Three essays on the microstructure of exchange traded funds

Exchange traded funds (ETFs) have increased significantly in popularity since they were first introduced in 1993. However, there is still much that is unknown about ETFs in the extant literature. This dissertation attempts to fill gaps in the ETF literature by using three related essays. In these three essays, we compare ETFs to closed ended mutual funds (CEFs) by decomposing the bid-ask spread into its three components; we look at the intraday shape of ETFs and compare it to the intraday shape of equities as well as examine the co-integration factor between ETFs on the London Stock Exchange and the New York Stock Exchange; we also examine the differences between leveraged ETFs and unleveraged ETFs by analyzing the impact of liquidity and volatility. These three essays are presented in Chapters 1, 2, and 3, respectively. ^ Chapter one uses the Huang and Stoll (1997) model to decompose the bid-ask spread in CEFs and ETFs for two distinct periods—a normal and a volatile period. We show a higher adverse selection component for CEFs than for ETFs without regard to volatility. However, both ETFs and CEFs increased in magnitude of the adverse selection component in the period of high volatility. Chapter two uses a mix of the Werner and Kleidon (1993) and the Hupperets and Menkveld (2002) methods to get the intraday shape of ETFs and analyze co-integration between London and New York trading. We find two different shapes for New York and London ETFs. There also appears to be evidence of co-integration in the overlapping two-hour trading period but not over the entire trading day for the two locations. The third chapter discusses the new class of ETFs called leveraged ETFs. We examine the liquidity and depth differences between unleveraged and leveraged ETFs at the aggregate level and when the leveraged ETFs are classified by the leveraged multiples of -3, -2, -1, 2, and 3, both for a normal and a volatile period. We find distinct differences between leveraged and unleveraged ETFs at the aggregate level, with leveraged ETFs having larger spreads than unleveraged ETFs. Furthermore, while both leveraged and unleveraged ETFs have larger spreads in high volatility, for the leveraged ETFs the change in magnitude is significantly larger than for the unleveraged ETFs. Among the multiples, the -2 leveraged ETF is the most pronounced in its liquidity characteristics, more so in volatile times. ^

Vacuum brazing of alumina ceramic to titanium for biomedical implants using pure gold as the filler metal

One of the many promising applications of metal/ceramic joining is in biomedical implantable devices. This work is focused on vacuum brazing of C.P titanium to 96% alumina ceramic using pure gold as the filler metal. A novel method of brazing is developed where resistance heating of C.P titanium is done inside a thermal evaporator using a Ta heating electrode. The design of electrode is optimized using Ansys resistive heating simulations. The materials chosen in this study are biocompatible and have prior history in implantable devices approved by FDA. This research is part of Boston Retinal implant project to make a biocompatible implantable device (www.bostonretina.org). ^ Pure gold braze has been used in the construction of single terminal feedthrough in low density hermetic packages utilizing a single platinum pin brazed to an alumina or sapphire ceramic donut (brazed to a titanium case or ferrule for many years in implantable pacemakers. Pure gold (99.99%) brazing of 96% alumina ceramic with CP titanium has been performed and evaluated in this dissertation. Brazing has been done by using electrical resistance heating. The 96% alumina ceramic disk was manufactured by high temperature cofired ceramic (HTCC) processing while the Ti ferrule and gold performs were purchased from outside. Hermetic joints having leak rate of the order of 1.6 × 10-8 atm-cc/ sec on a helium leak detector were measured. ^ Alumina ceramics made by HTCC processing were centreless grounded utilizing 800 grit diamond wheel to provide a smooth surface for sputtering of a thin film of Nb. Since pure alumina demonstrates no adhesion or wetting to gold, an adhesion layer must be used on the alumina surface. Niobium (Nb), Tantalum (Ta) and Tungsten (W) were chosen for evaluation since all are refractory (less dissolution into molten gold), all form stable oxides (necessary for adhesion to alumina) and all are readily thin film deposited as metals. Wetting studies are also performed to determine the wetting angle of pure gold to Ti, Ta, Nb and W substrates. Nano tribological scratch testing of thin film of Nb (which demonstrated the best wetting properties towards gold) on polished 96% alumina ceramic is performed to determine the adhesion strength of thin film to the substrate. The wetting studies also determined the thickness of the intermetallic compounds layers formed between Ti and gold, reaction microstructure and the dissolution of the metal into the molten gold.^

In-Vivo Corrosion and Fretting of Modular TI-6AL-4V/CO-CR-MO Hip Prostheses: The Influence of Microstructure and Design Parameters

The purpose of this study was to evaluate the incidence of corrosion and fretting in 48 retrieved titanium-6aluminum-4vanadium and/or cobalt-chromium-molybdenum modular total hip prosthesis with respect to alloy material microstructure and design parameters. The results revealed vastly different performance results for the wide array of microstructures examined. Severe corrosion/fretting was seen in 100% of as-cast, 24% of low carbon wrought, 9% of high carbon wrought and 5% of solution heat treated cobalt-chrome. Severe corrosion/fretting was observed in 60% of Ti-6Al-4V components. Design features which allow for fluid entry and stagnation, amplification of contact pressure and/or increased micromotion were also shown to play a role. 75% of prosthesis with high femoral head-trunnion offset exhibited poor performance compared to 15% with a low offset. Large femoral heads (>32mm) did not exhibit poor corrosion or fretting. Implantation time was not sufficient to cause poor performance; 54% of prosthesis with greater than 10 years in-vivo demonstrated none or mild corrosion/fretting.