Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Modeling Nonlinearities and Asymmetries in Asset Pricing

Financial time series tend to behave in a manner that is not directly drawn from a normal distribution. Asymmetries and nonlinearities are usually seen and these characteristics need to be taken into account. To make forecasts and predictions of future return and risk is rather complicated. The existing models for predicting risk are of help to a certain degree, but the complexity in financial time series data makes it difficult. The introduction of nonlinearities and asymmetries for the purpose of better models and forecasts regarding both mean and variance is supported by the essays in this dissertation. Linear and nonlinear models are consequently introduced in this dissertation. The advantages of nonlinear models are that they can take into account asymmetries. Asymmetric patterns usually mean that large negative returns appear more often than positive returns of the same magnitude. This goes hand in hand with the fact that negative returns are associated with higher risk than in the case where positive returns of the same magnitude are observed. The reason why these models are of high importance lies in the ability to make the best possible estimations and predictions of future returns and for predicting risk.

Local numerical modelling of magnetoconvection and turbulence - implications for mean-field theories

During the last decades mean-field models, in which large-scale magnetic fields and differential rotation arise due to the interaction of rotation and small-scale turbulence, have been enormously successful in reproducing many of the observed features of the Sun. In the meantime, new observational techniques, most prominently helioseismology, have yielded invaluable information about the interior of the Sun. This new information, however, imposes strict conditions on mean-field models. Moreover, most of the present mean-field models depend on knowledge of the small-scale turbulent effects that give rise to the large-scale phenomena. In many mean-field models these effects are prescribed in ad hoc fashion due to the lack of this knowledge. With large enough computers it would be possible to solve the MHD equations numerically under stellar conditions. However, the problem is too large by several orders of magnitude for the present day and any foreseeable computers. In our view, a combination of mean-field modelling and local 3D calculations is a more fruitful approach. The large-scale structures are well described by global mean-field models, provided that the small-scale turbulent effects are adequately parameterized. The latter can be achieved by performing local calculations which allow a much higher spatial resolution than what can be achieved in direct global calculations. In the present dissertation three aspects of mean-field theories and models of stars are studied. Firstly, the basic assumptions of different mean-field theories are tested with calculations of isotropic turbulence and hydrodynamic, as well as magnetohydrodynamic, convection. Secondly, even if the mean-field theory is unable to give the required transport coefficients from first principles, it is in some cases possible to compute these coefficients from 3D numerical models in a parameter range that can be considered to describe the main physical effects in an adequately realistic manner. In the present study, the Reynolds stresses and turbulent heat transport, responsible for the generation of differential rotation, were determined along the mixing length relations describing convection in stellar structure models. Furthermore, the alpha-effect and magnetic pumping due to turbulent convection in the rapid rotation regime were studied. The third area of the present study is to apply the local results in mean-field models, which task we start to undertake by applying the results concerning the alpha-effect and turbulent pumping in mean-field models describing the solar dynamo.

Effects of Mean Luminance Changes on Human Contrast Perception

Background When we are viewing natural scenes, every saccade abruptly changes both the mean luminance and the contrast structure falling on any given retinal location. Thus it would be useful if the two were independently encoded by the visual system, even when they change simultaneously. Recordings from single neurons in the cat visual system have suggested that contrast information may be quite independently represented in neural responses to simultaneous changes in contrast and luminance. Here we test to what extent this is true in human perception. Methodology/Principal Findings Small contrast stimuli were presented together with a 7-fold upward or downward step of mean luminance (between 185 and 1295 Td, corresponding to 14 and 98 cd/m2), either simultaneously or with various delays (50–800 ms). The perceived contrast of the target under the different conditions was measured with an adaptive staircase method. Over the contrast range 0.1–0.45, mainly subtractive attenuation was found. Perceived contrast decreased by 0.052±0.021 (N = 3) when target onset was simultaneous with the luminance increase. The attenuation subsided within 400 ms, and even faster after luminance decreases, where the effect was also smaller. The main results were robust against differences in target types and the size of the field over which luminance changed. Conclusions/Significance Perceived contrast is attenuated mainly by a subtractive term when coincident with a luminance change. The effect is of ecologically relevant magnitude and duration; in other words, strict contrast constancy must often fail during normal human visual behaviour. Still, the relative robustness of the contrast signal is remarkable in view of the limited dynamic response range of retinal cones. We propose a conceptual model for how early retinal signalling may allow this.

Phonological Mean Length of Utterance as an indicator of typical and impaired phonological development in children acquiring Finnish

The aim of this study was to examine the applicability of the Phonological Mean Length of Utterance (pMLU) method to the data of children acquiring Finnish, for both typically developing children and children with a Specific Language Impairment (SLI). Study I examined typically developing children at the end of the one-word stage (N=17, mean age 1;8), and Study II analysed children s (N=5) productions in a follow-up study with four assessment points (ages 2;0, 2;6, 3;0, 3;6). Study III was carried out in the form of a review article that examined recent research on the phonological development of children acquiring Finnish and compared the results with general trends and cross-linguistic findings in phonological development. Study IV included children with SLI (N=4, mean age 4;10) and age-matched peers. The analyses in Studies I, II and IV were made using the quantitative pMLU method. In the pMLU method, pMLU values are counted for both the words that the children targeted (so-called target words) and the words produced by the children. When the child s average pMLU value was divided with the average target word pMLU value, it is possible to examine that child s accuracy in producing the words with the Whole-Word Proximity (PWP) value. In addition, the number of entirely correctly produced words is counted to obtain the Whole-Word Correctness (PWC) value. Qualitative analyses were carried out in order to examine how the children s phoneme inventories and deficiencies in phonotactics would explain the observed pMLU, PWP and PWC values. The results showed that the pMLU values for children acquiring Finnish were relatively high already at the end of the one-word stage (Study I). The values were found to reflect the characteristics of the ambient language. Typological features that lead to cross-linguistic differences in pMLU values were also observed in the review article (Study III), which noted that in the course of phonological acquisition there are a large number of language-specific phenomena and processes. Study II indicated that overall the children s phonological development during the follow-up period was reflected in the pMLU, PWP and PWC values, although the method showed limitations in detecting qualitative differences between the children. Correct vowels were not scored in the pMLU counts, which led to some misleadingly high pMLU and PWP results: vowel errors were only reflected in the PWC values. Typically developing children in Study II reached the highest possible pMLU results already around age 3;6. At the same time, the differences between the children with SLI and age-matched peers in the pMLU values were very prominent (Study IV). The values for the children with SLI were similar to the ones reported for two-year-old children. Qualitative analyses revealed that the phonologies of the children with SLI largely resembled the ones of younger, typically developing children. However, unusual errors were also witnessed (e.g., vowel errors, omissions of word-initial stops, consonants added to the initial position in words beginning with a vowel). This dissertation provides an application of a new tool for quantitative phonological assessment and analysis in children acquiring Finnish. The preliminary results suggest that, with some modifications, the pMLU method can be used to assess children s phonological development and that it has some advantages compared to the earlier, segment-oriented approaches. Qualitative analyses complemented the pMLU s observations on the children s phonologies. More research is needed in order to verify the levels of the pMLU, PWP and PWC values in children acquiring Finnish.