year-olds. The data were analysed quantitatively using ANOVA and multivariate analyses such as cluster analysis, factor analysis and general linear modeling. Bayesian dependence modeling served to explore further how the values predict the attitudes toward information society. The results indicate that values are associated not only with attitudes toward information society, but with many other sociocultural indicator as well. Especially strong interpreting indicators included gender and identity or lifestyle questions. The results also indicate an association between values, attitudes and social development and a two-level modernisation process. Values formed traditional, modern and postmodern value systems. Keywords: values, attitudes, modernisation, information society, traditional, modern, postmodern

The Population Consequences of Sex and Conflict

Natural selection generally operates at the level of the individual, or more specifically at the level of the gene. As a result, individual selection does not always favour traits which benefit the population or species as a whole. The spread of an individual gene may even act to the detriment of the organism in which it finds. Thus selection at the level of the individual can affect processes at the level of the organism, group or even at the level of the species. As most behaviours ultimately affect births, deaths and the distribution of individuals, it seems inevitable that behavioural decisions will have an impact on population dynamics and population densities. Behavioural decisions can often involve costs through allocation of energy into behavioural strategies, such as the investment into armaments involved in fighting over resources or increased mortality due to injury or increased predation risk. Similarly, behaviour may act o to benefit the population, in terms of higher survival and increased fecundity. Examples include increased investment through parental care, choosing a mate based on the nuptial gifts they may supply and choosing territories in the face of competition. Investigating the impact of behaviour on population ecology may seem like a trivial task, but it is likely to have important consequences at different levels. For example, antagonistic behaviour may occasionally become so extreme that it increases the risk of extinction, and such extinction risk may have important implications for conservation. As a corollary, any such behaviour may also act as a macroevolutionary force, weeding out populations with traits which, whilst beneficial to the individuals in the short term, ultimately result in population extinction. In this thesis, I examine how behaviours, specifically conflict and competition over a resource and aspects of behaviour involved in sexual selection, can affect population densities, and what the implications are for the evolution and ecology of the populations in question. It is found that both behaviours related to individual conflict and mating strategies can have an effect at the level of the population, but that various factors, such as a feedback between selection and population densities or macroevolution caused by species extinctions, may act to limit the intensity of conflicts that we observe in nature.

Phylogeography and Population Genetics of the Moor frog (Rana arvalis Nilsson) in Northern Europe

The ongoing climate change along with increasing levels of pollutants, diseases, habitat loss and fragmentation constitute global threats to the persistence of many populations, species and ecosystems. However, for the long-term persistence of local populations, one of the biggest threats is the intrinsic loss of genetic variation. In order to adapt to changes in the environment, organisms must have a sufficient supply of heritable variation in traits important for their fitness. With a loss of genetic variation, the risk of extinction will increase. For conservational practices, one should therefore understand the processes that shape the genetic population structure and also the broader (historical) phylogenetic patterning of the species in focus. In this thesis, microsatellite markers were applied to study genetic diversity and population differentiation of the protected moor frog (Rana arvalis) in Fennoscandia from both historical (evolutionary) and applied (conservation) perspectives. The results demonstrate that R. arvalis populations are highly structured over rather short geographic distances. Moreover, the results suggest that R. arvalis recolonized Fennoscandia from two directions after the last ice age. This has had implications for the genetic structuring and population differentiation, especially in the northernmost parts where the two lineages have met. Compared to more southern populations, the genetic variation decreases and the interpopulation differentiation increases dramatically towards north. This could be an outcome of serial population bottlenecking along the recolonization route. Also, current isolation and small population sizes increase the effect of drift, thus reinforcing the observed pattern. The same pattern can also be seen in island populations. However, though R. arvalis on the island of Gotland has lost most of its neutral genetic variability, our results indicate that the levels of additive genetic variation have remained high. This conforms to the conjecture that though neutral markers are widely used in conservation purposes, they may be quite uninformative about the levels of genetic variation in ecologically important traits. Finally, the evolutionary impact of the typical amphibian mating behaviour on genetic diversity was investigated. Given the short time available for larval development, it is important that mating takes place as early as possible. The genetic data and earlier capture-recapture data suggest that R. arvalis gather at mating grounds they are familiar with. However, by forming leks in random to relatedness, and having multiple paternities in single clutches, the risk of inbreeding may be minimized in this otherwise highly philopatric species.

Behavioural, population, and genetic processes affecting metapopulation dynamics of the Glanville fritillary butterfly

In my thesis I have been studying the effects of population fragmentation and extinction-recolonization dynamics on genetic and evolutionary processes in the Glanville fritillary butterfly (Melitaea cinxia). By conducting crosses within and among newly-colonized populations and using several fitness measures, I found a strong decrease in fitness following colonization by a few related individuals, and a strong negative relationship between parental relatedness and offspring fitness. Thereafter, I was interested in determining the number and relatedness of individuals colonizing new populations, which I did using a set of microsatellites I had previously developed for this species. Additionally, I am interested in the evolution of key life-history traits. By following the lifetime reproductive success of males emerging at different times in a semi-natural setup, I demonstrated that protandry is adaptive in males, and I was able to rule out, for M. cinxia, alternative incidental hypotheses evoked to explain the evolution of protandry in insects. Finally, in work I did together with Prof. Hanna Kokko, I am proposing bet-hedging as a new mechanism that could explain the evolution of polyandry in M. cinxia.

Ecological impacts of Phlebiopsis gigantea biocontrol treatment against Heterobasidion spp. as revealed by fungal community profiling and population analyses

Wood decay fungi belonging to the species complex Heterobasidion annosum sensu lato are among the most common and economically important species causing root rot and stem decay in conifers of the northern temperate regions. New infections by these pathogens can be suppressed by tree stump treatments using chemical or biological control agents. In Finland, the corticiaceous fungus Phlebiopsis gigantea has been formulated into a commercial biocontrol agent called Rotstop (Verdera Ltd.). This thesis addresses the ecological impacts of Rotstop biocontrol treatment on the mycoflora of conifer stumps. Locally, fungal communities within Rotstop-treated and untreated stumps were analyzed using a novel method based on DGGE profiling of small subunit ribosomal DNA fragments amplified directly from wood samples. Population analyses for P. gigantea and H. annosum s.l. were conducted to evaluate possible risks associated with local and/or global distribution of the Rotstop strain. Based on molecular community profiling by DGGE, we detected a few individual wood-inhabiting fungal species (OTUs) that seemed to have suffered or benefited from the Rotstop biocontrol treatment. The DGGE analyses also revealed fungal diversity not retrieved by cultivation and some fungal sequence types untypical for decomposing conifer wood. However, statistical analysis of DGGE community profiles obtained from Rotstop-treated and untreated conifer stumps revealed that the Rotstop treatment had not caused a statistically significant reduction in the species diversity of wood-inhabiting fungi within our experimental forest plots. Locally, ISSR genotyping of cultured P. gigantea strains showed that the Rotstop biocontrol strain was capable of surviving up to six years within treated Norway spruce stumps, while in Scots pine stumps it was sooner replaced by successor fungal species. In addition, the spread of resident P. gigantea strains into Rotstop-treated forest stands seemed effective in preventing the formation of genetically monomorphic populations in the short run. On a global scale, we detected a considerable level of genetic differentiation between the interfertile European and North American populations of P. gigantea. These results strongly suggest that local biocontrol strains should be used in order to prevent global spread of P. gigantea and hybrid formation between geographically isolated populations. The population analysis for H. annosum s.l. revealed a collection of Chinese fungal strains that showed a high degree of laboratory fertility with three different allopatric H. annosum s.l. taxa. However, based on the molecular markers, the Chinese strains could be clearly affiliated with the H. parviporum taxonomical cluster, which thus appears to have a continuous distribution range from Europe through southern Siberia to northern China. Keywords: Rotstop, wood decay, DGGE, ISSR fingerprinting, ribosomal DNA

Population dynamics of blue mussels in a variable environment at the edge of their range

Spatial and temporal variation in the abundance of species can often be ascribed to spatial and temporal variation in the surrounding environment. Knowledge of how biotic and abiotic factors operate over different spatial and temporal scales in determining distribution, abundance, and structure of populations lies at the heart of ecology. The major part of the current ecological theory stems from studies carried out in central parts of the distributional range of species, whereas knowledge of how marginal populations function is inadequate. Understanding how marginal populations, living at the edge of their range, function is however in a key position to advance ecology and evolutionary biology as scientific disciplines. My thesis focuses on the factors affecting dynamics of marginal populations of blue mussels (Mytilus edulis) living close to their tolerance limits with regard to salinity. The thesis aims to highlight the dynamics at the edge of the range and contrast these with dynamics in more central parts of the range in order to understand the potential interplay between the central and the marginal part in the focal system. The objectives of the thesis are approached by studies on: (1) factors affecting regional patterns of the species, (2) long-term temporal dynamics of the focal species spaced along a regional salinity gradient, (3) selective predation by increasing populations of roach (Rutilus rutilus) when feeding on their main food item, the blue mussel, (4) the primary and secondary effects of local wave exposure gradients and (5) the role of small-scale habitat heterogeneity as determinants of large-scale pattern. The thesis shows that populations of blue mussels are largely determined by large scale changes in sea water salinity, affecting mainly recruitment success and longevity of local populations. In opposite to the traditional view, the thesis strongly indicate that vertebrate predators strongly affect abundance and size structure of blue mussel populations, and that the role of these predators increases towards the margin where populations are increasingly top-down controlled. The thesis also indicates that the positive role of biogenic habitat modifiers increases towards the marginal areas, where populations of blue mussels are largely recruitment limited. Finally, the thesis shows that local blue mussel populations are strongly dependent on high water turbulence, and therefore, dense populations are constrained to offshore habitats. Finally, the thesis suggests that ongoing sedimentation of rocky shores is detrimental for the species, affecting recruitment success and post-recruit survival, pushing stable mussel beds towards offshore areas. Ongoing large scale changes in the Baltic Sea, especially dilution processes with attendant effects, are predicted to substantially contract the distributional range of the mussel, but also affect more central populations. The thesis shows that in order to understand the functioning of marginal populations, research should (1) strive for multi-scale approaches in order to link ecosystem patterns with ecosystem processes, and (2) challenge the prevailing tenets that origin from research carried out in central areas that may not be valid at the edge.

Conceptual and statistical modelling of environmental effects in population dynamics

Population dynamics are generally viewed as the result of intrinsic (purely density dependent) and extrinsic (environmental) processes. Both components, and potential interactions between those two, have to be modelled in order to understand and predict dynamics of natural populations; a topic that is of great importance in population management and conservation. This thesis focuses on modelling environmental effects in population dynamics and how effects of potentially relevant environmental variables can be statistically identified and quantified from time series data. Chapter I presents some useful models of multiplicative environmental effects for unstructured density dependent populations. The presented models can be written as standard multiple regression models that are easy to fit to data. Chapters II IV constitute empirical studies that statistically model environmental effects on population dynamics of several migratory bird species with different life history characteristics and migration strategies. In Chapter II, spruce cone crops are found to have a strong positive effect on the population growth of the great spotted woodpecker (Dendrocopos major), while cone crops of pine another important food resource for the species do not effectively explain population growth. The study compares rate- and ratio-dependent effects of cone availability, using state-space models that distinguish between process and observation error in the time series data. Chapter III shows how drought, in combination with settling behaviour during migration, produces asymmetric spatially synchronous patterns of population dynamics in North American ducks (genus Anas). Chapter IV investigates the dynamics of a Finnish population of skylark (Alauda arvensis), and point out effects of rainfall and habitat quality on population growth. Because the skylark time series and some of the environmental variables included show strong positive autocorrelation, the statistical significances are calculated using a Monte Carlo method, where random autocorrelated time series are generated. Chapter V is a simulation-based study, showing that ignoring observation error in analyses of population time series data can bias the estimated effects and measures of uncertainty, if the environmental variables are autocorrelated. It is concluded that the use of state-space models is an effective way to reach more accurate results. In summary, there are several biological assumptions and methodological issues that can affect the inferential outcome when estimating environmental effects from time series data, and that therefore need special attention. The functional form of the environmental effects and potential interactions between environment and population density are important to deal with. Other issues that should be considered are assumptions about density dependent regulation, modelling potential observation error, and when needed, accounting for spatial and/or temporal autocorrelation.

Human genetic variation in the Baltic Sea region: Features of population history and natural selection

In this thesis, the genetic variation of human populations from the Baltic Sea region was studied in order to elucidate population history as well as evolutionary adaptation in this region. The study provided novel understanding of how the complex population level processes of migration, genetic drift, and natural selection have shaped genetic variation in North European populations. Results from genome-wide, mitochondrial DNA and Y-chromosomal analyses suggested that the genetic background of the populations of the Baltic Sea region lies predominantly in Continental Europe, which is consistent with earlier studies and archaeological evidence. The late settlement of Fennoscandia after the Ice Age and the subsequent small population size have led to pronounced genetic drift, especially in Finland and Karelia but also in Sweden, evident especially in genome-wide and Y-chromosomal analyses. Consequently, these populations show striking genetic differentiation, as opposed to much more homogeneous pattern of variation in Central European populations. Additionally, the eastern side of the Baltic Sea was observed to have experienced eastern influence in the genome-wide data as well as in mitochondrial DNA and Y-chromosomal variation – consistent with linguistic connections. However, Slavic influence in the Baltic Sea populations appears minor on genetic level. While the genetic diversity of the Finnish population overall was low, genome-wide and Y-chromosomal results showed pronounced regional differences. The genetic distance between Western and Eastern Finland was larger than for many geographically distant population pairs, and provinces also showed genetic differences. This is probably mainly due to the late settlement of Eastern Finland and local isolation, although differences in ancestral migration waves may contribute to this, too. In contrast, mitochondrial DNA and Y-chromosomal analyses of the contemporary Swedish population revealed a much less pronounced population structure and a fusion of the traces of ancient admixture, genetic drift, and recent immigration. Genome-wide datasets also provide a resource for studying the adaptive evolution of human populations. This study revealed tens of loci with strong signs of recent positive selection in Northern Europe. These results provide interesting targets for future research on evolutionary adaptation, and may be important for understanding the background of disease-causing variants in human populations.