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.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Diversitet och tillväxtfrämjande egenskaper hos Stenotrophomonas-endofyter isolerade från Calliandra calothyrsus Meisn. rotknölar

The bacterial genus Stenotrophomonas comprises 12 species. They are widely found throughout the environment and particularly S. maltophilia, S. rhizophila and S. pavanii are closely associated with plants. Strains of the most common Stenotrophomonas species, S. maltophilia, promote plant growth and health, degrade natural and man-made pollutants and produce biomolecules of biotechnological and economical value. Many S. maltophilia –strains are also multidrug resistant and can act as opportunistic human pathogens. During an INCO-project (1998-2002) rhizobia were collected from root nodules of the tropical leguminous tree Calliandra calothyrsus Meisn. from several countries in Central America, Africa and New Caledonia. The strains were identified by the N2-group (Helsinki university) and some strains turned out to be members of the genus Stenotrophomonas. Several Stenotrophomonas strains induced white tumor- or nodule-like structures on Calliandra?s roots in plant experiments. The strains could, besides from root nodules, also be isolated from surface sterilized roots and stems. The purpose of my work was to investigate if the Stenotrophomonas strains i) belong to a new Stenotrophomonas species, ii) have the same origin, iii) if there are other differences than colony morphology between phase variations of the same strain, iv) have plant growth-promoting (PGP) activity or other advantageous effects on plants, and v) like rhizobia have ability to induce root nodule formation. The genetic diversity and clustering of the Stenotrophomonas strains were analyzed with AFLP fingerprinting to get indications about their geographical origin. Differences in enzymatic properties and ability to use different carbon and energy sources were tested between the two phases of each strain with commercial API tests for bacterial identification. The ability to infect root hairs and induce root nodule formation was investigated both using plant tests with the host plant Calliandra and PCR amplification of nodA and nodC genes for nodulation. The PGP activity of the strains was tested in vitro mainly with plate methods. The impact on growth, nitrogen content and nodulation in vivo was investigated through greenhouse experiments with the legumes Phaseolus vulgaris and Galega orientalis. Both the genetic and phenotypic diversity among the Stenotrophomonas strains was small, which proposes that they have the same origin. The strains brought about changes on the root hairs of Calliandra and they also increased the amount of root hairs. However, no root nodules were detected. The strains produced IAA, protease and lipase in vitro. They also showed plant a growth-promoting effect on G. orientalis, both alone and together with R. galegae HAMBI 540, and also activated nodulation among efficient rhizobia on P. vulgaris in greenhouse. It requires further research to get a better picture about the mechanisms behind the positive effects. The results in this thesis, however, confirm earlier studies concerning Stenotrophomonas positive impact on plants.

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.

Heating values of mature trees.

The effective heating values of the above and below ground biomass components of mature Scots pine (Pinus sylvestris), Norway spruce (Picea abies), downy birch (Betula pubescens), silver birch (Betula pendula), grey alder (Alnus incana), black alder (Alnus glutinosa) and trembling aspen (Populus tremula) were studied. Each sample tree was divided into wood, bark and foliage components. Bomb calorimetry was used to determine the calorimetric heating values. The species is a significant factor in the heating value of individual tree components. The heating value of the wood proper is highest in conifers. Broad-leaved species have a higher heating value of bark than conifers. The species factor diminishes when the weighted heating value of crown, whole stems or stump-root-system are considered. The crown material has a higher heating value per unit weight in comparison with fuelwood from small-sized stems or wholetrees. The additional advantages of coniferous crown material are that it is a non-industrial biomass resource and is readily available. The variability of both the chemical composition and the heating value is small in any given tree component of any species. However, lignin, carbohydrate and extractive content were found to vary from one part of the tree to another and to correlate with the heating value.

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.

Does the age of fine root carbon indicate the age of fine roots in boreal forests?

To test the reliability of the radiocarbon method for determining root age, we analyzed fine roots (originating from the years 1985 to 1993) from ingrowth cores with known maximum root age (1 to 6 years old). For this purpose, three Scots pine (Pinus sylvestris L.) stands were selected from boreal forests in Finland. We analyzed root 14C age by the radiocarbon method and compared it with the above-mentioned known maximum fine root age. In general, ages determined by the two methods (root 14C age and ingrowth core root maximum age) were in agreement with each other for roots of small diameter (<0.5mm). By contrast, in most of the samples of fine roots of larger diameter (1.5-2mm), the 14C age of root samples of 1987-89 exceeded the ingrowth core root maximum age by 1-10 years. This shows that these roots had received a large amount of older stored carbon from unknown sources in addition to atmospheric CO2 directly from photosynthesis. We conclude that the 14C signature of fine roots, especially those of larger diameter, may not always be indicative of root age, and that further studies are needed concerning the extent of possible root uptake of older carbon and its residence time in roots. Keywords: fine root age, Pinus sylvestris, radiocarbon, root carbon, ingrowth cores, tree ring

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.

Resistance of Norway spruce (Picea abies) to root and butt rot (Heterobasidion parviporum) in peatland and mineral soil

Root and butt rot is the most harmful fungal disease affecting Norway spruce in southern Finland. In approximately 90 % of cases the causal agent is Heterobasidion parviporum. Root and butt rot infections have not been reported in Finnish peatlands. However, the increase in logging operations in peatlands means there is a risk that the fungus will eventually spread to these areas. The aim of this study was to find out the impact of growing site on the resistance of Norway spruce to Heterobasidion parviporum infections. This was investigated by artificially inoculating H. parviporum to spruce trees in pristine mire, drained peatland and mineral soil and comparing the defence reactions. Additionally, the effect of genotype on resistance was studied by comparing the responses of spruce clones representing different geographic origins. The roots and stems of the trees to be sampled were wounded and inoculated with wood dowels pre-colonised by H. parviporum hyphae. The resulting necrosis around the point of inoculation was observed. It was presumed that increased length of necrosis indicates high susceptibility of the tree to the disease. The relationship between growth rate and host resistance was also studied. The results indicated that growing site does not have a statistically significant effect on host resistance. The average length of necrosis around the point of inoculation was 35 mm in pristine mire, 37 mm in drained peatland and 40 mm in mineral soil. It was observed that growth rate does not affect resistance, but that the genotype of the tree does have an effect. The most resistant spruce clone was the one with Russian origin. The results suggest that the spruce stands in peatlands are not more resistant to root and butt rot infections than those in mineral soil. These findings should be taken into consideration when logging peatland forests.