The Anchoring Bias of Investors and the 52-Week High Momentum Strategy in the OMX Helsinki Stock Exchange: Psychological Approach to Market Efficiency

The behavioural finance literature expects systematic and significant deviations from efficiency to persist in securities markets due to behavioural and cognitive biases of investors. These behavioural models attempt to explain the coexistence of intermediate-term momentum and long-term reversals in stock returns based on the systematic violations of rational behaviour of investors. The study investigates the anchoring bias of investors and the profitability of the 52-week momentum strategy (GH henceforward). The relatively highly volatile OMX Helsinki stock exchange is a suitable market for examining the momentum effect, since international investors tend to realise their positions first from the furthest security markets by the time of market turbulence. Empirical data is collected from Thomson Reuters Datastream and the OMX Nordic website. The objective of the study is to provide a throughout research by formulating a self-financing GH momentum portfolio. First, the seasonality of the strategy is examined by taking the January effect into account and researching abnormal returns in long-term. The results indicate that the GH strategy is subject to significantly negative revenues in January, but the strategy is not prone to reversals in long-term. Then the predictive proxies of momentum returns are investigated in terms of acquisition prices and 52-week high statistics as anchors. The results show that the acquisition prices do not have explanatory power over the GH strategy’s abnormal returns. Finally, the efficacy of the GH strategy is examined after taking transaction costs into account, finding that the robust abnormal returns remain statistically significant despite the transaction costs. As a conclusion, the relative distance between a stock’s current price and its 52-week high statistic explains the profits of momentum investing to a high degree. The results indicate that intermediateterm momentum and long-term reversals are separate phenomena. This presents a challenge to current behavioural theories, which model these aspects of stock returns as subsequent components of how securities markets respond to relevant information.

A simulation model of the optimal maintenance strategy: conceptual agent-based approach

In this Master’s thesis agent-based modeling has been used to analyze maintenance strategy related phenomena. The main research question that has been answered was: what does the agent-based model made for this study tell us about how different maintenance strategy decisions affect profitability of equipment owners and maintenance service providers? Thus, the main outcome of this study is an analysis of how profitability can be increased in industrial maintenance context. To answer that question, first, a literature review of maintenance strategy, agent-based modeling and maintenance modeling and optimization was conducted. This review provided the basis for making the agent-based model. Making the model followed a standard simulation modeling procedure. With the simulation results from the agent-based model the research question was answered. Specifically, the results of the modeling and this study are: (1) optimizing the point in which a machine is maintained increases profitability for the owner of the machine and also the maintainer with certain conditions; (2) time-based pricing of maintenance services leads to a zero-sum game between the parties; (3) value-based pricing of maintenance services leads to a win-win game between the parties, if the owners of the machines share a substantial amount of their value to the maintainers; and (4) error in machine condition measurement is a critical parameter to optimizing maintenance strategy, and there is real systemic value in having more accurate machine condition measurement systems.

A software engineering approach to distributed systems for composite modeling

The goal of this thesis is to define and validate a software engineering approach for the development of a distributed system for the modeling of composite materials, based on the analysis of various existing software development methods. We reviewed the main features of: (1) software engineering methodologies; (2) distributed system characteristics and their effect on software development; (3) composite materials modeling activities and the requirements for the software development. Using the design science as a research methodology, the distributed system for creating models of composite materials is created and evaluated. Empirical experiments which we conducted showed good convergence of modeled and real processes. During the study, we paid attention to the matter of complexity and importance of distributed system and a deep understanding of modern software engineering methods and tools.

A reaction engineering approach to homogeneously catalyzed glycerol hydrochlorination

The production of biodiesel through transesterification has created a surplus of glycerol on the international market. In few years, glycerol has become an inexpensive and abundant raw material, subject to numerous plausible valorisation strategies. Glycerol hydrochlorination stands out as an economically attractive alternative to the production of biobased epichlorohydrin, an important raw material for the manufacturing of epoxy resins and plasticizers. Glycerol hydrochlorination using gaseous hydrogen chloride (HCl) was studied from a reaction engineering viewpoint. Firstly, a more general and rigorous kinetic model was derived based on a consistent reaction mechanism proposed in the literature. The model was validated with experimental data reported in the literature as well as with new data of our own. Semi-batch experiments were conducted in which the influence of the stirring speed, HCl partial pressure, catalyst concentration and temperature were thoroughly analysed and discussed. Acetic acid was used as a homogeneous catalyst for the experiments. For the first time, it was demonstrated that the liquid-phase volume undergoes a significant increase due to the accumulation of HCl in the liquid phase. Novel and relevant features concerning hydrochlorination kinetics, HCl solubility and mass transfer were investigated. An extended reaction mechanism was proposed and a new kinetic model was derived. The model was tested with the experimental data by means of regression analysis, in which kinetic and mass transfer parameters were successfully estimated. A dimensionless number, called Catalyst Modulus, was proposed as a tool for corroborating the kinetic model. Reactive flash distillation experiments were conducted to check the commonly accepted hypothesis that removal of water should enhance the glycerol hydrochlorination kinetics. The performance of the reactive flash distillation experiments were compared to the semi-batch data previously obtained. An unforeseen effect was observed once the water was let to be stripped out from the liquid phase, exposing a strong correlation between the HCl liquid uptake and the presence of water in the system. Water has revealed to play an important role also in the HCl dissociation: as water was removed, the dissociation of HCl was diminished, which had a retarding effect on the reaction kinetics. In order to obtain a further insight on the influence of water on the hydrochlorination reaction, extra semi-batch experiments were conducted in which initial amounts of water and the desired product were added. This study revealed the possibility to use the desired product as an ideal “solvent” for the glycerol hydrochlorination process. A co-current bubble column was used to investigate the glycerol hydrochlorination process under continuous operation. The influence of liquid flow rate, gas flow rate, temperature and catalyst concentration on the glycerol conversion and product distribution was studied. The fluid dynamics of the system showed a remarkable behaviour, which was carefully investigated and described. Highspeed camera images and residence time distribution experiments were conducted to collect relevant information about the flow conditions inside the tube. A model based on the axial dispersion concept was proposed and confronted with the experimental data. The kinetic and solubility parameters estimated from the semi-batch experiments were successfully used in the description of mass transfer and fluid dynamics of the bubble column reactor. In light of the results brought by the present work, the glycerol hydrochlorination reaction mechanism has been finally clarified. It has been demonstrated that the reactive distillation technology may cause drawbacks to the glycerol hydrochlorination reaction rate under certain conditions. Furthermore, continuous reactor technology showed a high selectivity towards monochlorohydrins, whilst semibatch technology was demonstrated to be more efficient towards the production of dichlorohydrins. Based on the novel and revealing discoveries brought by the present work, many insightful suggestions are made towards the improvement of the production of αγ-dichlorohydrin on an industrial scale.