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).

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

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.

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

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The effect of frequency and microstructure on corrosion fatigue crack propagation in high strength aluminium alloys

Fatigue crack growth in high strength aluminium alloy 7150 commercial plate material has been studied in both laboratory air and acidified aqueous salt solution. The aggressive aqueous environment enhanced fatigue crack growth rates by up to an order in magnitude compared to laboratory air. The enhancement in fatigue crack growth rate was accompanied by evidence of embrittlement in the crack path, involving both brittle intergranular and transgranular failure modes. Both the enhancement of fatigue crack growth rates and the extent of intergranular growth modes are dependent on cyclic frequency which, along with the absence of a similar frequency effect in a spray-formed version of the material with a significantly different grain structure, supports a mechanism of grain boundary hydrogen diffusion for intergranular corrosion fatigue crack growth. The convergence of corrosion fatigue crack growth rates at high ΔK in both spray-formed and conventional plate materials coincides with the operation of identical transgranular corrosion fatigue modes dependent on strain-controlled hydrogen diffusion ahead of the crack tip. © 1997 Acta Metallurgica Inc.

Effect of cooling rate on intercritically reheated microstructure and toughness in high strength low alloy steel

High strength low alloy steels have been shown to be adversely affected by the existence of regions of poor impact toughness within the heat affected zone (HAZ) produced during multipass welding. One of these regions is the intercritically reheated coarse grained HAZ or intercritical zone. Since this region is generally narrow and discontinuous, of the order of 0.5 mm in width, weld simulators are often employed to produce a larger volume of uniform microstructure suitable for toughness assessment. The steel usedfor this study was a commercial quenched and tempered steel of 450 MN m -2 yield strength. Specimen blanks were subjected to a simulated welding cycle to produce a coarse grained structure of upper bainite during the first thermal cycle, followed by a second thermal cycle where the peak temperature T p2 was controlled. Charpy tests carried out for T p2 values in the range 650-850°C showed low toughness for T p2 values between 760 and 790°C, in the intercritical regime. Microstructural investigation of the development of grain boundary martensite-retained austenite (MA) phase has been coupled with image analysis to measure the volume fraction of MAformed. Most of the MA constituent appears at the prior austenite grain boundaries during intercritical heating, resulting in a 'necklace' appearance. For values of T p2 greater than 790°C the necklace appearance is lost and the second phase areas are observed throughout the structure. Concurrent with this is the development of the fine grained, predominantly ferritic structure that is associated with the improvement in toughness. At this stage the microstructure is transforming from the intercritical regime structure to the supercritically reheated coarse grained HAZ structure. The toughness improvement occurs even though the MA phase is still present, suggesting that the embrittlement is associated with the presence of a connected grain boundary network of the MA phase. The nature of the second phase particles can be controlled by the cooling rate during the second cycle and variesfrom MA phase at high cooling rates to a pearlitic structure at low cooling rates. The lowest toughness of the intercritical zone is observed only when MA phase is present. The reason suggested for this is that only the MA particles debond readily, a number of debonded particles in close proximity providing sufficient stress concentration to initiate local cleavage. © 1993 The Institute of Materials.

Fatigue crack propagation in nickel-base superalloys:effects of microstructure, load ratio, and temperature

The current state of knowledge and understanding of the long fatigue crack propagation behavior of nickel-base superalloys are reviewed, with particular emphasis on turbine disk materials. The data are presented in the form of crack growth rate versus stress intensity factor range curves, and the effects of such variables as microstructure, load ratio, and temperature in the near-threshold and Paris regimes of the curves, are discussed.

Etching and microstructure of engineering ceramics

Engineering ceramics are often difficult to prepare metallographically because of their hardness, wear resistance and chemical inertness. Two silicon carbides, a silicon nitride and a sialon, are prepared and etched using several different techniques. The most efficient methods are identified. © 1995.

The effect of microstructure on the fracture toughness of a metal-matrix composite

The fracture behaviour and plane strain fracture toughness, KIC, of four 8090-based metal-matrix composites containing 20 weight % SiC particles, 3, 6 and 23 μm in diameter, has been evaluated as a function of matrix ageing condition. Toughness values are found to be almost independent of reinforcement size. Ageing at 170°C results in a monotonic decrease in toughness with increasing strength up to the peak condition, with no subsequent recovery in toughness on overageing. However, unlike reinforced 8090, the composites are not found to be susceptible to intergranular embrittlement on overageing. The observed trends are found to be independent of reinforcement size. These findings are explained in terms of the strength, work hardening behaviour and nature and distribution of void-nucleating particles in the matrix. © 1993.

Effects of microstructure on long and short crack growth in nickel base superalloys

The use of engineering materials in critical applications necessitates the accurate prediction of component lifetime for inspection and renewal purposes. In fatigue limited situations, it is necessary to be able to predict the growth rates of cracks from initiation at a defect through to final fracture. To this end, fatigue crack growth data are presented for different microstructures of typical nickel base superalloys used in gas turbine engines. Crack growth behaviour throughout the life history of the crack, i.e. from the short crack through to the long crack propagation regime, is described for each microstructural condition and discussed in terms of current theories of fatigue crack propagation.