The microstructure of the Irish stock market

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. Although we find no evidence of volatility changes associated with the introduction of Xetra we do find evidence of an increase in the speed of adjustment (JEL: G15).

Hopping transport on a fractal: ac conductivity of porous silicon

We have measured the frequency dependence of the conductivity and the dielectric constant of various samples of porous Si in the regime 1 Hz-100 kHz at different temperatures. The conductivity data exhibit a strong frequency dependence. When normalized to the dc conductivity, our data obey a universal scaling law, with a well-defined crossover, in which the real part of the conductivity sigma' changes from an sqrt(omega) dependence to being proportional to omega. We explain this in terms of activated hopping in a fractal network. The low-frequency regime is governed by the fractal properties of porous Si, whereas the high-frequency dispersion comes from a broad distribution of activation energies. Calculations using the effective-medium approximation for activated hopping on a percolating lattice give fair agreement with the data.

The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

The steady performance of a porous and compliant aerostatic thrust bearing

Recent developments in aerostatic thrust bearings have included: (a) the porous aerostatic thrust bearing containing a porous pad and (b) the inherently compensated compliant surface aerostatic thrust bearing containing a thin elastomer layer. Both these developments have been reported to improve the bearing load capacity compared to conventional aerostatic thrust bearings with rigid surfaces. This development is carried one stage further in a porous and compliant aerostatic thrust bearing incorporating both a porous pad and an opposing compliant surface. The thin elastomer layer forming the compliant surface is bonded to a rigid backing and is of a soft rubber like material. Such a bearing is studied experimentally and theoretically under steady state operating conditions. A mathematical model is presented to predict the bearing performance. In this model is a simplified solution to the elasticity equations for deflections of the compliant surface. Account is also taken of deflections in the porous pad due to the pressure difference across its thickness. The lubrication equations for flow in the porous pad and bearing clearance are solved by numerical finite difference methods. An iteration procedure is used to couple deflections of the compliant surface and porous pad with solutions to the lubrication equations. Comparisons between experimental results and theoretically predicted bearing performance are in good agreement. However these results show that the porous and compliant aerostatic thrust bearing performance is lower than that of a porous aerostatic thrust bearing with a rigid surface in place of the compliant surface. This discovery is accounted to the recess formed in the bearing clearance by deflections of the compliant surface and its effect on flow through the porous pad.

Polymer modified cement: hydration microstructure and diffusion properties

Investigations concentrated on the styrene butadiene rubber (SBR) latex and formulations included standard carboxylated and special carboxylated latexes. The aqueous component, containing the stabilisers and antifoaming agent but not the polymer solids, was also used. For comparison, limited investigations were carried out using other polymer types e.g. acrylic, ethylene-vinyl acetate (EVA), and redispersible powders rather than emulsions. The major findings were: 1) All latex systems investigated acted as retarders for cement hydration. The extent of retardation depends on the type of polymer. The mechanism for cement hydration may be changed, and excessive retardation influences properties. 2) Polymer modified cements exhibited either similar or coarser pore structures compared with unmodified cements. Results suggest that polymer mainly exists in a mixture of cement hydrates and polymer phase. Very little evidence was found for the formation of a distinct polymer film phase. 3) During the first few days of curing the polymer solids are removed from the pore solution and concentrations of OH-, Na+ and K+ are reduced. These observations are probably a result of polymer-cement surface interactions since there was no evidence of any chemical reactions or degradation of the polymer. 4) Improved diffusional resistance of modified cements depends on the ability to achieve adequate workability at low w/c ratio, rather than modification of matrix structure.

The relationship between fracture toughness and microstructure in titanium alloys

Linear Elastic Fracture Mechanics has been used to study the microstructural factors controlling the strength and toughness of two alpha-beta, titanium alloys. Fracture toughness was found to be independent of orientation for alloy Ti/6A1/4-V, but orientation dependent for IMI 700, bend and tension specimens giving similar toughness values. Increasing the solution temperature led to the usual inverse relationship between strength and toughness, with toughness becoming a minimum as the beta transus was approached. The production of a double heat treated microstructure led to a 100% increase in toughness in the high strength alloy and a 20% increase in alloy Ti/6A1/4V, with little decrease in strength. The double heat treated microstruoture was produced by cooling from the beta field into the alpha beta field, followed. by conventional solution treatment and ageing. Forging above the beta transus led to an increase in toughness over alpha beta forging in the high strength alloy, but had little effect on the toughness of Ti/6A1/4V. Light and electron microscopy showed that the increased toughness resulted from the alpha phase being changed from mainly continuous to a discontinuous platelet form in a transformed beta matrix. Void formation occurred at the alpha-beta interface and crack propagation was via the interface or across the platelet depending on which process required the least energy. Varying the solution treatment temperature produced a varying interplatelet spacing and platelet thickness. The finest interplatelet spacing was associated with the highest toughness, since a higher applied stress was required to give the necessary stress concentration to initiate void formation. The thickest alpha platelet size gave the highest toughness which could be interpreted in terms of Krafftt's "process zone size" and the critical crack tip displacement criterion by Hahn and Rosenfield from an analysis by Goodier and Field.

Osmotic flow in porous membranes:effects of electric charge

The electrostatic model for osmotic flow across a porous membrane in our previous study (Akinaga et al. 2008)" was extended to include the streaming potential, for solutes and pores of like charge and fixed surface charge densities. The magnitude of the streaming potential was determined to satisfy zero current condition along the pore axis. It was found that the streaming potential affects the velocity profiles of the pressure driven flow as well as the osmotic flow through the pore, and decreases their flow rates, particularly in the case of large Debye length relative to the pore radius, whereas it has little effect on the reflection coefficients of spherical solutes through cylindrical pores.

Three-dimensional fluid pressure mapping in porous media using magnetic resonance imaging with gas-filled liposomes

This paper presents and demonstrates a method for using magnetic resonance imaging to measure local pressure of a fluid saturating a porous medium. The method is tested both in a static system of packed silica gel and in saturated sintered glass cylinders experiencing fluid flow. The fluid used contains 3% gas in the form of 3-μm average diameter gas filled 1,2-distearoyl-sn-glycero-3-phosphocholine (C18:0, MW: 790.16) liposomes suspended in 5% glycerol and 0.5% Methyl cellulose with water. Preliminary studies at 2.35 T demonstrate relative magnetic resonance signal changes of 20% per bar in bulk fluid for an echo time TE=40 ms, and 6-10% in consolidated porous media for TE=10 ms, over the range 0.8-1.8 bar for a spatial resolution of 0.1 mm3 and a temporal resolution of 30 s. The stability of this solution with relation to applied pressure and methods for improving sensitivity are discussed. © 2007 Elsevier Inc. All rights reserved.

An investigation into the depandance of electrical properties on microstructure in polycrystalline barium titanate

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Size-controlled TiO2 nanoparticles on porous hosts for enhanced photocatalytic hydrogen production

Nanocystalline TiO2 particles were successfully synthesized on porous hosts (SBA-15 and ZSM-15) via a sol-gel impregnation method. Resulting nanocomposites were characterized by XRD, TEM, BET surface analysis, Raman and UV-vis diffuse reflectance spectroscopy, and their photocatalytic activity for H2 production evaluated. XRD evidences the formation of anatase nanoparticles over both ZSM-5 and SBA-15 porous supports, with TEM highlighting a strong particle size dependence on titania precursor concentration. Photocatalytic activities of TiO2/ZSM-5 and TiO2/SBA-15 composites were significantly enhanced compared to pure TiO2, owing to the smaller TiO2 particle size and higher surface area of the former. TiO2 loadings over the porous supports and concomitant photocatalytic hydrogen production were optimized with respect to light absorption, available surface reaction sites and particle size. 10%TiO2/ZSM-5 and 20%TiO2/SBA-15 proved the most active photocatalysts, exhibiting extraordinary hydrogen evolution rates of 10,000 and 8800μmolgTiO2 -1 h-1 under full arc, associated with high external quantum efficiencies of 12.6% and 5.4% respectively under 365nm irradiation.