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.

Process Analytical Technology Approach on Fluid Bed Granulation and Drying : Identifying Critical Relationships and Constructing the Design Space

Fluid bed granulation is a key pharmaceutical process which improves many of the powder properties for tablet compression. Dry mixing, wetting and drying phases are included in the fluid bed granulation process. Granules of high quality can be obtained by understanding and controlling the critical process parameters by timely measurements. Physical process measurements and particle size data of a fluid bed granulator that are analysed in an integrated manner are included in process analytical technologies (PAT). Recent regulatory guidelines strongly encourage the pharmaceutical industry to apply scientific and risk management approaches to the development of a product and its manufacturing process. The aim of this study was to utilise PAT tools to increase the process understanding of fluid bed granulation and drying. Inlet air humidity levels and granulation liquid feed affect powder moisture during fluid bed granulation. Moisture influences on many process, granule and tablet qualities. The approach in this thesis was to identify sources of variation that are mainly related to moisture. The aim was to determine correlations and relationships, and utilise the PAT and design space concepts for the fluid bed granulation and drying. Monitoring the material behaviour in a fluidised bed has traditionally relied on the observational ability and experience of an operator. There has been a lack of good criteria for characterising material behaviour during spraying and drying phases, even though the entire performance of a process and end product quality are dependent on it. The granules were produced in an instrumented bench-scale Glatt WSG5 fluid bed granulator. The effect of inlet air humidity and granulation liquid feed on the temperature measurements at different locations of a fluid bed granulator system were determined. This revealed dynamic changes in the measurements and enabled finding the most optimal sites for process control. The moisture originating from the granulation liquid and inlet air affected the temperature of the mass and pressure difference over granules. Moreover, the effects of inlet air humidity and granulation liquid feed rate on granule size were evaluated and compensatory techniques used to optimize particle size. Various end-point indication techniques of drying were compared. The ∆T method, which is based on thermodynamic principles, eliminated the effects of humidity variations and resulted in the most precise estimation of the drying end-point. The influence of fluidisation behaviour on drying end-point detection was determined. The feasibility of the ∆T method and thus the similarities of end-point moisture contents were found to be dependent on the variation in fluidisation between manufacturing batches. A novel parameter that describes behaviour of material in a fluid bed was developed. Flow rate of the process air and turbine fan speed were used to calculate this parameter and it was compared to the fluidisation behaviour and the particle size results. The design space process trajectories for smooth fluidisation based on the fluidisation parameters were determined. With this design space it is possible to avoid excessive fluidisation and improper fluidisation and bed collapse. Furthermore, various process phenomena and failure modes were observed with the in-line particle size analyser. Both rapid increase and a decrease in granule size could be monitored in a timely manner. The fluidisation parameter and the pressure difference over filters were also discovered to express particle size when the granules had been formed. The various physical parameters evaluated in this thesis give valuable information of fluid bed process performance and increase the process understanding.

Stereochemical and steric control of enzymatic glucuronidation : A rational approach for the design of novel Inhibitors for the human UDP-glucuronosyltransferase 2B7

The UDP-glucuronosyltransferases (UGTs) are enzymes of the phase II metabolic system. These enzymes catalyze the transfer of α-D-glucuronic acid from UDP-glucuronic acid to aglycones bearing nucleophilic groups affording exclusively their corresponding β-D-glucuronides to render lipophilic endobiotics and xenobiotics more water soluble. This detoxification pathway aids in the urinary and biliary excretion of lipophilic compounds thus preventing their accumulation to harmful levels. The aim of this study was to investigate the effect of stereochemical and steric features of substrates on the glucuronidation catalyzed by UGTs 2B7 and 2B17. Furthermore, this study relates to the design and synthesis of novel, selective inhibitors that display high affinity for the key enzyme involved in drug glucuronidation, UGT2B7. The starting point for the development of inhibitors was to assess the influence of the stereochemistry of substrates on the UGT-catalyzed glucuronidation reaction. A set of 28 enantiomerically pure alcohols was subjected to glucuronidation assays employing the human UGT isoforms 2B7 and 2B17. Both UGT enzymes displayed high stereoselectivity, favoring the glucuronidation of the (R)-enantiomers over their respective mirror-image compounds. The spatial arrangement of the hydroxy group of the substrate determined the rate of the UGT-catalyzed reaction. However, the affinity of the enantiomeric substrates to the enzymes was not significantly influenced by the spatial orientation of the nucleophilic hydroxy group. Based on these results, a rational approach for the design of inhibitors was developed by addressing the stereochemical features of substrate molecules. Further studies showed that the rate of the enzymatic glucuronidation of substrates was also highly dependent on the steric demand in vicinity of the nucleophilic hydroxy group. These findings provided a rational approach to turn high-affinity substrates into true UGT inhibitors by addressing stereochemical and steric features of substrate molecules. The tricyclic sesquiterpenols longifolol and isolongifolol were identified as high-affinity substrates which displayed high selectivity for the UGT isoform 2B7. These compounds served therefore as lead structures for the design of potent and selective inhibitors for UGT2B7. Selective and potent inhibitors were prepared by synthetically modifying the lead compounds longifolol and isolongifolol taking stereochemical and steric features into account. The best inhibitor of UGT2B7, β-phenyllongifolol, displayed an inhibition constant of 0.91 nM.

How to design educational settings to promote collaborative inquiry: Pedagogical infrastructures for technology-enhanced progressive inquiry

Strategies of scientific, question-driven inquiry are stated to be important cultural practices that should be educated in schools and universities. The present study focuses on investigating multiple efforts to implement a model of Progressive Inquiry and related Web-based tools in primary, secondary and university level education, to develop guidelines for educators in promoting students collaborative inquiry practices with technology. The research consists of four studies. In Study I, the aims were to investigate how a human tutor contributed to the university students collaborative inquiry process through virtual forums, and how the influence of the tutoring activities is demonstrated in the students inquiry discourse. Study II examined an effort to implement technology-enhanced progressive inquiry as a distance working project in a middle school context. Study III examined multiple teachers' methods of organizing progressive inquiry projects in primary and secondary classrooms through a generic analysis framework. In Study IV, a design-based research effort consisting of four consecutive university courses, applying progressive inquiry pedagogy, was retrospectively re-analyzed in order to develop the generic design framework. The results indicate that appropriate teacher support for students collaborative inquiry efforts appears to include interplay between spontaneity and structure. Careful consideration should be given to content mastery, critical working strategies or essential knowledge practices that the inquiry approach is intended to promote. In particular, those elements in students activities should be structured and directed, which are central to the aim of Progressive Inquiry, but which the students do not recognize or demonstrate spontaneously, and which are usually not taken into account in existing pedagogical methods or educational conventions. Such elements are, e.g., productive co-construction activities; sustained engagement in improving produced ideas and explanations; critical reflection of the adopted inquiry practices, and sophisticated use of modern technology for knowledge work. Concerning the scaling-up of inquiry pedagogy, it was concluded that one individual teacher can also apply the principles of Progressive Inquiry in his or her own teaching in many innovative ways, even under various institutional constraints. The developed Pedagogical Infrastructure Framework enabled recognizing and examining some central features and their interplay in the designs of examined inquiry units. The framework may help to recognize and critically evaluate the invisible learning-cultural conventions in various educational settings and can mediate discussions about how to overcome or change them.

Exploring Problem Decomposition in Conceptual Design

Design embraces several disciplines dedicated to the production of artifacts and services. These disciplines are quite independent and only recently has psychological interest focused on them. Nowadays, the psychological theories of design, also called design cognition literature, describe the design process from the information processing viewpoint. These models co-exist with the normative standards of how designs should be crafted. In many places there are concrete discrepancies between these two in a way that resembles the differences between the actual and ideal decision-making. This study aimed to explore the possible difference related to problem decomposition. Decomposition is a standard component of human problem-solving models and is also included in the normative models of design. The idea of decomposition is to focus on a single aspect of the problem at a time. Despite its significance, the nature of decomposition in conceptual design is poorly understood and has only been preliminary investigated. This study addressed the status of decomposition in conceptual design of products using protocol analysis. Previous empirical investigations have argued that there are implicit and explicit decomposition, but have not provided a theoretical basis for these two. Therefore, the current research began by reviewing the problem solving and design literature and then composing a cognitive model of the solution search of conceptual design. The result is a synthetic view which describes recognition and decomposition as the basic schemata for conceptual design. A psychological experiment was conducted to explore decomposition. In the test, sixteen (N=16) senior students of mechanical engineering created concepts for two alternative tasks. The concurrent think-aloud method and protocol analysis were used to study decomposition. The results showed that despite the emphasis on decomposition in the formal education, only few designers (N=3) used decomposition explicitly and spontaneously in the presented tasks, although the designers in general applied a top-down control strategy. Instead, inferring from the use of structured strategies, the designers always relied on implicit decomposition. These results confirm the initial observations found in the literature, but they also suggest that decomposition should be investigated further. In the future, the benefits and possibilities of explicit decomposition should be considered along with the cognitive mechanisms behind decomposition. After that, the current results could be reinterpreted.

Collaborative Design in a Virtual Learning Environment : Three Design Experiments in Textile Teacher Education

The aim of the study was to analyze and facilitate collaborative design in a virtual learning environment (VLE). Discussions of virtual design in design education have typically focused on technological or communication issues, not on pedagogical issues. Yet in order to facilitate collaborative design, it is also necessary to address the pedagogical issues related to the virtual design process. In this study, the progressive inquiry model of collaborative designing was used to give a structural level of facilitation to students working in the VLE. According to this model, all aspects of inquiry, such as creating the design context, constructing a design idea, evaluating the idea, and searching for new information, can be shared in a design community. The study consists of three design projects: 1) designing clothes for premature babies, 2) designing conference bags for an international conference, and 3) designing tactile books for visually impaired children. These design projects constituted a continuum of design experiments, each of which highlighted certain perspectives on collaborative designing. The design experiments were organized so that the participants worked in design teams, both face-to-face and virtually. The first design experiment focused on peer collaboration among textile teacher students in the VLE. The second design experiment took into consideration end-users needs by using a participatory design approach. The third design experiment intensified computer-supported collaboration between students and domain experts. The virtual learning environments, in these design experiments, were designed to support knowledge-building pedagogy and progressive inquiry learning. These environments enabled a detailed recording of all computer-mediated interactions and data related to virtual designing. The data analysis was based on qualitative content analysis of design statements in the VLE. This study indicated four crucial issues concerning collaborative design in the VLE in craft and design education. Firstly, using the collaborative design process in craft and design education gives rise to special challenges of building learning communities, creating appropriate design tasks for them, and providing tools for collaborative activities. Secondly, the progressive inquiry model of collaborative designing can be used as a scaffold support for design thinking and for reflection on the design process. Thirdly, participation and distributed expertise can be facilitated by considering the key stakeholders who are related to the design task or design context, and getting them to participate in virtual designing. Fourthly, in the collaborative design process, it is important that team members create and improve visual and technical ideas together, not just agree or disagree about proposed ideas. Therefore, viewing the VLE as a medium for collaborative construction of the design objects appears crucial in order to understand and facilitate the complex processes in collaborative designing.

Kuva tikkeinä kankaalla : Kokemuksia PE-design 6.0 -kirjontakuvion suunnitteluohjelman kahden automaattisen tekniikan käytettävyydestä

The aim of the thesis was to compare the correspondence of the outcome a computer assisted program appearance compared to the original image. The aspect of the study was directed to embroidery with household machines. The study was made from the usability point of view with Brother's PE-design 6.0 embroidery design programs two automatic techniques; multicoloured fragment design and multicoloured stitch surface design. The study's subject is very current because of the fast development of machine embroidery. The theory is based on history of household sewing machines, embroidery sewing machines, stitch types in household sewing machines, embroidery design programs as well as PE-design 6.0 embroidery design program's six automatic techniques. Additionally designing of embroidery designs were included: original image, digitizing, punching, applicable sewing threads as well as the connection between embroidery designs and materials used on embroidery. Correspondences of sewn appearances were examined with sewing experimental methods. 18 research samples of five original image were sewn with both techniques. Experiments were divided into four testing stages in design program. Every testing stage was followed by experimental sewing with Brother Super Galaxie 3100D embroidery machine. Experiments were reported into process files and forms made for the techniques. Research samples were analysed on images syntactic bases with sensory perception assessment. Original images and correspondence of the embroidery appearances were analysed with a form made of it. The form was divided into colour and shape assessment in five stage-similarity-scale. Based on this correspondence analysis it can be said that with both automatic techniques the best correspondence of colour and shape was achieved by changing the standard settings and using the makers own thread chart and edited original image. According to the testing made it is impossible to inform where the image editing possibilities of the images are sufficient or does the optimum correspondence need a separate program. When aiming at correspondence between appearances of two images the computer is unable to trace by itself the appearance of the original image. Processing a computer program assisted embroidery image human perception and personal decision making are unavoidable.

Design and testing of stand-specific bucking instructions for use on modern cut-to-length harvesters

This study addresses three important issues in tree bucking optimization in the context of cut-to-length harvesting. (1) Would the fit between the log demand and log output distributions be better if the price and/or demand matrices controlling the bucking decisions on modern cut-to-length harvesters were adjusted to the unique conditions of each individual stand? (2) In what ways can we generate stand and product specific price and demand matrices? (3) What alternatives do we have to measure the fit between the log demand and log output distributions, and what would be an ideal goodness-of-fit measure? Three iterative search systems were developed for seeking stand-specific price and demand matrix sets: (1) A fuzzy logic control system for calibrating the price matrix of one log product for one stand at a time (the stand-level one-product approach); (2) a genetic algorithm system for adjusting the price matrices of one log product in parallel for several stands (the forest-level one-product approach); and (3) a genetic algorithm system for dividing the overall demand matrix of each of the several log products into stand-specific sub-demands simultaneously for several stands and products (the forest-level multi-product approach). The stem material used for testing the performance of the stand-specific price and demand matrices against that of the reference matrices was comprised of 9 155 Norway spruce (Picea abies (L.) Karst.) sawlog stems gathered by harvesters from 15 mature spruce-dominated stands in southern Finland. The reference price and demand matrices were either direct copies or slightly modified versions of those used by two Finnish sawmilling companies. Two types of stand-specific bucking matrices were compiled for each log product. One was from the harvester-collected stem profiles and the other was from the pre-harvest inventory data. Four goodness-of-fit measures were analyzed for their appropriateness in determining the similarity between the log demand and log output distributions: (1) the apportionment degree (index), (2) the chi-square statistic, (3) Laspeyres quantity index, and (4) the price-weighted apportionment degree. The study confirmed that any improvement in the fit between the log demand and log output distributions can only be realized at the expense of log volumes produced. Stand-level pre-control of price matrices was found to be advantageous, provided the control is done with perfect stem data. Forest-level pre-control of price matrices resulted in no improvement in the cumulative apportionment degree. Cutting stands under the control of stand-specific demand matrices yielded a better total fit between the demand and output matrices at the forest level than was obtained by cutting each stand with non-stand-specific reference matrices. The theoretical and experimental analyses suggest that none of the three alternative goodness-of-fit measures clearly outperforms the traditional apportionment degree measure. Keywords: harvesting, tree bucking optimization, simulation, fuzzy control, genetic algorithms, goodness-of-fit

Aspects and Applications of Pulse Sequence Design for Solution-State Nuclear Magnetic Resonance Spectroscopy

NMR spectroscopy enables the study of biomolecules from peptides and carbohydrates to proteins at atomic resolution. The technique uniquely allows for structure determination of molecules in solution-state. It also gives insights into dynamics and intermolecular interactions important for determining biological function. Detailed molecular information is entangled in the nuclear spin states. The information can be extracted by pulse sequences designed to measure the desired molecular parameters. Advancement of pulse sequence methodology therefore plays a key role in the development of biomolecular NMR spectroscopy. A range of novel pulse sequences for solution-state NMR spectroscopy are presented in this thesis. The pulse sequences are described in relation to the molecular information they provide. The pulse sequence experiments represent several advances in NMR spectroscopy with particular emphasis on applications for proteins. Some of the novel methods are focusing on methyl-containing amino acids which are pivotal for structure determination. Methyl-specific assignment schemes are introduced for increasing the size range of 13C,15N labeled proteins amenable to structure determination without resolving to more elaborate labeling schemes. Furthermore, cost-effective means are presented for monitoring amide and methyl correlations simultaneously. Residual dipolar couplings can be applied for structure refinement as well as for studying dynamics. Accurate methods for measuring residual dipolar couplings in small proteins are devised along with special techniques applicable when proteins require high pH or high temperature solvent conditions. Finally, a new technique is demonstrated to diminish strong-coupling induced artifacts in HMBC, a routine experiment for establishing long-range correlations in unlabeled molecules. The presented experiments facilitate structural studies of biomolecules by NMR spectroscopy.