Den brændende Fakkel : Om dobbeltgrebet i Knud Lyne Rahbeks liv og revolutionsroman

Professor Knud Lyne Rahbek was a novelist, playwright, poet, magazine editor, journalist, socialite person, host of the Bakkehus , historian, theatre manager, translator, publisher etc., but his versatility either side of 1800 is better known than read and more despised than understood. In terms of methodology, the thesis is based on biographical, historical and philological research, while at the same time making use of formalistic and close reading methods. This study begins and ends with 7th of February 1800, when Kamma and Knud Lyne Rahbek join the exiled P.A. Heiberg at the inn near Frederiksberg Castle. What falls between is an interpretation of Rahbek s works in the service of democracy, human rights and freedom of the press as a pragmatic navigation between activities - both subversive and legitimate. Posterity mistook this range as mere spinelessness, and Rahbek was relegated to the literary and historical margins as an anachronism and as a jack of all trades, who did not know what he really wanted and therefore flitted about in so many fields just to be present. But Rahbek s problem was not one of standpoint, but rather how to find a balance between totalizing attitudes and confrontations between rebellious idealism and deep-rooted absolutism, without foregoing his belief in enlightenment, humanism and tolerance. In this way, and also through his personal conduct, which at that time was seen as jovial bonhommie, he made his contribution to the development of modern democratic Denmark in the full awareness of a popular, peaceful and down-to-earth community. Rahbek s principal work about the event of the French Revolution, which provides the focus for the above, is Camill og Constance. Et Revolutions Skilderie (1799). For today s reader, the novel about the revolution is an obvious example of a historical novel, as it does not only provide fictionalized information about past events placing them in a generally accepted perspective of historical development, but also gives the characters qualities, which, in Rahbek s words, allows the real events to influence the fictional characters. From this point of view, the novel of the revolution has shifted the benchmark for the first real historical novel on the European literary scene back by fifteen years. Lacking the aura so easily foisted on fearless iconoclasts or tragic losers, Rahbek s contribution may seem modest in spite of its enormous volume; but only when it is not evaluated in its full context, which is the development of Denmark towards an international democratic society.

Mathematical Aspects of Financial Markets with Frictions

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.

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.

Cutaneous porphyrias : Clinical and histopathological study

The prevalence of variegate porphyria (VP) (2.1:100 000, in 2006 n=108) was higher in Finland than elsewhere in European countries due to a founder effect (R152C). The incidence of VP was estimated at 0.2:1 000 000 based on the number of new symptomatic patients yearly. The prevalence of porphyria cutanea tarda (PCT) was 1.2:100 000 (in 2006 n=63), which is only one fourth of the numbers reported from other European countries. The estimated incidence of PCT was 0.5:1 000 000. Based on measurements of the uroporphyrinogen decarboxylase activity in erythrocytes, the proportion of familial PCT was 49% of the cases. The prevalence of erythropoietic protoporphyria (EPP) was at 0.8:100 000 (in 2006 n=39) including asymptomatic carriers of a mutation in the ferrochelatase (FECH) gene. The incidence of EPP was estimated at 0.1:1 000 000. After 1980 the penetrance was 37% among patients with VP. Of the mutation carriers (n=57) 30% manifested with skin symptoms. Frequency of skin symptom as only clinical sign was stable before or after 1980 (22% vs. 21%), but acute attacks became infrequent (29% vs. 7%). Of the symptomatic patients 30% had both acute attacks and skin symptoms and 80% had skin symptoms. Fragility (95%) and blistering (46%) of the skin in the backs of the hands were the most common skin symptoms. Transient correction of porphyrin metabolism using eight haem arginate infusions within five weeks had no effect on the skin symptoms in three of four patients with VP. In one case skin symptoms disappeared transiently. One patient with homozygous VP had severe photosensitivity since birth. Sensory polyneuropathy, glaucoma and renal failure developed during the 25-year follow-up without the presence of acute attacks. The I12T mutation was detected in both of his alleles in the protoporphyrinogen oxidase gene. Lack of skin symptoms and infrequency of acute attacks (1/9) in the patients with I12T mutation at the heterozygous stage indicate a mild phenotype (the penetrance 11%). Four mutations (751delGAGAA, 1122delT, C286T, C343T) in the FECH gene were characterised in four of 15 families with EPP. Burning pain (96%) and swelling (92%) of the sun-exposed skin were the major skin symptoms. Hepatopathy appeared in one of 25 symptomatic patients (4%). Clinical manifestations and associated factors of PCT were similar in the sporadic and familial types of PCT. The majority of the patients with PCT had one to three precipitating factors: alcohol intake (78%), mutations in hemochromatosis associated gene (50%), use of oestrogen (25% of women) and hepatitis B or C infections (25 %). Fatty liver disease (67%) and siderosis (67%) were commonly found in their liver biopsies. The major histopathological change of the sun-exposed skin in the patients with VP (n=20), EPP (n=8) and PCT (n=5) was thickening of the vessel walls of the upper dermis suggesting that the vessel wall is the primary site of the phototoxic reaction in each type of porphyria. The fine structure of the vessel walls was similar in VP, EPP and PCT consisting of the multilayered basement membrane and excess of finely granular substance between the layers which were surrounded by the band of homogenous material. EPP was characterised by amorphous perivascular deposits extending also to the extravascular space. In direct immunofluorescence study homogenous IgG deposits in the vessel walls of the upper dermis of the sun-exposed skin were demonstrated in each type of porphyria. In EPP the excess material around vessel walls consisted of other proteins such as serum amyloid protein, and kappa and lambda light chains in addition to the basement membrane constituents such as collagen IV and laminin. These results suggest that the alterations of the vessel walls are a consequence of the repeated damage and the repairing process in the vessel wall. The microscopic alterations could be demonstrated even in the normal looking but sun-exposed skin of the patients with EPP during the symptom-free phase suggesting that vascular change can be chronic. The stability of vascular changes in the patients with PCT after treatment indicates that circulating porphyrins are not important for the maintenance of the changes.

Quantifying Time Awake Posturographically

This thesis focuses on the issue of testing sleepiness quantitatively. The issue is relevant to policymakers concerned with traffic- and occupational safety; such testing provides a tool for safety legislation and -surveillance. The findings of this thesis provide guidelines for a posturographic sleepiness tester. Sleepiness ensuing from staying awake merely 17 h impairs our performance as much as the legally proscribed blood alcohol concentration 0.5 does. Hence, sleepiness is a major risk factor in transportation and occupational accidents. The lack of convenient, commercial sleepiness tests precludes testing impending sleepiness levels contrary to simply breath testing for alcohol intoxication. Posturography is a potential sleepiness test, since clinical diurnal balance testing suggests the hypothesis that time awake could be posturographically estimable. Relying on this hypothesis this thesis examines posturographic sleepiness testing for instrumentation purposes. Empirical results from 63 subjects for whom we tested balance with a force platform during wakefulness for maximum 36 h show that sustained wakefulness impairs balance. The results show that time awake is posturographically estimable with 88% accuracy and 97% precision which validates our hypothesis. Results also show that balance scores tested at 13:30 hours serve as a threshold to detect excessive sleepiness. Analytical results show that the test length has a marked effect on estimation accuracy: 18 s tests suffice to identify sleepiness related balance changes, but trades off some of the accuracy achieved with 30 s tests. The procedure to estimate time awake relies on equating the subject s test score to a reference table (comprising balance scores tested during sustained wakefulness, regressed against time awake). Empirical results showed that sustained wakefulness explains 60% of the diurnal balance variations, whereas the time of day explains 40% of the balance variations. The latter fact implies that time awake estimations also must rely on knowing the local times of both test and reference scores.

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.

The expiration day effect of indexoptions and index futures on the underlying shares

This paper studies the effect of the expiration day of index options and futures on the trading volume, variance and price of the underlying shares. The data consists of all trades for the underlying shares in the FOX-index for expiration days during the period October 1995 to the mid of yer 1999. The main results seem to support the findings of Kan 2001, i.e. no manipulation on a larger scale. However, some indication of manipulation could be found if certain characteristics are favorable. These characteristics include: a) a large quantity of outstanding futures or at/in the money options contracts, b) there exists shares with high index weight but fairly low trading volume. Lastly, there is some indication that manipulation might be more popular towards the end of the examined time period.