Empirical Tests of Asset Pricing Models in Finnish Stock Market

Tämän tutkielman tavoitteena on selvittää mitkä riskitekijät vaikuttavat osakkeiden tuottoihin. Arvopapereina käytetään kuutta portfoliota, jotka ovat jaoteltu markkina-arvon mukaan. Aikaperiodi on vuoden 1987 alusta vuoden 2004 loppuun. Malleina käytetään pääomamarkkinoiden hinnoittelumallia, arbitraasihinnoitteluteoriaa sekä kulutuspohjaista pääomamarkkinoiden hinnoittelumallia. Riskifaktoreina kahteen ensimmäiseen malliin käytetään markkinariskiä sekä makrotaloudellisia riskitekijöitä. Kulutuspohjaiseen pääomamarkkinoiden hinnoinoittelumallissa keskitytään estimoimaan kuluttajien riskitottumuksia sekä diskonttaustekijää, jolla kuluttaja arvostavat tulevaisuuden kulutusta. Tämä työ esittelee momenttiteorian, jolla pystymme estimoimaan lineaarisia sekä epälineaarisia yhtälöitä. Käytämme tätä menetelmää testaamissamme malleissa. Yhteenvetona tuloksista voidaan sanoa, että markkinabeeta onedelleen tärkein riskitekijä, mutta löydämme myös tukea makrotaloudellisille riskitekijöille. Kulutuspohjainen mallimme toimii melko hyvin antaen teoreettisesti hyväksyttäviä arvoja.

DTC-OHJATUN TAHTIKONEKÄYTÖN PYÖRIMISNOPEUSSÄÄDÖN ANALYYSI INTEGROIDUN SIMULOINTIMALLIN AVULLA

Työssä rakennettiin integroitu simulointimalli sähkökäytölle, jonka mekaniikka koostuu joustava-akselisesta kaksimassa systeemistä. Lisäksi tarkasteltiin kyseiselle sähkökäytölle ominaisia piirteitä ja niiden aiheuttamia ongelmia eri sovelluksissa, sekä tutkittiin teollisuudessa yleisesti esiintyvän pyörimisnopeussäädön, PI-säädön, parametrien vaikutusta kyseisen mekaniikan omaaviin sähkökäyttöihin. Taajuusmuuttajalle kehiteltiin yksinkertaistettu simulointimalli, jolla pystytään pienentämään merkittävästi simuloinnin laskenta-aikaa. Vääntövärähtelyiden kompensointiin tutkittiin optimaalista tilasäätöä, jossa Kalman suotimella estimoidaan systeemin tilojen lisäksi myös kuormamomentti ja jossa nopeussäätö suunnitellaan lineaarisella neliöllisellä menetelmällä (Linear Quadratic).

Accuracy and Precision of Head Motion Information in Multi-Channel Free Induction Decay Navigators for Magnetic Resonance Imaging.

Free induction decay (FID) navigators were found to qualitatively detect rigid-body head movements, yet it is unknown to what extent they can provide quantitative motion estimates. Here, we acquired FID navigators at different sampling rates and simultaneously measured head movements using a highly accurate optical motion tracking system. This strategy allowed us to estimate the accuracy and precision of FID navigators for quantification of rigid-body head movements. Five subjects were scanned with a 32-channel head coil array on a clinical 3T MR scanner during several resting and guided head movement periods. For each subject we trained a linear regression model based on FID navigator and optical motion tracking signals. FID-based motion model accuracy and precision was evaluated using cross-validation. FID-based prediction of rigid-body head motion was found to be with a mean translational and rotational error of 0.14±0.21 mm and 0.08±0.13(°) , respectively. Robust model training with sub-millimeter and sub-degree accuracy could be achieved using 100 data points with motion magnitudes of ±2 mm and ±1(°) for translation and rotation. The obtained linear models appeared to be subject-specific as inter-subject application of a "universal" FID-based motion model resulted in poor prediction accuracy. The results show that substantial rigid-body motion information is encoded in FID navigator signal time courses. Although, the applied method currently requires the simultaneous acquisition of FID signals and optical tracking data, the findings suggest that multi-channel FID navigators have a potential to complement existing tracking technologies for accurate rigid-body motion detection and correction in MRI.

Tuotekustannuslaskennan nykytila ja kustannusseurannan kehittäminen mallimoottoriajattelun avulla

Tutkimuksen tarkoituksena on tutkia globaalin konsernin yhden liiketoimintayksikön tuotekustannuslaskennan nykytilaa. Lisäksi tutkimuksessa selvitetään, miten tuotekohtaista kustannusseurantaa voidaan kehittää mallimoottoriajatuksen avulla. Tutkimus on toteutettu laadullisena case-tutkimuksena yhden organisaation tietojen pohjalta. Teoriaosuuden lähdeaineistot koostuvat pääosin kustannuslaskennan ja -johtamisen perusteoksista ja tieteellisistä artikkeleista. Empiriaosuuden tiedot pohjautuvat haastatteluihin, tietojärjestelmiin ja tutustumiseen organisaatioon. Tutkimuksessa selvisi, että liiketoimintayksikkö ei tällä hetkellä seuraa tuotekohtaisia kustannuksia yksittäisten tuotteiden tasolla. Kustannusseuranta tapahtuu sen sijaan suurempien kokonaisuuksien keskimääräisten kustannuksien tasolla. Tuotekustannuslaskenta on toteutettu perinteiseksi menetelmäksi luokiteltavalla laskentatavalla, jossa välilliset kustannukset kohdistetaan yleiskustannuslisäprosenttien avulla. Tutkimuksen perusteella yleiskustannuksien kohdistamisperusteissa on havaittavissa viitteitä kustannuksien vääristymisestä. Tuotetason kustannuksien seurantaan kehitettiin mallimoottoriajatukseen pohjautuva kustannusmalli, jonka avulla seurataan tarkasti valikoitujen tuotteiden kustannuksien kehittymistä sekä kustannusrakennetta. Mallin avulla voidaan lisätä tuotetason kustannustietoisuutta liiketoimintayksikössä sekä tehdä havaintoja tuotekohtaisten kustannuksien kehityssuunnasta. Mallin kustannustietona käytetään olemassa olevan kustannuslaskentajärjestelmän tietoja. Tästä johtuen mallin kustannustiedoissa on havaittavissa myös viitteitä kustannuksien vääristymisestä.

Shrinking restarting automata

Restarting automata are a restricted model of computation that was introduced by Jancar et.al. to model the so-called analysis by reduction. A computation of a restarting automaton consists of a sequence of cycles such that in each cycle the automaton performs exactly one rewrite step, which replaces a small part of the tape content by another, even shorter word. Thus, each language accepted by a restarting automaton belongs to the complexity class $CSL cap NP$. Here we consider a natural generalization of this model, called shrinking restarting automaton, where we do no longer insist on the requirement that each rewrite step decreases the length of the tape content. Instead we require that there exists a weight function such that each rewrite step decreases the weight of the tape content with respect to that function. The language accepted by such an automaton still belongs to the complexity class $CSL cap NP$. While it is still unknown whether the two most general types of one-way restarting automata, the RWW-automaton and the RRWW-automaton, differ in their expressive power, we will see that the classes of languages accepted by the shrinking RWW-automaton and the shrinking RRWW-automaton coincide. As a consequence of our proof, it turns out that there exists a reduction by morphisms from the language class $cL(RRWW)$ to the class $cL(RWW)$. Further, we will see that the shrinking restarting automaton is a rather robust model of computation. Finally, we will relate shrinking RRWW-automata to finite-change automata. This will lead to some new insights into the relationships between the classes of languages characterized by (shrinking) restarting automata and some well-known time and space complexity classes.

Cambios observados en las variables clínicas y paraclínicas en las primeras 48 horas de hospitalización en la Unidad de Cuidados Intensivos de pacientes con neumonía severa adquirida en la comunidad y su relación con la mortalidad

El pronóstico de la Neumonía Adquirida en la Comunidad Severa (NAC-S) depende de decisiones terapéuticas instauradas tempranamente. Los cambios fisiológicos ocurridos en las primeras horas pueden ser difíciles de detectar. No existe ningún modelo para la determinación temprana del éxito de la terapia instaurada en NAC-S. Metodología: Descripción de la totalidad de los pacientes con NAC-S hospitalizados en la Unidad de Cuidado Intensivo de la Fundación Cardioinfantil entre los años 2008 y 2012 haciendo comparaciones entre grupos (muertos vs. supervivientes) y entre momentos (0, 24 y 48 horas desde el ingreso a la UCI) y realizando regresión logística binaria. Resultados: Entre los pacientes que fallecieron la necesidad de soporte vasoactivo fue mayor en todos los momentos evaluados (sig=0.001), en la línea de base tuvieron mayores requerimientos de la Fracción Inspirada de O2 (mediana 0.55% vs. 0.50%, sig=0.011), a las 24 horas tuvieron pH (mediana 7.345 vs.7.370, sig=0.025) y tensión arterial diastólica (mediana 58.5mmHg vs.61.0mmHg, sig =0.049) menores, y a las 48 horas glicemia (mediana 157mg/dL vs.142mg/dL, sig =0.026) creatinina (mediana 1.1mg/dL vs.0.7mg/dL, sig =0.062) y nitrógeno ureico (mediana 35mg/dL vs. 22mg/dL, sig =0.003) mayores comparados con los pacientes que sobrevivieron. Entre los pacientes supervivientes hubo una disminución de la frecuencia cardiaca entre las 0 y 24 horas (mediana 97lpm vs. 86lpm, sig =0.000) y entre las 0 y las 48 horas (mediana 97lpm vs. 81lpm, sig=0.000) y una disminución de los neutrófilos entre las 0 y las 48 horas (mediana 9838 vs. 8617, sig=0.062). Conclusiones: Nuestros hallazgos sugieren la existencia de una secuencia de fenómenos fisiopatológicos que al ser reconocida temprana y claramente permitiría establecer un plan de reanimación más especifico y eficaz. Estas diferencias se pueden plantear en el contexto de un modelo mixto predictivo

Bias from farmer self-selection in genetically modified crop productivity estimates: Evidence from Indian data

In the continuing debate over the impact of genetically modified (GM) crops on farmers of developing countries, it is important to accurately measure magnitudes such as farm-level yield gains from GM crop adoption. Yet most farm-level studies in the literature do not control for farmer self-selection, a potentially important source of bias in such estimates. We use farm-level panel data from Indian cotton farmers to investigate the yield effect of GM insect-resistant cotton. We explicitly take into account the fact that the choice of crop variety is an endogenous variable which might lead to bias from self-selection. A production function is estimated using a fixed-effects model to control for selection bias. Our results show that efficient farmers adopt Bacillus thuringiensis (Bt) cotton at a higher rate than their less efficient peers. This suggests that cross-sectional estimates of the yield effect of Bt cotton, which do not control for self-selection effects, are likely to be biased upwards. However, after controlling for selection bias, we still find that there is a significant positive yield effect from adoption of Bt cotton that more than offsets the additional cost of Bt seed.

Bias from farmer self-selection in genetically modified crop productivity estimates: Evidence from Indian data

In the continuing debate over the impact of genetically modified (GM) crops on farmers of developing countries, it is important to accurately measure magnitudes such as farm-level yield gains from GM crop adoption. Yet most farm-level studies in the literature do not control for farmer self-selection, a potentially important source of bias in such estimates. We use farm-level panel data from Indian cotton farmers to investigate the yield effect of GM insect-resistant cotton. We explicitly take into account the fact that the choice of crop variety is an endogenous variable which might lead to bias from self-selection. A production function is estimated using a fixed-effects model to control for selection bias. Our results show that efficient farmers adopt Bacillus thuringiensis (Bt) cotton at a higher rate than their less efficient peers. This suggests that cross-sectional estimates of the yield effect of Bt cotton, which do not control for self-selection effects, are likely to be biased upwards. However, after controlling for selection bias, we still find that there is a significant positive yield effect from adoption of Bt cotton that more than offsets the additional cost of Bt seed.

Genetic analysis of complex demographic scenarios: Spatially expanding populations of the cane toad, Bufo marinus

Inferring the spatial expansion dynamics of invading species from molecular data is notoriously difficult due to the complexity of the processes involved. For these demographic scenarios, genetic data obtained from highly variable markers may be profitably combined with specific sampling schemes and information from other sources using a Bayesian approach. The geographic range of the introduced toad Bufo marinus is still expanding in eastern and northern Australia, in each case from isolates established around 1960. A large amount of demographic and historical information is available on both expansion areas. In each area, samples were collected along a transect representing populations of different ages and genotyped at 10 microsatellite loci. Five demographic models of expansion, differing in the dispersal pattern for migrants and founders and in the number of founders, were considered. Because the demographic history is complex, we used an approximate Bayesian method, based on a rejection-regression algorithm. to formally test the relative likelihoods of the five models of expansion and to infer demographic parameters. A stepwise migration-foundation model with founder events was statistically better supported than other four models in both expansion areas. Posterior distributions supported different dynamics of expansion in the studied areas. Populations in the eastern expansion area have a lower stable effective population size and have been founded by a smaller number of individuals than those in the northern expansion area. Once demographically stabilized, populations exchange a substantial number of effective migrants per generation in both expansion areas, and such exchanges are larger in northern than in eastern Australia. The effective number of migrants appears to be considerably lower than that of founders in both expansion areas. We found our inferences to be relatively robust to various assumptions on marker. demographic, and historical features. The method presented here is the only robust, model-based method available so far, which allows inferring complex population dynamics over a short time scale. It also provides the basis for investigating the interplay between population dynamics, drift, and selection in invasive species.

An implicit pole-assignment self-tuning regulator

A new self-tuning implicit pole-assignment algorithm is presented which, through the use of a pole compression factor and different RLS model and control structures, overcomes stability and convergence problems encountered in previously available algorithms. Computational requirements of the technique are much reduced when compared to explicit pole-assignment schemes, whereas the inherent robustness of the strategy is retained.

The relative order and inverses of recurrent networks

Differential geometry is used to investigate the structure of neural-network-based control systems. The key aspect is relative order—an invariant property of dynamic systems. Finite relative order allows the specification of a minimal architecture for a recurrent network. Any system with finite relative order has a left inverse. It is shown that a recurrent network with finite relative order has a local inverse that is also a recurrent network with the same weights. The results have implications for the use of recurrent networks in the inverse-model-based control of nonlinear systems.

Uncertainty and feasibility studies: an Italian case study

Uncertainty affects all aspects of the property market but one area where the impact of uncertainty is particularly significant is within feasibility analyses. Any development is impacted by differences between market conditions at the conception of the project and the market realities at the time of completion. The feasibility study needs to address the possible outcomes based on an understanding of the current market. This requires the appraiser to forecast the most likely outcome relating to the sale price of the completed development, the construction costs and the timing of both. It also requires the appraiser to understand the impact of finance on the project. All these issues are time sensitive and analysis needs to be undertaken to show the impact of time to the viability of the project. The future is uncertain and a full feasibility analysis should be able to model the upside and downside risk pertaining to a range of possible outcomes. Feasibility studies are extensively used in Italy to determine land value but they tend to be single point analysis based upon a single set of “likely” inputs. In this paper we look at the practical impact of uncertainty in variables using a simulation model (Crystal Ball ©) with an actual case study of an urban redevelopment plan for an Italian Municipality. This allows the appraiser to address the issues of uncertainty involved and thus provide the decision maker with a better understanding of the risk of development. This technique is then refined using a “two-dimensional technique” to distinguish between “uncertainty” and “variability” and thus create a more robust model.

Organizações sociais em Pernambuco: o desenho institucional do controle externo sobre os contratos de gestão

O objetivo desta pesquisa foi analisar o desenho institucional do controle externo sobre os contratos de gestão no âmbito do Tribunal de Contas do estado de Pernambuco quanto a sua aderência aos conteúdos da lei estadual que disciplina as Organizações Sociais e quanto a sua observância por parte dos atores envolvidos: Administração Pública, técnicos do tribunal de contas e membros do seu corpo julgador. Foram assumidas as seguintes premissas: que os novos arranjos de prestação de serviços públicos, por meio de parcerias com as Organizações Sociais, demandam por parte dos Tribunais de Contas desenhos institucionais de fiscalização específicos, que a pesar de variáveis devem primar por sua capacidade de revelar informações; que o processo de formatação destes desenhos institucionais deve ser dinâmico, permitindo-se que as contigências experimentadas na sua implementação possam contribuir no seu aperfeiçoamento; e que esses desenhos institucionais geram impacto no comportamento dos atores envolvidos. O estudo foi realizado por meio de pesquisa documental. A metodologia qualitativa de análise de conteúdo foi escolhida para análise dos dados. Os resultados da pesquisa permitiram concluir que o desenho institucional de controle dos contratos de gestão no âmbito do TCE-PE caracteriza-se por sua fragilidade como mecanismo de revelação de informação e, consequentemente, não contribui para a redução da assimetria de informação que se estabelece com a implementação dos contratos de gestão. Adicionalmente, compromete e limita o desempenho do Tribunal de Contas no controle destes ajustes. Verificou-se, também, uma a baixa observância do desenho institucional identificado, em que pese sua fragilidade, por parte dos atores envolvidos no controle dos contratos de gestão, implicando em uma baixa institucionalização deste desenho. Os resultados devem proporcionar uma rediscussão acerca dos mecanismos de controle dos contratos de gestão por parte do TCE-PE, que poderá resultar em um novo desenho institucional com vistas a conferir maior transparência às parcerias com as Organizações Sociais.

Uncertainty of aid inflows and the growth relationship

This paper contributes to the literature on aid and economic growth. We posit that it is not the levei of aid flows per se but the stability of such flows that determines the impact of aid on economic growth. Three measures of aid instability are employed. One is a simple deviation from trend, and measures overall instability. The other measures are based on auto-regressive estimates to capture deviations from an expected trend. These measures are intended to proxy for uncertainty in aid receipts. We posit that such uncertainty will influence the relationship between aid and investment and how recipient governments respond to aid, and will therefore affect how aid impacts on growth. We estimate a standard cross-country growth regression including the leveI of aid, and find aid to be insignificant (in line with other results in the literature). We then introduce measures of instability. Aid remains insignificant when we account for overall instability. However, when we account for uncertainty (which is negative and significant), we find that aid has a significant positive effect on growth. We conduct stability tests that show that the significance of aid is largely due to its effect on the volume of investment. The finding that uncertainty of aid receipts reduces the effectiveness of aid is robust. When we control for this, aid appears to have a significant positive influence on growth. When the regression is estimated for the sub-sample of African countries these findings hold, although the effectiveness of aid appears weaker than for the full sample.

3D reconstruction through photographs

Humans can perceive three dimension, our world is three dimensional and it is becoming increasingly digital too. We have the need to capture and preserve our existence in digital means perhaps due to our own mortality. We have also the need to reproduce objects or create small identical objects to prototype, test or study them. Some objects have been lost through time and are only accessible through old photographs. With robust model generation from photographs we can use one of the biggest human data sets and reproduce real world objects digitally and physically with printers. What is the current state of development in three dimensional reconstruction through photographs both in the commercial world and in the open source world? And what tools are available for a developer to build his own reconstruction software? To answer these questions several pieces of software were tested, from full commercial software packages to open source small projects, including libraries aimed at computer vision. To bring to the real world the 3D models a 3D printer was built, tested and analyzed, its problems and weaknesses evaluated. Lastly using a computer vision library a small software with limited capabilities was developed.