A study of stock market fluctuations and their relation to business conditions

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubblelike deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the nonfundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

Three essays on asset pricing

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lvy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

Changing Bacterial Growth Efficiencies across a Natural Nutrient Gradient in an Oligotrophic Estuary

Recent studies have characterized coastal estuarine systems as important components of the global carbon cycle. This study investigated carbon cycling through the microbial loop of Florida Bay by use of bacterial growth efficiency calculations. Bacterial production, bacterial respiration, and other environmental parameters were measured at three sites located along a historic phosphorus-limitation gradient in Florida Bay and compared to a relatively nutrient enriched site in Biscayne Bay. A new method for measuring bacterial respiration in oligotrophic waters involving tracing respiration of 13C-glucose was developed. The results of the study indicate that 13C tracer assays may provide a better means of measuring bacterial respiration in low nutrient environments than traditional dissolved oxygen consumption-based methods due to strong correlations between incubation length and δ13C values. Results also suggest that overall bacterial growth efficiency may be lower at the most nutrient limited sites.

Three Essays on Asset Pricing

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

A Study of Stock Market Fluctuations and their Relations to Business Conditions

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubble-like deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the non-fundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

A computer based approach to improve the dietary and physical activity patterns of a diverse group of adolescents

Diet and physical activity patterns have been implicated as major factors in the increasing prevalence of childhood and adolescent obesity. It is estimated that between 16 and 33 percent of children and adolescents in the United States are overweight (CDC, 2000). Moreover, the CDC estimates that less than 50% of adolescents are physically active on a regular basis (CDC, 2003). Interventions must be focused to modify these behaviors. Facilitating the understanding of proper nutrition and need for physical activity among adolescents is the first step in preventing overweight and obesity and delaying the development of chronic diseases later in life (Dwyer, 2000). The purpose of this study was to compare the outcomes of students receiving one of two forms of education (both emphasizing diet and physical activity), to determine whether a computer based intervention (CBI) program using an interactive, animated CD-ROM would elicit a greater behavior change in comparison to a traditional didactic intervention (TDI) program. A convenience sample of 254 high school students aged 14-19 participated in the 6-month program. A pre-test post-test design was used, with follow-up measures taken at three months post-intervention. ^ No change was noted in total fat, saturated fat, fruit/vegetables, or fiber intake for any of the groups. There was also no change in perceived self-efficacy or perceived social support. Results did, however, indicate an increase in nutrition knowledge for both intervention groups (p<0.001). In addition, the CBI group demonstrated more positive and sustained behavior changes throughout the course of the study. These changes included a decrease in BMI (ppre/post<0.001, ppost/follow-up<0.001), number of meals skipped (ppre/post<0.001), and soda consumption (ppre/post=0.003, ppost/follow-up=0.03) and an increase in nutrition knowledge (ppre/post<0.001, ppre/follow-up <0.001), physical activity (ppre/post<0.05, p pre/follow-up<0.01), frequency of label reading (ppre/follow-up <0.0l) and in dairy consumption (ppre/post=0.03). The TDI group did show positive gains in some areas post intervention, however a return to baseline behavior was shown at follow-up. Findings of this study suggest that compared to traditional didactic teaching, computer-based nutrition and health education has greater potential to elicit change in knowledge and behavior as well as promote maintenance of the behavior change over time. ^

An exergy based engineering and economic analysis of sustainable building

To achieve the goal of sustainable development, the building energy system was evaluated from both the first and second law of thermodynamics point of view. The relationship between exergy destruction and sustainable development were discussed at first, followed by the description of the resource abundance model, the life cycle analysis model and the economic investment effectiveness model. By combining the forgoing models, a new sustainable index was proposed. Several green building case studies in U.S. and China were presented. The influences of building function, geographic location, climate pattern, the regional energy structure, and the technology improvement potential of renewable energy in the future were discussed. The building’s envelope, HVAC system, on-site renewable energy system life cycle analysis from energy, exergy, environmental and economic perspective were compared. It was found that climate pattern had a dramatic influence on the life cycle investment effectiveness of the building envelope. The building HVAC system energy performance was much better than its exergy performance. To further increase the exergy efficiency, renewable energy rather than fossil fuel should be used as the primary energy. A building life cycle cost and exergy consumption regression model was set up. The optimal building insulation level could be affected by either cost minimization or exergy consumption minimization approach. The exergy approach would cause better insulation than cost approach. The influence of energy price on the system selection strategy was discussed. Two photovoltaics (PV) systems—stand alone and grid tied system were compared by the life cycle assessment method. The superiority of the latter one was quite obvious. The analysis also showed that during its life span PV technology was less attractive economically because the electricity price in U.S. and China did not fully reflect the environmental burden associated with it. However if future energy price surges and PV system cost reductions were considered, the technology could be very promising for sustainable buildings in the future.

A thermally wavelength-tunable photonic switch based on silicon microring resonator

Silicon photonics is a very promising technology for future low-cost high-bandwidth optical telecommunication applications down to the chip level. This is due to the high degree of integration, high optical bandwidth and large speed coupled with the development of a wide range of integrated optical functions. Silicon-based microring resonators are a key building block that can be used to realize many optical functions such as switching, multiplexing, demultiplaxing and detection of optical wave. The ability to tune the resonances of the microring resonators is highly desirable in many of their applications. In this work, the study and application of a thermally wavelength-tunable photonic switch based on silicon microring resonator is presented. Devices with 10μm diameter were systematically studied and used in the design. Its resonance wavelength was tuned by thermally induced refractive index change using a designed local micro-heater. While thermo-optic tuning has moderate speed compared with electro-optic and all-optic tuning, with silicon’s high thermo-optic coefficient, a much wider wavelength tunable range can be realized. The device design was verified and optimized by optical and thermal simulations. The fabrication and characterization of the device was also implemented. The microring resonator has a measured FSR of ∼18 nm, FWHM in the range 0.1-0.2 nm and Q around 10,000. A wide tunable range (>6.4 nm) was achieved with the switch, which enables dense wavelength division multiplexing (DWDM) with a channel space of 0.2nm. The time response of the switch was tested on the order of 10 μs with a low power consumption of ∼11.9mW/nm. The measured results are in agreement with the simulations. Important applications using the tunable photonic switch were demonstrated in this work. 1×4 and 4×4 reconfigurable photonic switch were implemented by using multiple switches with a common bus waveguide. The results suggest the feasibility of on-chip DWDM for the development of large-scale integrated photonics. Using the tunable switch for output wavelength control, a fiber laser was demonstrated with Erbium-doped fiber amplifier as the gain media. For the first time, this approach integrated on-chip silicon photonic wavelength control.

Field programmable gate array based target detection and gesture recognition

The move from Standard Definition (SD) to High Definition (HD) represents a six times increases in data, which needs to be processed. With expanding resolutions and evolving compression, there is a need for high performance with flexible architectures to allow for quick upgrade ability. The technology advances in image display resolutions, advanced compression techniques, and video intelligence. Software implementation of these systems can attain accuracy with tradeoffs among processing performance (to achieve specified frame rates, working on large image data sets), power and cost constraints. There is a need for new architectures to be in pace with the fast innovations in video and imaging. It contains dedicated hardware implementation of the pixel and frame rate processes on Field Programmable Gate Array (FPGA) to achieve the real-time performance. ^ The following outlines the contributions of the dissertation. (1) We develop a target detection system by applying a novel running average mean threshold (RAMT) approach to globalize the threshold required for background subtraction. This approach adapts the threshold automatically to different environments (indoor and outdoor) and different targets (humans and vehicles). For low power consumption and better performance, we design the complete system on FPGA. (2) We introduce a safe distance factor and develop an algorithm for occlusion occurrence detection during target tracking. A novel mean-threshold is calculated by motion-position analysis. (3) A new strategy for gesture recognition is developed using Combinational Neural Networks (CNN) based on a tree structure. Analysis of the method is done on American Sign Language (ASL) gestures. We introduce novel point of interests approach to reduce the feature vector size and gradient threshold approach for accurate classification. (4) We design a gesture recognition system using a hardware/ software co-simulation neural network for high speed and low memory storage requirements provided by the FPGA. We develop an innovative maximum distant algorithm which uses only 0.39% of the image as the feature vector to train and test the system design. Database set gestures involved in different applications may vary. Therefore, it is highly essential to keep the feature vector as low as possible while maintaining the same accuracy and performance^

System-on-a-Chip (SoC) based hardware acceleration in Register Transfer Level (RTL) design

Today, modern System-on-a-Chip (SoC) systems have grown rapidly due to the increased processing power, while maintaining the size of the hardware circuit. The number of transistors on a chip continues to increase, but current SoC designs may not be able to exploit the potential performance, especially with energy consumption and chip area becoming two major concerns. Traditional SoC designs usually separate software and hardware. Thus, the process of improving the system performance is a complicated task for both software and hardware designers. The aim of this research is to develop hardware acceleration workflow for software applications. Thus, system performance can be improved with constraints of energy consumption and on-chip resource costs. The characteristics of software applications can be identified by using profiling tools. Hardware acceleration can have significant performance improvement for highly mathematical calculations or repeated functions. The performance of SoC systems can then be improved, if the hardware acceleration method is used to accelerate the element that incurs performance overheads. The concepts mentioned in this study can be easily applied to a variety of sophisticated software applications. The contributions of SoC-based hardware acceleration in the hardware-software co-design platform include the following: (1) Software profiling methods are applied to H.264 Coder-Decoder (CODEC) core. The hotspot function of aimed application is identified by using critical attributes such as cycles per loop, loop rounds, etc. (2) Hardware acceleration method based on Field-Programmable Gate Array (FPGA) is used to resolve system bottlenecks and improve system performance. The identified hotspot function is then converted to a hardware accelerator and mapped onto the hardware platform. Two types of hardware acceleration methods – central bus design and co-processor design, are implemented for comparison in the proposed architecture. (3) System specifications, such as performance, energy consumption, and resource costs, are measured and analyzed. The trade-off of these three factors is compared and balanced. Different hardware accelerators are implemented and evaluated based on system requirements. 4) The system verification platform is designed based on Integrated Circuit (IC) workflow. Hardware optimization techniques are used for higher performance and less resource costs. Experimental results show that the proposed hardware acceleration workflow for software applications is an efficient technique. The system can reach 2.8X performance improvements and save 31.84% energy consumption by applying the Bus-IP design. The Co-processor design can have 7.9X performance and save 75.85% energy consumption.

Gesture Recognition Using Neural Networks Based on HW/SW Cosimulation Platform

Hardware/software (HW/SW) cosimulation integrates software simulation and hardware simulation simultaneously. Usually, HW/SW co-simulation platform is used to ease debugging and verification for very large-scale integration (VLSI) design. To accelerate the computation of the gesture recognition technique, an HW/SW implementation using field programmable gate array (FPGA) technology is presented in this paper. The major contributions of this work are: (1) a novel design of memory controller in the Verilog Hardware Description Language (Verilog HDL) to reduce memory consumption and load on the processor. (2) The testing part of the neural network algorithm is being hardwired to improve the speed and performance. The American Sign Language gesture recognition is chosen to verify the performance of the approach. Several experiments were carried out on four databases of the gestures (alphabet signs A to Z). (3) The major benefit of this design is that it takes only few milliseconds to recognize the hand gesture which makes it computationally more efficient.

An Exergy Based Engineering and Economic Analysis of Sustainable Building

To achieve the goal of sustainable development, the building energy system was evaluated from both the first and second law of thermodynamics point of view. The relationship between exergy destruction and sustainable development were discussed at first, followed by the description of the resource abundance model, the life cycle analysis model and the economic investment effectiveness model. By combining the forgoing models, a new sustainable index was proposed. Several green building case studies in U.S. and China were presented. The influences of building function, geographic location, climate pattern, the regional energy structure, and the technology improvement potential of renewable energy in the future were discussed. The building’s envelope, HVAC system, on-site renewable energy system life cycle analysis from energy, exergy, environmental and economic perspective were compared. It was found that climate pattern had a dramatic influence on the life cycle investment effectiveness of the building envelope. The building HVAC system energy performance was much better than its exergy performance. To further increase the exergy efficiency, renewable energy rather than fossil fuel should be used as the primary energy. A building life cycle cost and exergy consumption regression model was set up. The optimal building insulation level could be affected by either cost minimization or exergy consumption minimization approach. The exergy approach would cause better insulation than cost approach. The influence of energy price on the system selection strategy was discussed. Two photovoltaics (PV) systems – stand alone and grid tied system were compared by the life cycle assessment method. The superiority of the latter one was quite obvious. The analysis also showed that during its life span PV technology was less attractive economically because the electricity price in U.S. and China did not fully reflect the environmental burden associated with it. However if future energy price surges and PV system cost reductions were considered, the technology could be very promising for sustainable buildings in the future.

A Thermally Wavelength-tunable Photonic Switch Based on Silicon Microring Resonator

Silicon photonics is a very promising technology for future low-cost high-bandwidth optical telecommunication applications down to the chip level. This is due to the high degree of integration, high optical bandwidth and large speed coupled with the development of a wide range of integrated optical functions. Silicon-based microring resonators are a key building block that can be used to realize many optical functions such as switching, multiplexing, demultiplaxing and detection of optical wave. The ability to tune the resonances of the microring resonators is highly desirable in many of their applications. In this work, the study and application of a thermally wavelength-tunable photonic switch based on silicon microring resonator is presented. Devices with 10µm diameter were systematically studied and used in the design. Its resonance wavelength was tuned by thermally induced refractive index change using a designed local micro-heater. While thermo-optic tuning has moderate speed compared with electro-optic and all-optic tuning, with silicon’s high thermo-optic coefficient, a much wider wavelength tunable range can be realized. The device design was verified and optimized by optical and thermal simulations. The fabrication and characterization of the device was also implemented. The microring resonator has a measured FSR of ~18 nm, FWHM in the range 0.1-0.2 nm and Q around 10,000. A wide tunable range (>6.4 nm) was achieved with the switch, which enables dense wavelength division multiplexing (DWDM) with a channel space of 0.2nm. The time response of the switch was tested on the order of 10 us with a low power consumption of ~11.9mW/nm. The measured results are in agreement with the simulations. Important applications using the tunable photonic switch were demonstrated in this work. 1×4 and 4×4 reconfigurable photonic switch were implemented by using multiple switches with a common bus waveguide. The results suggest the feasibility of on-chip DWDM for the development of large-scale integrated photonics. Using the tunable switch for output wavelength control, a fiber laser was demonstrated with Erbium-doped fiber amplifier as the gain media. For the first time, this approach integrated on-chip silicon photonic wavelength control.

System-on-a-Chip (SoC) based Hardware Acceleration in Register Transfer Level (RTL) Design

Today, modern System-on-a-Chip (SoC) systems have grown rapidly due to the increased processing power, while maintaining the size of the hardware circuit. The number of transistors on a chip continues to increase, but current SoC designs may not be able to exploit the potential performance, especially with energy consumption and chip area becoming two major concerns. Traditional SoC designs usually separate software and hardware. Thus, the process of improving the system performance is a complicated task for both software and hardware designers. The aim of this research is to develop hardware acceleration workflow for software applications. Thus, system performance can be improved with constraints of energy consumption and on-chip resource costs. The characteristics of software applications can be identified by using profiling tools. Hardware acceleration can have significant performance improvement for highly mathematical calculations or repeated functions. The performance of SoC systems can then be improved, if the hardware acceleration method is used to accelerate the element that incurs performance overheads. The concepts mentioned in this study can be easily applied to a variety of sophisticated software applications. The contributions of SoC-based hardware acceleration in the hardware-software co-design platform include the following: (1) Software profiling methods are applied to H.264 Coder-Decoder (CODEC) core. The hotspot function of aimed application is identified by using critical attributes such as cycles per loop, loop rounds, etc. (2) Hardware acceleration method based on Field-Programmable Gate Array (FPGA) is used to resolve system bottlenecks and improve system performance. The identified hotspot function is then converted to a hardware accelerator and mapped onto the hardware platform. Two types of hardware acceleration methods – central bus design and co-processor design, are implemented for comparison in the proposed architecture. (3) System specifications, such as performance, energy consumption, and resource costs, are measured and analyzed. The trade-off of these three factors is compared and balanced. Different hardware accelerators are implemented and evaluated based on system requirements. 4) The system verification platform is designed based on Integrated Circuit (IC) workflow. Hardware optimization techniques are used for higher performance and less resource costs. Experimental results show that the proposed hardware acceleration workflow for software applications is an efficient technique. The system can reach 2.8X performance improvements and save 31.84% energy consumption by applying the Bus-IP design. The Co-processor design can have 7.9X performance and save 75.85% energy consumption.