Weak Form Tests of Efficient Market Hypothesis: Evidence from CEE-Countries and Russian Stock Markets

Tämän tutkielman tavoitteena on selvittää Venäjän, Slovakian, Tsekin, Romanian, Bulgarian, Unkarin ja Puolan osakemarkkinoiden heikkojen ehtojen tehokkuutta. Tämä tutkielma on kvantitatiivinen tutkimus ja päiväkohtaiset indeksin sulkemisarvot kerättiin Datastreamin tietokannasta. Data kerättiin pörssien ensimmäisestä kaupankäyntipäivästä aina vuoden 2006 elokuun loppuun saakka. Analysoinnin tehostamiseksi dataa tutkittiin koko aineistolla, sekä kahdella aliperiodilla. Osakemarkkinoiden tehokkuutta on testattu neljällä tilastollisella metodilla, mukaan lukien autokorrelaatiotesti ja epäparametrinen runs-testi. Tavoitteena on myös selvittääesiintyykö kyseisillä markkinoilla viikonpäiväanomalia. Viikonpäiväanomalian esiintymistä tutkitaan käyttämällä pienimmän neliösumman menetelmää (OLS). Viikonpäiväanomalia on löydettävissä kaikilta edellä mainituilta osakemarkkinoilta paitsi Tsekin markkinoilta. Merkittävää, positiivista tai negatiivista autokorrelaatiota, on löydettävissä kaikilta osakemarkkinoilta, myös Ljung-Box testi osoittaa kaikkien markkinoiden tehottomuutta täydellä periodilla. Osakemarkkinoiden satunnaiskulku hylätään runs-testin perusteella kaikilta muilta paitsi Slovakian osakemarkkinoilla, ainakin tarkastellessa koko aineistoa tai ensimmäistä aliperiodia. Aineisto ei myöskään ole normaalijakautunut minkään indeksin tai aikajakson kohdalla. Nämä havainnot osoittavat, että kyseessä olevat markkinat eivät ole heikkojen ehtojen mukaan tehokkaita

Testing the Random Walk Hypothesis on the Baltic Stock Markets

The purpose of the thesis is to analyze whether the returns of general stock market indices of Estonia, Latvia and Lithuania follow the random walk hypothesis (RWH), and in addition, whether they are consistent with the weak-form efficiency criterion. Also the existence of the day-of-the-week anomaly is examined in the same regional markets. The data consists of daily closing quotes of the OMX Tallinn, Riga and Vilnius total return indices for the sample period from January 3, 2000 to August 28, 2009. Moreover, the full sample period is also divided into two sub-periods. The RWH is tested by applying three quantitative methods (i.e. the Augmented Dickey-Fuller unit root test, serial correlation test and non-parametric runs test). Ordinary Least Squares (OLS) regression with dummy variables is employed to detect the day-of-the-week anomalies. The random walk hypothesis (RWH) is rejected in the Estonian and Lithuanian stock markets. The Latvian stock market exhibits more efficient behaviour, although some evidence of inefficiency is also found, mostly during the first sub-period from 2000 to 2004. Day-of-the-week anomalies are detected on every stock market examined, though no longer during the later sub-period.

Early Detection of Alzheimer's Disease Beta-amyloid Pathology -Applicability of Positron Emission Tomography with the Amyloid Radioligand 11C-PIB

Early Detection of Alzheimer's Disease Beta-amyloid Pathology -Applicability of Positron Emission Tomography with the Amyloid Radioligand ¹¹C-PIB Accumulation of beta amyloid (Abeta) in the brain is characteristic for Alzheimer’s disease (AD). Carbon-11 labeled 2-(4’-methylaminophenyl)-6-hydroxybenzothiazole (¹¹C-PIB) is a novel positron emission tomography (PET) amyloid imaging agent that appears to be applicable for in vivo Abeta plaque detection and quantitation. The biodistribution and radiation dosimetry of ¹¹C-PIB were investigated in 16 healthy subjects. The reproducibility of a simplified ¹¹C-PIB quantitation method was evaluated with a test-retest study on 6 AD patients and 4 healthy control subjects. Brain ¹¹C-PIB uptake and its possible association with brain atrophy rates were studied over a two-year follow-up in 14 AD patients and 13 healthy controls. Nine monozygotic and 8 dizygotic twin pairs discordant for cognitive impairment and 9 unrelated controls were examined to determine whether brain Abeta accumulation could be detected with ¹¹C-PIB PET in cognitively intact persons who are at increased genetic risk for AD. The highest absorbed radiation dose was received by the gallbladder wall (41.5 mjuGy/MBq). About 20 % of the injected radioactivity was excreted into urine, and the effective whole-body radiation dose was 4.7 mjuSv/MBq. Such a dose allows repeated scans of individual subjects. The reproducibility of the simplified ¹¹C-PIB quantitation was good or excellent both at the regional level (VAR 0.9-5.5 %) and at the voxel level (VAR 4.2-6.4 %). ¹¹C-PIB uptake did not increase during 24 months’ follow-up of subjects with mild or moderate AD, even though brain atrophy and cognitive decline progressed. Baseline neocortical ¹¹C-PIB uptake predicted subsequent volumetric brain changes in healthy control subjects (r = 0.725, p = 0.005). Cognitively intact monozygotic co-twins – but not dizygotic co-twins – of memory-impaired subjects exhibited increased ¹¹C-PIB uptake (117-121 % of control mean) in their temporal and parietal cortices and the posterior cingulate (p<0.05), when compared with unrelated controls. This increased uptake may be representative of an early AD process, and genetic factors seem to play an important role in the development of AD-like Abeta plaque pathology. ¹¹C-PIB PET may be a useful method for patient selection and follow-up for early-phase intervention trials of novel therapeutic agents. AD might be detectable in high-risk individuals in its presymptomatic stage with ¹¹C-PIB PET, which would have important consequences both for future diagnostics and for research on disease-modifying treatments.

PET and MR imaging in Parkinson’s disease patients with cognitive impairment. A study of dopaminergic dysfunction, amyloid deposition, cortical hypometabolism and brain atrophy

Parkinson’s disease (PD) is the second most common neurodegenerative disorder. It is characterized by a severe loss of substantia nigra dopaminergic neurons leading to dopamine depletion in the striatum. PD affects movement, producing motor symptoms such as rigidity, tremor and bradykinesia. Non-motor symptoms include autonomic dysfunction, neurobehavioral problems and cognitive impairment, which may lead to dementia. The pathophysiological basis of cognitive impairment and dementia in PD is unclear. The aim of this thesis was to study the pathophysiological basis of cognitive impairment and dementia in PD. We evaluated the relation between frontostriatal dopaminergic dysfunction and the cognitive symptoms in PD patients with [18F]Fdopa PET. We also combined [C]PIB and [¹⁸F]FDG PET and magnetic resonance imaging in PD patients with and without dementia. In addition, we analysed subregional striatal [¹⁸F]Fdopa PET data to find out whether a simple ratio approach would reliably separate PD patients from healthy controls. The impaired dopaminergic function of the frontostriatal regions was related to the impairment in cognitive functions, such as memory and cognitive processing in PD patients. PD patients with dementia showed an impaired glucose metabolism but not amyloid deposition in the cortical brain regions, and the hypometabolism was associated with the degree of cognitive impairment. PD patients had atrophy, both in the prefrontal cortex and in the hippocampus, and the hippocampal atrophy was related to impaired memory. A single 15-min scan 75 min after a tracer injection seemed to be sufficient for separating patients with PD from healthy controls in a clinical research environment. In conclusion, the occurrence of cognitive impairment and dementia in PD seems to be multifactorial and relates to changes, such as reduced dopaminergic activity, hypometabolism, brain atrophy and rarely to amyloid accumulation.

Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Combination of pulsed corona discharge with TiO2 photocatalysis: verification of hypothesis

The oxidation potential of pulsed corona discharge concerning aqueous impurities is limited in respect to certain refractory compounds. This may be enhanced in combination of the discharge with catalysis/photocatalysis as developed in homogeneous gas-phase reactions. The objective of the work consists of testing the hypothesis of oxidation potential enhancement in combination of the discharge with TiO2 photocatalysis applied to aqueous solutions of refractory oxalate. Meglumine acridone acetate was included for meeting the practical needs. The experimental research was undertaken into oxidation of aqueous solutions under conditions of various target pollutant concentrations, pH and the pulse repetition rate with plain electrodes and the electrodes with TiO2 attached to their surface. The results showed no positive influence of the photocatalyst, the pollutants were oxidized with the rate identical within the accuracy of measurements. The possible explanation for the observed inefficiency may include low UV irradiance, screening effect of water and generally low oxidation rate in photocatalytic reactions. Further studies might include combination of electric discharge with ozone decomposition/radical formation catalysts.