Test of the Clustering Hypothesis in the Helsinki Exchanges

This paper investigates the clustering pattern in the Finnish stock market. Using trading volume and time as factors capturing the clustering pattern in the market, the Keim and Madhavan (1996) and the Engle and Russell (1998) model provide the framework for the analysis. The descriptive and the parametric analysis provide evidences that an important determinant of the famous U-shape pattern in the market is the rate of information arrivals as measured by large trading volumes and durations at the market open and close. Precisely, 1) the larger the trading volume, the greater the impact on prices both in the short and the long run, thus prices will differ across quantities. 2) Large trading volume is a non-linear function of price changes in the long run. 3) Arrival times are positively autocorrelated, indicating a clustering pattern and 4) Information arrivals as approximated by durations are negatively related to trading flow.

Computationally Efficient Methods for MDL-Optimal Density Estimation and Data Clustering

The Minimum Description Length (MDL) principle is a general, well-founded theoretical formalization of statistical modeling. The most important notion of MDL is the stochastic complexity, which can be interpreted as the shortest description length of a given sample of data relative to a model class. The exact definition of the stochastic complexity has gone through several evolutionary steps. The latest instantation is based on the so-called Normalized Maximum Likelihood (NML) distribution which has been shown to possess several important theoretical properties. However, the applications of this modern version of the MDL have been quite rare because of computational complexity problems, i.e., for discrete data, the definition of NML involves an exponential sum, and in the case of continuous data, a multi-dimensional integral usually infeasible to evaluate or even approximate accurately. In this doctoral dissertation, we present mathematical techniques for computing NML efficiently for some model families involving discrete data. We also show how these techniques can be used to apply MDL in two practical applications: histogram density estimation and clustering of multi-dimensional data.

Clustering Users of Online Content Service

Online content services can greatly benefit from personalisation features that enable delivery of content that is suited to each user's specific interests. This thesis presents a system that applies text analysis and user modeling techniques in an online news service for the purpose of personalisation and user interest analysis. The system creates a detailed thematic profile for each content item and observes user's actions towards content items to learn user's preferences. A handcrafted taxonomy of concepts, or ontology, is used in profile formation to extract relevant concepts from the text. User preference learning is automatic and there is no need for explicit preference settings or ratings from the user. Learned user profiles are segmented into interest groups using clustering techniques with the objective of providing a source of information for the service provider. Some theoretical background for chosen techniques is presented while the main focus is in finding practical solutions to some of the current information needs, which are not optimally served with traditional techniques.

The Structure and Short-Term Development of Finnish Industries in the 1920s and 1930s : An Input-output Approach

Tutkimuksen tavoitteena on tuottaa uutta tietoa Suomen kansantalouden rakenteesta ja lyhyen aikavälin kehityksestä 1920- ja 1930-luvulla. Tutkimus toteutettiin laatimalla kansantaloutta kuvaava panos-tuotostaulu vuodelle 1928 sekä sen laajennus, panos-tuotosmalli. Aineiston avulla kuvataan kansantalouden rakenteellisia riippuvuuksia, tuotannon avaintoimialoja sekä näiden vaikutusta kansantalouteen. Lisäksi tutkimuksessa tarkastellaan kansantalouden tuontiriippuvuutta sekä tuontitullien vaikutusta hintoihin 1930-luvun laman aikana. Tutkimuksen perusteella voitiin identifioida Suomen kansantalouden avaintoimialat vuonna 1928: maatalous, metsätalous, elintarviketeollisuus, puuteollisuus, paperiteollisuus ja rakennustoiminta. Erityisesti elintarviketeollisuuden vahva rooli kansantaloudessa oli kenties yllättävää, erityisesti kun huomioidaan kuinka vähän toimiala on saanut huomiota osakseen taloushistorian tutkimuksessa. Tutkimus osoitti, että Suomen vienti oli pääomavaltaisempaa kuin tuonti. Vaikka tämän tuloksen tulkinta on varauksellinen, tutkimus pystyi osoittamaan ja kvantifioimaan toimialojen työ- ja pääomapanoksen osuuden tuotoksesta yksityiskohtaisesti. Panos-tuotosmallilla arvioitiin puuteollisuuden, paperiteollisuuden ja rakennustoiminnan ajanjaksona 1928-32 tapahtuneen loppukäytön muutoksen vaikutusta kansantalouteen. Merkittävä havainto on, että rakennustoiminnan loppukäytön muutoksella oli erittäin suuri kasvua vähentävä vaikutus koko kansantaloudessa. Talonrakennusinvestointien romahtaminen aiheutti lähes 13 prosentin tuotannon laskun kansantaloudessa. Vaikutus oli jopa suurempi kuin puuteollisuuden viennin romahtamisen. Tulokset osoittavat toisaalta, että yksityisen kulutuksen merkitys kansantaloudelle oli erittäin vahva. Esimerkiksi puuteollisuuden viennin romahtaminen aiheutti yli 4 % tuotannon vähenemisen mutta huomioitaessa mallissa myös yksityisen kulutuksen väheneminen, oli kokonaisvaikutus yli 10 %. Yksityisen kulutuksen huomioiminen mallissa siis yli kaksinkertaisti toimialojen vaikutukset kansantalouteen. Tulokset vahvistivat aiemmissa tutkimuksissa esitettyjä johtopäätöksiä tullipolitiikasta ja osoittivat maatalouteen läheisesti liittyvän elintarviketeollisuuden olleen eniten suojeltu toimiala kansantaloudessa. Muut kotimarkkinoiden toimialat eivät kuitenkaan hyötyneet tullipolitiikasta lamakauden aikana. Panos-tuotoshintamallilla osoitettiin, ettei tullipolitiikka ollut niin onnistunutta kuin aikalaistutkimuksissa väitettiin, vaan tullit korkeintaan pystyivät hidastamaan hintojen alenemista. Tutkimuksen liitteenä esitetään kaikki keskeiset Suomen kansantaloutta vuonna 1928 kuvaavat tilastolliset taulukot, mukaan lukien käyttö- ja tarjontataulukot, panos-tuotostaulukot, panoskertoimet, Leontiefin käänteismatriisi sekä työ- ja pääomapanoskertoimet.

Short-term effects of variable retention on epigaeic spiders and carabid beetles in Finland

Forestry has influenced forest dwelling organisms for centuries in Fennoscandia. For example, in Finland ca. 30% of the threatened species are threatened because of forestry. Nowadays forest management recommendations include practices aimed at maintaining biodiversity in harvesting, such as green-tree retention. However, the effects of these practices have been little studied. In variable retention, different numbers of trees are retained, varying from green-tree retention (at least a few live standing trees in clear-cuts) to thinning (only individual trees removed). I examined the responses of ground-dwelling spiders and carabid beetles to green-tree retention (with small and large tree groups), gap felling and thinning aimed at an uneven age structure of trees. The impacts of these harvesting methods were compared to those of clear-cutting and uncut controls. I aimed to test the hypothesis that retaining more trees positively affects populations of those species of spiders and carabids that were present before harvesting. The data come from two studies. First, spiders were collected with pitfall traps in south-central Finland in 1995 (pre-treatment) and 1998 (after-treatment) in order to examine the effects of clear-cutting, green-tree retention (with 0.01-0.02-ha sized tree groups), gap felling (with three 0.16-ha sized openings in a 1-ha stand), thinning aiming at an uneven age structure of trees and uncut control. Second, spiders and carabids were caught with pitfall traps in eastern Finland in 1998-2001 (pre-treatment and three post-treatment years) in eleven 0.09-0.55-ha sized retention-tree groups and clear-cuts adjacent to them. Original spider and carabid assemblages were better maintained after harvests that retained more trees. Thinning maintained forest spiders well. However, gap felling and large retention-tree groups maintained some forest spider and carabid species in the short-term, but negatively affected some species over time. However, use of small retention-tree groups was associated with negative effects on forest spider populations. Studies are needed on the long-term effects of variable retention on terrestrial invertebrates; especially those directed at defining appropriate retention patch size and on the importance of structural diversity provided by variable retention for invertebrate populations. However, the aims of variable retention should be specified first. For example, are retention-tree groups planned to constitute life-boats , stepping-stones or to create structural diversity? Does it suffice that some species are maintained, or do we want to preserve the most sensitive ones, and how are these best defined? Moreover, the ecological benefits and economic costs of modified logging methods should be compared to other approaches aimed at maintaining biodiversity.

Short-term plant-decomposer feedbacks in grassland plants

Plant species differ in their effects on ecosystem productivity and it is recognised that these effects are partly due to plant species-specific influences on soil processes. Until recently, however, not much attention was given to the potential role played by soil biota in these species-specific effects. While soil decomposers are responsible for governing the availability of nutrients for plant production, they simultaneously depend on the amount of carbon provided by plants. Litter and rhizodeposition constitute the two basal resources that plants provide to soil decomposer food webs. While it has been shown that both of these can have effects on soil decomposer communities that differ among plant species, the putative significance of these effects for plant nitrogen (N) acquisition is currently understudied. My PhD work aimed at clarifying whether the species-specific influences of three temperate grassland plants on the soil microfood-web, through rhizodeposition and litter, can feed back to plant N uptake. The methods and approach used (15N labelling of plant litter in microcosm experiments) revealed to be an effective combination of tools in studying these feedbacks. Plant effects on soil organisms were shown to differ significantly between plant species and the effects could be followed across several trophic levels. The labelling of litter further permitted the evaluation of plant acquisition of N derived from soil organic matter. The results show that the structure of the soil microfood-web can have a significant role in plant N acquisition when the structure is experimentally manipulated, such as when comparing systems consisting of microbes to those consisting of microbes and their grazers. However, despite this, the results indicate that differences in N uptake from soil organic matter between different plant species are not related to the effects these species exert on the structure of the soil microfood-web. Rather, these differences in N uptake seem to be determined by other species-specific traits of live plants and their litter. My results thus indicate that different resources provided by different plant species may not induce species-specific decomposer feedbacks on plant N uptake from soil organic matter. This further suggests that the species-specific plant effects on soil decomposer communities may not, at least in the short term, have significant consequences on plant production.

Short- and long-term consequences of food resources on Ural owl Strix uralensis reproduction

Life-history theory states that although natural selection would favour a maximisation of both reproductive output and life-span, such a combination can not be achieved in any living organism. According to life-history theory the reason for the fact that not all traits can be maximised simultaneously is that different traits compete with each other for resources. These relationships between traits that constrain the simultaneous evolution of two or more traits are called trade-offs. Therefore, during different life-stages an individual needs to optimise its allocation of resources to life-history components such as growth, reproduction and survival. Resource limitation acts on these traits and therefore investment in one trait, e.g. reproduction, reduces the resources available for investment in another trait, e.g. residual reproduction or survival. In this thesis I study how food resources during different stages of the breeding event affect reproductive decisions in the Ural owl (Strix uralensis) and the consequences of these decisions on parents and offspring. The Ural owl is a suitable study species for such studies in natural populations since they are long-lived, site-tenacious, and feed on voles. The vole populations in Fennoscandia fluctuate in three- to four-year cycles, which create a variable food environment for the Ural owls to cope with. The thesis gives new insight in reproductive costs and their consequences in natural animal populations with emphasis on underlying physiological mechanisms. I found that supplementary fed Ural owl parents invest supplemented food resources during breeding in own self-maintenance instead of allocating those resources to offspring growth. This investment in own maintenance instead of improving current reproduction had carry-over effects to the following year in terms of increased reproductive output. Therefore, I found evidence that reduced reproductive costs improves future reproductive performance. Furthermore, I found evidence for the underlying mechanism behind this carry-over effect of supplementary food on fecundity. The supplementary-fed parents reduced their feeding investment in the offspring compared to controls, which enabled the fed female parents to invest the surplus resources in parasite resistance. Fed female parents had lower blood parasite loads than control females and this effect lasted until the following year when also reproductive output was increased. Hence, increased investment in parasite resistance when resources are plentiful has the potential to mediate positive carry-over effects on future reproduction. I further found that this carry-over effect was only present when potentials for future reproduction were good. The thesis also provides new knowledge on resource limitation on maternal effects. I found that increased resources prior to egg laying improve the condition and health of Ural owl females and enable them to allocate more resources to reproduction than control females. These additional resources are not allocated to increase the number of offspring, but instead to improve the quality of each offspring. Fed Ural owl females increased the size of their eggs and allocated more health improving immunological components into the eggs. Furthermore, the increased egg size had long-lasting effects on offspring growth, as offspring from larger eggs were heavier at fledging. Limiting resources can have different short- and long-term consequences on reproductive decisions that affect both offspring number and quality. In long-lived organisms, such as the Ural owl, it appears to be beneficial in terms of fitness to invest in long breeding life-span instead of additional investment in current reproduction. In Ural owls, females can influence the phenotypic quality of the offspring by transferring additional resources to the eggs that can have long-lasting effects on growth.

Intrahepatic cholestasis of pregnancy : genetic background, epidemiology and hepatobiliary consequences

Intrahepatic cholestasis of pregnancy (ICP) is the most common cholestatic liver disease during pregnancy. The reported incidence varies from 0.4 to 15% of full-term pregnancies. The etiology is heterogeneous but familial clustering is known to occur. Here we have studied the genetic background, epidemiology, and long-term hepatobiliary consequences of ICP. In a register-based nation-wide study (n=1 080 310) the incidence of ICP was 0.94% during 1987-2004. A slightly higher incidence, 1.3%, was found in a hospital-based series (n=5304) among women attending the University Hospital of Helsinki in 1992-1993. Of these 16% (11/69) were familial and showed a higher (92%) recurrence rate than the sporadic (40%) cases. In the register-based epidemiological study, advanced maternal age and, to a lesser degree, parity were identified as new risk factors for ICP. The risk was 3-fold higher in women >39 years of age compared to women <30 years. Multiple pregnancy also associated with an elevated risk. In a genetic study we found no association of ICP with the genes regulating bile salt transport (ABCB4, ABCB11 and ATP8B1). The livers of postmenopausal women with a history of ICP tolerated well the short-term exposure to oral and transdermal estradiol, although the doses used were higher than those in routine clinical use. The response of serum levels of sex hormone-binding globulin (SHBG) to oral estradiol was slightly reduced in the ICP group. Transdermal estradiol had no effect on C-reactive protein (CRP) or SHBG. A number of liver and biliary diseases were found to be associated with ICP. Women with a history of ICP showed elevated risks for non-alcoholic liver cirrhosis (8.2 CI 1.9-36), cholelithiasis and cholecystitis (3.7 CI 3.2-4.2), hepatitis C (3.5 CI 1.6-7.6) and non-alcoholic pancreatitis (3.2 CI 1.7-5.7). In conclusion, ICP complicates around 1% of all full-term pregnancies in Finland and its incidence has remained unchanged since 1987. It is familial in 16% of cases with a higher recurrence rate. Although the cause remains unknown, several risk factors, namely advanced maternal age, parity and multiple pregnancies, can be identified. Both oral and transdermal regimens of postmenopausal hormone therapy (HT) are safe for women with a history of ICP when liver function is considered. Some ICP patients are at risk of other liver and biliary diseases and, contrary to what has been thought, a follow-up is warranted.

Multiscale study on hydrogen mobility in metallic fusion divertor material

For achieving efficient fusion energy production, the plasma-facing wall materials of the fusion reactor should ensure long time operation. In the next step fusion device, ITER, the first wall region facing the highest heat and particle load, i.e. the divertor area, will mainly consist of tiles based on tungsten. During the reactor operation, the tungsten material is slowly but inevitably saturated with tritium. Tritium is the relatively short-lived hydrogen isotope used in the fusion reaction. The amount of tritium retained in the wall materials should be minimized and its recycling back to the plasma must be unrestrained, otherwise it cannot be used for fueling the plasma. A very expensive and thus economically not viable solution is to replace the first walls quite often. A better solution is to heat the walls to temperatures where tritium is released. Unfortunately, the exact mechanisms of hydrogen release in tungsten are not known. In this thesis both experimental and computational methods have been used for studying the release and retention of hydrogen in tungsten. The experimental work consists of hydrogen implantations into pure polycrystalline tungsten, the determination of the hydrogen concentrations using ion beam analyses (IBA) and monitoring the out-diffused hydrogen gas with thermodesorption spectrometry (TDS) as the tungsten samples are heated at elevated temperatures. Combining IBA methods with TDS, the retained amount of hydrogen is obtained as well as the temperatures needed for the hydrogen release. With computational methods the hydrogen-defect interactions and implantation-induced irradiation damage can be examined at the atomic level. The method of multiscale modelling combines the results obtained from computational methodologies applicable at different length and time scales. Electron density functional theory calculations were used for determining the energetics of the elementary processes of hydrogen in tungsten, such as diffusivity and trapping to vacancies and surfaces. Results from the energetics of pure tungsten defects were used in the development of an classical bond-order potential for describing the tungsten defects to be used in molecular dynamics simulations. The developed potential was utilized in determination of the defect clustering and annihilation properties. These results were further employed in binary collision and rate theory calculations to determine the evolution of large defect clusters that trap hydrogen in the course of implantation. The computational results for the defect and trapped hydrogen concentrations were successfully compared with the experimental results. With the aforedescribed multiscale analysis the experimental results within this thesis and found in the literature were explained both quantitatively and qualitatively.

Finnish Short-Term Stock Returns

Functioning capital markets are a crucial part of a competitive economy since they provide the mechanisms to allocate resources. In order to be well functioning a capital market has to be efficient. Market efficiency is defined as a market where prices at any time fully reflect all available information. Basically, this means that abnormal returns cannot be predicted since they are dependent on future, presently unknown, information. The debate of market efficiency has been going on for several decades. Most academics today would probably agree that financial markets are reasonably efficient since virtually nobody has been able to achieve continuous abnormal positive returns. However, it is clear that a set of return anomalies exists, although they are apparently to small to enable substantial economic profit. Moreover, these anomalies can often be attributed to market design. The motivation for this work is to expand the knowledge of short-term trading patterns and to offer some explanations for these patterns. In the first essay the return pattern during the day is examined. On average stock prices move during two time periods of the day, namely, immediately after the opening and around the formal close of the market. Since stock prices, on average, move upwards these abnormal returns are generally positive and cause the distinct U-shape of intraday returns. In the second essay the results in the first essay are examined further. The return pattern around the former close is shown to partly be the result of manipulative action by market participants. In the third essay the focus is shifted towards trading patterns of the underlying stocks on days when index options and index futures on the stocks expire. Generally no expiration day effect was found. However, some indication of an expiration day effect was found when a large amount of open in- or at-the-money contracts existed. Also, the effects were likelier to be found for shares with high index-weight but fairly low trading volume. Last, in the forth essay the attention is turned to the behaviour of different tax clienteles around the dividend ex-day. Two groups of investors showed abnormal trading behaviour. Domestic non-financial investors, especially domestic companies, showed a dividend capturing behaviour, i.e. buying cum-dividend and selling ex-dividend shares. The opposite behaviour was found for foreign investors and domestic financial institutions. The effect was more notable for high yield, high volume stocks.