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.

Gold investments and short- and long-run price determinants of the price of gold

Tämän tutkielman tavoitteena on tutkia tekijöitä jotkavaikuttavat lyhyellä ja pitkällä aikavälillä kullan hintaan. Toiseksi tutkielmassa selvitetään mitä eri sijoitusmahdollisuuksia löytyy kultaan sijoitettaessa. Aineistona käytetään kuukausitasoista dataa Yhdysvaltain ja maailman hintaindekseistä, Yhdysvaltain ja maailman inflaatiosta ja inflaation volatiliteetista, kullan beetasta, kullan lainahinnasta, luottoriskistä ja Yhdysvaltojen ja maailman valuuttakurssi indeksistä joulukuulta 1972 elokuulle 2006. Yhteisintegraatio regressiotekniikoita käytettiin muodostamaan malli jonka avullatutkittiin päätekijöitä jotka vaikuttavat kullan hintaan. Kirjallisuutta tutkimalla selvitettiin miten kultaan voidaan sijoittaa. Empiirisettulokset ovat yhteneväisiä edellisten tutkimusten kanssa. Tukea löytyi sille, että kulta on pitkän ajan suoja inflaatiota vastaan ja kulta ja Yhdysvaltojen inflaatio liikkuvat pitkällä aikavälillä yhdessä. Kullan hintaan vaikuttavat kuitenkin lyhyen ajan tekijät pitkän ajan tekijöitä enemmän. Kulta on myös sijoittajalle helppo sijoituskohde, koska se on hyvin saatavilla markkinoilla ja eri instrumentteja on lukuisia.

Tietojärjestelmien tukipalveluprosessien kehittäminen - case Helsoft

Tässä diplomityössä on käsitelty tietojärjestelmien tukipalveluun liittyviä prosesseja ja toimintoja. Tukipalvelutoiminnot ovat tietojärjestelmäteollisuuden merkittävä osa-alue ja siihen nähden aiheen tutkimus on ollut hyvin vähäistä. Viimeaikoina aihe on herättänyt kiinnostusta varsinkin asiakaskohtaisia ohjelmistoja toimittavien ohjelmistoyritysten keskuudessa. Diplomityön tarkoituksena oli suunnitella ja kehittää Helsoft Oy:n asiakaskohtaisten ohjelmistojen tukipalvelutoimintoja. Tämän työn näkökulmasta tukipalveluun kuuluu tietojärjestelmän toimituksen jälkeinen asiakkaiden neuvontapalvelu sekä ohjelmiston muutos- ja ylläpitopalvelu. Tukipalvelun sisältö vaihtelee usein asiakaskohtaisesti. Tämän vuoksi tukipalvelusta on syytä tehdä asianmukainen toimittajan ja asiakkaan välinen sopimus. Sopimuksen lisäksi tässä työssä on käsitelty myös muita tukipalvelun työkaluja kuten esimerkiksi tukipalveluohjetta, joka muodostetaan tukipalveluun ottamisvaiheessa. Työn teoriaosassa on käsitelty tietojärjestelmien tukipalvelun perusasioita sekä edellytyksiä tukipalveluprosessin onnistuneen kuvauksen muodostamiselle. Prosessin kuvauskieleksi on valittu UML. Työn soveltavan osuuden sisältö koostuu Helsoftin tukipalvelun nykytilanteen kartoituksesta, uuden yhtenäisemmän prosessimallin suunnittelusta (vaihe 1) sekä tukipalveluprosessin jatkokehityksen ja tehostamisen (vaihe 2) suunnittelusta. Uusi yhtenäinen prosessimalli on suhteellisen helposti käyttöönotettavissa ja standardinmukaisen kuvaustavan johdosta sitä voidaan kehittää jatkossa jatkuvan parantamisen periaatteella.

Short-term forecasting of power demand in the Nord Pool market

Sähkönkulutuksen lyhyen aikavälin ennustamista on tutkittu jo pitkään. Pohjoismaisien sähkömarkkinoiden vapautuminen on vaikuttanut sähkönkulutuksen ennustamiseen. Aluksi työssä perehdyttiin aiheeseen liittyvään kirjallisuuteen. Sähkönkulutuksen käyttäytymistä tutkittiin eri aikoina. Lämpötila tilastojen käyttökelpoisuutta arvioitiin sähkönkulutusennustetta ajatellen. Kulutus ennusteet tehtiin tunneittain ja ennustejaksona käytettiin yhtä viikkoa. Työssä tutkittiin sähkönkulutuksen- ja lämpötiladatan saatavuutta ja laatua Nord Poolin markkina-alueelta. Syötettävien tietojen ominaisuudet vaikuttavat tunnittaiseen sähkönkulutuksen ennustamiseen. Sähkönkulutuksen ennustamista varten mallinnettiin kaksi lähestymistapaa. Testattavina malleina käytettiin regressiomallia ja autoregressiivistä mallia (autoregressive model, ARX). Mallien parametrit estimoitiin pienimmän neliösumman menetelmällä. Tulokset osoittavat että kulutus- ja lämpötiladata on tarkastettava jälkikäteen koska reaaliaikaisen syötetietojen laatu on huonoa. Lämpötila vaikuttaa kulutukseen talvella, mutta se voidaan jättää huomiotta kesäkaudella. Regressiomalli on vakaampi kuin ARX malli. Regressiomallin virhetermi voidaan mallintaa aikasarjamallia hyväksikäyttäen.

Process intensification: From optimised flow patterns to microprocess technology

This thesis is focused on process intensification. Several significant problems and applications of this theme are covered. Process intensification is nowadays one of the most popular trends in chemical engineering and attempts have been made to develop a general, systematic methodology for intensification. This seems, however, to be very difficult, because intensified processes are often based on creativity and novel ideas. Monolith reactors and microreactors are successful examples of process intensification. They are usually multichannel devices in which a proper feed technique is important for creating even fluid distribution into the channels. Two different feed techniques were tested for monoliths. In the first technique a shower method was implemented by means of perforated plates. The second technique was a dispersion method using static mixers. Both techniques offered stable operation and uniform fluid distribution. The dispersion method enabled a wider operational range in terms of liquid superficial velocity. Using dispersion method, a volumetric gas-liquid mass transfer coefficient of 2 s-1 was reached. Flow patterns play a significant role in terms of the mixing performance of micromixers. Although the geometry of a T-mixer is simple, channel configurations and dimensions had a clear effect on mixing efficiency. The flow in the microchannel was laminar, but the formation of vortices promoted mixing in micro T-mixers. The generation of vortices was dependent on the channel dimensions, configurations and flow rate. Microreactors offer a high ratio of surface area to volume. Surface forces and interactions between fluids and surfaces are, therefore, often dominant factors. In certain cases, the interactions can be effectively utilised. Different wetting properties of solid materials (PTFE and stainless steel) were applied in the separation of immiscible liquid phases. A micro-scale plate coalescer with hydrophilic and hydrophobic surfaces was used for the continuous separation of organic and aqueous phases. Complete phase separation occurred in less than 20 seconds, whereas the separation time by settling exceeded 30 min. Fluid flows can be also intensified in suitable conditions. By adding certain additives into turbulent fluid flow, it was possible to reduce friction (drag) by 40 %. Drag reduction decreases frictional pressure drop in pipelines which leads to remarkable energy savings and decreases the size or number of pumping facilities required, e.g., in oil transport pipes. Process intensification enables operation often under more optimal conditions. The consequent cost savings from reduced use of raw materials and reduced waste lead to greater economic benefits in processing.

Modelling the exothermic heat and the demand of cooling in paper and pulp industry biological wastewater treatment

This master thesis presents a study on the requisite cooling of an activated sludge process in paper and pulp industry. The energy consumption of paper and pulp industry and it’s wastewater treatment plant in particular is relatively high. It is therefore useful to understand the wastewater treatment process of such industries. The activated sludge process is a biological mechanism which degrades carbonaceous compounds that are present in waste. The modified activated sludge model constructed here aims to imitate the bio-kinetics of an activated sludge process. However, due to the complicated non-linear behavior of the biological process, modelling this system is laborious and intriguing. We attempt to find a system solution first using steady-state modelling of Activated Sludge Model number 1 (ASM1), approached by Euler’s method and an ordinary differential equation solver. Furthermore, an enthalpy study of paper and pulp industry’s vital pollutants was carried out and applied to revise the temperature shift over a period of time to formulate the operation of cooling water. This finding will lead to a forecast of the plant process execution in a cost-effective manner and management of effluent efficiency. The final stage of the thesis was achieved by optimizing the steady state of ASM1.

Value added logistical support service. Part 1 : Trends and new concept model

The aim of `Valssi' study was to find out the service requirements in `business-to-business' (B2B) markets and to present a new logistics service concept, where the traditional logistics service is expanded with significant manufacturing and value addedfacilities. The traditional third-party logistics service providers are not necessarily able to offer services, which cover widely the needs of potential customers. The study has been outlined to spare part markets in metal industry. In the second phase of the Valssi-project the aim is to examine the economical conditions and potentiality of the new logistics business concept. This research report (Part 1) concentrates on examining current trends in global and domestic logistics markets. Based on detailed survey among the participating companies, the study presents basis for a new logistics business concept model. The developed concept consists of 12 different service modules, which are split into deeper details of processes. The integration of worldwide supplier and service provider network together with customer companies systems is a challenge. The report focuses on evaluating the requirements for the new business concept from the customer-companies point of view. The study paints an overall picture of distribution and service provider network including an abstract about the software and system integration possibilities. As a result of the survey, it can be concluded that thereis need for the new business concept among the participating companies, and a modular service concept meets the requirements of them, because the new sophisticated concept considers the specialities involved in spare part logistics in metal industry.

Validation of plant dynamic model by online and laboratory measurements – a tool to predict online COD loads out of production of mechanical printing papers

COD discharges out of processes have increased in line with elevating brightness demands for mechanical pulp and papers. The share of lignin-like substances in COD discharges is on average 75%. In this thesis, a plant dynamic model was created and validated as a means to predict COD loading and discharges out of a mill. The assays were carried out in one paper mill integrate producing mechanical printing papers. The objective in the modeling of plant dynamics was to predict day averages of COD load and discharges out of mills. This means that online data, like 1) the level of large storage towers of pulp and white water 2) pulp dosages, 3) production rates and 4) internal white water flows and discharges were used to create transients into the balances of solids and white water, referred to as “plant dynamics”. A conversion coefficient was verified between TOC and COD. The conversion coefficient was used for predicting the flows from TOC to COD to the waste water treatment plant. The COD load was modeled with similar uncertainty as in reference TOC sampling. The water balance of waste water treatment was validated by the reference concentration of COD. The difference of COD predictions against references was within the same deviation of TOC-predictions. The modeled yield losses and retention values of TOC in pulping and bleaching processes and the modeled fixing of colloidal TOC to solids between the pulping plant and the aeration basin in the waste water treatment plant were similar to references presented in literature. The valid water balances of the waste water treatment plant and the reduction model of lignin-like substances produced a valid prediction of COD discharges out of the mill. A 30% increase in the release of lignin-like substances in the form of production problems was observed in pulping and bleaching processes. The same increase was observed in COD discharges out of waste water treatment. In the prediction of annual COD discharge, it was noticed that the reduction of lignin has a wide deviation from year to year and from one mill to another. This made it difficult to compare the parameters of COD discharges validated in plant dynamic simulation with another mill producing mechanical printing papers. However, a trend of moving from unbleached towards high-brightness TMP in COD discharges was valid.