Stock and Bond Market Integration: Evidence from Russian Financial Markets

Minimizing the risks of an investment portfolio but not in the favour of expected returns is one of the key interests of an investor. Typically, portfolio diversification is achieved using two main strategies: investing in different classes of assets thought to have little or negative correlations or investing in similar classes of assets in multiple markets through international diversification. This study investigates integration of the Russian financial markets in the time period of January 1, 2003 to December 28, 2007 using daily data. The aim is to test the intra-country and cross-country integration of the Russian stock and bond markets between seven countries. Our test methodology for the short-run dynamics testing is the vector autoregressive model (VAR) and for the long-run cointegration testing we use the Johansen cointegration test which is an extension to VAR. The empirical results of this study show that the Russian stock and bond markets are not integrated in the long-run either at intra-country or cross-country level which means that the markets are relatively segmented. The short-run dynamics are also relatively low. This implies a presence of potential gains from diversification.

Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Testing FCM technique for the wind energy scenarios in Finland

In the latter days, human activities constantly increase greenhouse gases emissions in the atmosphere, which has a direct impact on a global climate warming. Finland as European Union member, developed national structural plan to promote renewable energy generation, pursuing the aspects of Directive 2009/28/EC and put it on the sharepoint. Finland is on a way of enhancing national security of energy supply, increasing diversity of the energy mix. There are plenty significant objectives to develop onshore and offshore wind energy generation in country for a next few decades, as well as another renewable energy sources. To predict the future changes, there are a lot of scenario methods developed and adapted to energy industry. The Master’s thesis explored “Fuzzy cognitive maps” approach in scenarios developing, which captures expert’s knowledge in a graphical manner and using these captures for a raw scenarios testing and refinement. There were prospects of Finnish wind energy development for the year of 2030 considered, with aid of FCM technique. Five positive raw scenarios were developed and three of them tested against integrated expert’s map of knowledge, using graphical simulation. The study provides robust scenarios out of the preliminary defined, as outcome, assuming the impact of results, taken after simulation. The thesis was conducted in such way, that there will be possibilities to use existing knowledge captures from expert panel, to test and deploy different sets of scenarios regarding to Finnish wind energy development.

Testing for granger-causality in the Finnish roundwood market

Summary

Angelo Panebiancos institutionaliseringshypotes: testing i en nordisk kontext

Abstract: Angelo Panebianco's institutionalizationhypothesis : testing in nordic context

Testing a large-scale forestry scenario model by means of successive inventories on a forest property

Abstract

Immunopathogenesis of Asthma and Atopic Diseases – The specific Role of a selected Panel of Genes in human T helper Cell Differentiation

T helper cell (Th) functions are crucial for proper immune defence against various intra- and extracellular pathogens. According to the specific immune responses, Th cells can be classified into subtypes, Th1 and Th2 cells being the most frequently characterized classes. Th1 and Th2 cells interact with other immune cells by regulating their functions with specific cytokine production. IFN, IL-2 and TNF- are the cytokines predominantly produced by Th1 cells whereas Th2 cells produce Th2-type cytokines, such as IL-4, IL-5 and IL-13. Upon TCR activation and in the presence of polarizing cytokines, Th cells differentiate into effector subtypes from a common precursor cell. IFN and IL-12 are the predominant Th1 polarizing cytokines whereas IL-4 directs Th2 polarization. The cytokines mediate their effects through specific receptor signalling. The differentiation process is complex, involving various signalling molecules and routes, as well as functions of the specific transcription factors. The functions of the Th1/Th2 cells are tightly regulated; however, knowledge on human Th cell differentiation is, as yet, fairly poor. The susceptibility for many immune-mediated disorders often originates from disturbed Th cell responses. Thus, research is needed for defining the molecular mechanisms involved in the differentiation and balanced functions of the Th cells. Importantly, the new information obtained will be crucial for a better understanding of the pathogenesis of immune-mediated disorders, such as asthma or autoimmune diseases. In the first subproject of this thesis, the role of genetic polymorphisms in the human STAT6, GATA3 and STAT4 genes were investigated for asthma or atopy susceptibility in Finnish asthma families by association analysis. These genes code for key transcription factors regulating Th cell differentiation. The study resulted in the identification of a GATA3 haplotype that associated with asthma and related traits (high serum IgE level). In the second subproject, an optimized method for human primary T cell transfection and enrichment was established. The method can be utilized for functional studies for the selected genes of interest. The method was also utilized in the third subproject, which aimed at the identification of novel genes involved in early human Th cell polarization (0-48h) using genome-wide oligonucleotide arrays. As a result, numerous genes and ESTs with known or unknown functions were identified in the study. Using an shRNA knockdown approach, a panel of novel IL-4/STAT6 regulated genes were identified in the functional studies of the genes. Moreover, one of the genes, NDFIP2, with a previously uncharacterized role in the human Th differentiation, was observed to promote IFN production of the differentiated Th1 cells. Taken together, the results obtained have revealed potential new relevant candidate genes serving as a basis for further studies characterizing the detailed networks involved in the human Th cell differentiation as well as in the genetic susceptibility of Th-mediated immune disorders.

Testing of Vacuum Drum Filter

Tämän diplomityön tavoitteena oli testata ja optimoida erään alipainerumpusuodattimen toimivuutta, ja lisäksi maksimoida tuottavuus ja vertailla erilaisten pesumenetelmientehokkuutta. Testilietteiden ¿ rautarikasteen ja täyteainepastan ¿ karakterisointi oli myös tärkeää. Kirjallisuusosassa tarkasteltiin lyhyesti neste-kiintoaine-erotuksen teoriaa, erityisesti alipainesuodatusta ja alipainerumpusuodattimia. Lisäksi käsiteltiin kapillaarisuodatuksen toimintaperiaatteita sekä selvitettiin kaivosteollisuuden veden talteenottokeinoja, kiintoainejäämien käsittelymenetelmiä ja Chilen kaivosteollisuuden nykytilaa. Työn kokeellinen osa suoritettiin käyttämällä raskaita ja kiintoainepitoisuuksiltaan korkeita lietteitä, eli rautarikastetta ja täyteainepastaa. Kokeet suoritettiin erityisellä alipainerumpusuodattimella, joka oli muokattu perinteisestäpäältä syötettävästä alipainerumpusuodattimesta. Kokeissa tutkittiin pyörimisnopeuden ja erilaisten pesumenetelmien vaikutusta kakun kosteuteen ja suodatuskapasiteettiin. Koelietteiden karakterisointi suoritettiin analysoimalla partikkelikokojakauma, kiintoainepitoisuus, metallipitoisuus ja koostumus. Kokeiden perusteella havaittiin, että rummun pyörimisnopeudella ja lietteen kiintoainepitoisuudella on merkittävä vaikutus suodatuskapasiteettiin ja kakun kosteuspitoisuuteen. Havaittiin myös, että kakun kosteuspitoisuuksissa ja rummun suodatuskapasiteeteissa oli eroja, kun verrattiin eri suodatinväliaineen pesumenetelmiä. Täten oikean pesumenetelmän valinta on tärkeää, ja sillä pystytään lisäämään suodatinväliaineen käyttöikää.

Test automation in Basic Acceptance Testing of S60 platform

Perushyväksymistestaus on oleellinen osa S60 alustan julkaisukandidaatin maturiteetin seurannassa. Perushyväksymistestausta tehdään myös ohjelmiston julkistamiskelpoisuuden varmistamiseksi. Testaustulokset halutaan aina mahdollisimman nopeasti. Lisäksi testaustiimin työmäärä on hiljalleen kasvanut, koska projekteja onenemmän ja korjauksia sisältäviä ja räätälöityjä settejä testataan enemmän. Tässä diplomityössä tutkitaan lyhentäisikö testisetin osan automatisointi testien ajoaikaa ja helpottaisiko se testaajien työtaakkaa. Tarkastelu toteutetaan automatisoimalla osa testisetistä ja kokemuksia esitellään tässä lopputyössä.