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.

Si, CdTe and CdZnTe radiation detectors for imaging applications

The structure and operation of CdTe, CdZnTe and Si pixel detectors based on crystalline semiconductors, bump bonding and CMOS technology and developed mainly at Oy Simage Ltd. And Oy Ajat Ltd., Finland for X- and gamma ray imaging are presented. This detector technology evolved from the development of Si strip detectors at the Finnish Research Institute for High Energy Physics (SEFT) which later merged with other physics research units to form the Helsinki Institute of Physics (HIP). General issues of X-ray imaging such as the benefits of the method of direct conversion of X-rays to signal charge in comparison to the indirect method and the pros and cons of photon counting vs. charge integration are discussed. A novel design of Si and CdTe pixel detectors and the analysis of their imaging performance in terms of SNR, MTF, DQE and dynamic range are presented in detail. The analysis shows that directly converting crystalline semiconductor pixel detectors operated in the charge integration mode can be used in X-ray imaging very close to the theoretical performance limits in terms of efficiency and resolution. Examples of the application of the developed imaging technology to dental intra oral and panoramic and to real time X-ray imaging are given. A CdTe photon counting gamma imager is introduced. A physical model to calculate the photo peak efficiency of photon counting CdTe pixel detectors is developed and described in detail. Simulation results indicates that the charge sharing phenomenon due to diffusion of signal charge carriers limits the pixel size of photon counting detectors to about 250 μm. Radiation hardness issues related to gamma and X-ray imaging detectors are discussed.

Ionosphere-atmosphere interaction during solar proton events

Among the most striking natural phenomena affecting ozone are solar proton events (SPE), during which high-energy protons precipitate into the middle atmosphere in the polar regions. Ionisation caused by the protons results in changes in the lower ionosphere, and in production of neutral odd nitrogen and odd hydrogen species which then destroy ozone in well-known catalytic chemical reaction chains. Large SPEs are able to decrease the ozone concentration of upper stratosphere and mesosphere, but are not expected to significantly affect the ozone layer at 15--30~km altitude. In this work we have used the Sodankylä Ion and Neutral Chemistry Model (SIC) in studies of the short-term effects caused by SPEs. The model results were found to be in a good agreement with ionospheric observations from incoherent scatter radars, riometers, and VLF radio receivers as well as with measurements from the GOMOS/Envisat satellite instrument. For the first time, GOMOS was able to observe the SPE effects on odd nitrogen and ozone in the winter polar region. Ozone observations from GOMOS were validated against those from MIPAS/Envisat instrument, and a good agreement was found throughout the middle atmosphere. For the case of the SPE of October/November 2003, long-term ozone depletion was observed in the upper stratosphere. The depletion was further enhanced by the descent of odd nitrogen from the mesosphere inside the polar vortex, until the recovery occurred in late December. During the event, substantial diurnal variation of ozone depletion was seen in the mesosphere, caused mainly by the the strong diurnal cycle of the odd hydrogen species. In the lower ionosphere, SPEs increase the electron density which is very low in normal conditions. Therefore, SPEs make radar observations easier. In the case of the SPE of October, 1989, we studied the sunset transition of negative charge from electrons to ions, a long-standing problem. The observed phenomenon, which is controlled by the amount of solar radiation, was successfully explained by considering twilight changes in both the rate of photodetachment of negative ions and concentrations of minor neutral species. Changes in the magnetic field of the Earth control the extent of SPE-affected area. For the SPE of November 2001, the results indicated that for low and middle levels of geomagnetic disturbance the estimated cosmic radio noise absorption levels based on a magnetic field model are in a good agreement with ionospheric observations. For high levels of disturbance, the model overestimates the stretching of the geomagnetic field and the geographical extent of SPE-affected area. This work shows the importance of ionosphere-atmosphere interaction for SPE studies. By using both ionospheric and atmospheric observations, we have been able to cover for the most part the whole chain of SPE-triggered processes, from proton-induced ionisation to depletion of ozone.

Consequences of Supersymmetry in the Early Universe

Currently, we live in an era characterized by the completion and first runs of the LHC accelerator at CERN, which is hoped to provide the first experimental hints of what lies beyond the Standard Model of particle physics. In addition, the last decade has witnessed a new dawn of cosmology, where it has truly emerged as a precision science. Largely due to the WMAP measurements of the cosmic microwave background, we now believe to have quantitative control of much of the history of our universe. These two experimental windows offer us not only an unprecedented view of the smallest and largest structures of the universe, but also a glimpse at the very first moments in its history. At the same time, they require the theorists to focus on the fundamental challenges awaiting at the boundary of high energy particle physics and cosmology. What were the contents and properties of matter in the early universe? How is one to describe its interactions? What kind of implications do the various models of physics beyond the Standard Model have on the subsequent evolution of the universe? In this thesis, we explore the connection between in particular supersymmetric theories and the evolution of the early universe. First, we provide the reader with a general introduction to modern day particle cosmology from two angles: on one hand by reviewing our current knowledge of the history of the early universe, and on the other hand by introducing the basics of supersymmetry and its derivatives. Subsequently, with the help of the developed tools, we direct the attention to the specific questions addressed in the three original articles that form the main scientific contents of the thesis. Each of these papers concerns a distinct cosmological problem, ranging from the generation of the matter-antimatter asymmetry to inflation, and finally to the origin or very early stage of the universe. They nevertheless share a common factor in their use of the machinery of supersymmetric theories to address open questions in the corresponding cosmological models.

Characterization of non-imaging semiconductor X-ray solar monitors

The first observations of solar X-rays date back to late 1940 s. In order to observe solar X-rays the instruments have to be lifted above the Earth s atmosphere, since all high energy radiation from the space is almost totally attenuated by it. This is a good thing for all living creatures, but bad for X-ray astronomers. Detectors observing X-ray emission from space must be placed on-board satellites, which makes this particular discipline of astronomy technologically and operationally demanding, as well as very expensive. In this thesis, I have focused on detectors dedicated to observing solar X-rays in the energy range 1-20 keV. The purpose of these detectors was to measure solar X-rays simultaneously with another X-ray spectrometer measuring fluorescence X-ray emission from the Moon surface. The X-ray fluorescence emission is induced by the primary solar X-rays. If the elemental abundances on the Moon were to be determined with fluorescence analysis methods, the shape and intensity of the simultaneous solar X-ray spectrum must be known. The aim of this thesis is to describe the characterization and operation of our X-ray instruments on-board two Moon missions, SMART-1 and Chandrayaan-1. Also the independent solar science performance of these two almost similar X-ray spectrometers is described. These detectors have the following two features in common. Firstly, the primary detection element is made of a single crystal silicon diode. Secondly, the field of view is circular and very large. The data obtained from these detectors are spectra with a 16 second time resolution. Before launching an instrument into space, its performance must be characterized by ground calibrations. The basic operation of these detectors and their ground calibrations are described in detail. Two C-flares are analyzed as examples for introducing the spectral fitting process. The first flare analysis shows the fit of a single spectrum of the C1-flare obtained during the peak phase. The other analysis example shows how to derive the time evolution of fluxes, emission measures (EM) and temperatures through the whole single C4 flare with the time resolution of 16 s. The preparatory data analysis procedures are also introduced in detail. These are required in spectral fittings of the data. A new solar monitor design equipped with a concentrator optics and a moderate size of field of view is also introduced.

Top Quark Mass Measurement in the lepton+jets Channel Using a Matrix Element Method and in situ Jet Energy Calibration

A precision measurement of the top quark mass m_t is obtained using a sample of ttbar events from ppbar collisions at the Fermilab Tevatron with the CDF II detector. Selected events require an electron or muon, large missing transverse energy, and exactly four high-energy jets, at least one of which is tagged as coming from a b quark. A likelihood is calculated using a matrix element method with quasi-Monte Carlo integration taking into account finite detector resolution and jet mass effects. The event likelihood is a function of m_t and a parameter DJES to calibrate the jet energy scale /in situ/. Using a total of 1087 events, a value of m_t = 173.0 +/- 1.2 GeV/c^2 is measured.

Alignment of the ALICE Inner Tracking System with cosmic-ray tracks

ALICE (A Large Ion Collider Experiment) is the LHC (Large Hadron Collider) experiment devoted to investigating the strongly interacting matter created in nucleus-nucleus collisions at the LHC energies. The ALICE ITS, Inner Tracking System, consists of six cylindrical layers of silicon detectors with three different technologies; in the outward direction: two layers of pixel detectors, two layers each of drift, and strip detectors. The number of parameters to be determined in the spatial alignment of the 2198 sensor modules of the ITS is about 13,000. The target alignment precision is well below 10 micron in some cases (pixels). The sources of alignment information include survey measurements, and the reconstructed tracks from cosmic rays and from proton-proton collisions. The main track-based alignment method uses the Millepede global approach. An iterative local method was developed and used as well. We present the results obtained for the ITS alignment using about 10^5 charged tracks from cosmic rays that have been collected during summer 2008, with the ALICE solenoidal magnet switched off.

Position-sensitive silicon strip detector characterization using particle beams

Silicon strip detectors are fast, cost-effective and have an excellent spatial resolution. They are widely used in many high-energy physics experiments. Modern high energy physics experiments impose harsh operation conditions on the detectors, e.g., of LHC experiments. The high radiation doses cause the detectors to eventually fail as a result of excessive radiation damage. This has led to a need to study radiation tolerance using various techniques. At the same time, a need to operate sensors approaching the end their lifetimes has arisen. The goal of this work is to demonstrate that novel detectors can survive the environment that is foreseen for future high-energy physics experiments. To reach this goal, measurement apparatuses are built. The devices are then used to measure the properties of irradiated detectors. The measurement data are analyzed, and conclusions are drawn. Three measurement apparatuses built as a part of this work are described: two telescopes measuring the tracks of the beam of a particle accelerator and one telescope measuring the tracks of cosmic particles. The telescopes comprise layers of reference detectors providing the reference track, slots for the devices under test, the supporting mechanics, electronics, software, and the trigger system. All three devices work. The differences between these devices are discussed. The reconstruction of the reference tracks and analysis of the device under test are presented. Traditionally, silicon detectors have produced a very clear response to the particles being measured. In the case of detectors nearing the end of their lifefimes, this is no longer true. A new method benefitting from the reference tracks to form clusters is presented. The method provides less biased results compared to the traditional analysis, especially when studying the response of heavily irradiated detectors. Means to avoid false results in demonstrating the particle-finding capabilities of a detector are also discussed. The devices and analysis methods are primarily used to study strip detectors made of Magnetic Czochralski silicon. The detectors studied were irradiated to various fluences prior to measurement. The results show that Magnetic Czochralski silicon has a good radiation tolerance and is suitable for future high-energy physics experiments.

Khα1,2 hypersatellites of 3d transition metals and their photoexcitation energy dependence

Hollow atoms in which the K shell is empty while the outer shells are populated allow studying a variety of important and unusual properties of atoms. The diagram x-ray emission lines of such atoms, the K-h alpha(1,2) hypersatellites (HSs), were measured for the 3d transition metals, Z=23-30, with a high energy resolution using photoexcitation by monochromatized synchrotron radiation. Good agreement with ab initio relativistic multiconfigurational Dirac-Fock calculations was found. The measured HS intensity variation with the excitation energy yields accurate values for the excitation thresholds, excludes contributions from shake-up processes, and indicates domination near threshold of a nonshake process. The Z variation of the HS shifts from the diagram line K alpha(1,2), the K-h alpha(1)-K-h alpha(2) splitting, and the K-h alpha(1)/K-h alpha(2) intensity ratio, derived from the measurements, are also discussed with a particular emphasis on the QED corrections and Breit interaction.