Dynamic linkages of real estate and stock markets in Finland

Traditionally real estate has been seen as a good diversification tool for a stock portfolio due to the lower return and volatility characteristics of real estate investments. However, the diversification benefits of a multi-asset portfolio depend on how the different asset classes co-move in the short- and long-run. As the asset classes are affected by the same macroeconomic factors, interrelationships limiting the diversification benefits could exist. This master’s thesis aims to identify such dynamic linkages in the Finnish real estate and stock markets. The results are beneficial for portfolio optimization tasks as well as for policy-making. The real estate industry can be divided into direct and securitized markets. In this thesis the direct market is depicted by the Finnish housing market index. The securitized market is proxied by the Finnish all-sectors securitized real estate index and by a European residential Real Estate Investment Trust index. The stock market is depicted by OMX Helsinki Cap index. Several macroeconomic variables are incorporated as well. The methodology of this thesis is based on the Vector Autoregressive (VAR) models. The long-run dynamic linkages are studied with Johansen’s cointegration tests and the short-run interrelationships are examined with Granger-causality tests. In addition, impulse response functions and forecast error variance decomposition analyses are used for robustness checks. The results show that long-run co-movement, or cointegration, did not exist between the housing and stock markets during the sample period. This indicates diversification benefits in the long-run. However, cointegration between the stock and securitized real estate markets was identified. This indicates limited diversification benefits and shows that the listed real estate market in Finland is not matured enough to be considered a separate market from the general stock market. Moreover, while securitized real estate was shown to cointegrate with the housing market in the long-run, the two markets are still too different in their characteristics to be used as substitutes in a multi-asset portfolio. This implies that the capital intensiveness of housing investments cannot be circumvented by investing in securitized real estate.

Subwoofer suunnittelu - mallinnus ja vasteen analysointi erityisesti impulssivasteen kannalta

Tämä kandidaatintyö käsittelee subwoofer-kaiuttimen mallinnusta ja analysointia impulssivasteen perusteella. Refleksikoteloidulle kaiuttimelle muodostetaan siirtofunktio ja sen avulla simuloidaan kaiuttimen impulssivasteen käyttäytymistä erilaisilla kotelon virityksillä. Simuloinnit toteutetaan kolmella erilaisella kaiutinelementillä käyttäen kullekin viittä erityyppistä viritystä. Simulointien toimivuutta käytännössä yritetään todistaa mittauksilla, joissa simulointien pohjalta toteutetaan viisi viritystä rakentamalla refleksikotelo Seas P11RCY-kaiutinelementille ja mittaamalla kunkin virityksen tuottama askelvaste. Tämän jälkeen mitatuista askelvasteista määritetään impulssivasteet laskennallisesti ja verrataan niitä toisiinsa sekä simulointien tuloksiin yrittäen löytää mahdollinen korrelaatio simulointien ja mittausten välille. Määritetään myös mikä käytetyistä viidestä virityksestä tuottaa parhaimman vasteen kullekin kolmelle kaiutinelementille.

Broadband excitation in the system identification of active magnetic bearing rotor systems

One of the targets of the climate and energy package of the European Union is to increase the energy efficiency in order to achieve a 20 percent reduction in primary energy use compared with the projected level by 2020. The energy efficiency can be improved for example by increasing the rotational speed of large electrical drives, because this enables the elimination of gearboxes leading to a compact design with lower losses. The rotational speeds of traditional bearings, such as roller bearings, are limited by mechanical friction. Active magnetic bearings (AMBs), on the other hand, allow very high rotational speeds. Consequently, their use in large medium- and high-speed machines has rapidly increased. An active magnetic bearing rotor system is an inherently unstable, nonlinear multiple-input, multiple-output system. Model-based controller design of AMBs requires an accurate system model. Finite element modeling (FEM) together with the experimental modal analysis provides a very accurate model for the rotor, and a linearized model of the magneticactuators has proven to work well in normal conditions. However, the overall system may suffer from unmodeled dynamics, such as dynamics of foundation or shrink fits. This dynamics can be modeled by system identification. System identification can also be used for on-line diagnostics. In this study, broadband excitation signals are adopted to the identification of an active magnetic bearing rotor system. The broadband excitation enables faster frequency response function measurements when compared with the widely used stepped sine and swept sine excitations. Different broadband excitations are reviewed, and the random phase multisine excitation is chosen for further study. The measurement times using the multisine excitation and the stepped sine excitation are compared. An excitation signal design with an analysis of the harmonics produced by the nonlinear system is presented. The suitability of different frequency response function estimators for an AMB rotor system are also compared. Additionally, analytical modeling of an AMB rotor system, obtaining a parametric model from the nonparametric frequency response functions, and model updating are discussed in brief, as they are key elements in the modeling for a control design. Theoretical methods are tested with a laboratory test rig. The results conclude that an appropriately designed random phase multisine excitation is suitable for the identification of AMB rotor systems.

Modelling Long-Run Relationship between Spot and Future Prices of Different Commodities

The purpose of this study is to investigate whether there exists any kind of relationship between the spot and future prices of the different commodities or not. Commodities like cocoa, coffee, crude oil, gold, natural gas and silver are considered from January 3, 2000 to December 31, 2012. For this purpose, ADF test and KPSS test are used in testing the stationarity whereas Johansen Cointegration test is used in testing the long-run relationship. Johansen co-integration test exhibits that there at least 5 co-integrating pairs out of 6 except crude oil. Moreover, the result of Granger Causality supports the fact that if two or more than two time series tend to be co-integrated there exists either uni-directional or bi-directional relationship. However, our results reveled that although there exists the co-integration between the variable, one might not granger causes another .VAR model is also used to measure the proportion of effects. These findings will help the derivative market and arbitragers in developing the strategies to gain the maximum profit in the financial market.

The Dynamic Relationship between Finnish Stock Market and Commodities

Since different stock markets have become more integrated during 2000s, investors need new asset classes in order to gain diversification benefits. Commodities have become popular to invest in and thus it is important to examine whether the investors should use commodities as a part for portfolio diversification. This master’s thesis examines the dynamic relationship between Finnish stock market and commodities. The methodology is based on Vector Autoregressive models (VAR). The long-run relationship between Finnish stock market and commodities is examined with Johansen cointegration while short-run relationship is examined with VAR models and Granger causality test. In addition, impulse response test and forecast error variance decomposition are employed to strengthen the results of short-run relationship. The dynamic relationships might change under different market conditions. Thus, the sample period is divided into two sub-samples in order to reveal whether the dynamic relationship varies under different market conditions. The results show that Finnish stock market has stable long-run relationship with industrial metals, indicating that there would not be diversification benefits among the industrial metals. The long-run relationship between Finnish stock market and energy commodities is not as stable as the long-run relationship between Finnish stock market and industrial metals. Long-run relationship was found in the full sample period and first sub-sample which indicate less room for diversification. However, the long-run relationship disappeared in the second sub-sample which indicates diversification benefits. Long-run relationship between Finnish stock market and agricultural commodities was not found in the full sample period which indicates diversification benefits between the variables. However, long-run relationship was found from both sub-samples. The best diversification benefits would be achieved if investor invested in precious metals. No long-run relationship was found from either sample. In the full sample period OMX Helsinki had short-run relationship with most of the energy commodities and industrial metals and the causality was mostly running from equities to commodities. During the first sub period the number of short-run relationships and causality shrunk but during the crisis period the number of short-run relationships and causality increased. The most notable result found was unidirectional causality from gold to OMX Helsinki during the crisis period.

Quasiconformal mappings and inequalities involving special functions

This PhD thesis in Mathematics belongs to the field of Geometric Function Theory. The thesis consists of four original papers. The topic studied deals with quasiconformal mappings and their distortion theory in Euclidean n-dimensional spaces. This theory has its roots in the pioneering papers of F. W. Gehring and J. Väisälä published in the early 1960’s and it has been studied by many mathematicians thereafter. In the first paper we refine the known bounds for the so-called Mori constant and also estimate the distortion in the hyperbolic metric. The second paper deals with radial functions which are simple examples of quasiconformal mappings. These radial functions lead us to the study of the so-called p-angular distance which has been studied recently e.g. by L. Maligranda and S. Dragomir. In the third paper we study a class of functions of a real variable studied by P. Lindqvist in an influential paper. This leads one to study parametrized analogues of classical trigonometric and hyperbolic functions which for the parameter value p = 2 coincide with the classical functions. Gaussian hypergeometric functions have an important role in the study of these special functions. Several new inequalities and identities involving p-analogues of these functions are also given. In the fourth paper we study the generalized complete elliptic integrals, modular functions and some related functions. We find the upper and lower bounds of these functions, and those bounds are given in a simple form. This theory has a long history which goes back two centuries and includes names such as A. M. Legendre, C. Jacobi, C. F. Gauss. Modular functions also occur in the study of quasiconformal mappings. Conformal invariants, such as the modulus of a curve family, are often applied in quasiconformal mapping theory. The invariants can be sometimes expressed in terms of special conformal mappings. This fact explains why special functions often occur in this theory.

Novel Functions of ErbB4 and NRG-1 in Development and Cancer

Cells communicate, or signal, with each other constantly to ensure proper functioning of tissues and organs. Cell signaling is often performed by interplay of receptors and ligands that bind these receptors. ErbB receptors (epidermal growth factor receptors, EGFR, HER) bind extracellular growth factors and transduce these signals inside of cells. ErbB dysfunction promotes carcinogenesis, and also results in numerous defects during normal development. This study focused on the functions of one member of the ErbB receptor family, ErbB4, and growth factor, neuregulin-1 (NRG-1), that can bind and activate ErbB4. This study aimed to find novel functions of ErbB4 and NRG-1. Hypoxia, or deficiency of oxygen, is common in cancer and ischemic conditions. One of the key findings of the work was the identification and characterization of a cross-talk between ErbB4 and Hypoxia-inducible factor 1α (HIF-1α), the central mediator of hypoxia signaling. ErbB4 activation by NRG-1 was found to increase HIF-1α activity. Interestingly, this regulation occurred in reciprocal manner as HIF-1α was also able to increase protein levels of NRG-1 and ErbB4. Moreover, expression of NRG-1 and ErbB4 was associated with HIF activity in vivo in human clinical samples and in mice. Reduction of functional ErbB4 in developing zebrafish embryos resulted in defects in development of the skeletal muscles. To study ErbB4 functions in pathological situation in humans, clinical samples of serous ovarian carcinoma were analyzed using tissue microarrays and real-time RT-PCR. A specific isoform of ErbB4, CYT-1, was associated with poor survival in serous ovarian cancer and increased anchorage independent growth of ovarian cancer cells in vitro. These observations demonstrate that ErbB4 and NRG-1 are essential regulators of cellular response to hypoxia, of development, and of ovarian carcinogenesis.

Excessive functions, Appell polynomials and optimal stopping

The main topic of the thesis is optimal stopping. This is treated in two research articles. In the first article we introduce a new approach to optimal stopping of general strong Markov processes. The approach is based on the representation of excessive functions as expected suprema. We present a variety of examples, in particular, the Novikov-Shiryaev problem for Lévy processes. In the second article on optimal stopping we focus on differentiability of excessive functions of diffusions and apply these results to study the validity of the principle of smooth fit. As an example we discuss optimal stopping of sticky Brownian motion. The third research article offers a survey like discussion on Appell polynomials. The crucial role of Appell polynomials in optimal stopping of Lévy processes was noticed by Novikov and Shiryaev. They described the optimal rule in a large class of problems via these polynomials. We exploit the probabilistic approach to Appell polynomials and show that many classical results are obtained with ease in this framework. In the fourth article we derive a new relationship between the generalized Bernoulli polynomials and the generalized Euler polynomials.