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.

An agent-based model of team coordination and performance

This research is based on the premises that teams can be designed to optimize its performance, and appropriate team coordination is a significant factor to team outcome performance. Contingency theory argues that the effectiveness of a team depends on the right fit of the team design factors to the particular job at hand. Therefore, organizations need computational tools capable of predict the performance of different configurations of teams. This research created an agent-based model of teams called the Team Coordination Model (TCM). The TCM estimates the coordination load and performance of a team, based on its composition, coordination mechanisms, and job’s structural characteristics. The TCM can be used to determine the team’s design characteristics that most likely lead the team to achieve optimal performance. The TCM is implemented as an agent-based discrete-event simulation application built using JAVA and Cybele Pro agent architecture. The model implements the effect of individual team design factors on team processes, but the resulting performance emerges from the behavior of the agents. These team member agents use decision making, and explicit and implicit mechanisms to coordinate the job. The model validation included the comparison of the TCM’s results with statistics from a real team and with the results predicted by the team performance literature. An illustrative 26-1 fractional factorial experimental design demonstrates the application of the simulation model to the design of a team. The results from the ANOVA analysis have been used to recommend the combination of levels of the experimental factors that optimize the completion time for a team that runs sailboats races. This research main contribution to the team modeling literature is a model capable of simulating teams working on complex job environments. The TCM implements a stochastic job structure model capable of capturing some of the complexity not capture by current models. In a stochastic job structure, the tasks required to complete the job change during the team execution of the job. This research proposed three new types of dependencies between tasks required to model a job as a stochastic structure. These dependencies are conditional sequential, single-conditional sequential, and the merge dependencies.

Lateral load distribution for curved steel I -girder bridges

Lateral load distribution factor is a key factor for designing and analyzing curved steel I-girder bridges. In this dissertation, the effects of various parameters on moment and shear distribution for curved steel I-girder bridges were studied using the Finite Element Method (FEM). The parameters considered in the study were: radius of curvature, girder spacing, overhang, span length, number of girders, ratio of girder stiffness to overall bridge stiffness, slab thickness, girder longitudinal stiffness, cross frame spacing, and girder torsional inertia. The variations of these parameters were based on the statistical analysis of the real bridge database, which was created by extracting data from existing or newly designed curved steel I-girder bridge plans collected all over the nation. A hypothetical bridge superstructure model that was made of all the mean values of the data was created and used for the parameter study. ^ The study showed that cross frame spacing and girder torsional inertia had negligible effects. Other parameters had been identified as key parameters. Regression analysis was conducted based on the FEM analysis results and simplified formulas for predicting positive moment, negative moment, and shear distribution factors were developed. Thirty-three real bridges were analyzed using FEM to verify the formulas. The ratio of the distribution factor obtained from the formula to the one obtained from the FEM analysis, which was referred to as the g-ratio, was examined. The results showed that the standard deviation of the g-ratios was within 0.04 to 0.06 and the mean value of the g-ratios was greater than unity by one standard deviation. This indicates that the formulas are conservative in most cases but not overly conservative. The final formulas are similar in format to the current American Association of State Highway and Transportation Officials (AASHTO) Load Resistance and Factor Design (LRFD) specifications. ^ The developed formulas were compared with other simplified methods. The outcomes showed that the proposed formulas had the most accurate results among all methods. ^ The formulas developed in this study will assist bridge engineers and researchers in predicting the actual live load distribution in horizontally curved steel I-girder bridges. ^

Development of Innovative Load Transfer Mechanism to Reduce Hurricane-Induced Failures in New and Existing Residential Construction

Implicit in current design practice of minimum uplift capacity, is the assumption that the connection's capacity is proportional to the number of fasteners per connection joint. This assumption may overestimate the capacity of joints by a factor of two or more and maybe the cause of connection failures in extreme wind events. The current research serves to modify the current practice by proposing a realistic relationship between the number of fasteners and the capacity of the joint. The research is also aimed at further development of non-intrusive continuous load path (CLP) connection system using Glass Fiber Reinforced Polymer (GFRP) and epoxy. Suitable designs were developed for stud to top plate and gable end connections and tests were performed to evaluate the ultimate load, creep and fatigue behavior. The objective was to determine the performance of the connections under simulated sustained hurricane conditions. The performance of the new connections was satisfactory.