Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Dynamics of contour, object and face processing in the human visual cortex

The neural basis of visual perception can be understood only when the sequence of cortical activity underlying successful recognition is known. The early steps in this processing chain, from retina to the primary visual cortex, are highly local, and the perception of more complex shapes requires integration of the local information. In Study I of this thesis, the progression from local to global visual analysis was assessed by recording cortical magnetoencephalographic (MEG) responses to arrays of elements that either did or did not form global contours. The results demonstrated two spatially and temporally distinct stages of processing: The first, emerging 70 ms after stimulus onset around the calcarine sulcus, was sensitive to local features only, whereas the second, starting at 130 ms across the occipital and posterior parietal cortices, reflected the global configuration. To explore the links between cortical activity and visual recognition, Studies II III presented subjects with recognition tasks of varying levels of difficulty. The occipito-temporal responses from 150 ms onwards were closely linked to recognition performance, in contrast to the 100-ms mid-occipital responses. The averaged responses increased gradually as a function of recognition performance, and further analysis (Study III) showed the single response strengths to be graded as well. Study IV addressed the attention dependence of the different processing stages: Occipito-temporal responses peaking around 150 ms depended on the content of the visual field (faces vs. houses), whereas the later and more sustained activity was strongly modulated by the observers attention. Hemodynamic responses paralleled the pattern of the more sustained electrophysiological responses. Study V assessed the temporal processing capacity of the human object recognition system. Above sufficient luminance, contrast and size of the object, the processing speed was not limited by such low-level factors. Taken together, these studies demonstrate several distinct stages in the cortical activation sequence underlying the object recognition chain, reflecting the level of feature integration, difficulty of recognition, and direction of attention.

Epidemiological data of seasonal variation in mood and behaviour

The aim of this study was to measure seasonal variation in mood and behaviour. The dual vulnerability and latitude effect hypothesis, the risk of increased appetite, weight and other seasonal symptoms to develop metabolic syndrome, and perception of low illumination in quality of life and mental well-being were assessed. These variations are prevalent in persons who live in high latitudes and need balancing of metabolic processes to adapt to environmental changes due to seasons. A randomized sample of 8028 adults aged 30 and over (55% women) participated in an epidemiological health examination study, The Health 2000, applying the probability proportional to population size method for a range of socio-demographic characteristics. They were present in a face-to-face interview at home and health status examination. The questionnaires included the modified versions of the Seasonal Pattern Assessment Questionnaire (SPAQ) and Beck Depression Inventory (BDI), the Health Related Quality of Life (HRQoL) instrument 15D, and the General Health Questionnaire (GHQ). The structured and computerized Munich Composite International Diagnostic Interview (M-CIDI) as part of the interview was used to assess diagnoses of mental disorders, and, the National Cholesterol Education Program Adult Treatment Panel III (NCEP-ATPIII) criteria were assessed using all the available information to detect metabolic syndrome. A key finding was that 85% of this nationwide representative sample had seasonal variation in mood and behaviour. Approximately 9% of the study population presented combined seasonal and depressive symptoms with a significant association between their scores, and 2.6% had symptoms that corresponded to Seasonal Affective Disorder (SAD) in severity. Seasonal variations in weight and appetite are two important components that increase the risk of metabolic syndrome. Other factors such as waist circumference and major depressive disorder contributed to the metabolic syndrome as well. Persons reported of having seasonal symptoms were associated with a poorer quality of life and compromised mental well-being, especially if indoors illumination at home and/or at work was experienced as being low. Seasonal and circadian misalignments are suggested to associate with metabolic disorders, and could be remarked if individuals perceive low illumination levels at home and/or at work that affect the health-related quality of life and mental well-being. Keywords: depression, health-related quality of life, illumination, latitude, mental well-being, metabolic syndrome, seasonal variation, winter.

Tree mortality and deadwood dynamics in late-successional boreal forests

Here I aimed at quantifying the main components of deadwood dynamics, i.e. tree mortality, deadwood pools, and their decomposition, in late-successional boreal forests. I focused on standing dead trees in three stand types dominated by Picea mariana and Abies balsamea in eastern Canada, and on standing and down dead trees in Picea abies-dominated stands in three areas in Northern Europe. Dead and living trees were measured on five sample plots of 1.6-ha size in each study area and stand type. Stem disks from dead trees were sampled to determine wood density and year of death, using dendrochronological methods. The results were applied to reconstruct past tree mortality and to model deadwood decay class dynamics. Site productivity, stand developmental stage, and the occurrence of episodic tree mortality influenced deadwood volume and quality. In all study areas tree mortality was continuous, leading to continuity in deadwood decay stage distribution. Episodic tree mortality due to either autogenic or allogenic causes influenced deadwood volume and quality in all but one study area. However, regardless of productivity and disturbance history deadwood was abundant, accounting for 20 53% of total wood volume in European study areas, and 15 27% of total standing volume in eastern Canada. Deadwood was a persistent structural component, since its expected residence time in early- and midstages of decay was 18 yr even in the area with the most rapid decomposition. The results indicated that in the absence of episodic tree mortality, stands may eventually develop to a steady state, in which deadwood volume fluctuates around an equilibrium state. However, in many forests deadwood is naturally variable, due to recurrent moderate-severity disturbances. This variability, the continuous tree mortality, and variation in rates of wood decomposition determine the dynamics and availability of deadwood as a habitat and carbon storage medium in boreal coniferous forest ecosystems.

Studying the diurnal and seasonal acclimation of photosystem Ii using chlorophyll-a fluorescence

A small fraction of the energy absorbed in the light reactions of photosynthesis is re-emitted as chlorophyll-a fluorescence. Chlorophyll-a fluorescence and photochemistry compete for excitation energy in photosystem II (PSII). Therefore, changes in the photochemical capacity can be detected through analysis of chlorophyll fluorescence. Chlorophyll fluorescence techniques have been widely used to follow the diurnal (fast), and the seasonal (slow) acclimation in the energy partitioning between photochemical and non-photochemical processes in PSII. Energy partitioning in PSII estimated through chlorophyll fluorescence can be used as a proxy of the plant physiological status, and measured at different spatial and temporal scales. However, a number of technical and theoretical limitations still limit the use of chlorophyll fluorescence data for the study of the acclimation of PSII. The aim of this Thesis was to study the diurnal and seasonal acclimation of PSII in field conditions through the development and testing of new chlorophyll fluorescence-based tools, overcoming these limitations. A new model capable of following the fast acclimation of PSII to rapid fluctuations in light intensity was developed. The model was used to study the rapid acclimation in the electron transport rate under fluctuating light. Additionally, new chlorophyll fluorescence parameters were developed for estimating the seasonal acclimation in the sustained rate constant of thermal energy dissipation and photochemistry. The parameters were used to quantitatively evaluate the effect of light and temperature on the seasonal acclimation of PSII. The results indicated that light environment not only affected the degree but also the kinetics of response of the acclimation to temperature, which was attributed to differences in the structural organization of PSII during seasonal acclimation. Furthermore, zeaxanthin-facilitated thermal dissipation appeared to be the main mechanisms modulating the fraction of absorbed energy being dissipated thermally during winter in field Scots pine. Finally, the integration between diurnal and seasonal acclimation mechanisms was studied using a recently developed instrument MONI-PAM (Walz GmbH, Germany) capable of continuously monitoring the energy partitioning in PSII.

Fen ecosystem carbon gas dynamics in changing hydrological conditions

Northern peatlands are thought to store one third of all soil carbon (C). Besides the C sink function, peatlands are one of the largest natural sources of methane (CH4) to the atmosphere. Climate change may affect the C gas dynamics as well as the labile C pool. Because the peatland C sequestration and CH4 emissions are governed by high water levels, changes in hydrology are seen as the driving factor in peatland ecosystem change. This study aimed to quantify the carbon dioxide (CO2) and CH4 dynamics of a fen ecosystem at different spatial scales: plant community components scale, plant community scale and ecosystem scale, under hydrologically normal and water level drawdown conditions. C gas exchange was measured in two fens in southern Finland applying static chamber and eddy covariance techniques. During hydrologically normal conditions, the ecosystem was a CO2 sink and CH4 source to the atmosphere. Sphagnum mosses and sedges were the most important contributors to the community photosynthesis. The presence of sedges had a major positive impact on CH4 emissions while dwarf shrubs had a slightly attenuating impact. C fluxes varied considerably between the plant communities. Therefore, their proportions determined the ecosystem scale fluxes. An experimental water level drawdown markedly reduced the photosynthesis and respiration of sedges and Sphagnum mosses and benefited shrubs. Consequently, changes were smaller at the ecosystem scale than at the plant group scale. The decrease in photosynthesis and the increase in respiration, mostly peat respiration, made the fen a smaller CO2 sink. CH4 fluxes were significantly lowered, close to zero. The impact of natural droughts was similar to, although more modest than, the impact of the experimental water level drawdown. The results are applicable to the short term impacts of the water level drawdown and to climatic conditions in which droughts become more frequent.

Stand structural dynamics on pristine and managed boreal peatlands

The objectives of this study were to investigate the stand structure and succession dynamics in Scots pine (Pinus sylvestris L.) stands on pristine peatlands and in Scots pine and Norway spruce (Picea abies (L.) Karst.) dominated stands on drained peatlands. Furthermore, my focus was on characterising how the inherent and environmental factors and the intermediate thinnings modify the stand structure and succession. For pristine peatlands, the study was based on inventorial stand data, while for drained peatlands, longitudinal data from repeatedly measured stands were utilised. The studied sites covered the most common peatland site types in Finland. They were classified into two categories according to the ecohydrological properties related to microsite variation and nutrient levels within sites. Tree DBH and age distributions in relation to climate and site type were used to study the stand dynamics on pristine sites. On drained sites, the Weibull function was used to parameterise the DBH distributions and mixed linear models were constructed to characterise the impacts of different ecological factors on stand dynamics. On pristine peatlands, both climate and the ecohydrology of the site proved to be crucial factors determining the stand structure and its dynamics. Irrespective of the vegetation succession, enhanced site productivity and increased stand stocking they significantly affected the stand dynamics also on drained sites. On the most stocked sites on pristine peatlands the inter-tree competition seemed to also be a significant factor modifying stand dynamics. Tree age and size diversity increased with stand age, but levelled out in the long term. After drainage, the stand structural unevenness increased due to the regeneration and/or ingrowth of the trees. This increase was more pronounced on sparsely forested composite sites than on more fully stocked genuine forested sites in Scots pine stands, which further undergo the formation of birch and spruce undergrowth beneath the overstory as succession proceeds. At 20-30 years after drainage the structural heterogeneity started to decrease, indicating increased inter-tree competition, which increased the mortality of suppressed trees within stand. Peatland stands are more dynamic than anticipated and are generally not characterized by a balanced, self-perpetuating structure. On pristine sites, various successional pathways are possible, whereas on drained sites the succession has more uniform trend. Typically, stand succession proceeds without any distinct developmental stages on pristine peatlands, whereas on drained peatlands, at least three distinct stages could be identified. Thinnings had only little impact on the stand succession. The new information on stand dynamics may be utilised, e.g. in forest management planning to facilitate the allocation of the growth resources to the desired crop component by appropriate silvicultural treatments, as well as assist in assessing the effects of the climate change on the forested boreal peatlands.

The decline of northern malaria and population dynamics of Plamodium vivax

Europe was declared malaria free in 1975. The disappearance of malaria has traditionally been attributed to numerous deliberate actions like vector control, the screening of houses, more efficient medication etc. Malaria, however, disappeared from many countries like Finland before any counter measures had even started. The aim of this thesis is to study the population ecology of P. vivax and its interaction with the human host and the vector. By finding the factors that attributed to the extinction of vivax malaria it might be possible to improve the modern strategy against P. vivax. The parasite was studied with data from Finland, which provides the longest time series (1749-2008) of malaria statistics in the world. The malaria vectors, Anopheles messeae and A. beklemishevi are still common species in the country. The eradication of vivax malaria is difficult because the parasite has a dormant stage that can cause a relapse long after a primary infection. It was now shown that P. vivax is able to detect the presence of a potential vector. A dormant stage is triggered even from a bite of an uninfected Anopheles mosquito. This optimizes the chances for the Plasmodium to reach a mosquito vector for sexual reproduction. The longevity of the dormant stage could be shown to be at least nine years. The parasite spends several years in its human host and the behaviour of the human carrier had a profound impact on the decline of the disease in Finland. Malaria spring epidemics could be explained by a previous warm summer. Neither annual nor summer mean temperature had any impact on the long term malaria trend. Malaria disappeared slowly from Finland without mosquito control. The sociological change from extended families to nuclear families led to decreased household size. The decreased household size correlated strongly with the decline of malaria. That led to an increased isolation of the subpopulations of P. vivax. Their habitat consisted of the bedrooms in which human carriers slept together with the overwintering vectors. The isolation of the parasite ultimately led to the extinction of vivax malaria. Metapopulation models adapted to local conditions should therefore be implemented as a tool for settlement planning and socio-economic development and become an integrated part of the fight against malaria.

Nitrogen dynamics and nitrogen use efficiency of spring cereals under Finnish growing conditions

Nitrogen (N) is one of the main inputs in cereal cultivation and as more than half of the arable land in Finland is used for cereal production, N has contributed substantially to agricultural pollution through fertilizer leaching and runoff. Based on this global phenomenon, the European Community has launched several directives to reduce agricultural emissions to the environment. Trough such measures, and by using economic incentives, it is expected that northern European agricultural practices will, in the future, include reduced N fertilizer application rates. Reduced use of N fertilizer is likely to decrease both production costs and pollution, but could also result in reduced yields and quality if crops experience temporary N deficiency. Therefore, more efficient N use in cereal production, to minimize pollution risks and maximize farmer income, represents a current challenge for agronomic research in the northern growing areas. The main objective of this study was to determine the differences in nitrogen use efficiency (NUE) among spring cereals grown in Finland. Additional aims were to characterize the multiple roles of NUE by analysing the extent of variation in NUE and its component traits among different cultivars, and to understand how other physiological traits, especially radiation use efficiency (RUE) and light interception, affect and interact with the main components of NUE and contribute to differences among cultivars. This study included cultivars of barley (Hordeum vulgare L.), oat (Avena sativa L.) and wheat (Triticum aestivum L.). Field experiments were conducted between 2001 and 2004 at Jokioinen, in Finland. To determine differences in NUE among cultivars and gauge the achievements of plant breeding in NUE, 17-18 cultivars of each of the three cereal species released between 1909 and 2002 were studied. Responses to nitrogen of landraces, old cultivars and modern cultivars of each cereal species were evaluated under two N regimes (0 and 90 kg N ha-1). Results of the study revealed that modern wheat, oat and barley cultivars had similar NUE values under Finnish growing conditions and only results from a wider range of cultivars indicated that wheat cultivars could have lower NUE than the other species. There was a clear relationship between nitrogen uptake efficiency (UPE) and NUE in all species whereas nitrogen utilization efficiency (UTE) had a strong positive relationship with NUE only for oat. UTE was clearly lower in wheat than in other species. Other traits related to N translocation indicated that wheat also had a lower harvest index, nitrogen harvest index and nitrogen remobilisation efficiency and therefore its N translocation efficiency was confirmed to be very low. On the basis of these results there appears to be potential and also a need for improvement in NUE. These results may help understand the underlying physiological differences in NUE and could help to identify alternative production options, such as the different roles that species can play in crop rotations designed to meet the demands of modern agricultural practices.

Nitrogen dynamics of organic farming in a crop rotation based on red clover (Trifolium pratense) leys

In agricultural systems which rely on organic sources of nitrogen (N), of which the primary source is biological N fixation (BNF), it is extremely important to use N as efficiently as possible with minimal losses to the environment. The amount of N through BNF should be maximised and the availability of the residual N after legumes should be synchronised to the subsequent plant needs in the crop rotation. Six field experiments in three locations in Finland were conducted in 1994-2006 to determine the productivity and amount of BNF in red clover-grass leys of different ages. The residual effects of the leys for subsequent cereals as well as the N leaching risk were studied by field measurements and by simulation using the CoupModel. N use efficiency (NUE) and N balances were also calculated. The yields of red clover-grass leys were highest in the two-year-old leys (6 700 kg ha-1) under study, but the differences between 2- and 3-year old leys were not high in most cases. BNF (90 kg ha-1 in harvested biomass) correlated strongly with red clover dry matter yield, as the proportion of red clover N derived from the atmosphere (> 85%) was high in our conditions of organically farmed field with low soil mineral N. A red clover content of over 40% in dry matter is targeted to avoid negative N-balances and to gain N for the subsequent crop. Surprisingly, the leys had no significant effect on the yields and N uptake of the two subsequent cereals (winter rye or spring wheat, followed by spring oats). On the other hand, yield and C:N of leys, as well as BNF-N and total-N incorporated into the soil influenced on subsequent cereal yields. NUE of cereals from incorporated ley crop residues was rather high, varying from 30% to 80% (mean 48%). The mineral N content of soil in the profile of 0-90 cm was low, mainly 15-30 kg ha-1. Simulation of N dynamics by CoupModel functioned satisfactorily and is considered a useful tool to estimate N flows in cropping systems relying on organic N sources. Understanding the long-term influence of cultivation history and soil properties on N dynamics remains to be a challenge to further research.

Water-ethanol mixtures by molecular dynamics and x-ray Compton scattering

Water-ethanol mixtures are commonly used in industry and house holds. However, quite surprisingly their molecular-level structure is still not completely understood. In particular, there is evidence that the local intermolecular geometries depend significantly on the concentration. The aim of this study was to gain information on the molecular-level structures of water-ethanol mixtures by two computational methods. The methods are classical molecular dynamics (MD), where the movement of molecules can be studied, and x-ray Compton scattering, in which the scattering cross section is sensitive to the electron momentum density. Firstly, the water-ethanol mixtures were studied with MD simulations, with the mixture concentration ranging from 0 to 100%. For the simulations well-established force fields were used for the water and ethanol molecules (TIP4P and OPLS-AA, respectively). Moreover, two models were used for ethanol, rigid and non-rigid. In the rigid model the intramolecular bond lengths are fixed, whereas in the non-rigid model the lengths are determined by harmonic potentials. Secondly, mixtures with three different concentrations employing both ethanol models were studied by calculating the experimentally observable x-ray quantity, the Compton profile. In the MD simulations a slight underestimation in the density was observed as compared to experiment. Furthermore, a positive excess of hydrogen bonding with water molecules and a negative one with ethanol was quantified. Also, the mixture was found more structured when the ethanol concentration was higher. Negligible differences in the results were found between the two ethanol models. In contrast, in the Compton scattering results a notable difference between the ethanol models was observed. For the rigid model the Compton profiles were similar for all the concentrations, but for the non-rigid model they were distinct. This leads to two possibilities of how the mixing occurs. Either the mixing is similar in all concentrations (as suggested by the rigid model) or the mixing changes for different concentrations (as suggested by the non-rigid model). Either way, this study shows that the choice of the force field is essential in the microscopic structure formation in the MD simulations. When the sources of uncertainty in the calculated Compton profiles were analyzed, it was found that more statistics needs to be collected to reduce the statistical uncertainty in the final results. The obtained Compton scattering results can be considered somewhat preliminary, but clearly indicative of the behaviour of the water-ethanol mixtures when the force field is modified. The next step is to collect more statistics and compare the results with experimental data to decide which ethanol model describes the mixture better. This way, valuable information on the microscopic structure of water-ethanol mixtures can be found. In addition, information on the force fields in the MD simulations and on the ability of the MD simulations to reproduce the microscopic structure of binary liquids is obtained.