Empirical Tests of Asset Pricing Models in Finnish Stock Market

Tämän tutkielman tavoitteena on selvittää mitkä riskitekijät vaikuttavat osakkeiden tuottoihin. Arvopapereina käytetään kuutta portfoliota, jotka ovat jaoteltu markkina-arvon mukaan. Aikaperiodi on vuoden 1987 alusta vuoden 2004 loppuun. Malleina käytetään pääomamarkkinoiden hinnoittelumallia, arbitraasihinnoitteluteoriaa sekä kulutuspohjaista pääomamarkkinoiden hinnoittelumallia. Riskifaktoreina kahteen ensimmäiseen malliin käytetään markkinariskiä sekä makrotaloudellisia riskitekijöitä. Kulutuspohjaiseen pääomamarkkinoiden hinnoinoittelumallissa keskitytään estimoimaan kuluttajien riskitottumuksia sekä diskonttaustekijää, jolla kuluttaja arvostavat tulevaisuuden kulutusta. Tämä työ esittelee momenttiteorian, jolla pystymme estimoimaan lineaarisia sekä epälineaarisia yhtälöitä. Käytämme tätä menetelmää testaamissamme malleissa. Yhteenvetona tuloksista voidaan sanoa, että markkinabeeta onedelleen tärkein riskitekijä, mutta löydämme myös tukea makrotaloudellisille riskitekijöille. Kulutuspohjainen mallimme toimii melko hyvin antaen teoreettisesti hyväksyttäviä arvoja.

Mikroliuskarakenteisen T-resonaattorin käyttö piirilevyn eristeominaisuuksien määrityksessä

Tässä diplomityössä tutkittiin ja kehitettiin edelleen mikroliuskarakenteisen T-resonaattorin käyttöä laajakaistaisessa piirilevylaminaattien dielektrisyysvakion ja häviökertoimen määrityksessä. Työssä perehdyttiin eristeominaisuuksien määrityksessä tarvittaviin laskentamenetelmiin sekä T-resonaattorin toimintaan. T-resonaattorin suunnittelu ja käyttöä varten valitut laskentamenetelmät on esitelty. Työssä suunniteltiin ja valmistettiin mikroliuskarakenteinen T-resonaattorimittausrakenne, jolla määritettiin erään FR-4 -tyyppisen piirilevylaminaattimateriaalin dielektrisyysvakio sekä häviökerroin mittausten ja laskennan avulla taajuuskaistalla 0,5 - 10 GHz. Tuloksia verrattiin muilla käytössä olevilla menetelmillä määritettyihin tuloksiin. Tulosten perusteella voitiin osoittaa, että mikroliuskarakenteinen T-resonaattori soveltuu hyvin piirilevylaminaattien eristeominaisuuksien määritykseen, ja käytetyt laskenta-menetelmät antavat realistisia tuloksia.

Two-dimensional drift-diffusion simulation of organic solar cells

The aim of this master's thesis is to develop a two-dimensional drift-di usion model, which describes charge transport in organic solar cells. The main bene t of a two-dimensional model compared to a one-dimensional one is the inclusion of the nanoscale morphology of the active layer of a bulk heterojunction solar cell. The developed model was used to study recombination dynamics at the donor-acceptor interface. In some cases, it was possible to determine e ective parameters, which reproduce the results of the two-dimensional model in the one-dimensional case. A summary of the theory of charge transport in semiconductors was presented and discussed in the context of organic materials. Additionally, the normalization and discretization procedures required to nd a numerical solution to the charge transport problem were outlined. The charge transport problem was solved by implementing an iterative scheme called successive over-relaxation. The obtained solution is given as position-dependent electric potential, free charge carrier concentrations and current densities in the active layer. An interfacial layer, separating the pure phases, was introduced in order to describe charge dynamics occurring at the interface between the donor and acceptor. For simplicity, an e ective generation of free charge carriers in the interfacial layer was implemented. The pure phases simply act as transport layers for the photogenerated charges. Langevin recombination was assumed in the two-dimensional model and an analysis of the apparent recombination rate in the one-dimensional case is presented. The recombination rate in a two-dimensional model is seen to e ectively look like reduced Langevin recombination at open circuit. Replicating the J-U curves obtained in the two-dimensional model is, however, not possible by introducing a constant reduction factor in the Langevin recombination rate. The impact of an acceptor domain in the pure donor phase was investigated. Two cases were considered, one where the acceptor domain is isolated and another where it is connected to the bulk of the acceptor. A comparison to the case where no isolated domains exist was done in order to quantify the observed reduction in the photocurrent. The results show that all charges generated at the isolated domain are lost to recombination, but the domain does not have a major impact on charge transport. Trap-assisted recombination at interfacial trap states was investigated, as well as the surface dipole caused by the trapped charges. A theoretical expression for the ideality factor n_id as a function of generation was derived and shown to agree with simulation data. When the theoretical expression was fitted to simulation data, no interface dipole was observed.

Oxidized LDL lipids as a risk factor for atherosclerosis

University of Turku, Faculty of Medicine, Department of Clinical Medicine, Department of Physical Activity and Health, Paavo Nurmi Centre, Doctoral Programme of Clinical Investigation, University of Turku, Turku, Finland. Annales Universitatis Turkuensis. Medica – Odontologica, Turku, Finland, 2014. Background: Atherosclerosis progression spans an entire lifetime and has a wide pool of risk factors. Oxidized LDL (oxLDL) is a crucial element in the progression of atherosclerosis. As a rather new member in the atherosclerosis risk factor family, its interaction with the traditional pro-atherogenic contributors that occur at different ages is poorly known. Aims: The aim of this study was to investigate oxLDL and its relation to major contributing risk factors in estimating atherosclerosis risk in data consisting mostly of adult men. The study subjects of this study consisted of four different sets of data, one of which contained also women. The age range of participants was 18-100 years and totaled 2337 participants (of whom 69% were men). Data on anthropometric and hormonal parameters, laboratory measures and medical records were assessed during 1998-2009. Results: Obesity was paralleled with high concentrations of oxLDL, which consequentially was reduced by weight reduction. Importantly, successful weight maintenance preserveed this benefit. A shift from insulin sensitivity to insulin resistance increased oxLDL. Smokers had more oxLDL than non-smokers. A combination of obesity and smoking, or smoking and low serum total testosterone,resulted in even higher levels of oxLDL than any of the three conditions alone. Proportioning oxLDL to HDL-c or apoA1 stood out as a risk factor of all-cause mortality in the elderly. Conclusions: OxLDL was associated with aging, androgens, smoking, obesity, insulin metabolism, weight balance and other circulating lipid classes. Through this variety of metabolic environments containing both constant conditions (aging and gender) as well as lifestyle issues, these findings supported an essential and multidimensional role that oxLDL plays in atherosclerosis pathogenesis.

Constant and variable amplitude fatigue strength of high strength steel welds treated with ultrasonic impact treatment

Hitsattujen rakenteiden väsymiskestävyyttä pystytään parantamaan jälkikäsittelymenetelmillä, joistayksi, ultraäänikäsittely muokkaa hitsin geometriaa ja aiheuttaa puristusjäännösjännitystilan. Tässä tutkimuksessa verrataan kokeellisesti kuormaa kantamattoman hitsatun ja ui -käsitellyn rivan väsymislujuutta toisiinsa. Tutkimusohjelmaan kuuluu kahta teräslajia ja sekä vakio - että vaihtuva - amplitudista kuormitusta. Ultraäänikäsittelyllä saavutetaan väsymiskestoiän parantuminen vakio - ja vaihtuva - amplitudisella kuormituksella. Perusaineen lujuudella ei ole merkittää vaikutusta väsymislujuuteen kun liitos on hitsatussa tilassa. Tällöin väsymiskestävyyden määrää hitsin rajaviivan jännityskeskittymä. Ultraäänikäsitellyn hitsatunliitoksen väsymiskestävyys on suurempi korkeamman lujuuden omaavilla teräksillä. Tästä syystä korkealujuuksisten terästen käyttö ultraäänikäsiteltynä väsyttävästi kuormitetuissa kevytrakenteissa on perusteltua.

Proportionality and Party Success in Europe

This thesis consists of four articles and an introductory section. The main research questions in all the articles are about proportionality and party success in Europe, at European, national or district levels. Proportionality in this thesis denotes the proximity of seat shares parties receive compared to their respective vote shares, after the electoral system’s allocation process. This proportionality can be measured through numerous indices that illustrate either the overall proportionality of an electoral system or a particular election. The correspondence of a single party’s seat shares to its vote shares can also be measured. The overall proportionality is essential in three of the articles (1, 2 and 4), where the system’s performance is studied by means of plots. In article 3, minority party success is measured by advantage-ratios that reveal single party’s winnings or losses in the votes to seat allocation process. The first article asks how proportional are the European parliamentary (EP) electoral systems, how do they compare with results gained from earlier studies and how do the EP electoral systems treat different sized parties. The reasons for different outcomes are looked for in explanations given by traditional electoral studies i.e. electoral system variables. The countries studied (EU15) apply electoral systems that vary in many important aspects, even though a certain amount of uniformity has been aspired to for decades. Since the electoral systems of the EP elections closely resemble the national elections, the same kinds of profiles emerge as in the national elections. The electoral systems indeed treat the parties differentially and six different profile types can be found. The counting method seems to somewhat determine the profile group, but the strongest variables determining the shape of a countries’ profile appears to be the average district magnitude and number of seats allocated to each country. The second article also focuses on overall proportionality performance of an electoral system, but here the focus is on the impact of electoral system changes. I have developed a new method of visualizing some previously used indices and some new indices for this purpose. The aim is to draw a comparable picture of these electoral systems’ changes and their effects. The cases, which illustrate this method, are four elections systems, where a change has occurred in one of the system variables, while the rest remained unchanged. The studied cases include the French, Greek and British European parliamentary systems and the Swedish national parliamentary system. The changed variables are electoral type (plurality changed to PR in the UK), magnitude (France splitting the nationwide district into eight smaller districts), legal threshold (Greece introducing a three percent threshold) and counting method (d’Hondt was changed to modified Sainte-Laguë in Sweden). The radar plots from elections after and before the changes are drawn for all country cases. When quantifying the change, the change in the plots area that is created has also been calculated. Using these radar plots we can observe that the change in electoral system type, magnitude, and also to some extent legal threshold had an effect on overall proportionality and accessibility for small parties, while the change between the two highest averages counting method had none. The third article studies the success minority parties have had in nine electoral systems in European heterogeneous countries. This article aims to add more motivation as to why we should care how different sized parties are treated by the electoral systems. Since many of the parties that aspire to represent minorities in European countries are small, the possibilities for small parties are highlighted. The theory of consociational (or power-sharing) democracy suggests that, in heterogeneous societies, a proportional electoral system will provide the fairest treatment of minority parties. The OSCE Lund Recommendations propose a number of electoral system features, which would improve minority representation. In this article some party variables, namely the unity of the minority parties and the geographical concentration of the minorities were included among possible explanations. The conclusions are that the central points affecting minority success were indeed these non-electoral system variables rather than the electoral system itself. Moreover, the size of the party was a major factor governing success in all the systems investigated; large parties benefited in all the studied electoral systems. In the fourth article the proportionality profiles are again applied, but this time to district level results in Finnish parliamentary elections. The level of proportionality distortion is also studied by way of indices. The average magnitudes during the studied periodrange from 7.5 to 26.2 in the Finnish electoral districts and this opens up unequal opportunities for parties in different districts and affects the shape of the profiles. The intra-country case allows the focus to be placed on the effect of district magnitude, since all other electoral systems are kept constant in an intra-country study. The time span in the study is from 1962 to 2007, i.e. the time that the districts have largely been the same geographically. The plots and indices tell the same story, district magnitude and electoral alliances matter. The district magnitude is connected to the overall proportionality of the electoral districts according to both indices, and the profiles are, as expected, also closer to perfect proportionality in large districts. Alliances have helped some small parties to gain a much higher seat share than their respective vote share and these successes affect some of the profiles. The profiles also show a consistent pattern of benefits for the small parties who ally with the larger parties.

Size Effect and Notch Size Effect in Metal Fatigue

It is a well known phenomenon that the constant amplitude fatigue limit of a large component is lower than the fatigue limit of a small specimen made of the same material. In notched components the opposite occurs: the fatigue limit defined as the maximum stress at the notch is higher than that achieved with smooth specimens. These two effects have been taken into account in most design handbooks with the help of experimental formulas or design curves. The basic idea of this study is that the size effect can mainly be explained by the statistical size effect. A component subjected to an alternating load can be assumed to form a sample of initiated cracks at the end of the crack initiation phase. The size of the sample depends on the size of the specimen in question. The main objective of this study is to develop a statistical model for the estimation of this kind of size effect. It was shown that the size of a sample of initiated cracks shall be based on the stressed surface area of the specimen. In case of varying stress distribution, an effective stress area must be calculated. It is based on the decreasing probability of equally sized initiated cracks at lower stress level. If the distribution function of the parent population of cracks is known, the distribution of the maximum crack size in a sample can be defined. This makes it possible to calculate an estimate of the largest expected crack in any sample size. The estimate of the fatigue limit can now be calculated with the help of the linear elastic fracture mechanics. In notched components another source of size effect has to be taken into account. If we think about two specimens which have similar shape, but the size is different, it can be seen that the stress gradient in the smaller specimen is steeper. If there is an initiated crack in both of them, the stress intensity factor at the crack in the larger specimen is higher. The second goal of this thesis is to create a calculation method for this factor which is called the geometric size effect. The proposed method for the calculation of the geometric size effect is also based on the use of the linear elastic fracture mechanics. It is possible to calculate an accurate value of the stress intensity factor in a non linear stress field using weight functions. The calculated stress intensity factor values at the initiated crack can be compared to the corresponding stress intensity factor due to constant stress. The notch size effect is calculated as the ratio of these stress intensity factors. The presented methods were tested against experimental results taken from three German doctoral works. Two candidates for the parent population of initiated cracks were found: the Weibull distribution and the log normal distribution. Both of them can be used successfully for the prediction of the statistical size effect for smooth specimens. In case of notched components the geometric size effect due to the stress gradient shall be combined with the statistical size effect. The proposed method gives good results as long as the notch in question is blunt enough. For very sharp notches, stress concentration factor about 5 or higher, the method does not give sufficient results. It was shown that the plastic portion of the strain becomes quite high at the root of this kind of notches. The use of the linear elastic fracture mechanics becomes therefore questionable.

Forecasting financial weather - can we foresee market sentiment? Spectrum of stock price behavior - NYSE case study

The desire to create a statistical or mathematical model, which would allow predicting the future changes in stock prices, was born many years ago. Economists and mathematicians are trying to solve this task by applying statistical analysis and physical laws, but there are still no satisfactory results. The main reason for this is that a stock exchange is a non-stationary, unstable and complex system, which is influenced by many factors. In this thesis the New York Stock Exchange was considered as the system to be explored. A topological analysis, basic statistical tools and singular value decomposition were conducted for understanding the behavior of the market. Two methods for normalization of initial daily closure prices by Dow Jones and S&P500 were introduced and applied for further analysis. As a result, some unexpected features were identified, such as a shape of distribution of correlation matrix, a bulk of which is shifted to the right hand side with respect to zero. Also non-ergodicity of NYSE was confirmed graphically. It was shown, that singular vectors differ from each other by a constant factor. There are for certain results no clear conclusions from this work, but it creates a good basis for the further analysis of market topology.

Novel virtual environment and real-time simulation based methods for improving life-cycle efficiency of non-road mobile machinery

Virtual environments and real-time simulators (VERS) are becoming more and more important tools in research and development (R&D) process of non-road mobile machinery (NRMM). The virtual prototyping techniques enable faster and more cost-efficient development of machines compared to use of real life prototypes. High energy efficiency has become an important topic in the world of NRMM because of environmental and economic demands. The objective of this thesis is to develop VERS based methods for research and development of NRMM. A process using VERS for assessing effects of human operators on the life-cycle efficiency of NRMM was developed. Human in the loop simulations are ran using an underground mining loader to study the developed process. The simulations were ran in the virtual environment of the Laboratory of Intelligent Machines of Lappeenranta University of Technology. A physically adequate real-time simulation model of NRMM was shown to be reliable and cost effective in testing of hardware components by the means of hardware-in-the-loop (HIL) simulations. A control interface connecting integrated electro-hydraulic energy converter (IEHEC) with virtual simulation model of log crane was developed. IEHEC consists of a hydraulic pump-motor and an integrated electrical permanent magnet synchronous motorgenerator. The results show that state of the art real-time NRMM simulators are capable to solve factors related to energy consumption and productivity of the NRMM. A significant variation between the test drivers is found. The results show that VERS can be used for assessing human effects on the life-cycle efficiency of NRMM. HIL simulation responses compared to that achieved with conventional simulation method demonstrate the advances and drawbacks of various possible interfaces between the simulator and hardware part of the system under study. Novel ideas for arranging the interface are successfully tested and compared with the more traditional one. The proposed process for assessing the effects of operators on the life-cycle efficiency will be applied for wider group of operators in the future. Driving styles of the operators can be analysed statistically from sufficient large result data. The statistical analysis can find the most life-cycle efficient driving style for the specific environment and machinery. The proposed control interface for HIL simulation need to be further studied. The robustness and the adaptation of the interface in different situations must be verified. The future work will also include studying the suitability of the IEHEC for different working machines using the proposed HIL simulation method.

Measurement of social value creation with non-financial measures

This research examines the concept of social entrepreneurship which is a fairly new business model. In the field of business it has become increasingly popular in recent years. The growing awareness of the environment and concrete examples of impact created by social entrepreneurship have encouraged entrepreneurs to address social problems. Society’s failures are tried to redress as a result of business activities. The purpose of doing business is necessarily no longer generating just profits but business is run in order to make a social change with the profit gained from the operations. Successful social entrepreneurship requires a specific nature, constant creativity and strong desire to make a social change. It requires constant balancing between two major objectives: both financial and non-financial issues need to be considered, but not at the expense of another. While aiming at the social purpose, the business needs to be run in highly competitive markets. Therefore, both factors need equally be integrated into an organization as they are complementary, not exclusionary. Business does not exist without society and society cannot go forward without business. Social entrepreneurship, its value creation, measurement tools and reporting practices are under discussion in this research. An extensive theoretical basis is covered and used to support the findings coming out of the researched case enterprises. The most attention is focused on the concept of Social Return on Investment. The case enterprises are analyzed through the SROI process. Social enterprises are mostly small or medium sized. Naturally this sets some limitations in implementing measurement tools. The question of resources requires the most attention and therefore sets the biggest constraints. However, the size of the company does not determine all – the nature of business and the type of social purpose need to be considered always. The mission may be so concrete and transparent that in all cases any kind of measurement would be useless. Implementing measurement tools may be of great benefit – or a huge financial burden. Thus, the very first thing to carefully consider is the possible need of measuring value creation.