On Option Price Information Content and Extraction of Implied Probability Distributions

In this study we used market settlement prices of European call options on stock index futures to extract implied probability distribution function (PDF). The method used produces a PDF of returns of an underlying asset at expiration date from implied volatility smile. With this method, the assumption of lognormal distribution (Black-Scholes model) is tested. The market view of the asset price dynamics can then be used for various purposes (hedging, speculation). We used the so called smoothing approach for implied PDF extraction presented by Shimko (1993). In our analysis we obtained implied volatility smiles from index futures markets (S&P 500 and DAX indices) and standardized them. The method introduced by Breeden and Litzenberger (1978) was then used on PDF extraction. The results show significant deviations from the assumption of lognormal returns for S&P500 options while DAX options mostly fit the lognormal distribution. A deviant subjective view of PDF can be used to form a strategy as discussed in the last section.

Long term trends in prevalence of neural tube defects in Europe: population based study.

STUDY QUESTION: What are the long term trends in the total (live births, fetal deaths, and terminations of pregnancy for fetal anomaly) and live birth prevalence of neural tube defects (NTD) in Europe, where many countries have issued recommendations for folic acid supplementation but a policy for mandatory folic acid fortification of food does not exist? METHODS: This was a population based, observational study using data on 11 353 cases of NTD not associated with chromosomal anomalies, including 4162 cases of anencephaly and 5776 cases of spina bifida from 28 EUROCAT (European Surveillance of Congenital Anomalies) registries covering approximately 12.5 million births in 19 countries between 1991 and 2011. The main outcome measures were total and live birth prevalence of NTD, as well as anencephaly and spina bifida, with time trends analysed using random effects Poisson regression models to account for heterogeneities across registries and splines to model non-linear time trends. SUMMARY ANSWER AND LIMITATIONS: Overall, the pooled total prevalence of NTD during the study period was 9.1 per 10 000 births. Prevalence of NTD fluctuated slightly but without an obvious downward trend, with the final estimate of the pooled total prevalence of NTD in 2011 similar to that in 1991. Estimates from Poisson models that took registry heterogeneities into account showed an annual increase of 4% (prevalence ratio 1.04, 95% confidence interval 1.01 to 1.07) in 1995-99 and a decrease of 3% per year in 1999-2003 (0.97, 0.95 to 0.99), with stable rates thereafter. The trend patterns for anencephaly and spina bifida were similar, but neither anomaly decreased substantially over time. The live birth prevalence of NTD generally decreased, especially for anencephaly. Registration problems or other data artefacts cannot be excluded as a partial explanation of the observed trends (or lack thereof) in the prevalence of NTD. WHAT THIS STUDY ADDS: In the absence of mandatory fortification, the prevalence of NTD has not decreased in Europe despite longstanding recommendations aimed at promoting peri-conceptional folic acid supplementation and existence of voluntary folic acid fortification. FUNDING, COMPETING INTERESTS, DATA SHARING: The study was funded by the European Public Health Commission, EUROCAT Joint Action 2011-2013. HD and ML received support from the European Commission DG Sanco during the conduct of this study. No additional data available.

A matter of scale: apparent niche differentiation of diploid and tetraploid plants may depend on extent and grain of analysis

Aim: Emerging polyploids may depend on environmental niche shifts for successful establishment. Using the alpine plant Ranunculus kuepferi as a model system, we explore the niche shift hypothesis at different spatial resolutions and in contrasting parts of the species range. Location: European Alps. Methods: We sampled 12 individuals from each of 102 populations of R. kuepferi across the Alps, determined their ploidy levels, derived coarse-grain (100x100m) environmental descriptors for all sampling sites by downscaling WorldClim maps, and calculated fine-scale environmental descriptors (2x2m) from indicator values of the vegetation accompanying the sampled individuals. Both coarse and fine-scale variables were further computed for 8239 vegetation plots from across the Alps. Subsequently, we compared niche optima and breadths of diploid and tetraploid cytotypes by combining principal components analysis and kernel smoothing procedures. Comparisons were done separately for coarse and fine-grain data sets and for sympatric, allopatric and the total set of populations. Results: All comparisons indicate that the niches of the two cytotypes differ in optima and/or breadths, but results vary in important details. The whole-range analysis suggests differentiation along the temperature gradient to be most important. However, sympatric comparisons indicate that this climatic shift was not a direct response to competition with diploid ancestors. Moreover, fine-grained analyses demonstrate niche contraction of tetraploids, especially in the sympatric range, that goes undetected with coarse-grained data. Main conclusions: Although the niche optima of the two cytotypes differ, separation along ecological gradients was probably less decisive for polyploid establishment than a shift towards facultative apomixis, a particularly effective strategy to avoid minority cytotype exclusion. In addition, our results suggest that coarse-grained analyses overestimate niche breadths of widely distributed taxa. Niche comparison analyses should hence be conducted at environmental data resolutions appropriate for the organism and question under study.

Analysis of outliers in electricity spot prices with exampleof New England and New Zealand markets

Electricity spot prices have always been a demanding data set for time series analysis, mostly because of the non-storability of electricity. This feature, making electric power unlike the other commodities, causes outstanding price spikes. Moreover, the last several years in financial world seem to show that ’spiky’ behaviour of time series is no longer an exception, but rather a regular phenomenon. The purpose of this paper is to seek patterns and relations within electricity price outliers and verify how they affect the overall statistics of the data. For the study techniques like classical Box-Jenkins approach, series DFT smoothing and GARCH models are used. The results obtained for two geographically different price series show that patterns in outliers’ occurrence are not straightforward. Additionally, there seems to be no rule that would predict the appearance of a spike from volatility, while the reverse effect is quite prominent. It is concluded that spikes cannot be predicted based only on the price series; probably some geographical and meteorological variables need to be included in modeling.

Reconstruction and analysis of surface variation using photometric stereo

In many industrial applications, accurate and fast surface reconstruction is essential for quality control. Variation in surface finishing parameters, such as surface roughness, can reflect defects in a manufacturing process, non-optimal product operational efficiency, and reduced life expectancy of the product. This thesis considers reconstruction and analysis of high-frequency variation, that is roughness, on planar surfaces. Standard roughness measures in industry are calculated from surface topography. A fast and non-contact method to obtain surface topography is to apply photometric stereo in the estimation of surface gradients and to reconstruct the surface by integrating the gradient fields. Alternatively, visual methods, such as statistical measures, fractal dimension and distance transforms, can be used to characterize surface roughness directly from gray-scale images. In this thesis, the accuracy of distance transforms, statistical measures, and fractal dimension are evaluated in the estimation of surface roughness from gray-scale images and topographies. The results are contrasted to standard industry roughness measures. In distance transforms, the key idea is that distance values calculated along a highly varying surface are greater than distances calculated along a smoother surface. Statistical measures and fractal dimension are common surface roughness measures. In the experiments, skewness and variance of brightness distribution, fractal dimension, and distance transforms exhibited strong linear correlations to standard industry roughness measures. One of the key strengths of photometric stereo method is the acquisition of higher frequency variation of surfaces. In this thesis, the reconstruction of planar high-frequency varying surfaces is studied in the presence of imaging noise and blur. Two Wiener filterbased methods are proposed of which one is optimal in the sense of surface power spectral density given the spectral properties of the imaging noise and blur. Experiments show that the proposed methods preserve the inherent high-frequency variation in the reconstructed surfaces, whereas traditional reconstruction methods typically handle incorrect measurements by smoothing, which dampens the high-frequency variation.

3D Surface Modeling From Point Clouds

The goal of this thesis is to implement software for creating 3D models from point clouds. Point clouds are acquired with stereo cameras, monocular systems or laser scanners. The created 3D models are triangular models or NURBS (Non-Uniform Rational B-Splines) models. Triangular models are constructed from selected areas from the point clouds and resulted triangular models are translated into a set of quads. The quads are further translated into an estimated grid structure and used for NURBS surface approximation. Finally, we have a set of NURBS surfaces which represent the whole model. The problem wasn’t so easy to solve. The selected triangular surface reconstruction algorithm did not deal well with noise in point clouds. To handle this problem, a clustering method is introduced for simplificating the model and removing noise. As we had better results with the smaller point clouds produced by clustering, we used points in clusters to better estimate the grids for NURBS models. The overall results were good when the point cloud did not have much noise. The point clouds with small amount of error had good results as the triangular model was solid. NURBS surface reconstruction performed well on solid models.

Aplicación de algunos modelos de series temporales al mercado de la electricidad en España

Hoy día, todo el mundo tiene un ojo puesto en el Mercado Eléctrico en nuestro país. No existe duda alguna sobre la importancia que tiene el comportamiento de la demanda eléctrica. Una de las peculiaridades de la electricidad que producimos, es que hoy por hoy, no existen aún métodos lo suficientemente efectivos para almacenarla, al menos en grandes cantidades. Por consiguiente, la cantidad demandada y la ofertada/producida deben casar de manera casi perfecta. Debido a estas razones, es bastante interesante tratar de predecir el comportamiento futuro de la demanda, estudiando una posible tendencia y/o estacionalidad. Profundizando más en los datos históricos de las demandas; es relativamente sencillo descubrir la gran influencia que la temperatura ambiente, laboralidad o la actividad económica tienen sobre la respuesta de la demanda. Una vez teniendo todo esto claro, podemos decidir cuál es el mejor método para aplicarlo en este tipo de series temporales. Para este fin, los métodos de análisis más comunes han sido presentados y explicados, poniendo de relieve sus principales características, así como sus aplicaciones. Los métodos en los que se ha centrado este proyecto son en los modelos de alisado y medias móviles. Por último, se ha buscado una relación entre la demanda eléctrica peninsular y el precio final que pagamos por la luz.

Estimation of age- and stage-specific Catalan breast cancer survival functions using US and Catalan survival data

During the last part of the 1990s the chance of surviving breast cancer increased. Changes in survival functions reflect a mixture of effects. Both, the introduction of adjuvant treatments and early screening with mammography played a role in the decline in mortality. Evaluating the contribution of these interventions using mathematical models requires survival functions before and after their introduction. Furthermore, required survival functions may be different by age groups and are related to disease stage at diagnosis. Sometimes detailed information is not available, as was the case for the region of Catalonia (Spain). Then one may derive the functions using information from other geographical areas. This work presents the methodology used to estimate age- and stage-specific Catalan breast cancer survival functions from scarce Catalan survival data by adapting the age- and stage-specific US functions. Methods: Cubic splines were used to smooth data and obtain continuous hazard rate functions. After, we fitted a Poisson model to derive hazard ratios. The model included time as a covariate. Then the hazard ratios were applied to US survival functions detailed by age and stage to obtain Catalan estimations. Results: We started estimating the hazard ratios for Catalonia versus the USA before and after the introduction of screening. The hazard ratios were then multiplied by the age- and stage-specific breast cancer hazard rates from the USA to obtain the Catalan hazard rates. We also compared breast cancer survival in Catalonia and the USA in two time periods, before cancer control interventions (USA 1975–79, Catalonia 1980–89) and after (USA and Catalonia 1990–2001). Survival in Catalonia in the 1980–89 period was worse than in the USA during 1975–79, but the differences disappeared in 1990–2001. Conclusion: Our results suggest that access to better treatments and quality of care contributed to large improvements in survival in Catalonia. On the other hand, we obtained detailed breast cancer survival functions that will be used for modeling the effect of screening and adjuvant treatments in Catalonia

Ionospheric tomography using GNSS reflections

In this paper, we report a preliminary analysis of the impact of Global Navigation Satellite System Reflections (GNSS-R) data on ionospheric monitoring over the oceans. The focus will be on a single polar Low Earth Orbiter (LEO) mission exploiting GNSS-R as well as Navigation (GNSS-N) and Occultation (GNSS-O) total electron content (TEC) measurements. In order to assess impact of the data, we have simulated GNSS-R/O/N TEC data as would be measured from the LEO and from International Geodesic Service (IGS) ground stations, with an electron density (ED) field generated using a climatic ionospheric model. We have also developed a new tomographic approach inspired by the physics of the hydrogen atom and used it to effectively retrieve the ED field from the simulated TEC data near the orbital plane. The tomographic inversion results demonstrate the significant impact of GNSS-R: three-dimensional ionospheric ED fields are retrieved over the oceans quite accurately, even as, in the spirit of this initial study, the simulation and inversion approaches avoided intensive computation and sophisticated algorithmic elements (such as spatio-temporal smoothing). We conclude that GNSS-R data over the oceans can contribute significantly to a Global/GNSS Ionospheric Observation System (GIOS). Index Terms Global Navigation Satellite System (GNSS), Global Navigation Satellite System Reflections (GNSS-R), ionosphere, Low Earth Orbiter (LEO), tomography.

Atomic diffusion induced by stress relaxation in InGaAs/GaAs epitaxial layers

The origin of the microscopic inhomogeneities in InxGa1-xAs layers grown on GaAs by molecular beam epitaxy is analyzed through the optical absorption spectra near the band gap. It is seen that, for relaxed thick layers of about 2.8μm, composition inhomogeneities are responsible for the band edge smoothing into the whole compositional range (0.05

Determinação de sibutramina em formas farmacêuticas através de espectroscopia no infravermelho com refletância difusa e métodos de calibração multivariada

The goal of this work is the development and validation of an analytical method for fast quantification of sibutramine in pharmaceutical formulations, using diffuse reflectance infrared spectroscopy and partial least square regression. The multivariate model was elaborated from 22 mixtures containing sibutramine and excipients (lactose, microcrystalline cellulose, colloidal silicon dioxide and magnesium stearate) and using fragmented (750-1150/ 1350-1500/ 1850-1950/ 2600-2900 cm-1) and smoothing spectral data. Using 10 latent variables, excellent predictive capacity were observed in the calibration (n=20, RMSEC=0.004, R= 0.999) and external validation (n=5, RMSEC= 9.36, R=0.999) phases. In the analysis of synthetic mixtures the precision (SD=3,47%) was compatible with the rules of the Agencia Nacional de Vigilância Sanitária (ANVISA-Brazil). In the analysis of commercial drugs good agreement was observed between spectroscopic and chromatographic methods.

Kysynnän ennakointiprosessin kehittäminen leipomoyrityksessä

Tämän työn tarkoituksena on kehittää lyhyen tähtäimen kysynnän ennakointiprosessia VAASAN Oy:ssä, jossa osa tuotteista valmistetaan kysyntäennakoiden perusteella. Valmistettavien tuotteiden luonteesta johtuva varastointimahdollisuuden puuttuminen, korkea toimitusvarmuustavoite sekä tarvittavien ennakoiden suuri määrä asettavat suuret haasteet kysynnän ennakointiprosessille. Työn teoriaosuudessa käsitellään kysynnän ennustamisen tarvetta, ennusteiden käyttökohteita sekä kysynnän ennustamismenetelmiä. Pelkällä kysynnän ennustamisella ei kuitenkaan päästä toimitusketjun kannalta optimaaliseen lopputulokseen, vaan siihen tarvitaan kokonaisvaltaista kysynnän hallintaa. Se on prosessi, jonka tavoitteena on tasapainottaa toimitusketjun kyvykkyydet ja asiakkaiden vaatimukset keskenään mahdollisimman tehokkaasti. Työssä tutkittiin yrityksessä kolmen kuukauden aikana eksponentiaalisen tasoituksen menetelmällä laadittuja ennakoita sekä ennakoijien tekemiä muutoksia niihin. Tutkimuksen perusteella optimaalinen eksponentiaalisen tasoituksen alfa-kerroin on 0,6. Ennakoijien tilastollisiin ennakoihin tekemät muutokset paransivat ennakoiden tarkkuutta ja ne olivat erityisen tehokkaita toimituspuutteiden minimoimisessa. Lisäksi työn tuloksena ennakoijien käyttöön saatiin monia päivittäisiä rutiineja helpottavia ja automatisoivia työkaluja.

Aplicação do diagrama de Taylor para avaliação de interpoladores espaciais em atributos de solo em cultivo com eucalipto

As diversas técnicas de interpolação espacial adotadas oferecem desempenhos diferentes, de acordo com as características dos dados iniciais, e é muito comum encontrar avaliadores contando somente com R² (coeficiente de determinação múltiplo) e erro residual. Neste trabalho, objetivou-se aplicar o Diagrama de Taylor para analisar 15 métodos diferentes de interpolação espacial, em área com cultivo comercial de eucalipto, para comparação e escolha do melhor método de interpolação de um conjunto de valores da fração granulométrica do solo (argila), na profundidade de 0-0,20 m do solo. De acordo com os resultados, considera-se muito satisfatória a ferramenta do Diagrama de Taylor, pois, além de definir graficamente os melhores métodos de interpolação, essa ferramenta permite fazer escolhas entre eles, dentro de um conjunto menor e mais definido de informações; logo, optou-se pelo método Splines em detrimento da krigagem modelo linear. As estatísticas desses dois métodos estão muito próximas, com pequenas variações, estando o desvio-padrão do Splines mais próximo dos dados observados; logo, é o melhor método de interpolação para argila, na profundidade de 0-0,20 m do solo.

FAT-luokkien määritys hitsatuille levyliitoksille käyttämällä lineaarisen murtumismekaniikan särönkasvun simulointia

Työssä tutkittiin hitsattujen levyliitosten väsymiskestävyyden mitoitusarvoja. Hitsien väsymiskestävyyden mitoitusarvot määritettiin lineaarista murtumismekaniikkaa soveltavalla 2D FEM-laskentaohjelmalla. Murtumismekaanisen laskennan tuloksista määriteltiin, eri liitosgeometrioiden ja kuormitustyyppien mukaisia, nimellisen jännityksen väsymismitoitusmenetelmää vastaavia FAT-luokkia, joissa on huomioitu rakenteellinen jännitys hitsiä vastaan kohtisuorassa suunnassa. Tutkittujen liitosten geometriat olivat pääsääntöisesti poikkeavia mitoitusstandardien ja ohjeiden sisältämistä taulukkotapauksista. Laskennassa otettiin huomioon hitsien liittymiskulma perusaineeseen, rajaviivan pyöristykset ja vajaa hitsautumissyvyys. Kuormitustyyppien vaihtelua tutkittiin rakenteellisen jännityksen taivutusosuuden muutoksilla ja kuormaa kantavien X-liitosten risteävien kuormituksien suhteellisilla suuruuksilla. Väsymiskestävyydet määritettiin kuormituskohtaisille kalvo- ja taivutusjännityksille sekä näiden jännitysjakaumien keskiarvoille. Työssä saatuja FAT-luokkia voidaan hyödyntää vastaavien geometrioiden ja kuormitusten yhteydessä, sekä interpoloimalla myös tuloksien väliarvoissa. Työssä käytetyillä menetelmillä voidaan parantaa nimellisen jännityksen mitoitusmenetelmän tarkkuutta ja laajentaa sitä koskemaan myös taulukkotapausten ulkopuolisia liitoksia. Työn tuloksissa on esitetty FAT-luokkia T-, X- ja päittäisliitoksille ja näiden eri kuormitusyhdistelmille.

Paper for printed electronics and functionality

Mass-produced paper electronics (large area organic printed electronics on paper-based substrates, “throw-away electronics”) has the potential to introduce the use of flexible electronic applications in everyday life. While paper manufacturing and printing have a long history, they were not developed with electronic applications in mind. Modifications to paper substrates and printing processes are required in order to obtain working electronic devices. This should be done while maintaining the high throughput of conventional printing techniques and the low cost and recyclability of paper. An understanding of the interactions between the functional materials, the printing process and the substrate are required for successful manufacturing of advanced devices on paper. Based on the understanding, a recyclable, multilayer-coated paper-based substrate that combines adequate barrier and printability properties for printed electronics and sensor applications was developed in this work. In this multilayer structure, a thin top-coating consisting of mineral pigments is coated on top of a dispersion-coated barrier layer. The top-coating provides well-controlled sorption properties through controlled thickness and porosity, thus enabling optimizing the printability of functional materials. The penetration of ink solvents and functional materials stops at the barrier layer, which not only improves the performance of the functional material but also eliminates potential fiber swelling and de-bonding that can occur when the solvents are allowed to penetrate into the base paper. The multi-layer coated paper under consideration in the current work consists of a pre-coating and a smoothing layer on which the barrier layer is deposited. Coated fine paper may also be used directly as basepaper, ensuring a smooth base for the barrier layer. The top layer is thin and smooth consisting of mineral pigments such as kaolin, precipitated calcium carbonate, silica or blends of these. All the materials in the coating structure have been chosen in order to maintain the recyclability and sustainability of the substrate. The substrate can be coated in steps, sequentially layer by layer, which requires detailed understanding and tuning of the wetting properties and topography of the barrier layer versus the surface tension of the top-coating. A cost competitive method for industrial scale production is the curtain coating technique allowing extremely thin top-coatings to be applied simultaneously with a closed and sealed barrier layer. The understanding of the interactions between functional materials formulated and applied on paper as inks, makes it possible to create a paper-based substrate that can be used to manufacture printed electronics-based devices and sensors on paper. The multitude of functional materials and their complex interactions make it challenging to draw general conclusions in this topic area. Inevitably, the results become partially specific to the device chosen and the materials needed in its manufacturing. Based on the results, it is clear that for inks based on dissolved or small size functional materials, a barrier layer is beneficial and ensures the functionality of the printed material in a device. The required active barrier life time depends on the solvents or analytes used and their volatility. High aspect ratio mineral pigments, which create tortuous pathways and physical barriers within the barrier layer limit the penetration of solvents used in functional inks. The surface pore volume and pore size can be optimized for a given printing process and ink through a choice of pigment type and coating layer thickness. However, when manufacturing multilayer functional devices, such as transistors, which consist of several printed layers, compromises have to be made. E.g., while a thick and porous top-coating is preferable for printing of source and drain electrodes with a silver particle ink, a thinner and less absorbing surface is required to form a functional semiconducting layer. With the multilayer coating structure concept developed in this work, it was possible to make the paper substrate suitable for printed functionality. The possibility of printing functional devices, such as transistors, sensors and pixels in a roll-to-roll process on paper is demonstrated which may enable introducing paper for use in disposable “onetime use” or “throwaway” electronics and sensors, such as lab-on-strip devices for various analyses, consumer packages equipped with product quality sensors or remote tracking devices.