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.

Studies on diamond-like carbon and novel diamond-like carbon polymer hybrid coatings deposited with filtered pulsed arc discharge method

The main obstacle for the application of high quality diamond-like carbon (DLC) coatings has been the lack of adhesion to the substrate as the coating thickness is increased. The aim of this study was to improve the filtered pulsed arc discharge (FPAD) method. With this method it is possible to achieve high DLC coating thicknesses necessary for practical applications. The energy of the carbon ions was measured with an optoelectronic time-of-flight method. An in situ cathode polishing system used for stabilizing the process yield and the carbon ion energies is presented. Simultaneously the quality of the coatings can be controlled. To optimise the quality of the deposition process a simple, fast and inexpensive method using silicon wafers as test substrates was developed. This method was used for evaluating the suitability of a simplified arc-discharge set-up for the deposition of the adhesion layer of DLC coatings. A whole new group of materials discovered by our research group, the diamond-like carbon polymer hybrid (DLC-p-h) coatings, is also presented. The parent polymers used in these novel coatings were polydimethylsiloxane (PDMS) and polytetrafluoroethylene (PTFE). The energy of the plasma ions was found to increase when the anode-cathode distance and the arc voltage were increased. A constant deposition rate for continuous coating runs was obtained with an in situ cathode polishing system. The novel DLC-p-h coatings were found to be water and oil repellent and harder than any polymers. The lowest sliding angle ever measured from a solid surface, 0.15 ± 0.03°, was measured on a DLC-PDMS-h coating. In the FPAD system carbon ions can be accelerated to high energies (≈ 1 keV) necessary for the optimal adhesion (the substrate is broken in the adhesion and quality test) of ultra thick (up to 200 µm) DLC coatings by increasing the anode-cathode distance and using high voltages (up to 4 kV). An excellent adhesion can also be obtained with the simplified arc-discharge device. To maintain high process yield (5µm/h over a surface area of 150 cm2) and to stabilize the carbon ion energies and the high quality (sp3 fraction up to 85%) of the resulting coating, an in situ cathode polishing system must be used. DLC-PDMS-h coating is the superior candidate coating material for anti-soiling applications where also hardness is required.

Oxidative stability of phytosterols in food models and foods

An important safety aspect to be considered when foods are enriched with phytosterols and phytostanols is the oxidative stability of these lipid compounds, i.e. their resistance to oxidation and thus to the formation of oxidation products. This study concentrated on producing scientific data to support this safety evaluation process. In the absence of an official method for analyzing of phytosterol/stanol oxidation products, we first developed a new gas chromatographic - mass spectrometric (GC-MS) method. We then investigated factors affecting these compounds' oxidative stability in lipid-based food models in order to identify critical conditions under which significant oxidation reactions may occur. Finally, the oxidative stability of phytosterols and stanols in enriched foods during processing and storage was evaluated. Enriched foods covered a range of commercially available phytosterol/stanol ingredients, different heat treatments during food processing, and different multiphase food structures. The GC-MS method was a powerful tool for measuring the oxidative stability. Data obtained in food model studies revealed that the critical factors for the formation and distribution of the main secondary oxidation products were sterol structure, reaction temperature, reaction time, and lipid matrix composition. Under all conditions studied, phytostanols as saturated compounds were more stable than unsaturated phytosterols. In addition, esterification made phytosterols more reactive than free sterols at low temperatures, while at high temperatures the situation was the reverse. Generally, oxidation reactions were more significant at temperatures above 100°C. At lower temperatures, the significance of these reactions increased with increasing reaction time. The effect of lipid matrix composition was dependent on temperature; at temperatures above 140°C, phytosterols were more stable in an unsaturated lipid matrix, whereas below 140°C they were more stable in a saturated lipid matrix. At 140°C, phytosterols oxidized at the same rate in both matrices. Regardless of temperature, phytostanols oxidized more in an unsaturated lipid matrix. Generally, the distribution of oxidation products seemed to be associated with the phase of overall oxidation. 7-ketophytosterols accumulated when oxidation had not yet reached the dynamic state. Once this state was attained, the major products were 5,6-epoxyphytosterols and 7-hydroxyphytosterols. The changes observed in phytostanol oxidation products were not as informative since all stanol oxides quantified represented hydroxyl compounds. The formation of these secondary oxidation products did not account for all of the phytosterol/stanol losses observed during the heating experiments, indicating the presence of dimeric, oligomeric or other oxidation products, especially when free phytosterols and stanols were heated at high temperatures. Commercially available phytosterol/stanol ingredients were stable during such food processes as spray-drying and ultra high temperature (UHT)-type heating and subsequent long-term storage. Pan-frying, however, induced phytosterol oxidation and was classified as a rather deteriorative process. Overall, the findings indicated that although phytosterols and stanols are stable in normal food processing conditions, attention should be paid to their use in frying. Complex interactions between other food constituents also suggested that when new phytosterol-enriched foods are developed their oxidative stability must first be established. The results presented here will assist in choosing safe conditions for phytosterol/stanol enrichment.

Noncommutative Gravitation as a Gauge Theory of Twisted Poincaré Symmetry

Gravitaation kvanttiteorian muotoilu on ollut teoreettisten fyysikkojen tavoitteena kvanttimekaniikan synnystä lähtien. Kvanttimekaniikan soveltaminen korkean energian ilmiöihin yleisen suhteellisuusteorian viitekehyksessä johtaa aika-avaruuden koordinaattien operatiiviseen ei-kommutoivuuteen. Ei-kommutoivia aika-avaruuden geometrioita tavataan myös avointen säikeiden säieteorioiden tietyillä matalan energian rajoilla. Ei-kommutoivan aika-avaruuden gravitaatioteoria voisi olla yhteensopiva kvanttimekaniikan kanssa ja se voisi mahdollistaa erittäin lyhyiden etäisyyksien ja korkeiden energioiden prosessien ei-lokaaliksi uskotun fysiikan kuvauksen, sekä tuottaa yleisen suhteellisuusteorian kanssa yhtenevän teorian pitkillä etäisyyksillä. Tässä työssä tarkastelen gravitaatiota Poincarén symmetrian mittakenttäteoriana ja pyrin yleistämään tämän näkemyksen ei-kommutoiviin aika-avaruuksiin. Ensin esittelen Poincarén symmetrian keskeisen roolin relativistisessa fysiikassa ja sen kuinka klassinen gravitaatioteoria johdetaan Poincarén symmetrian mittakenttäteoriana kommutoivassa aika-avaruudessa. Jatkan esittelemällä ei-kommutoivan aika-avaruuden ja kvanttikenttäteorian muotoilun ei-kommutoivassa aika-avaruudessa. Mittasymmetrioiden lokaalin luonteen vuoksi tarkastelen huolellisesti mittakenttäteorioiden muotoilua ei-kommutoivassa aika-avaruudessa. Erityistä huomiota kiinnitetään näiden teorioiden vääristyneeseen Poincarén symmetriaan, joka on ei-kommutoivan aika-avaruuden omaama uudentyyppinen kvanttisymmetria. Seuraavaksi tarkastelen ei-kommutoivan gravitaatioteorian muotoilun ongelmia ja niihin kirjallisuudessa esitettyjä ratkaisuehdotuksia. Selitän kuinka kaikissa tähänastisissa lähestymistavoissa epäonnistutaan muotoilla kovarianssi yleisten koordinaattimunnosten suhteen, joka on yleisen suhteellisuusteorian kulmakivi. Lopuksi tutkin mahdollisuutta yleistää vääristynyt Poincarén symmetria lokaaliksi mittasymmetriaksi --- gravitaation ei-kommutoivan mittakenttäteorian saavuttamisen toivossa. Osoitan, että tällaista yleistystä ei voida saavuttaa vääristämällä Poincarén symmetriaa kovariantilla twist-elementillä. Näin ollen ei-kommutoivan gravitaation ja vääristyneen Poincarén symmetrian tutkimuksessa tulee jatkossa keskittyä muihin lähestymistapoihin.

Tailoring polyolefin properties by metallocene catalysis

This doctoral thesis deals with the syntheses of olefin homo- and copolymers using different kind of metallocene catalyst. Ethene, propene, 1-hexene, 1-hexadecene, vinylcyclohexane and phenylnorbornene were homo- or copolymerized with the catalysts. The unbridged benzyl substituted zirconium dichloride catalysts (1-4), ansa- bridged acenaphtyl substituted zirconium dichloride catalysts, ( 5, 6), rac- and meso-ethylene-bis(1-indenyl)zirconium dichlorides, (rac- and meso-8), rac-ethylene-bis(1-indenyl)hafnium dichloride, ( 12), bis(9-fluorenyl)hafnium dichloride (14 ) enantiomerically pure (R)- phenylethyl[(9-fluorenyl-1-indenyl)]ZrCl2, (11), 14 and asymmetric dimethylsilyl[(3-benzylindenyl-(2-methylbenzen[e]indenyl)] zirconium dichloride, (13), were prepared in our laboratory. Dimethylsilyl-bis(1-indenyl)zirconium dichloride, (9), isopropylidene(9-fluorenyl-cyclopentadienyl)zirconium dichloride, (10), and were obtained commercially. The solid-state structures of the catalysts rac- and meso-1 were determined by X-ray crystallography. Computational methods were used for the structure optimization of the catalyst rac- and meso-1 in order to compare the theoretical calculations with the experimental results. Polymerization experiments were conducted in a highly purified autoclave system using low pressures (< 5 bar) of gaseous monomers. The experiments were designed to attain the optimal catalytic activity and a uniform copolymer composition. The prepared homo- and copolymers were characterized by the gel permeation chromatography, GPC, differential scanning calorimetry, DSC, nuclear magnetic resonance, NMR, and Fourier transform infrared spectrometry, FTIR . Molar mass (Mw, Mn), molar mass distribution (Mw/Mn), tacticity, comonomer content, melting temperature, glass transition temperature, and end group structures and content were determined. A special attention was paid on the correlation of the polymer properties with the catalyst structures and polymerization conditions. An intramolecular phenyl coordination was found in phenyl substituted benzyl zirconocenes 1-3 explaining the decreased activity of the catalysts. Novel copolymers poly(propene-co-phenylnorbornene) and poly(propene co-vinylcyclohexane), were synthesized and high molar mass poly(ethene-co-1-hexene) and poly(ethene-co-1-hexadecene) copolymers with elastic properties were prepared. Activation of a hafnocene catalyst was studied with UV-Vis spectrometry and activation process for the synthesis of ultra high molar mass poly(1-hexene) was found out.

On gravitational fields of stars in f(R) gravity theories

Einstein's general relativity is a classical theory of gravitation: it is a postulate on the coupling between the four-dimensional, continuos spacetime and the matter fields in the universe, and it yields their dynamical evolution. It is believed that general relativity must be replaced by a quantum theory of gravity at least at extremely high energies of the early universe and at regions of strong curvature of spacetime, cf. black holes. Various attempts to quantize gravity, including conceptually new models such as string theory, have suggested that modification to general relativity might show up even at lower energy scales. On the other hand, also the late time acceleration of the expansion of the universe, known as the dark energy problem, might originate from new gravitational physics. Thus, although there has been no direct experimental evidence contradicting general relativity so far - on the contrary, it has passed a variety of observational tests - it is a question worth asking, why should the effective theory of gravity be of the exact form of general relativity? If general relativity is modified, how do the predictions of the theory change? Furthermore, how far can we go with the changes before we are face with contradictions with the experiments? Along with the changes, could there be new phenomena, which we could measure to find hints of the form of the quantum theory of gravity? This thesis is on a class of modified gravity theories called f(R) models, and in particular on the effects of changing the theory of gravity on stellar solutions. It is discussed how experimental constraints from the measurements in the Solar System restrict the form of f(R) theories. Moreover, it is shown that models, which do not differ from general relativity at the weak field scale of the Solar System, can produce very different predictions for dense stars like neutron stars. Due to the nature of f(R) models, the role of independent connection of the spacetime is emphasized throughout the thesis.

Molecular dynamics studies of nanoparticle impacts

This thesis concerns the dynamics of nanoparticle impacts on solid surfaces. These impacts occur, for instance, in space, where micro- and nanometeoroids hit surfaces of planets, moons, and spacecraft. On Earth, materials are bombarded with nanoparticles in cluster ion beam devices, in order to clean or smooth their surfaces, or to analyse their elemental composition. In both cases, the result depends on the combined effects of countless single impacts. However, the dynamics of single impacts must be understood before the overall effects of nanoparticle radiation can be modelled. In addition to applications, nanoparticle impacts are also important to basic research in the nanoscience field, because the impacts provide an excellent case to test the applicability of atomic-level interaction models to very dynamic conditions. In this thesis, the stopping of nanoparticles in matter is explored using classical molecular dynamics computer simulations. The materials investigated are gold, silicon, and silica. Impacts on silicon through a native oxide layer and formation of complex craters are also simulated. Nanoparticles up to a diameter of 20 nm (315000 atoms) were used as projectiles. The molecular dynamics method and interatomic potentials for silicon and gold are examined in this thesis. It is shown that the displacement cascade expansionmechanism and crater crown formation are very sensitive to the choice of atomic interaction model. However, the best of the current interatomic models can be utilized in nanoparticle impact simulation, if caution is exercised. The stopping of monatomic ions in matter is understood very well nowadays. However, interactions become very complex when several atoms impact on a surface simultaneously and within a short distance, as happens in a nanoparticle impact. A high energy density is deposited in a relatively small volume, which induces ejection of material and formation of a crater. Very high yields of excavated material are observed experimentally. In addition, the yields scale nonlinearly with the cluster size and impact energy at small cluster sizes, whereas in macroscopic hypervelocity impacts, the scaling 2 is linear. The aim of this thesis is to explore the atomistic mechanisms behind the nonlinear scaling at small cluster sizes. It is shown here that the nonlinear scaling of ejected material yield disappears at large impactor sizes because the stopping mechanism of nanoparticles gradually changes to the same mechanism as in macroscopic hypervelocity impacts. The high yields at small impactor size are due to the early escape of energetic atoms from the hot region. In addition, the sputtering yield is shown to depend very much on the spatial initial energy and momentum distributions that the nanoparticle induces in the material in the first phase of the impact. At the later phases, the ejection of material occurs by several mechanisms. The most important mechanism at high energies or at large cluster sizes is atomic cluster ejection from the transient liquid crown that surrounds the crater. The cluster impact dynamics detected in the simulations are in agreement with several recent experimental results. In addition, it is shown that relatively weak impacts can induce modifications on the surface of an amorphous target over a larger area than was previously expected. This is a probable explanation for the formation of the complex crater shapes observed on these surfaces with atomic force microscopy. Clusters that consist of hundreds of thousands of atoms induce long-range modifications in crystalline gold.

Shock acceleration in the solar corona

In this thesis acceleration of energetic particles at collisionless shock waves in space plasmas is studied using numerical simulations, with an emphasis on physical conditions applicable to the solar corona. The thesis consists of four research articles and an introductory part that summarises the main findings reached in the articles and discusses them with respect to theory of diffusive shock acceleration and observations. This thesis gives a brief review of observational properties of solar energetic particles and discusses a few open questions that are currently under active research. For example, in a few large gradual solar energetic particle events the heavy ion abundance ratios and average charge states show characteristics at high energies that are typically associated with flare-accelerated particles, i.e. impulsive events. The role of flare-accelerated particles in these and other gradual events has been discussed a lot in the scientific community, and it has been questioned if and how the observed features can be explained in terms of diffusive shock acceleration at shock waves driven by coronal mass ejections. The most extreme solar energetic particle events are the so-called ground level enhancements where particle receive so high energies that they can penetrate all the way through Earth's atmosphere and increase radiation levels at the surface. It is not known what conditions are required for acceleration into GeV/nuc energies, and the presence of both very fast coronal mass ejections and X-class solar flares makes it difficult to determine what is the role of these two accelerators in ground level enhancements. The theory of diffusive shock acceleration is reviewed and its predictions discussed with respect to the observed particle characteristics. We discuss how shock waves can be modeled and describe in detail the numerical model developed by the author. The main part of this thesis consists of the four scientific articles that are based on results of the numerical shock acceleration model developed by the author. The novel feature of this model is that it can handle complex magnetic geometries which are found, for example, near active regions in the solar corona. We show that, according to our simulations, diffusive shock acceleration can explain the observed variations in abundance ratios and average charge states, provided that suitable seed particles and magnetic geometry are available for the acceleration process in the solar corona. We also derive an injection threshold for diffusive shock acceleration that agrees with our simulation results very well, and which is valid under weakly turbulent conditions. Finally, we show that diffusive shock acceleration can produce GeV/nuc energies under suitable coronal conditions, which include the presence of energetic seed particles, a favourable magnetic geometry, and an enhanced level of ambient turbulence.

Thin-Layer Chromatography with Ultraviolet and Mass Spectrometric Detection: From Preparative-Layer to Miniaturized Ultra-Thin-Layer Technique

The present challenge in drug discovery is to synthesize new compounds efficiently in minimal time. The trend is towards carefully designed and well-characterized compound libraries because fast and effective synthesis methods easily produce thousands of new compounds. The need for rapid and reliable analysis methods is increased at the same time. Quality assessment, including the identification and purity tests, is highly important since false (negative or positive) results, for instance in tests of biological activity or determination of early-ADME parameters in vitro (the pharmacokinetic study of drug absorption, distribution, metabolism, and excretion), must be avoided. This thesis summarizes the principles of classical planar chromatographic separation combined with ultraviolet (UV) and mass spectrometric (MS) detection, and introduces powerful, rapid, easy, low-cost, and alternative tools and techniques for qualitative and quantitative analysis of small drug or drug-like molecules. High performance thin-layer chromatography (HPTLC) was introduced and evaluated for fast semi-quantitative assessment of the purity of synthesis target compounds. HPTLC methods were compared with the liquid chromatography (LC) methods. Electrospray ionization mass spectrometry (ESI MS) and atmospheric pressure matrix-assisted laser desorption/ionization MS (AP MALDI MS) were used to identify and confirm the product zones on the plate. AP MALDI MS was rapid, and easy to carry out directly on the plate without scraping. The PLC method was used to isolate target compounds from crude synthesized products and purify them for bioactivity and preliminary ADME tests. Ultra-thin-layer chromatography (UTLC) with AP MALDI MS and desorption electrospray ionization mass spectrometry (DESI MS) was introduced and studied for the first time. Because of the thinner adsorbent layer, the monolithic UTLC plate provided 10 100 times better sensitivity in MALDI analysis than did HPTLC plates. The limits of detection (LODs) down to low picomole range were demonstrated for UTLC AP MALDI and UTLC DESI MS. In a comparison of AP and vacuum MALDI MS detection for UTLC plates, desorption from the irregular surface of the plates with the combination of an external AP MALDI ion source and an ion trap instrument provided clearly less variation in mass accuracy than the vacuum MALDI time-of-flight (TOF) instrument. The performance of the two-dimensional (2D) UTLC separation with AP MALDI MS method was studied for the first time. The influence of the urine matrix on the separation and the repeatability was evaluated with benzodiazepines as model substances in human urine. The applicability of 2D UTLC AP MALDI MS was demonstrated in the detection of metabolites in an authentic urine sample.