Stochastic particle models: mean reversion and burgers dynamics. An application to commodity markets

The aim of this study is to propose a stochastic model for commodity markets linked with the Burgers equation from fluid dynamics. We construct a stochastic particles method for commodity markets, in which particles represent market participants. A discontinuity in the model is included through an interacting kernel equal to the Heaviside function and its link with the Burgers equation is given. The Burgers equation and the connection of this model with stochastic differential equations are also studied. Further, based on the law of large numbers, we prove the convergence, for large N, of a system of stochastic differential equations describing the evolution of the prices of N traders to a deterministic partial differential equation of Burgers type. Numerical experiments highlight the success of the new proposal in modeling some commodity markets, and this is confirmed by the ability of the model to reproduce price spikes when their effects occur in a sufficiently long period of time.

Geographical Studies of Underwater Light Dynamics in the Coastal Archipelago of SW Finland, Baltic Sea

The underwater light field is an important environmental variable as it, among other things, enables aquatic primary production. Although the portion of solar radiation that is referred to as visible light penetrates water, it is restricted to a limited surface water layer because of efficient absorption and scattering processes. Based on the varying content of optical constituents in the water, the efficiency of light attenuation changes in many dimensions and over various spatial and temporal scales. This thesis discusses the underwater light dynamics of a transitional coastal archipelago in south-western Finland, in the Baltic Sea. While the area has long been known to have a highly variable underwater light field, quantified knowledge on the phenomenon has been scarce, patchy, or non-existent. This thesis focuses on the variability in the underwater light field through euphotic depths (1% irradiance remaining), which were derived from in situ measurements of vertical profiles of photosynthetically active radiation (PAR). Spot samples were conducted in the archipelago of south-western Finland, mainly during the ice-free growing seasons of 2010 and 2011. In addition to quantifying both the seasonal and geographical patterns of euphotic depth development, the need and usability of underwater light information are also discussed. Light availability was found to fluctuate in multiple dimensions and scales. The euphotic depth was shown to have combined spatio-temporal dynamics rather than separate changes in spatial and temporal dimensions. Such complexity in the underwater light field creates challenges in data collection, as well as in its utilisation. Although local information is needed, in highly variable conditions spot sampled information may only poorly represent its surroundings. Moreover, either temporally or spatially limited sampling may cause biases in understanding underwater light dynamics. Consequently, the application of light availability data, for example in ecological modelling, should be made with great caution.

Dynamics AX -toiminnanohjausjärjestelmän jatkuvuudenhallinta ja toipumissuunnitelma - Simulaatiotestausmalli: case CGI Suomi Oy

Nyky-yhteiskunta nojautuu vahvasti tietojärjestelmiin luoden laajemman arkkitehtuurisen kokonaisuuden, kybertoimintaympäristön. Liiketoimintaa tukevat tietojärjestelmät tukevat myös organisaatioiden prosesseja kokonaisvaltaisesti. Jotta näitä tärkeitä kyberympäristön tietojärjestelmä- sekä liiketoimintaympäristöresursseja pystytään käyttämään, tulee järjestelmien olla luotettavia ja sovellusten saatavilla vuorokauden ympäri tai aina tarvittaessa. Tilanteet, joissa järjestelmän käytettävyys vaarantuu, voivat eskaloitua yllättäen suuremmiksi, jos poikkeustilanteisiin ei ole varauduttu. Poikkeustilanteisiin varautumiseen tarvitaan jatkuvuudenhallintaa, joka on kiinteästi osa kattavampaa IT-strategiaa ja koko yhteiskunta-/yrityskulttuuria. Työ on toteutettu yhdistäen empiriaa ja teoriaa eli tavoitteena on teoreettisen tietämyksen ja käytännön kokemuksellisen oppimisen ja tietämyksen kautta luoda konstruktiivisella otteella toipumissuunnitelman testauksessa käytettävä simulaatiotestausmalli. Dynamics AX -toiminnanohjausjärjestelmän toipumissuunnitelman simulaatiotestausmallista rakentui selkeä ja kevyt työkalu asiakasyritysten toipumissuunnitelman simulaatiotestauksiin. Diplomityössä kuvatuilla keinotekoisilla järjestelmän häiriötilanteilla pystytään simuloimaan Dynamics AX:n toipumissuunnitelman testauksissa oikeita häiriötilanteita suhteellisen kattavalla tasolla.