Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Urban energy fluxes in Helsinki and their high frequency spectral corrections

Inadvertent climate modification has led to an increase in urban temperatures compared to the surrounding rural area. The main reason for the temperature rise is the altered energy portioning of input net radiation to heat storage and sensible and latent heat fluxes in addition to the anthropogenic heat flux. The heat storage flux and anthropogenic heat flux have not yet been determined for Helsinki and they are not directly measurable. To the contrary, turbulent fluxes of sensible and latent heat in addition to net radiation can be measured, and the anthropogenic heat flux together with the heat storage flux can be solved as a residual. As a result, all inaccuracies in the determination of the energy balance components propagate to the residual term and special attention must be paid to the accurate determination of the components. One cause of error in the turbulent fluxes is the fluctuation attenuation at high frequencies which can be accounted for by high frequency spectral corrections. The aim of this study is twofold: to assess the relevance of high frequency corrections to water vapor fluxes and to assess the temporal variation of the energy fluxes. Turbulent fluxes of sensible and latent heat have been measured at SMEAR III station, Helsinki, since December 2005 using the eddy covariance technique. In addition, net radiation measurements have been ongoing since July 2007. The used calculation methods in this study consist of widely accepted eddy covariance data post processing methods in addition to Fourier and wavelet analysis. The high frequency spectral correction using the traditional transfer function method is highly dependent on relative humidity and has an 11% effect on the latent heat flux. This method is based on an assumption of spectral similarity which is shown not to be valid. A new correction method using wavelet analysis is thus initialized and it seems to account for the high frequency variation deficit. Anyhow, the resulting wavelet correction remains minimal in contrast to the traditional transfer function correction. The energy fluxes exhibit a behavior characteristic for urban environments: the energy input is channeled to sensible heat as latent heat flux is restricted by water availability. The monthly mean residual of the energy balance ranges from 30 Wm-2 in summer to -35 Wm-2 in winter meaning a heat storage to the ground during summer. Furthermore, the anthropogenic heat flux is approximated to be 50 Wm-2 during winter when residential heating is important.

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.

Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Electromagnetic signatures of lightning near the HF frequency band

The dissertation deals with remote narrowband measurements of the electromagnetic radiation emitted by lightning flashes. A lightning flash consists of a number of sub-processes. The return stroke, which transfers electrical charge from the thundercloud to to the ground, is electromagnetically an impulsive wideband process; that is, it emits radiation at most frequencies in the electromagnetic spectrum, but its duration is only some tens of microseconds. Before and after the return stroke, multiple sub-processes redistribute electrical charges within the thundercloud. These sub-processes can last for tens to hundreds of milliseconds, many orders of magnitude longer than the return stroke. Each sub-process causes radiation with specific time-domain characteristics, having maxima at different frequencies. Thus, if the radiation is measured at a single narrow frequency band, it is difficult to identify the sub-processes, and some sub-processes can be missed altogether. However, narrowband detectors are simple to design and miniaturize. In particular, near the High Frequency band (High Frequency, 3 MHz to 30 MHz), ordinary shortwave radios can, in principle, be used as detectors. This dissertation utilizes a prototype detector which is essentially a handheld AM radio receiver. Measurements were made in Scandinavia, and several independent data sources were used to identify lightning sub-processes, as well as the distance to each individual flash. It is shown that multiple sub-processes radiate strongly near the HF band. The return stroke usually radiates intensely, but it cannot be reliably identified from the time-domain signal alone. This means that a narrowband measurement is best used to characterize the energy of the radiation integrated over the whole flash, without attempting to identify individual processes. The dissertation analyzes the conditions under which this integrated energy can be used to estimate the distance to the flash. It is shown that flash-by-flash variations are large, but the integrated energy is very sensitive to changes in the distance, dropping as approximately the inverse cube root of the distance. Flashes can, in principle, be detected at distances of more than 100 km, but since the ground conductivity can vary, ranging accuracy drops dramatically at distances larger than 20 km. These limitations mean that individual flashes cannot be ranged accurately using a single narrowband detector, and the useful range is limited to 30 kilometers at the most. Nevertheless, simple statistical corrections are developed, which enable an accurate estimate of the distance to the closest edge of an active storm cell, as well as the approach speed. The results of the dissertation could therefore have practical applications in real-time short-range lightning detection and warning systems.

Expression of functional GABAc receptors in the brain

γ-aminobutyric acid (GABA) is the main inhibitory transmitter in the nervous system and acts via three distinct receptor classes: A, B, and C. GABAC receptors are ionotropic receptors comprising ρ subunits. In this work, we aimed to elucidate the expression of ρ subunits in the postnatal brain, the characteristics of ρ2 homo-oligomeric receptors, and the function of GABAC receptors in the hippocampus. In situ hybridization on rat brain slices showed ρ2 mRNA expression from the newborn in the superficial grey layer of the superior colliculus, from the first postnatal week in the hippocampal CA1 region and the pretectal nucleus of the optic tract, and in the adult dorsal lateral geniculate nucleus. Quantitative RT-PCR revealed expression of all three ρ subunits in the hippocampus and superior colliculus from the first postnatal day. In the hippocampus, ρ2 mRNA expression clearly dominated over ρ1 and ρ3. GABAC receptor protein expression was confirmed in the adult hippocampus, superior colliculus, and dorsal lateral geniculate nucleus by immunohistochemistry. From the selective distribution of ρ subunits, GABAC receptors may be hypothesized to be specifically involved in aspects of visual image motion processing in the rat brain. Although previous data had indicated a much higher expression level for ρ2 subunit transcripts than for ρ1 or ρ3 in the brain, previous work done on Xenopus oocytes had suggested that rat ρ2 subunits do not form functional homo-oligomeric GABAC receptors but need ρ1 or ρ3 subunits to form hetero-oligomers. Our results demonstrated, for the first time, that HEK 293 cells transfected with ρ2 cDNA displayed currents in whole-cell patch-clamp recordings. Homomeric rat ρ2 receptors had a decreased sensitivity to, but a high affinity for picrotoxin and a marked sensitivity to the GABAC receptor agonist CACA. Our results suggest that ρ2 subunits may contribute to brain function, also in areas not expressing other ρ subunits. Using extracellular electrophysiological recordings, we aimed to study the effects of the GABAC receptor agonists and antagonists on responses of the hippocampal neurons to electrical stimulation. Activation of GABAC receptors with CACA suppressed postsynaptic excitability and the GABAC receptor antagonist TPMPA inhibited the effects of CACA. Next, we aimed to display the activation of the GABAC receptors by synaptically released GABA using intracellular recordings. GABA-mediated long-lasting depolarizing responses evoked by high-frequency stimulation were prolonged by TPMPA. For weaker stimulation, the effect of TPMPA was enhanced after GABA uptake was inhibited. Our data demonstrate that GABAC receptors can be activated by endogenous synaptic transmitter release following strong stimulation or under conditions of reduced GABA uptake. The lack of GABAC receptor activation by less intensive stimulation under control conditions suggests that these receptors are extrasynaptic and activated via spillover of synaptically released GABA. Taken together with the restricted expression pattern of GABAC receptors in the brain and their distinctive pharmacological and biophysical properties, our findings supporting extrasynaptic localization of these receptors raise interesting possibilities for novel pharmacological therapies in the treatment of, for example, epilepsy and sleep disorders.

Development of regulatory T cells in the human thymus

The role of the immune system is to protect an organism against pathogens while maintaining tolerance against self. T cells are an essential component of the immune system and they develop in the thymus. The AIRE (autoimmune regulator) gene product plays an important role in T cell development, as it promotes expression of peripheral tissue antigens in the thymus. Developing T cells, thymocytes, which recognize self-antigens with high affinity are deleted. However, this deletion process is not perfect and not all autoreactive T cells are destroyed. When the distinction between self and non-self fails, tolerance breaks and the immune system attacks the host s own tissues. This results in autoimmunity. Regulatory T cells contribute to the maintenance of self-tolerance. They can actively suppress the function of autoreactive cells. Several populations of cells with regulatory properties have been described, but the best characterized population is the natural regulatory T cells (Treg cells), which develop in the thymus and express the transcription factor FOXP3. The thymic development of Treg cells in humans is the subject of this thesis. Thymocytes at different developmental stages were analyzed using flow cytometry. The CD4-CD8- double-negative (DN) thymocytes are the earliest T cell precursors in the T cell lineage. My results show that the Treg cell marker FOXP3 is up-regulated already in a subset of these DN thymocytes. FOXP3+ cells were also found among the more mature CD4+CD8+ double-positive (DP) cells and among the CD4+ and CD8+ single-positive (SP) thymocytes. The different developmental stages of the FOXP3+ thymocytes were isolated and their gene expression examined by quantitative PCR. T cell receptor (TCR) repertoire analysis was used to compare these different thymocyte populations. My data show that in humans commitment to the Treg cell lineage is an early event and suggest that the development of Treg cells follows a linear developmental pathway, FOXP3+ DN precursors evolving through the DP stage to become mature CD4+ Treg cells. Most T cells have only one kind of TCR on their cell surface, but a small fraction of cells expresses two different TCRs. My results show that the expression of two different TCRs is enriched among Treg cells. Furthermore, both receptors were capable of transmitting signals when bound by a ligand. By extrapolating flow cytometric data, it was estimated that the majority of peripheral blood Treg cells are indeed dual-specific. The high frequency of dual-specific cells among human Treg cells suggests that dual-specificity has a role in directing these cells to the Treg cell lineage. It is known that both genetic predisposition and environmental factors influence the development of autoimmunity. It is also known that the dysfunction or absence of Treg cells leads to the development of autoimmune manifestations. APECED (autoimmune polyendocrinopathy-candidiasis-ectodermal dystrophy) is a rare monogenic autoimmune disease, caused by mutations in the AIRE gene. In the absence of AIRE gene product, deletion of self-specific T cells is presumably disturbed and autoreactive T cells escape to the periphery. I examined whether Treg cells are also affected in APECED. I found that the frequency of FOXP3+ Treg cells and the level of FOXP3 expression were significantly lower in APECED patients than in controls. Additionally, when studied in cell cultures, the suppressive capacity of the patients' Treg cells was impaired. Additionally, repertoire analysis showed that the TCR repertoire of Treg cells was altered. These results suggest that AIRE contributes to the development of Treg cells in humans and the selection of Treg cells is impaired in APECED patients. In conclusion, my thesis elucidates the developmental pathway of Treg cells in humans. The differentiation of Tregs begins early during thymic development and both the cells dual-specificity and AIRE probably affect the final commitment of Treg cells.

Postglacial climate changes and vegetation responses in northern Europe

Postglacial climate changes and vegetation responses were studied using a combination of biological and physical indicators preserved in lake sediments. Low-frequency trends, high-frequency events and rapid shifts in temperature and moisture balance were probed using pollen-based quantitative temperature reconstructions and oxygen-isotopes from authigenic carbonate and aquatic cellulose, respectively. Pollen and plant macrofossils were employed to shed light on the presence and response rates of plant populations in response to climate changes, particularly focusing on common boreal and temperate tree species. Additional geochemical and isotopic tracers facilitated the interpretation of pollen- and oxygen-isotope data. The results show that the common boreal trees were present in the Baltic region (~55°N) during the Lateglacial, which contrasts with the traditional view of species refuge locations in the south-European peninsulas during the glacial/interglacial cycles. The findings of this work are in agreement with recent paleoecological and genetic evidence suggesting that scattered populations of tree species persisted at higher latitudes, and that these taxa were likely limited to boreal trees. Moreover, the results demonstrate that stepwise changes in plant communities took place in concert with major climate fluctuations of the glacial/interglacial transition. Postglacial climate trends in northern Europe were characterized by rise, maxima and fall in temperatures and related changes in moisture balance. Following the deglaciation of the Northern Hemisphere and the early Holocene reorganization of the ice-ocean-atmosphere system, the long-term temperature trends followed gradually decreasing summer insolation. The early Holocene (~11,700-8000 cal yr BP) was overall cool, moist and oceanic, although the earliest Holocene effective humidity may have been low particularly in the eastern part of northern Europe. The gradual warming trend was interrupted by a cold event ~8200 cal yr BP. The maximum temperatures, ~1.5-3.0°C above modern values, were attained ~8000-4000 cal yr BP. This mid-Holocene peak warmth was coupled with low lake levels, low effective humidity and summertime drought. The late Holocene (~4000 cal yr BP-present) was characterized by gradually decreasing temperatures, higher lake levels and higher effective humidity. Moreover, the gradual trends of the late Holocene were probably superimposed by higher-frequency variability. The spatial variability of the Holocene temperature and moisture balance patterns were tentatively attributed to the differing heat capacities of continents and oceans, changes in atmospheric circulation modes and position of sites and subregions with respect to large water bodies and topographic barriers. The combination of physical and biological proxy archives is a pivotal aspect of this work, because non-climatic factors, such as postglacial migration, disturbances and competitive interactions, can influence reshuffling of vegetation and hence, pollen-based climate reconstructions. The oxygen-isotope records and other physical proxies presented in this work manifest that postglacial climate changes were the main driver of the establishment and expansion of temperate and boreal tree populations, and hence, large-scale and long-term vegetation patterns were in dynamic equilibrium with climate. A notable exception to this pattern may be the postglacial invasion of Norway spruce and the related suppression of mid-Holocene temperate forest. This salient step in north-European vegetation history, the development of the modern boreal ecosystem, cannot be unambiguously explained by current evidence of postglacial climate changes. The results of this work highlight that plant populations, including long-lived trees, may be able to respond strikingly rapidly to changes in climate. Moreover, interannual and seasonal variation and extreme events can exert an important influence on vegetation reshuffling. Importantly, the studies imply that the presence of diffuse refuge populations or local stands among the prevailing vegetation may have provided the means for extraordinarily rapid vegetation responses. Hence, if scattered populations are not provided and tree populations are to migrate long distances, their capacity to keep up with predicted rates of future climate change may be lower than previously thought.

Timing of puberty : Genetic regulation

In the general population, the timing of puberty is normally distributed. This variation is determined by genetic and environmental factors, but the exact mechanisms underlying these influences remain elusive. The purpose of this study was to gain insight into genetic regulation of pubertal timing. Contributions of genetic versus environmental factors to the normal variation of pubertal timing were explored in twins. Familial occurrence and inheritance patterns of constitutional delay of growth and puberty, CDGP (a variant of normal pubertal timing), were studied in pedigrees of patients with this condition. To ultimately detect genes involved in the regulation of pubertal timing, genetic loci conferring susceptibility to CDGP were mapped by linkage analysis in the same family cohort. To subdivide the overall phenotypic variance of pubertal timing into genetic and environmental components, genetic modeling based on monozygous twins sharing 100% and dizygous twins sharing 50% of their genes was used in 2309 girls and 1828 boys from the FinnTwin 12-17 study. The timing of puberty was estimated from height growth, i.e. change in the relative height between the age when pubertal growth velocity peaks in the general population and adulthood. This reflects the percentage of adult height achieved at the average peak height velocity age, and thus, pubertal timing. Boys and girls diagnosed with CDGP were gathered through medical records from six pediatric clinics in Finland. First-degree relatives of the probands were invited to participate by letter; altogether, 286 families were recruited. When possible, families were extended to include also second-, third-, or fourth-degree relatives. The timing of puberty in all family members was primarily assessed from longitudinal growth data. Delayed puberty was defined by onset of pubertal growth spurt or peak height velocity taking place 1.5 (relaxed criterion) or 2 SD (strict criterion) beyond the mean. If growth data were unavailable, pubertal timing was based on interviews. In this case, CDGP criteria were set as having undergone pubertal development more than 2 (strict criterion) or 1.5 years (relaxed criterion) later than their peers, or menarche after 15 (strict criterion) or 14 years (relaxed criterion). Familial occurrence of strict CDGP was explored in families of 124 patients (95 males and 29 females) from two clinics in Southern Finland. In linkage analysis, we used relaxed CDGP criteria; 52 families with solely growth data-based CDGP diagnoses were selected from all clinics. Based on twin data, genetic factors explain 86% and 82% of the variance of pubertal timing in girls and boys, respectively. In families, 80% of male and 76% of female probands had affected first-degree relatives, in whom CDGP was 15 times more common than the expected (2.5%). In 74% (17 of 23) of the extended families with only one affected parent, familial patterns were consistent with autosomal dominant inheritance. By using 383 multiallelic markers and subsequently fine-mapping with 25 additional markers, significant linkage for CDGP was detected to the pericentromeric region of chromosome 2, to 2p13-2q13 (multipoint HLOD 4.44, α 0.41). The findings of the large twin study imply that the vast majority of the normal variation of pubertal timing is attributed to genetic effects. Moreover, the high frequency of dominant inheritance patterns and the large number of affected relatives of CDGP patients suggest that genetic factors also markedly contribute to constitutional delay of puberty. Detection of the locus 2p13-2q13 in the pericentromeric region of chromosome 2 associating with CDGP is one step towards unraveling the genes that determine pubertal timing.

Maan magneettikentän dipolimallin toimivuus inklinaatiojakauman perusteella

The magnetic field of the Earth is 99 % of the internal origin and generated in the outer liquid core by the dynamo principle. In the 19th century, Carl Friedrich Gauss proved that the field can be described by a sum of spherical harmonic terms. Presently, this theory is the basis of e.g. IGRF models (International Geomagnetic Reference Field), which are the most accurate description available for the geomagnetic field. In average, dipole forms 3/4 and non-dipolar terms 1/4 of the instantaneous field, but the temporal mean of the field is assumed to be a pure geocentric axial dipolar field. The validity of this GAD (Geocentric Axial Dipole) hypothesis has been estimated by using several methods. In this work, the testing rests on the frequency dependence of inclination with respect to latitude. Each combination of dipole (GAD), quadrupole (G2) and octupole (G3) produces a distinct inclination distribution. These theoretical distributions have been compared with those calculated from empirical observations from different continents, and last, from the entire globe. Only data from Precambrian rocks (over 542 million years old) has been used in this work. The basic assumption is that during the long-term course of drifting continents, the globe is sampled adequately. There were 2823 observations altogether in the paleomagnetic database of the University of Helsinki. The effect of the quality of observations, as well as the age and rocktype, has been tested. For comparison between theoretical and empirical distributions, chi-square testing has been applied. In addition, spatiotemporal binning has effectively been used to remove the errors caused by multiple observations. The modelling from igneous rock data tells that the average magnetic field of the Earth is best described by a combination of a geocentric dipole and a very weak octupole (less than 10 % of GAD). Filtering and binning gave distributions a more GAD-like appearance, but deviation from GAD increased as a function of the age of rocks. The distribution calculated from so called keypoles, the most reliable determinations, behaves almost like GAD, having a zero quadrupole and an octupole 1 % of GAD. In no earlier study, past-400-Ma rocks have given a result so close to GAD, but low inclinations have been prominent especially in the sedimentary data. Despite these results, a greater deal of high-quality data and a proof of the long-term randomness of the Earth's continental motions are needed to make sure the dipole model holds true.

Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

Merkel cell carcinoma : Epidemiological study with special reference to polyomavirus and vascular factors in pathogenesis

Merkel cell carcinoma (MCC) is a rare cutaneous malignancy that occurs predominantly on sun exposed skin areas. A new polyomavirus (MCPyV) was identified in MCC tumor tissues in 2008 suggesting that a viral infection might be an etiological factor. A typical MCC is a rapidly growing painless purple nodule. In its early stage it can be misjudged by its appearance as a cyst or abscess. Recurrences are common and approximately half of the patients will develop lymph node metastases and third of the patents will have distant metastases. It affects mostly elderly persons at an average age of 70 at the time of diagnosis. MCC was first described in 1972 and the first MCC patient in Finland was identified in 1983. MCC has been poorly recognized, but increased awareness and better diagnostic accuracy has increased the incidence since the early years. In this study, all cases with a notation of MCC during 1979 2008 were obtained from the Finnish Cancer Registry. Based on this data, the incidence is 0.11 for men and 0.12 for women. It is similar than that of other Nordic countries, but lower than in the USA. For clinical series, the files of patients diagnosed with MCC during 1983 2004 were reviewed, and the tissue samples were re-evaluated, if available (n=181). Third of the patients were men, and the most common site of the primary tumor was the head and neck (53%). The majority of the patients (86%) presented with a clinically node-negative (Stage I or II) disease, but the disease recurred in 38% of them. The treatment schemes were heterogeneous. No additional benefit from a wide margin (≥2 cm) was found compared to a margin of 0.1-1.9 cm, but intralesional excision was more often associated with local recurrence. None of the patients with Stage I-II disease who had received postoperative radiotherapy had local recurrence during the follow-up period. The 5-year relative survival ratio for Stage I disease was 68%, for Stage II 67%, for Stage III 16%, and for Stage IV 0%. The relative excess risk of death was significantly lower among women than among men. Some of these tissue samples were further analyzed for vascular invasion (n=126) by immunohistochemistry using vascular endothelial markers CD-31 and D2-40. Vascular invasion was seen in 93% of the samples and it was observed already in very small, <5mm tumors. The tissue samples were also analyzed for the presence of MCPyV by using a polymerase chain reaction (PCR) and quantitative PCR. MCPyV DNA was present in 80% of 114 samples studied. The patients with virus-positive tumors had better overall survival than patients with virus-negative tumors. Immunohistochemical analyses were performed for the expression of VEGFR-2 (n=21) and endostatin (n=19), but they had no prognostic value. Our results support the concept of treating MCC with margin-negative excision and radiotherapy to the tumor bed to reduce local recurrence. The finding of a high frequency of lymphovascular invasion reduces its value as a prognostic factor, but emphasizes the role of sentinel node biopsy even in very small primary MCC.

Tonically Active Kainate Receptors (tKARs) : A Novel Mechanism Regulating Neuronal Function in the Brain

Fast excitatory transmission between neurons in the central nervous system is mainly mediated by L-glutamate acting on ligand gated (ionotropic) receptors. These are further categorized according to their pharmacological properties to AMPA (2-amino-3-(5-methyl-3-oxo-1,2- oxazol-4-yl)propanoic acid), NMDA (N-Methyl-D-aspartic acid) and kainate (KAR) subclasses. In the rat and the mouse hippocampus, development of glutamatergic transmission is most dynamic during the first postnatal weeks. This coincides with the declining developmental expression of the GluK1 subunit-containing KARs. However, the function of KARs during early development of the brain is poorly understood. The present study reveals novel types of tonically active KARs (hereafter referred to as tKARs) which play a central role in functional development of the hippocampal CA3-CA1 network. The study shows for the first time how concomitant pre- and postsynaptic KAR function contributes to development of CA3-CA1 circuitry by regulating transmitter release and interneuron excitability. Moreover, the tKAR-dependent regulation of transmitter release provides a novel mechanism for silencing and unsilencing early synapses and thus shaping the early synaptic connectivity. The role of GluK1-containing KARs was studied in area CA3 of the neonatal hippocampus. The data demonstrate that presynaptic KARs in excitatory synapses to both pyramidal cells and interneurons are tonically activated by ambient glutamate and that they regulate glutamate release differentially, depending on target cell type. At synapses to pyramidal cells these tKARs inhibit glutamate release in a G-protein dependent manner but in contrast, at synapses to interneurons, tKARs facilitate glutamate release. On the network level these mechanisms act together upregulating activity of GABAergic microcircuits and promoting endogenous hippocampal network oscillations. By virtue of this, tKARs are likely to have an instrumental role in the functional development of the hippocampal circuitry. The next step was to investigate the role of GluK1 -containing receptors in the regulation of interneuron excitability. The spontaneous firing of interneurons in the CA3 stratum lucidum is markedly decreased during development. The shift involves tKARs that inhibit medium-duration afterhyperpolarization (mAHP) in these neurons during the first postnatal week. This promotes burst spiking of interneurons and thereby increases GABAergic activity in the network synergistically with the tKAR-mediated facilitation of their excitatory drive. During development the amplitude of evoked medium afterhyperpolarizing current (ImAHP) is dramatically increased due to decoupling tKAR activation and ImAHP modulation. These changes take place at the same time when the endogeneous network oscillations disappear. These tKAR-driven mechanisms in the CA3 area regulate both GABAergic and glutamatergic transmission and thus gate the feedforward excitatory drive to the area CA1. Here presynaptic tKARs to CA1 pyramidal cells suppress glutamate release and enable strong facilitation in response to high-frequency input. Therefore, CA1 synapses are finely tuned to high-frequency transmission; an activity pattern that is common in neonatal CA3-CA1 circuitry both in vivo and in vitro. The tKAR-regulated release probability acts as a novel presynaptic silencing mechanism that can be unsilenced in response to Hebbian activity. The present results shed new light on the mechanisms modulating the early network activity that paves the way for oscillations lying behind cognitive tasks such as learning and memory. Kainate receptor antagonists are already being developed for therapeutic use for instance against pain and migraine. Because of these modulatory actions, tKARs also represent an attractive candidate for therapeutic treatment of developmentally related complications such as learning disabilities.