Low-Volatility Anomaly in Helsinki Stock Exchange

International research shows that low-volatility stocks have beaten high-volatility stocks in terms of returns for decades on multiple markets. This abbreviation from traditional risk-return framework is known as low-volatility anomaly. This study focuses on explaining the anomaly and finding how strongly it appears in NASDAQ OMX Helsinki stock exchange. Data consists of all listed companies starting from 2001 and ending close to 2015. Methodology follows closely Baker and Haugen (2012) by sorting companies into deciles according to 3-month volatility and then calculating monthly returns for these different volatility groups. Annualized return for the lowest volatility decile is 8.85 %, while highest volatility decile destroys wealth at rate of -19.96 % per annum. Results are parallel also in quintiles that represent larger amount of companies and thus dilute outliers. Observation period captures financial crisis of 2007-2008 and European debt crisis, which embodies as low main index annual return of 1 %, but at the same time proves the success of low-volatility strategy. Low-volatility anomaly is driven by multiple reasons such as leverage constrained trading and managerial incentives which both prompt to invest in risky assets, but behavioral matters also have major weight in maintaining the anomaly.

The tightness performance of pre-formed trays as package

Suojakaasupakkaaminen (MAP) on yleistynyt viime aikoina, koska sen avulla voidaan säilöä tuoreita tai vähän käsiteltyjä elintarvikkeita pidempään. Suurin syy hyllyiän pidentymiseen on hiilidioksidin aiheuttama mikrobien kasvun hidastuminen. Toisaalta huolena on patogeenisten mikrobien lisääntyminen anaerobisissa olosuhteissa. Pidempi säilyvyys voidaan saavuttaa myös käyttämällä vähemmän lisä- ja säilöntäaineita. Samalla suojakaasupakkaaminen kuitenkin vähentää myös pilaantuneiden tuotteiden määrää. Eniten suojakaasua käytetään lihan pakkaamisessa. Suojakaasupakkaamisessa elintarvikepakkaukseen syötetään normaalista huoneilmasta poikkeava kaasuseos. Pääasiassa kaasuseos koostuu hiilidioksidista, hapesta ja typestä. Lisäksi voidaan käyttää pieniä määriä hiilimonoksidia, argonia ja rikkidioksidia. Kaasuseoksen koostumus määräytyy elintarvikkeiden ominaisuuksien ja vaatimusten perusteella. Halutun kaasukoostumuksen tulee säilyä pakkauksessa muutamasta päivästä muutamaan kuukauteen riippuen elintarvikkeesta. Siksi tärkein pakkaukselta vaadittava ominaisuus on riittävä kaasutiiveys ja erityisesti hapenläpäisevyys. Koska suurin osa suojakaasupakkauksista on tällä hetkellä muovisia, tutkittiin kokeellisessa osiossa kartonkipakkausten tiiveysominaisuuksia. Kokeet tehtiin vertailemalla erilaisten vuoka- ja kansimateriaalien vaikutusta pakkausten tiiveyteen. Vuokien onnistuminen oli suurin yksittäinen tuloksiin vaikuttanut tekijä. Epäonnistuneen vuoan vaikutukset näkyivät myös saumauksessa, koska saumaustyökalun ja vuoan piti sopia yhteen. Lisäksi näkymättömät mikroreiät hankaloittivat todellisten vuotokohtien paikallistamista. Vuototestausten perusteella materiaaleille löydettiin kuitenkin viitteelliset optimiparametrit. Tärkein saumauksessa vaikuttanut tekijä oli sopivan saumauslämpötilan valinta. Prässättyjen vuokien laatu oli epätasainen. Siksi erityisesti rinnakkaisten kansitus- ja hapenläpäisymittausten väliset erot olivat merkitseviä. Lisäksi prässäys laski materiaalien hapenläpäisyominaisuuksia. Yksittäisten vuokien tiiveysominaisuudet täyttivät kuitenkin kaupallisille kaasupakkauksille asetetut vaatimukset. Vesihöyrynläpäisevyydessä materiaalin vesihöyrynläpäisy oli merkittävämpää kuin vesihöyryn kulkeutuminen vuotokohtien tai epäonnistuneiden saumojen kautta.

Tunnusluku- ja tuottohistoria-pohjaisten sijoitusstrategioiden toimivuus ja sykliriippuvuus suomalaisilla osakemarkkinoilla

Tutkielman tavoitteena oli analysoida tunnuslukuihin ja tuottohistoriaan perustuvien sijoitusstrategioiden toimivuutta ja sykliriippuvuutta HEX:iin listatuista yrityksistä koostuvalla aineistolla. Tutkitut sijoitusstrategiat perustuivat arvostuskertoimien, betan ja menneiden tuottojen käyttöön analysointivälineinä käytettyjen kvintiiliportfolioiden muodostamiskriteereinä. Kontribuutiota tutkimukseen pyrittiin luomaan tarkastelemalla ensimmäistä kertaa suhdannesyklin vaikutuksia edellä mainittujen sijoitusstrategioiden toimivuuteen tutkimusaineistolla, joka kattoi useita suhdannesyklejä (pisimmillään vuodet 1991 - 2002). Suhdannesyklien käänteiden määrittämiseen käytettiin ostopäälliköiden indeksiä (PMI-indeksi), jonka on todettu toimivan hyvin esimerkiksi pörssikurssien kehitystä ennakoivana indikaattorina. Tulokset osoittivat P/E-, P/B-, EV/EBIT-, EV/EBITDA-, beta- ja momentumanomalioiden esiintyneen myös suomalaisilla osakemarkkinoilla vuosina 1991 – 2002. Tutkimuksessa saatiin näyttöä myös tuottohistoriaan pohjautuvien momentum-strategian ja winner-loser –strategian toimivuudesta. Näistä etenkin jälkimmäinen oli voimakkaasti sykliriippuvaista. Näiden tulosten mukaan suomalaiset osakemarkkinat eivät olisi käytetyillä tarkasteluperiodilla olleet edes heikosti tehokkaat, ts. osakemarkkinoiden keskimääräinen tuottotaso olisi ollut mahdollista ylittää pelkkään kurssihistoriaan perustuvien sijoitusstrategioiden avulla.

Kvantitatiivisen osakepisteytysmallin testaaminen Euroopan markkinoilla

Tutkielman tavoitteena on testata kvantitatiivisen osakepisteytysmallin tehokkuutta Euroopan osakemarkkinoilla. Osakepisteytysmalli järjestää osakkeet paremmuusjärjestykseen yrityskohtaisten tunnuslukujen avulla. Pisteytysmallin suositusten mukaan luodaan testisalkku ajanjaksolta 2002 2007. Testisalkun tuottoa mitataan pääomahyödykkeiden hinnoittelumallin sekä Faman ja Frenchin kolmen faktorin mallin avulla. Testisalkkua testataan markkina arvopainoisena sekä tasapainoisena. Tasapainoisessa salkussa jokaista osaketta painotetaan yhtäläisesti. Testisalkun rinnalle luodaan lisäksi vertailusalkku satunnaisista osakkeista. Tasapainotettu testisalkku tuotti tarkasteluajanjaksolla tilastollisesti merkitsevää markkinariskikorjattua ylituottoa 0,7 prosenttia kuukaudessa. Kolmen faktorin mallin avulla laskettu ylituotto ei ollut merkitsevä. Yrityskokofaktori sekä markkinatuotto näyttivät selittävän vahvasti testisalkun tuottoja. Yrityskoon vaikutus näkyi myös markkina arvopainotetussa salkussa, jonka tuotto ei päihittänyt markkinatuottoa. Vertailusalkku ei tuottanut tilastollisesti merkitsevää ylituottoa.

Testing the Random Walk Hypothesis on the Baltic Stock Markets

The purpose of the thesis is to analyze whether the returns of general stock market indices of Estonia, Latvia and Lithuania follow the random walk hypothesis (RWH), and in addition, whether they are consistent with the weak-form efficiency criterion. Also the existence of the day-of-the-week anomaly is examined in the same regional markets. The data consists of daily closing quotes of the OMX Tallinn, Riga and Vilnius total return indices for the sample period from January 3, 2000 to August 28, 2009. Moreover, the full sample period is also divided into two sub-periods. The RWH is tested by applying three quantitative methods (i.e. the Augmented Dickey-Fuller unit root test, serial correlation test and non-parametric runs test). Ordinary Least Squares (OLS) regression with dummy variables is employed to detect the day-of-the-week anomalies. The random walk hypothesis (RWH) is rejected in the Estonian and Lithuanian stock markets. The Latvian stock market exhibits more efficient behaviour, although some evidence of inefficiency is also found, mostly during the first sub-period from 2000 to 2004. Day-of-the-week anomalies are detected on every stock market examined, though no longer during the later sub-period.

Biogeochemistry in acid sulphate soil landscapes and small urban centres in Western Finland

The overall purpose of this thesis was to increase the knowledge on the biogeochemistry of rural acid sulphate (AS) soil environments and urban forest ecosystems near small towns in Western Finland. In addition, the potential causal relationship between the distribution of AS soils and geographical occurence of multiple sclerosis (MS) disease was assessed based on a review of existing literature and data. Acid sulphate soils, which occupy an area of approximately 17–24 million hectare worldwide, are regarded as the nastiest soils in the world. Independent of the geographical locality of these soils, they pose a great threat to their surrounding environment if disturbed. The abundant metal-rich acid drainage from Finnish AS soils, which is a result of sulphide oxidation due to artificial farmland drainage, has significant but spatially and temporally variable ecotoxicological impacts on biodiversity and community structure of fish, benthic invertebrates and macrophytes. This has resulted in mass fish kills and even eradication of sensitive fish species in affected waters. Moreover, previous investigations demonstrated significantly enriched concentrations of Co, Ni, Mn and Al, metals which are abundantly mobilised in AS soils, in agricultural crops (timothy grass and oats) and approximately 50 times higher concentrations of Al in cow milk originating from AS soils in Western Finland. Nevertheless, the results presented here demonstrate, in general, relatively moderate metal concentrations in oats and cabbage grown on AS soils in Western Finland, although some of the studied fields showed anomalous values of metals (e.g. Co and Ni) in both the soil and target plants (especially oats), similar to that of the previous investigations. The results indicated that the concentrations of Co, Ni, Mn and Zn in oats and Co and Zn in cabbage were governed by soil geochemistry as these metals were correlated with corresponding concentrations extracted from the soil by NH4Ac-EDTA and NH4Ac, respectively. The concentrations of Cu and Fe in oats and cabbage were uncorrelated to that of the easily soluble concentrations in the soils, suggesting that biological processes (e.g. plant-root processes) overshadow geochemical variation. The concentrations of K and Mg in cabbage, which showed a low spread and were strongly correlated to the NH4Ac extractable contents in the soil, were governed by both the bioavailable fractions in the topsoil and plant-uptake mechanisms. The plant´s ability to regulate its uptake of Ca and P (e.g. through root exudates) seemed to be more important than the influence of soil geochemistry. The distribution of P, K, Ca, Mg, Mn and S within humus, moss and needles in and around small towns was to a high degree controlled by biological cycling, which was indicated by the low correlation coefficients for P, K, Ca, Mg and S between humus and moss, and the low spread of these nutrients in moss and needles. The concentration variations of elements in till are mainly due to natural processes (e.g. intrusions, weathering, mineralogical variations in the bedrock). There was a strong spatial pattern for B in humus, moss and needles, which was suggested to be associated with anthropogenic emissions from nearby town centres. Geogenic dust affected the spatial distribution of Fe and Cr in moss, while natural processes governed the Fe anomaly found in the needles. The spatial accumulation patterns of Zn, Cd, Cu, Ni and Pb in humus and moss were strong and diverse, and related to current industry, the former steel industry, coal combustion, and natural geochemical processes. An intriguing Cu anomaly was found in moss. Since it was located close to a main railway line and because the railway line´s electric cables are made of Cu, it was suggested that the reason for the Cu anomaly is corrosion of these cables. In Western Finland, where AS soils are particularly abundant and enrich the metal concentrations of stream waters, cow milk and to some extent crops, an environmental risk assessment would be motivated to elucidate if the metal dispersion affect human health. Within this context, a topic of concern is the distribution of multiple sclerosis as high MS prevalence rates are found in the main area of AS soils. Regionally, the AS soil type in the Seinäjoki area has been demonstrated to be very severe in terms of metal leaching, this area also shows one of the highest MS rates reported worldwide. On a local scale, these severe AS soil types coincide well with the corresponding MS clustering along the Kyrönjoki River in Seinäjoki. There are reasons to suspect that these spatial correlations are causal, as multiple sclerosis has been suggested to result from a combination of genetic and environmental factors.

Momentum-anomalia ja siihen perustuvat sijoitusstrategiat Yhdysvaltojen osakemarkkinoilla

Tutkielmassa lähestytään osakemarkkinoilla havaittua poikkeavuutta, momentum-anomaliaa, sekä sen ilmenemistä ja selittyvyyttä Yhdysvaltojen osakemarkkinoiden olosuhteissa. Lisäksi tutkielma sisältää lyhyen katsauksen kansainvälisesti ilmenevään momentumiin kuin myös sen muodostumiseen vaikuttaviin tekijöihin. Työn tutkimusongelmana on, selittyykö Yhdysvaltojen osakemarkkinoilla ilmenevä momentum-anomalia selkeämmin behaviorististen vai makrotaloudellisten riskitekijöiden muodostamien mallien avulla. Kuten aiempi tutkimus on havainnut, myös tässä tutkielmassa oletuksena on, että behavioristis-perusteiset tekijät omaavat suuremman selitysvoiman, kuin makrotaloudellisten riskitekijöiden -perusteiset mallit. Yksittäisiin tekijöihin keskittymisen ohella on tarkoitus havainnoida momentum-anomalian ilmentymisen riippuvuus markkinasuhdanteista, jolloin syntyviä momentumin tuottoja tarkastellaan sekä korkea-, että matalasuhdannemarkkinoiden olosuhteissa.

Fraud detection in the banking sector : a multi-agent approach

Fraud is an increasing phenomenon as shown in many surveys carried out by leading international consulting companies in the last years. Despite the evolution of electronic payments and hacking techniques there is still a strong human component in fraud schemes. Conflict of interest in particular is the main contributing factor to the success of internal fraud. In such cases anomaly detection tools are not always the best instruments, since the fraud schemes are based on faking documents in a context dominated by lack of controls, and the perpetrators are those ones who should control possible irregularities. In the banking sector audit team experts can count only on their experience, whistle blowing and the reports sent by their inspectors. The Fraud Interactive Decision Expert System (FIDES), which is the core of this research, is a multi-agent system built to support auditors in evaluating suspicious behaviours and to speed up the evaluation process in order to detect or prevent fraud schemes. The system combines Think-map, Delphi method and Attack trees and it has been built around audit team experts and their needs. The output of FIDES is an attack tree, a tree-based diagram to ”systematically categorize the different ways in which a system can be attacked”. Once the attack tree is built, auditors can choose the path they perceive as more suitable and decide whether or not to start the investigation. The system is meant for use in the future to retrieve old cases in order to match them with new ones and find similarities. The retrieving features of the system will be useful to simplify the risk management phase, since similar countermeasures adopted for past cases might be useful for present ones. Even though FIDES has been built with the banking sector in mind, it can be applied in all those organisations, like insurance companies or public organizations, where anti-fraud activity is based on a central anti-fraud unit and a reporting system.

Yrityksen koko ja book-to-market ilmiöt Yhdysvaltojen osakemarkkinoilla

Tämä kandidaatintutkielma käsittelee yrityksen kokoon ja book-to-market arvoon perustuvia anomalioita Yhdysvaltojen osakemarkkinoilla. Tutkimuksen kohteena on epänormaalien tuottojen saavuttaminen kyseisten anomalioiden kautta erityisesti finanssikriisin aikana. Osakeportfolioiden analysointi tapahtuu pääasiassa Fama-French kolmifaktorimallin avulla.

Development of an environmentally friendly method of starch oxidation by hydrogen peroxide and a complex water-soluble Iron catalyst

Oxidized starch is a key component in the paper industry, where it is used as both surfacing sizer and filler. Large quantities are annually used for this purpose; however, the methods for the oxidation are not environmentally friendly. In our research, we have studied the possibility to replace the harmful oxidation agents, such as hypochlorite or iodates and transition metal catalysts, with a more environmentally friendly oxidant, hydrogen peroxide (H2O2), and a special metal complex catalyst (FePcS), of which only a small amount is needed. The work comprised batch and semi-batch studies by H2O2, ultrasound studies of starch particles, determination of low-molecular by-products and determination of the decomposition kinetics of H2O2 in the presence of starch and the catalyst. This resulted in a waste-free oxidation method, which only produces water and oxygen as side products. The starch oxidation was studied in both semi-batch and batch modes in respective to the oxidant (H2O2) addition. The semi-batch mode proved to yield a sufficient degree of substitution (COOH groups) for industrial purposes. Treatment of starch granules by ultrasound was found to improve the reactivity of starch. The kinetic results were found out to have a rather complex pattern – several oxidation phases were observed, apparently due to the fact that the oxidation reaction in the beginning only took place on the surface, whereas after a prolonged reaction time, partial degradation of the solid starch granules allowed further reaction in the interior parts. Batch-mode experiments enabled a more detailed study of the mechanisms of starch in the presence of H2O2 and the catalyst, but yielded less oxidized starch due to rapid decomposition of H2O2 due to its high concentrations. The effect of the solid-liquid (S/L) ratio in the reaction system was studied in batch experiments. These studies revealed that the presence of the catalyst and the starch enhance the H2O2 decomposition.

Adventures of Ludom: a Videogame Geneontology

Within the last few decades, the videogame has become an important media, economic, and cultural phenomenon. Along with the phenomenon’s proliferation the aspects that constitute its identity have become more and more challenging to determine, however. The persistent surfacing of novel ludic forms continues to expand the conceptual range of ‘games’ and ‘videogames,’ which has already lead to anxious generalizations within academic as well as popular discourses. Such generalizations make it increasingly difficult to comprehend how the instances of this phenomenon actually work, which in turn generates pragmatic problems: the lack of an applicable identification of the videogame hinders its study, play, and everyday conceptualization. To counteract these problems this dissertation establishes a geneontological research methodology that enables the identification of the videogame in relation to its cultural surroundings. Videogames are theorized as ‘games,’ ‘puzzles,’ ‘stories,’ and ‘aesthetic artifacts’ (or ‘artworks’), which produces a geneontological sequence of the videogame as a singular species of culture, Artefactum ludus ludus, or ludom for short. According to this sequence, the videogame’s position as a ‘game’ in the historicized evolution of culture is mainly metaphorical, while at the same time its artifactuality, dynamic system structure, time-critical strategic input requirements and aporetically rhematic aesthetics allow it to be discovered as a conceptually stable but empirically transient uniexistential phenomenon that currently thrivesbut may soon die out.