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.

Design and analysis of a transversal-flux switched-reluctance-linear-machine pole-pair

The Switched Reluctance technology is probably best suited for industrial low-speed or zerospeed applications where the power can be small but the torque or the force in linear movement cases might be relatively high. Because of its simple structure the SR-motor is an interesting alternative for low power applications where pneumatic or hydraulic linear drives are to be avoided. This study analyses the basic parts of an LSR-motor which are the two mover poles and one stator pole and which form the “basic pole pair” in linear-movement transversal-flux switchedreluctance motors. The static properties of the basic pole pair are modelled and the basic design rules are derived. The models developed are validated with experiments. A one-sided one-polepair transversal-flux switched-reluctance-linear-motor prototype is demonstrated and its static properties are measured. The modelling of the static properties is performed with FEM-calculations. Two-dimensional models are accurate enough to model the static key features for the basic dimensioning of LSRmotors. Three-dimensional models must be used in order to get the most accurate calculation results of the static traction force production. The developed dimensioning and modelling methods, which could be systematically validated by laboratory measurements, are the most significant contributions of this thesis.

Smooth height/age curves from stem analysis with linear programming

[Abstract]

Linear prediction application for modelling the relationships between a large number of stand characteristics of Norway spruce stands

Abstract