Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.

Properties of slow-release phosphorus fertilizers with special references to their use on drained peatland forests : A review

Tiivistelmä: Hidasliukoisten fosforilannoitteiden ominaisuudet ja käyttökelpoisuus suometsien lannoituksessa. Kirjallisuuteen perustuva tarkastelu

Release of soil phosphorus during runoff as affected by ionic strength and temperature

Selostus: Ympäristöolosuhteiden vaikutus maan fosforin liukenemiseen pintavalunnan aikana

Release Process Effectiveness - Case of Operating Room Management Software

Työn päätavoitteena oli tuoda esiin tärkeimmät julkistamisprosessin tehokkuuteen vaikuttavat tekijät. Tutkimuksessa tarkasteltiin aihetta julkistamisprojektien vetäjän näkökulmasta. Kirjallinen selvitys kattaa keskeisimmät ohjelmistoprosessin, palvelun laadun sekä projektihallinnan teoriat. Kokeellisena aineistona käytettiin asiakkailta ja myynnin sekä käyttöönoton organisaatioilta tullutta palautetta ja asiantuntijahaastatteluita. Case-tuotteena tarkasteltiin suuren kansainvälisen yrityksen jälleenmyymää leikkaussalihallinnan ohjelmistoa. Tärkeimpiä julkistamisprosessin tehokkuuteen vaikuttavia tekijöitä ovat tiekartan ja julkistamispakettien sisällön hallinta, projektin aikataulujen pitäminen, rehellinen ja nopea kommunikaatio myyntikanavaan ja asiakkaille, sekä hyvin toteutettu testaus. Työssä käydään läpi esimerkkistrategioita kehittymiseen näillä alueilla.

High speed release -mittausmenetelmän käyttäminen tarralaminaattiprosessin ohjaukses

Työn tavoitteena oli tutkia HSR(High Speed Release)-mittausmenetelmän käyttämistä tarralaminaattiprosessin ohjauksessa UPM Raflatacissa. Nykyisin käytössä olevaan LSR(Low Speed Release)-menetelmään verrattuna HSR-menetelmä kuvaa paremmin tarralaminaatin jatkojalostuksessa sekä etiketöinnissä tapahtuvaa irrotustyötä. Lisäksi työssä tutkittiin irrotusnopeuden vaikutusta HSR-arvoon. Työn kirjallisuusosassa perehdyttiin tarralaminaatin rakenteeseensekä valmistusprosessiin. Koska silikonin valinnalla on merkittävä vaikutus tarralaminaatin releasearvoon, kirjallisessa osassa syvennytään tarkastelemaan tarralaminaatin valmistuksessa käytettyjä silikoneja sekänäiden rakennetta. Kirjallisuusosassa on myös käsitelty muita releasetasoon vaikuttavia tekijöitä. Työn kokeellisessa osassa oli tarkoituksena tutkia HSR-mittausmenetelmän käytettävyyttä tarralaminaatin prosessinohjauksessa. Tätä tutkittiin selvittämällä nykyisin käytössä olevan LSR-menetelmän sekä HSR-menetelmän välistä korreloituvuutta. Mikäli näidenvälillä olisi korreloituvuutta, voitaisiin prosessinohjauksessa ajatella siirtyvän HSR-mittaukseen. Korrelaatiota näiden kahden menetelmän välille ei kuitenkaan löydetty. Työssä tutkittiin myös irrotusnopeuden vaikutusta tuotteen HSR-arvoon. Testeihin valittiin useita eri tuotteita useilta tuotantolaitoksilta. Kaikilla näillä tuotteilla releasearvo kasvoi irrotusnopeutta lisättäessä. Lisäksi työssä määritettiin uudet HSR-spesifikaatiot tietyille tuotteille. Kaikille UPM Raflatacin tuotteille on määritetty LSRspesifikaatiot, HSR-spesifikaatiot on asetettu vain tietyille tuotteille.

Weak Form Tests of Efficient Market Hypothesis: Evidence from CEE-Countries and Russian Stock Markets

Tämän tutkielman tavoitteena on selvittää Venäjän, Slovakian, Tsekin, Romanian, Bulgarian, Unkarin ja Puolan osakemarkkinoiden heikkojen ehtojen tehokkuutta. Tämä tutkielma on kvantitatiivinen tutkimus ja päiväkohtaiset indeksin sulkemisarvot kerättiin Datastreamin tietokannasta. Data kerättiin pörssien ensimmäisestä kaupankäyntipäivästä aina vuoden 2006 elokuun loppuun saakka. Analysoinnin tehostamiseksi dataa tutkittiin koko aineistolla, sekä kahdella aliperiodilla. Osakemarkkinoiden tehokkuutta on testattu neljällä tilastollisella metodilla, mukaan lukien autokorrelaatiotesti ja epäparametrinen runs-testi. Tavoitteena on myös selvittääesiintyykö kyseisillä markkinoilla viikonpäiväanomalia. Viikonpäiväanomalian esiintymistä tutkitaan käyttämällä pienimmän neliösumman menetelmää (OLS). Viikonpäiväanomalia on löydettävissä kaikilta edellä mainituilta osakemarkkinoilta paitsi Tsekin markkinoilta. Merkittävää, positiivista tai negatiivista autokorrelaatiota, on löydettävissä kaikilta osakemarkkinoilta, myös Ljung-Box testi osoittaa kaikkien markkinoiden tehottomuutta täydellä periodilla. Osakemarkkinoiden satunnaiskulku hylätään runs-testin perusteella kaikilta muilta paitsi Slovakian osakemarkkinoilla, ainakin tarkastellessa koko aineistoa tai ensimmäistä aliperiodia. Aineisto ei myöskään ole normaalijakautunut minkään indeksin tai aikajakson kohdalla. Nämä havainnot osoittavat, että kyseessä olevat markkinat eivät ole heikkojen ehtojen mukaan tehokkaita

Treatment of oily wastewater by ultrafiltration: The effect of different operating and solution conditions

In many industries, such as petroleum production, and the petrochemical, metal, food and cosmetics industries, wastewaters containing an emulsion of oil in water are often produced. The emulsions consist of water (up to 90%), oils (mineral, animal, vegetable and synthetic), surfactants and other contaminates. In view of its toxic nature and its deleterious effects on the surrounding environment (soil, water) such wastewater needs to be treated before release into natural water ways. Membrane-based processes have successfully been applied in industrial applications and are considered as possible candidates for the treatment of oily wastewaters. Easy operation, lower cost, and in some cases, the ability to reduce contaminants below existing pollution limits are the main advantages of these systems. The main drawback of membranes is flux decline due tofouling and concentration polarisation. The complexity of oil-containing systems demands complementary studies on issues related to the mitigation of fouling and concentration polarisation in membranebased ultrafiltration. In this thesis the effect of different operating conditions (factors) on ultrafiltration of oily water is studied. Important factors are normally correlated and, therefore, their effect should be studied simultaneously. This work uses a novel approach to study different operating conditions, like pressure, flow velocity, and temperature, and solution properties, like oil concentration (cutting oil, diesel, kerosene), pH, and salt concentration (CaCl2 and NaCl)) in the ultrafiltration of oily water, simultaneously and in a systematic way using an experimental design approach. A hypothesis is developed to describe the interaction between the oil drops, salt and the membrane surface. The optimum conditions for ultrafiltration and the contribution of each factor in the ultrafiltration of oily water are evaluated. It is found that the effect on permeate flux of the various factors studied strongly depended on the type of oil, the type of membrane and the amount of salts. The thesis demonstrates that a system containing oil is very complex, and that fouling and flux decline can be observed even at very low pressures. This means that only the weak form of the critical flux exists for such systems. The cleaning of the fouled membranes and the influence of different parameters (flow velocity, temperature, time, pressure, and chemical concentration (SDS, NaOH)) were evaluated in this study. It was observed that fouling, and consequently cleaning, behaved differently for the studied membranes. Of the membranes studied, the membrane with the lowest propensity for fouling and the most easily cleaned was the regenerated cellulose membrane (C100H). In order to get more information about the interaction between the membrane and the components of the emulsion, a streaming potential study was performed on the membrane. The experiments were carried out at different pH and oil concentration. It was seen that oily water changed the surface charge of the membrane significantly. The surface charge and the streaming potential during different stages of filtration were measured and analysed being a new method for fouling of oil in this thesis. The surface charge varied in different stages of filtration. It was found that the surface charge of a cleaned membrane was not the same as initially; however, the permeability was equal to that of a virgin membrane. The effect of filtration mode was studied by performing the filtration in both cross-flow and deadend mode. The effect of salt on performance was considered in both studies. It was found that salt decreased the permeate flux even at low concentration. To test the effect of hydrophilicity change, the commercial membranes used in this thesis were modified by grafting (PNIPAAm) on their surfaces. A new technique (corona treatment) was used for this modification. The effect of modification on permeate flux and retention was evaluated. The modified membranes changed their pore size around 33oC resulting in different retention and permeability. The obtained results in this thesis can be applied to optimise the operation of a membrane plant under normal or shock conditions or to modify the process such that it becomes more efficient or effective.

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.

Neurobiology of pathological gambling. Brain imaging and epidemiological studies

Pathological gambling, a form of behavioral addiction, refers to maladaptive, compulsive gambling behavior severely interfering with an individual’s normal life. The prevalence of pathological gambling has been estimated to be 1–2% in western societies. The reward deficiency hypothesis of addiction assumes that individuals that have, or are prone, to addictions have blunted mesolimbic dopamine reward signaling, which leads to compulsive reward seeking in an attempt to compensate for the malfunctioning brain reward network. In this research project, the effects of gambling were measured using brain [11C] raclopride PET during slot machine gambling and possible brain structural changes associated with pathological gambling using MRI. The subjects included pathological gamblers and healthy volunteers. In addition, impulse control disorders associated with Parkinson’s disease were investigated by using brain [18F]fluorodopa PET and conducting an epidemiological survey. The results demonstrate mesolimbic dopamine release during gambling in both pathological gamblers and healthy volunteers. Striatal dopamine was released irrespective of the gambling outcome, whether the subjects won or not. There was no difference in gambling induced dopamine release between pathological gamblers and control subjects, although the magnitude of the dopamine release correlated with gambling related symptom severity in pathological gamblers. The results also show that pathological gambling is associated with extensive abnormality of brain white matter integrity, as measured with diffusion tensor imaging, similar to substance-addictions. In Parkinson’s disease patients with impulse control disorders, enhanced brain [18F] fluorodopa uptake in the medial orbitofrontal cortex was observed, indicating increased presynaptic monoamine function in this region, which is known to influence signaling in the mesolimbic system and reward processing. Finally, a large epidemiological survey in Finnish Parkinson’s disease patients showed that compulsive behaviors are very common in Parkinson disease and they are strongly associated with depression. These findings demonstrate the role of dopamine in pathological gambling, without support for the concept of reward deficiency syndrome.

Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Combination of pulsed corona discharge with TiO2 photocatalysis: verification of hypothesis

The oxidation potential of pulsed corona discharge concerning aqueous impurities is limited in respect to certain refractory compounds. This may be enhanced in combination of the discharge with catalysis/photocatalysis as developed in homogeneous gas-phase reactions. The objective of the work consists of testing the hypothesis of oxidation potential enhancement in combination of the discharge with TiO2 photocatalysis applied to aqueous solutions of refractory oxalate. Meglumine acridone acetate was included for meeting the practical needs. The experimental research was undertaken into oxidation of aqueous solutions under conditions of various target pollutant concentrations, pH and the pulse repetition rate with plain electrodes and the electrodes with TiO2 attached to their surface. The results showed no positive influence of the photocatalyst, the pollutants were oxidized with the rate identical within the accuracy of measurements. The possible explanation for the observed inefficiency may include low UV irradiance, screening effect of water and generally low oxidation rate in photocatalytic reactions. Further studies might include combination of electric discharge with ozone decomposition/radical formation catalysts.

Intracranial Nimodipine Implant: Feasibility and Implications for the Treatment of Subarachnoid Hemorrhage – A Pre-Clinical Study

Intracranial aneurysmal subarachnoid hemorrhage (aSAH) is a life-threatening condition requiring immediate neurocritical care. A ruptured aneurysm must be isolated from arterial circulation to prevent rebleeding. Open surgical clipping of the neck of the aneurysm or intra-arterial filling of the aneurysm sack with platinum coils are major treatment strategies in an acute phase. About 40% of the patients suffering from aSAH die within a year of the bleeding despite the intensive treatment. After aSAH, the patient may develop a serious complication called vasospasm. Major risk for the vasospasm takes place at days 5–14 after the primary bleeding. In vasospasm, cerebral arteries contract uncontrollably causing brain ischemia that may lead to death. Nimodipine (NDP) is used to treat of vasospasm and it is administrated intravenously or orally every four hours for 21 days. NDP treatment has been scientifically proven to improve patients’ clinical outcome. The therapeutic effect of L-type calcium channel blocker NDP is due to the ability to dilate cerebral arteries. In addition to vasodilatation, recent research has shown the pleiotropic effect of NDP such as inhibition of neuronal apoptosis and inhibition of microthrombi formation. Indeed, NDP inhibits cortical spreading ischemia. Knowledge of the pathophysiology of the vasospasm has evolved in recent years to a complex entity of early brain injury, secondary injuries and cortical spreading ischemia, instead of being pure intracranial vessel spasm. High NDP levels are beneficial since they protect neurons and inhibit the cortical spreading ischemia. One of the drawbacks of the intravenous or oral administration of NPD is systemic hypotension, which is harmful particularly when the brain is injured. Maximizing the beneficial effects and avoiding systemic hypotension of NDP, we developed a sustained release biodegradable NDP implant that was surgically positioned in the basal cistern of animal models (dog and pig). Higher concentrations were achieved locally and lower concentrations systemically. Using this treatment approach in humans, it may be possible to reduce incidence of harmful hypotension and potentiate beneficial effects of NDP on neurons. Intracellular calcium regulation has a pivotal role in brain plasticity. NDP blocks L-type calcium channels in neurons, substantially decreasing intracellular calcium levels. Thus, we were interested in how NDP affects brain plasticity and tested the hypothesis in a mouse model. We found that NDP activates Brain-derived neurotrophic factor (BDNF) receptor TrkB and its downstream signaling in a reminiscent of antidepressant drugs. In contrast to antidepressant drugs, NDP activates Akt, a major survival-promoting factor. Our group’s previous findings demonstrate that long-term antidepressant treatment reactivates developmental-type of plasticity mechanisms in the adult brain, which allows the remodeling of neuronal networks if combined with appropriate rehabilitation. It seems that NDP has antidepressant-like properties and it is able to induce neuronal plasticity. In general, drug induced neuronal plasticity has a huge potential in neurorehabilitation and more studies are warranted.