Performance persistence of equity funds in the Russian stock market

This thesis investigates performance persistence among the equity funds investing in Russia during 2003-2007. Fund performance is measured using several methods including the Jensen alpha, the Fama-French 3- factor alpha, the Sharpe ratio and two of its variations. Moreover, we apply the Bayesian shrinkage estimation in performance measurement and evaluate its usefulness compared with the OLS 3-factor alphas. The pattern of performance persistence is analyzed using the Spearman rank correlation test, cross-sectional regression analysis and stacked return time series. Empirical results indicate that the Bayesian shrinkage estimates may provide better and more accurate estimates of fund performance compared with the OLS 3-factor alphas. Secondly, based on the results it seems that the degree of performance persistence is strongly related to length of the observation period. For the full sample period the results show strong signs of performance reversal whereas for the subperiod analysis the results indicate performance persistence during the most recent years.

Studies on Neuromuscular Blocking Agents and Their Antagonists During Anaesthesia

Neuromuscular blocking agents (NMBAs) are widely used in clinical anaesthesia and emergency medicine. Main objectives are to facilitate endotracheal intubation and to allow surgery by reducing muscle tone and eliminating sudden movements, which may otherwise lead to trauma and complications. The most commonly used NMBAs are non-depolarizing agents with a medium duration of action, such as rocuronium and cisatracurium. They bind to the acetylcholine receptors in the neuromuscular junction, thus inhibiting the depolarization of the postsynaptic (muscular) membrane, which is a prerequisite for muscle contraction to take place. Previously, it has been assumed that nitrous oxide (N2O), which is commonly used in combination with volatile or intravenous anaesthetics during general anaesthesia, has no effect on NMBAs. Several studies have since claimed that N2O in fact does increase the effect of NMBAs when using bolus administration of the relaxant. The effect of N2O on the infusion requirements of two NMBAs (rocuronium and cisatracurium) with completely different molecular structure and pharmacological properties was assessed. A closed-loop feedback controlled infusion of NMBA with duration of at least 90 minutes at a 90% level of neuromuscular block was used. All patients received total intravenous anaesthesia (TIVA) with propofol and remifentanil. In both studies the study group (n=35) received N2O/Oxygen and the control group (n=35) Air/Oxygen. There were no significant differences in the mean steady state infusion requirements of NMBA (rocuronium in Study I; cisatracurium in Study II) between the groups in either study. In Study III the duration of the unsafe period of recovery after reversal of rocuronium-induced neuromuscular block by using neostigmine or sugammadex as a reversal agent was analyzed. The unsafe period of recovery was defined as the time elapsed from the moment of no clinical (visual) fade in the train-of-four (TOF) sequence until an objectively measured TOF-ratio of 0.90 was achieved. The duration of these periods were 10.3 ± 5.5 and 0.3 ± 0.3 min after neostigmine and sugammadex, respectively (P < 0.001). Study IV investigated the possible effect of reversal of a rocuronium NMB by sugammadex on depth of anaesthesia as indicated by the bispectral index and entropy levels in thirty patients. Sugammadex did not affect the level of anaesthesia as determined by EEG-derived indices of anaesthetic depth such as the bispectral index and entropy.

Application of Computational Fluid Dynamics in Modeling Blood Flow in Human Thoracic Aorta

The aim of this study was to simulate blood flow in thoracic human aorta and understand the role of flow dynamics in the initialization and localization of atherosclerotic plaque in human thoracic aorta. The blood flow dynamics in idealized and realistic models of human thoracic aorta were numerically simulated in three idealized and two realistic thoracic aorta models. The idealized models of thoracic aorta were reconstructed with measurements available from literature, and the realistic models of thoracic aorta were constructed by image processing Computed Tomographic (CT) images. The CT images were made available by South Karelia Central Hospital in Lappeenranta. The reconstruction of thoracic aorta consisted of operations, such as contrast adjustment, image segmentations, and 3D surface rendering. Additional design operations were performed to make the aorta model compatible for the numerical method based computer code. The image processing and design operations were performed with specialized medical image processing software. Pulsatile pressure and velocity boundary conditions were deployed as inlet boundary conditions. The blood flow was assumed homogeneous and incompressible. The blood was assumed to be a Newtonian fluid. The simulations with idealized models of thoracic aorta were carried out with Finite Element Method based computer code, while the simulations with realistic models of thoracic aorta were carried out with Finite Volume Method based computer code. Simulations were carried out for four cardiac cycles. The distribution of flow, pressure and Wall Shear Stress (WSS) observed during the fourth cardiac cycle were extensively analyzed. The aim of carrying out the simulations with idealized model was to get an estimate of flow dynamics in a realistic aorta model. The motive behind the choice of three aorta models with distinct features was to understand the dependence of flow dynamics on aorta anatomy. Highly disturbed and nonuniform distribution of velocity and WSS was observed in aortic arch, near brachiocephalic, left common artery, and left subclavian artery. On the other hand, the WSS profiles at the roots of branches show significant differences with geometry variation of aorta and branches. The comparison of instantaneous WSS profiles revealed that the model with straight branching arteries had relatively lower WSS compared to that in the aorta model with curved branches. In addition to this, significant differences were observed in the spatial and temporal profiles of WSS, flow, and pressure. The study with idealized model was extended to study blood flow in thoracic aorta under the effects of hypertension and hypotension. One of the idealized aorta models was modified along with the boundary conditions to mimic the thoracic aorta under the effects of hypertension and hypotension. The results of simulations with realistic models extracted from CT scans demonstrated more realistic flow dynamics than that in the idealized models. During systole, the velocity in ascending aorta was skewed towards the outer wall of aortic arch. The flow develops secondary flow patterns as it moves downstream towards aortic arch. Unlike idealized models, the distribution of flow was nonplanar and heavily guided by the artery anatomy. Flow cavitation was observed in the aorta model which was imaged giving longer branches. This could not be properly observed in the model with imaging containing a shorter length for aortic branches. The flow circulation was also observed in the inner wall of the aortic arch. However, during the diastole, the flow profiles were almost flat and regular due the acceleration of flow at the inlet. The flow profiles were weakly turbulent during the flow reversal. The complex flow patterns caused a non-uniform distribution of WSS. High WSS was distributed at the junction of branches and aortic arch. Low WSS was distributed at the proximal part of the junction, while intermedium WSS was distributed in the distal part of the junction. The pulsatile nature of the inflow caused oscillating WSS at the branch entry region and inner curvature of aortic arch. Based on the WSS distribution in the realistic model, one of the aorta models was altered to induce artificial atherosclerotic plaque at the branch entry region and inner curvature of aortic arch. Atherosclerotic plaque causing 50% blockage of lumen was introduced in brachiocephalic artery, common carotid artery, left subclavian artery, and aortic arch. The aim of this part of the study was first to study the effect of stenosis on flow and WSS distribution, understand the effect of shape of atherosclerotic plaque on flow and WSS distribution, and finally to investigate the effect of lumen blockage severity on flow and WSS distributions. The results revealed that the distribution of WSS is significantly affected by plaque with mere 50% stenosis. The asymmetric shape of stenosis causes higher WSS in branching arteries than in the cases with symmetric plaque. The flow dynamics within thoracic aorta models has been extensively studied and reported here. The effects of pressure and arterial anatomy on the flow dynamic were investigated. The distribution of complex flow and WSS is correlated with the localization of atherosclerosis. With the available results we can conclude that the thoracic aorta, with complex anatomy is the most vulnerable artery for the localization and development of atherosclerosis. The flow dynamics and arterial anatomy play a role in the localization of atherosclerosis. The patient specific image based models can be used to diagnose the locations in the aorta vulnerable to the development of arterial diseases such as atherosclerosis.

Application of electrokinetic Fenton process for the remediation of soil contaminated with HCB

Electrokinetic remediation coupled with Fenton oxidation, widely called as Electrokinetic Fenton process is a potential soil remediation technique used for low permeable soil. The applicability of the process has been proved with soil contaminated with a wide range of organic compounds from phenol to the most recalcitrant ones such as PAHs and POPs. This thesis summarizes the major findings observed during an Electrokinetic Fenton Process study conducted for the remediation of low permeable soil contaminated with HCB, a typical hydrophobic organic contaminant. Model low permeable soil, kaolin, was artificially contaminated with HCB and subjected to Electrokinetic Fenton treatments in a series of laboratory scale batch experiments. The use of cyclodextrins as an enhancement agent to mobilize the sorbed contaminant through the system was investigated. Major process hindrances such as the oxidant availability and treatment duration were also addressed. The HCB degradation along with other parameters like soil pH, redox and cumulative catholyte flow were analyzed and monitored. The results of the experiments strengthen the existing knowledge on electrokinetic Fenton process as a promising technology for the treatment of soil contaminated with hydrophobic organic compounds. It has been demonstrated that HCB sorbed to kaolin can be degraded by the use of high concentrations of hydrogen peroxide during such processes. The overall system performances were observed to be influenced by the point and mode of oxidant delivery. Furthermore, the study contributes to new knowledge in shortening the treatment duration by adopting an electrode polarity reversal during the process.

Luonnonkiertovirtauksen kääntyminen pystyhöyrystimen lämmönvaihtoputkissa

Diplomityössä tutkitaan virtauksen kääntymistä Lappeenrannan teknillisen yliopiston PWR PACTEL –koelaitteiston pystyhöyrystimen lämmönvaihtoputkissa käyttäen APROS–prosessisimulointiohjelmaa. Työn teoriaosassa esitellään pystyhöyrystimillä varustettuja koelaitteistoja, erityisesti PWR PACTEL ja sen höyrystin. Lisäksi esitellään virtauksen kääntymisestä tehtyjä havaintoja ja käsitellään kääntymistä teoreettisesta näkökulmasta. Simulointiosan alussa esitellään työssä käytetty APROS –prosessisimulointiohjelma, sekä sen avulla höyrystimestä luodut mallit. Työssä on tutkittu virtauksen käännöstapahtumaa simuloimalla useita eri transienttitilanteita pienillä primäärimassavirroilla. Simulaatiotapauksissa havaittiin virtauksen kääntyvän höyrystimen eripituisissa lämmönvaihtoputkissa, tilanteesta riippuen pääosin lyhimmissä tai toisiksi lyhimmissä lämmönvaihtoputkissa. Transienttien eri vaiheiden, ts. primäärimassavirran muutos- ja tasaantumisvaiheiden pituuden havaittiin vaikuttavan siihen, minkä pituisissa putkissa kääntyminen tapahtuu ja missä järjestyksessä.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Language-specific aspects of reading acquisition: the case of Russian

We have investigated Russian children’s reading acquisition during an intermediate period in their development: after literacy onset, but before they have acquired well-developed decoding skills. The results of our study suggest that Russian first graders rely primarily on phonemes and syllables as reading grain-size units. Phonemic awareness seems to have reached the metalinguistic level more rapidly than syllabic awareness after the onset of reading instruction, the reversal which is typical for the initial stages of formal reading instruction creating external demand for phonemic awareness. Another reason might be the inherent instability of syllabic boundaries in Russian. We have shown that body-coda is a more natural representation of subsyllabic structure in Russian than onset-rime. We also found that Russian children displayed variability of syllable onset and offset decisions which can be attributed to the lack of congruence between syllabic and morphemic word division in Russian. We suggest that fuzziness of syllable boundary decisions is a sign of the transitional nature of this stage in the reading development and it indicates progress towards an awareness of morphologically determined closed syllables. Our study also showed that orthographic complexity exerts an influence on reading in Russian from the very start of reading acquisition. Besides, we found that Russian first graders experience fluency difficulties in reading orthographically simple words and nonwords of two and more syllables. The transition from monosyllabic to bisyllabic lexical items constitutes a certain threshold, for which the syllabic structure seemed to be of no difference. When we compared the outcomes of the Russian children with the ones produced by speakers of other languages, we discovered that in the tasks which could be performed with the help of alphabetic recoding Russian children’s accuracy was comparable to that of children learning to read in relatively shallow orthographies. In tasks where this approach works only partially, Russian children demonstrated accuracy results similar to those in deeper orthographies. This pattern of moderate results in accuracy and excellent performance in terms of reaction times is an indication that children apply phonological recoding as their dominant strategy to various reading tasks and are only beginning to develop suitable multiple strategies in dealing with orthographically complex material. The development of these strategies is not completed during Grade 1 and the shift towards diversification of strategies apparently continues in Grade 2.