Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Variance reduction properties of dynamic hedging models - empirical evidence from BRICS countries

This Master’s Thesis analyses the effectiveness of different hedging models on BRICS (Brazil, Russia, India, China, and South Africa) countries. Hedging performance is examined by comparing two different dynamic hedging models to conventional OLS regression based model. The dynamic hedging models being employed are Constant Conditional Correlation (CCC) GARCH(1,1) and Dynamic Conditional Correlation (DCC) GARCH(1,1) with Student’s t-distribution. In order to capture the period of both Great Moderation and the latest financial crisis, the sample period extends from 2003 to 2014. To determine whether dynamic models outperform the conventional one, the reduction of portfolio variance for in-sample data with contemporaneous hedge ratios is first determined and then the holding period of the portfolios is extended to one and two days. In addition, the accuracy of hedge ratio forecasts is examined on the basis of out-of-sample variance reduction. The results are mixed and suggest that dynamic hedging models may not provide enough benefits to justify harder estimation and daily portfolio adjustment. In this sense, the results are consistent with the existing literature.

Sodium reduction in cooked meat products by using commercial potassium phoshate mixtures

Selostus: Natriumpitoisuuden pienentäminen lihavalmisteissa korvaamalla natriumfosfaatti kaliumfosfaatilla

Reduced simple ratio better than NDVI for estimating LAI in Finnish pine and spruce stands

Abstract

The impact of further tariff reduction on the EU sugar sector in the forthcoming multilateral round

Selostus: WTO:n kauppaneuvotteluissa esitettyjen tuontitullien alentamisvaihtoehtojen vaikutukset EU:n sokerimarkkinoihin

Defoliation by the common pine sawfly (Diprion pini) and subsequent growth reduction in Scots pine : a retrospective approach

Abstract

Characterization of board impurities with a Raman device

Erilaisia epäpuhtauksia kulkeutuu paperinvalmistusprosessiin ja monenlaisia saostumia muodostuu paperinvalmistuksen prosesseissa. Epäpuhtaudet voivat aiheuttaa prosessiongelmia sekä alentaa tuotteen laatua. Epäpuhtauksien alkuperän ja koostumuksen selvittäminen edellyttää usein erilaisten analyysimenetelmien käyttöä. Epäpuhtauksien luokittelu on useasti välttämätöntä ennen tarkempaa kemiallista analyysia. Paperinvalmistuksen epäpuhtauksien kvalitatiiviseen luokitteluun on yleisimmin käytetty mikroskopian, IR-spektroskopian ja analyyttisen pyrolyysin menetelmiä. Raman spektroskopia on harvinaisempi menetelmä paperiteollisuuden tutkimuksessa. Raman instrumenttien kehittyminen on ollut voimakasta viimeisen vuosikymmenen aikana. Raman spektroskopia onkin osoittanut mandollisuutensa polymeerien, lääketeollisuuden ja polttoaineteollisuuden tutkimuksissa. Tässä työssä tutkittiin erään elintarvikepakkauskartongin epäpuhtauksia Raman spektroskoopilla. Työn tavoitteena oli selvittää Raman analyysin käyttökelpoisuutta kartongin epäpuhtauksien online-luokittelussa. Tutkimukset suoritettiin Spectracoden RP-1 Raman instrumentilla. Tutkimukset osoittivat, että näytteen fluoresenssi ja näytteen hajoaminen asettavat rajoituksia epäpuhtauksien Raman analyysille. Epäpuhtauksien online-tunnistaminen toimii käytettäessä suuria lasertehoja ja säteilytysaikoja. Näytteiden laserherkkyys ja fluoresenssi rajoittavat kuitenkin suurien laiteparametrien käyttöä. Laiteparametrien pienentäminen johti mittauksien signaali-kohina suhteen alenemiseen, mikä puolestaan aiheutti online-tunnistuksen toimimattomuuden.

Reduction of Greenhouse Gas Emissions in North-West Russia - Finnish Business Opportunities

Tutkimus suomalaisten yritysten liiketoimintamahdollisuuksista hiilidoksidipäästöjen vähentämisen parissa Luoteis-Venäjällä.

A comparative performance study of four-pole induction motors and synchronous reluctance motors in variable speed drives

Design aspects of the Transversally Laminated Anisotropic (TLA) Synchronous Reluctance Motor (SynRM) are studied and the machine performance analysis compared to the Induction Motor (IM) is done. The SynRM rotor structure is designed and manufactured for a30 kW, four-pole, three-phase squirrel cage induction motor stator. Both the IMand SynRM were supplied by a sensorless Direct Torque Controlled (DTC) variablespeed drive. Attention is also paid to the estimation of the power range where the SynRM may compete successfully with a same size induction motor. A technicalloss reduction comparison between the IM and SynRM in variable speed drives is done. The Finite Element Method (FEM) is used to analyse the number, location and width of flux barriers used in a multiple segment rotor. It is sought for a high saliency ratio and a high torque of the motor. It is given a comparison between different FEM calculations to analyse SynRM performance. The possibility to take into account the effect of iron losses with FEM is studied. Comparison between the calculated and measured values shows that the design methods are reliable. A new application of the IEEE 112 measurement method is developed and used especially for determination of stray load losses in laboratory measurements. The study shows that, with some special measures, the efficiency of the TLA SynRM is equivalent to that of a high efficiency IM. The power factor of the SynRM at rated load is smaller than that of the IM. However, at lower partial load this difference decreases and this, probably, brings that the SynRM gets a better power factor in comparison with the IM. The big rotor inductance ratio of the SynRM allows a good estimating of the rotor position. This appears to be very advantageous for the designing of the rotor position sensor-less motor drive. In using the FEM designed multi-layer transversally laminated rotor with damper windings it is possible to design a directly network driven motor without degrading the motorefficiency or power factor compared to the performance of the IM.

Selective catalytic reduction of nitrogen oxides with ammonia in forced unsteady state reactors - Case based reasoning and mathematical model simulation reasoning

The application of forced unsteady-state reactors in case of selective catalytic reduction of nitrogen oxides (NOx) with ammonia (NH3) is sustained by the fact that favorable temperature and composition distributions which cannot be achieved in any steady-state regime can be obtained by means of unsteady-state operations. In a normal way of operation the low exothermicity of the selective catalytic reduction (SCR) reaction (usually carried out in the range of 280-350°C) is not enough to maintain by itself the chemical reaction. A normal mode of operation usually requires supply of supplementary heat increasing in this way the overall process operation cost. Through forced unsteady-state operation, the main advantage that can be obtained when exothermic reactions take place is the possibility of trapping, beside the ammonia, the moving heat wave inside the catalytic bed. The unsteady state-operation enables the exploitation of the thermal storage capacity of the catalyticbed. The catalytic bed acts as a regenerative heat exchanger allowing auto-thermal behaviour when the adiabatic temperature rise is low. Finding the optimum reactor configuration, employing the most suitable operation model and identifying the reactor behavior are highly important steps in order to configure a proper device for industrial applications. The Reverse Flow Reactor (RFR) - a forced unsteady state reactor - corresponds to the above mentioned characteristics and may be employed as an efficient device for the treatment of dilute pollutant mixtures. As a main disadvantage, beside its advantages, the RFR presents the 'wash out' phenomena. This phenomenon represents emissions of unconverted reactants at every switch of the flow direction. As a consequence our attention was focused on finding an alternative reactor configuration for RFR which is not affected by the incontrollable emissions of unconverted reactants. In this respect the Reactor Network (RN) was investigated. Its configuration consists of several reactors connected in a closed sequence, simulating a moving bed by changing the reactants feeding position. In the RN the flow direction is maintained in the same way ensuring uniformcatalyst exploitation and in the same time the 'wash out' phenomena is annulated. The simulated moving bed (SMB) can operate in transient mode giving practically constant exit concentration and high conversion levels. The main advantage of the reactor network operation is emphasizedby the possibility to obtain auto-thermal behavior with nearly uniformcatalyst utilization. However, the reactor network presents only a small range of switching times which allow to reach and to maintain an ignited state. Even so a proper study of the complex behavior of the RN may give the necessary information to overcome all the difficulties that can appear in the RN operation. The unsteady-state reactors complexity arises from the fact that these reactor types are characterized by short contact times and complex interaction between heat and mass transportphenomena. Such complex interactions can give rise to a remarkable complex dynamic behavior characterized by a set of spatial-temporal patterns, chaotic changes in concentration and traveling waves of heat or chemical reactivity. The main efforts of the current research studies concern the improvement of contact modalities between reactants, the possibility of thermal wave storage inside the reactor and the improvement of the kinetic activity of the catalyst used. Paying attention to the above mentioned aspects is important when higher activity even at low feeding temperatures and low emissions of unconverted reactants are the main operation concerns. Also, the prediction of the reactor pseudo or steady-state performance (regarding the conversion, selectivity and thermal behavior) and the dynamicreactor response during exploitation are important aspects in finding the optimal control strategy for the forced unsteady state catalytic tubular reactors. The design of an adapted reactor requires knowledge about the influence of its operating conditions on the overall process performance and a precise evaluation of the operating parameters rage for which a sustained dynamic behavior is obtained. An apriori estimation of the system parameters result in diminution of the computational efforts. Usually the convergence of unsteady state reactor systems requires integration over hundreds of cycles depending on the initial guess of the parameter values. The investigation of various operation models and thermal transfer strategies give reliable means to obtain recuperative and regenerative devices which are capable to maintain an auto-thermal behavior in case of low exothermic reactions. In the present research work a gradual analysis of the SCR of NOx with ammonia process in forced unsteady-state reactors was realized. The investigation covers the presentationof the general problematic related to the effect of noxious emissions in the environment, the analysis of the suitable catalysts types for the process, the mathematical analysis approach for modeling and finding the system solutions and the experimental investigation of the device found to be more suitable for the present process. In order to gain information about the forced unsteady state reactor design, operation, important system parameters and their values, mathematical description, mathematicalmethod for solving systems of partial differential equations and other specific aspects, in a fast and easy way, and a case based reasoning (CBR) approach has been used. This approach, using the experience of past similarproblems and their adapted solutions, may provide a method for gaining informations and solutions for new problems related to the forced unsteady state reactors technology. As a consequence a CBR system was implemented and a corresponding tool was developed. Further on, grooving up the hypothesis of isothermal operation, the investigation by means of numerical simulation of the feasibility of the SCR of NOx with ammonia in the RFRand in the RN with variable feeding position was realized. The hypothesis of non-isothermal operation was taken into account because in our opinion ifa commercial catalyst is considered, is not possible to modify the chemical activity and its adsorptive capacity to improve the operation butis possible to change the operation regime. In order to identify the most suitable device for the unsteady state reduction of NOx with ammonia, considering the perspective of recuperative and regenerative devices, a comparative analysis of the above mentioned two devices performance was realized. The assumption of isothermal conditions in the beginningof the forced unsteadystate investigation allowed the simplification of the analysis enabling to focus on the impact of the conditions and mode of operation on the dynamic features caused by the trapping of one reactant in the reactor, without considering the impact of thermal effect on overall reactor performance. The non-isothermal system approach has been investigated in order to point out the important influence of the thermal effect on overall reactor performance, studying the possibility of RFR and RN utilization as recuperative and regenerative devices and the possibility of achieving a sustained auto-thermal behavior in case of lowexothermic reaction of SCR of NOx with ammonia and low temperature gasfeeding. Beside the influence of the thermal effect, the influence of the principal operating parameters, as switching time, inlet flow rate and initial catalyst temperature have been stressed. This analysis is important not only because it allows a comparison between the two devices and optimisation of the operation, but also the switching time is the main operating parameter. An appropriate choice of this parameter enables the fulfilment of the process constraints. The level of the conversions achieved, the more uniform temperature profiles, the uniformity ofcatalyst exploitation and the much simpler mode of operation imposed the RN as a much more suitable device for SCR of NOx with ammonia, in usual operation and also in the perspective of control strategy implementation. Theoretical simplified models have also been proposed in order to describe the forced unsteady state reactors performance and to estimate their internal temperature and concentration profiles. The general idea was to extend the study of catalytic reactor dynamics taking into account the perspectives that haven't been analyzed yet. The experimental investigation ofRN revealed a good agreement between the data obtained by model simulation and the ones obtained experimentally.

Lajitteluparametrit korkeakappaisessa sellulinjassa

Tutkimustyön tarkoituksena oli selvittää Tainionkosken sellutehtaan vuonna 2001 uudistetun kuitulinjan prosessin vaikutusta kuumajauhatukseen, kuumalajitteluun, pesutulokseen ja hienolajitteluun. Työn tavoitteena oli löytää ja todentaa optimaalinen ajotapa lopputuotteen eli Tainionkosken kartonkitehtaan kartongin kannalta pesussa, kuidutuksessa, kuumalajittelussa ja hienolajittelussa. Ennen kuitulinjan uudistusta kartoitettiin tilanne kuumajauhatuksessa ja kuumalajittelussa ennen prosessimuutoksia. Kartoituksessa havaittiin, että kuumalajittelu ja kuumakuidutus toimivat parhaiten puhtaan jauhatusenergian ollessa n. 18 kWh/ADT, sekä tilavuusmääräisen ja massavirtamääräisen rejektisuhteen ollessa n. 30 %.Uuden pesemön valmistumisen jälkeen tutkittiin kappatason ja energiatason vaikutusta kuumalajitteluun, kuumakuidutukseen ja pesutulokseen. Tutkimuksessa todettiin tikkupitoisuuksien kasvavan kappatason kohoamisen seurauksena. Kuumajauhimen syöttösakeus kasvoi kappatason noustua, koska prosessimittaus ei huomioinut sakeuden kasvua ja tällöin jauhimen laimennusveden määrä jäi liian vähäiseksi. Korkean kapan seurauksena keitosta tulevien suurien partikkelien määrä lisääntyi. Kuumajauhatuksessa korkeampi kappaluku merkitsi hienoaineen lisääntymistä jauhetussa massassa. Tämän seurauksena kuidutetun massan suotautumisvastus kasvoi kappatason kohottua. Uuden prosessin kuumajauhatukseen tuleva massa on jo pesty 4-vaiheisella DD-pesurilla. Puhtaampi massa kuumajauhatuksessa ja kuumalajittelussa on merkinnyt jauhimen tikkureduktion paranemista, mutta samalla kuumalajittimen tikkujen puhdistustehokkuus on heikentynyt. Laboratoriomittausten mukaan kappatason kasvu huonontaa pesutulosta uudessa pesemössä. Uuden hienolajittamon suorituskykyä määritettiin taseiden avulla. Vanhan lajittamon toiminnassa huomattiin puutteita siinä, että 2-portaan lajittimen 1-portaan syöttöön tulevan rejektivirran tikkupitoisuus oli suurempi mitä tikkupitoisuus 1-portaan syöttövirrassa. Uudessa lajittamossa molempien virtausten tikkupitoisuudet olivat lähes samat. Kokonaisuudessaan hienolajittamon toiminta havaittiin hyväksi. Pesemö ja hienolajittelu toimivat kokeiden perusteella parhaiten lähellä mitoitettua maksimituotantoa 700 ADT/d.

Nitrogen Oxides Reduction Possibilities at Pulp Mill and Power Plant

Tutkimuksen tarkoituksena oli selvittää typenoksidien vähennysmahdollisuudet Stora Enson Varkauden tehtaiden sellutehtaalla ja voimalaitoksella. Tutkimuksessa käsiteltiin tehdasalueen suurimpia typenoksidien päästölähteitä: soodakattilaa, meesauunia, kuorikattilaa, öljykattilaa ja muovi-alumiinijakeen kaasutuslaitosta. Tutkimuksessa selvitettiin typenoksidipäästöjen syntymekanismit ja erilaisiin polttotekniikoihin soveltuvat typenoksidien vähennystekniikat. Varkauden tehtaiden typenoksidien vuosipäästö vuonna 2001 oli 836 tonnia. Kansallinen lainsäädäntö, kansainväliset sopimukset sekä paras käytettävissä oleva tekniikka (BAT) huomioiden selvitettiin kuhunkin kohteeseen parhaiten soveltuvat ratkaisut. Tutkimuksen perusteella laadittiin toimenpideohjelma, joka määrittelee suositeltavan toteutusjärjestyksen typenoksidien vähennystoimenpiteille. Toimenpideohjelman tärkeimpinä kriteereinä pidettiin vuonna 2004 tulevan uuden ympäristöluvan arvioituja luparajoja sekä toimenpiteiden kustannustehokkuutta. Toteutusjärjestyksessä ensimmäiseksi valittiin koeajojakson järjestäminen ajon optimoimiseksi kiertopetikattilalla ja toiseksi meesauunin ajon optimointi jatkuvatoimisen NOx-analysaattorin avulla. Seuraaviksi toimenpiteiksi ehdotettiin vertikaali-ilmajärjestelmän käyttöönottoa soodakattilalla sekä SNCR-järjestelmän asennusta kuorikattilalle. Saavutettava NOx-vähennys tulisi olemaan 10 – 45 % ja hinta 30 – 3573 EUR vähennettyä NOx-tonnia kohti. Tutkimuksen osana Ilmatieteen laitoksella teetetyn typenoksidien leviämisselvityksen mukaan Stora Enson tehtaiden NOx-päästöjen vaikutus Varkauden ilmanlaatuun on hyvin pieni. Suurin osa NOx-päästöistä aiheutuu liikenteestä.

Kohinan poisto spektrikuvista pehmeillä morfologisilla suodattimilla

Tämän diplomityön tavoitteena oli tutkia kohinan poistoa spektrikuvista käyttäen pehmeitä morfologisia suodattimia. Työssä painotettiin impulssimaisen kohinan suodattamista. Suodattimien toimintaa arvioitiin numeerisesti keskimääräisen itseisarvovirheen, neliövirheen sekä signaali-kohinasuhteen avulla ja visuaalisesti tarkastelemalla suodatettuja kuvia sekä niiden yksittäisiä spektritasoja. Käytettyjä suodatusmenetelmiä olivat suodatus kuvapisteittäin spektrin suunnassa, suodatus koko spektrissä sekä kuutiomenetelmä ja komponenteittainen suodatus. Suodatettavat kuvat sisälsivät joko suola ja pippuri- tai bittivirhekohinaa. Parhaimmat suodatustulokset sekä numeeristen virhekriteerien että visuaalisen tarkastelun perusteella saatiin komponenteittaisella sekä kuvapisteittäisellä menetelmällä. Työssä käytetyt menetelmät on esitetty algoritmimuodossa. Suodatinalgoritmien toteutukset ja suodatuskokeet tehtiin Matlab-ohjelmistolla.