Performance characteristic of moving average trading rules in the Finnish stock market

The thesis examines the profitability of DMAC trading rules in the Finnish stock market over the 1996-2012 period. It contributes to the existing technical analysis literature by comparing for the first time the performance of DMAC strategies based on individual stock trading portfolios to the performance of index trading strategies based on the trading on the index (OMX Helsinki 25) that consists of the same stocks. Besides, the market frictions including transaction costs and taxes are taken into account, and the results are reported from both institutional and individual investor’s perspective. Performance characteristic of DMAC rules are evaluated by simulating 19,900 different trading strategies in total for two non- overlapping 8-year sub-periods, and decomposing the full-sample-period performance of DMAC trading strategies into distinct bullish- and bearish-period performances. The results show that the best DMAC rules have predictive power on future price trends, and these rules are able to outperform buy-and-hold strategy. Although the performance of the DMAC strategies is highly dependent on the combination of moving average lengths, the best DMAC rules of the first sub-period have also performed well during the latter sub-period in the case of individual stock trading strategies. According to the results, the outperformance of DMAC trading rules over buy-and-hold strategy is mostly attributed to their superiority during the bearish periods, and particularly, during stock market crashes.

Designing a Demand Forecasting Process in the Fast Moving Consumer Goods Context

The purpose of this thesis was to study the design of demand forecasting processes. A literature review in the field of forecasting was conducted, including general forecasting process design, forecasting methods and techniques, the role of human judgment in forecasting and forecasting performance measurement. The purpose of the literature review was to identify the important design choices that an organization aiming to design or re-design their demand forecasting process would have to make. In the empirical part of the study, these choices and the existing knowledge behind them was assessed in a case study where a demand forecasting process was re-designed for a company in the fast moving consumer goods business. The new target process is described, as well as the reasoning behind the design choices made during the re-design process. As a result, the most important design choices are highlighted, as well as their immediate effect on other processes directly tied to the demand forecasting process. Additionally, some new insights on the organizational aspects of demand forecasting processes are explored. The preliminary results indicate that in this case the new process did improve forecasting accuracy, although organizational issues related to the process proved to be more challenging than anticipated.

Michelson interferometer with porch swing bearing for portable FTIR spectrometer

The interferometer for low resolution portable Fourier Transform middle infrared spectrometer was developed and studied experimentally. The final aim was a concept for a commercial prototype. Because of the portability, the interferometer should be compact sized and insensitive to the external temperature variations and mechanical vibrations. To minimise the size and manufacturing costs, Michelson interferometer based on plane mirrors and porch swing bearing was selected and no dynamic alignment system was applied. The driving motor was a linear voice coil actuator to avoid mechanical contact of the moving parts. The driving capability for low mirror driving velocities required by the photoacoustic detectors was studied. In total, four versions of such an interferometer were built and experimentally studied. The thermal stability during the external temperature variations and the alignment stability over the mirror travel were measured using the modulation depth of the wide diameter laser beam. Method for estimating the mirror tilt angle from the modulation depth was developed to take account the effect from the non-uniform intensity distribution of the laser beam. The spectrometer stability was finally studied also using the infrared radiation. The latest interferometer was assembled for the middle infrared spectrometer with spectral range from 750 cm−1 to 4500 cm−1. The interferometer size was (197 × 95 × 79) mm3 with the beam diameter of 25 mm. The alignment stability as the change of the tilt angle over the mirror travel of 3 mm was 5 μrad, which decreases the modulation depth only about 0.7 percent in infrared at 3000 cm−1. During the temperature raise, the modulation depth at 3000 cm−1 changed about 1 . . . 2 percentage units per Celsius over short term and even less than 0.2 percentage units per Celsius over the total temperature raise of 30 °C. The unapodised spectral resolution was 4 cm−1 limited by the aperture size. The best achieved signal to noise ratio was about 38 000:1 with commercially available DLaTGS detector. Although the vibration sensitivity requires still improving, the interferometer performed, as a whole, very well and could be further developed to conform all the requirements of the portable and stable spectrometer.

Moving lipids : ceramides, glycosphingolipids and the glycolipid transfer protein

Lipid movement in cells occurs by a variety of methods. Lipids diffuse freely along the lateral plane of a membrane and can translocate between the lipid leaflets, either spontaneously or with the help of enzymes. Lipid translocation between the different cellular compartments predominantly takes place through vesicular transport. Specialized lipid transport proteins (LTPs) have also emerged as important players in lipid movement, as well as other cellular processes. In this thesis we have studied the glycolipid transport protein (GLTP), a protein that transports glycosphingolipids (GSLs). While the in vitro properties of GLTP have been well characterized, its cell biological role remains elusive. By altering GSL and GLTP levels in cells, we have extracted clues towards the protein's function. Based on the results presented in this thesis and in previous works, we hypothesize that GLTP is involved in the GSL homeostasis in cells. GLTP most likely functions as a transporter or sensor of newly synthesized glucosylceramide (GlcCer), at or near the site of GlcCer synthesis. GLTP also seems to be involved in the synthesis of globotriacylceramide, perhaps in a manner that is similar to that of the fourphosphate adaptor protein 2, another GlcCer-transporting LTP. Additionally, we have developed and studied a novel method of introducing ceramides to cells, using a solvent-free approach. Ceramides are important lipids that are implicated in several cellular functions. Their role as proapoptotic molecules is particularly evident. Ceramides form stable bilayer structures when complexed with cholesterol phosphocholine (CholPC), a large-headgroup sterol. By adding ceramide/CholPC complexes to the growth medium, various chain length ceramides were successfully delivered to cells in culture. The uptake rate was dependent on the chain length of the ceramide, where shorter lipids were internalized more quickly. The rate of uptake also determined how the cells metabolised the ceramides. Faster uptake favored conversion of ceramide to GlcCer, whereas slower delivery resulted mainly in breakdown of the lipid.