Fracture behavior of concrete–concrete interface using acoustic emission technique

The fracture behavior of concrete–concrete interface is characterized using acoustic emission (AE). Beams of different sizes having jointed interface between two different strengths of concrete are tested. The results of load, displacement, CMOD, AE-events and AE-energy are analyzed. The width of fracture process zone and damage zone are computed using AE-data and are found to be independent of size. It is observed that, as the difference in compressive strength of concrete on either side of interface increases, the load carrying capacity, number of AE-events, AE-energy, width of fracture process zone and damage zone decreases.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

The Relationship Between Liquidity, Trading Activity and Return - Studies of the Finnish and Swedish Stock Markets

Liquidity, or how easy an investment is to buy or sell, is becoming increasingly important for financial market participants. The objective of this dissertation is to contribute to the understanding of how liquidity affects financial markets. The first essays analyze the actions taken by underwriters immediately after listing to improve liquidity of IPO stock. To estimate the impact of underwriter activity on the pricing of the IPOs, the order book during the first weeks of trading in the IPO stock is studied. Evidence of stabilization and liquidity enhancing activities by underwriters is found. The second half of the dissertation is concerned with the daily trading of stocks where liquidity may be impacted by policy issues such as changes in taxes or exchange fees and by opening the access to the markets for foreign investors. The desirability of a transaction tax on securities trading is addressed. An increase in transaction tax is found to cause lower prices and higher volatility. In the last essay the objective is to determine if the liquidity of a security has an impact on the return investors require. The results support the notion that returns are negatively correlated to liquidity.

An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Image reconstruction by inhomogeneous diffusion for positron emission tomography

In positron emission tomography (PET), image reconstruction is a demanding problem. Since, PET image reconstruction is an ill-posed inverse problem, new methodologies need to be developed. Although previous studies show that incorporation of spatial and median priors improves the image quality, the image artifacts such as over-smoothing and streaking are evident in the reconstructed image. In this work, we use a simple, yet powerful technique to tackle the PET image reconstruction problem. Proposed technique is based on the integration of Bayesian approach with that of finite impulse response (FIR) filter. A FIR filter is designed whose coefficients are determined based on the surface diffusion model. The resulting reconstructed image is iteratively filtered and fed back to obtain the new estimate. Experiments are performed on a simulated PET system. The results show that the proposed approach is better than recently proposed MRP algorithm in terms of image quality and normalized mean square error.

Study of the electronic structures of high Tc cuprate superconductors by electron energy loss and secondary electron emission spectroscopies

Energy loss spectra of superconducting YBa2Cu3O6.9' Bi1.5Pb0.5Ca2.5Sr1.5Cu3O10+δ and Tl2CaBa2Cu3O8 obtained at primary electron energies in the 170–310 eV range show features reflecting the commonalities in their electronic structures. The relative intensity of the plasmon peak shows a marked drop across the transition temperature. Secondary electron emission spectra of the cuprates also reveal some features of the electronic structure.

Acoustic emission technique for leak detection in an end shield of a pressurised heavy water reactor

This paper discusses a successful application of the Acoustic Emission Technique (AET) for the detection and location of leak paths present on an inaccessible side of an end shield of a Pressurised Heavy Water Reactor (PHWR). The methodology was based on the fact that air- and water-leak AE signals have different characteristic features. Baseline data was generated from a sound end shield of a PHWR for characterising the background noise. A mock-up end shield system with saw-cut leak paths was used to verify the validity of the methodology. It was found that air-leak signals under pressurisation (as low as 3 psi) could be detected by frequency domain analysis. Signals due to air leaks from various locations of defective end shield were acquired and analysed. It was possible to detect and locate leak paths. The presence of detected leak paths was further confirmed by an alternative test.

Application of acoustic emission in drilling of composite laminates

Acoustic emission (AE) technique was used to characterise drilling of composite laminates. Uni-directional glass fibre reinforced plastic (GFRP) laminates consisting of 12-layers and 16-layers (0/90)(s) were drilled using a twist drill and the generated AE was monitored. Results of the investigations reveal that the complexion of the acoustic emission root mean square (AE-RMS) signal response changes from the drill entry to the exit thus giving an overall understanding about the different events that take place during drilling. Also, AE-RMS signal level increases with an increase in the applied thrust and further reveals that it is possible to evaluate the drill induced damages in composites through AE signal characterisation. (C) 2000 Elsevier Science Ltd. All rights reserved.

Analysts' Accuracy of Estimation and the Relative Trading Volume

This study contributes to the neglect effect literature by looking at the relative trading volume in terms of value. The results for the Swedish market show a significant positive relationship between the accuracy of estimation and the relative trading volume. Market capitalisation and analyst coverage have in prior studies been used as proxies for neglect. These measures however, do not take into account the effort analysts put in when estimating corporate pre-tax profits. I also find evidence that the industry of the firm influence the accuracy of estimation. In addition, supporting earlier findings, loss making firms are associated with larger forecasting errors. Further, I find that the average forecast error increased in the year 2000 – in Sweden.

Synthesis and enhanced green photoluminescence emission from BCT ZnS nanocrystals

Body-centered-tetragonal (BCT) ZnS nanocrystals have been synthesized, for the first time to the best of our knowledge, by using the chemical coprecipitation method at higher synthesis temperatures of 65 and 95 degrees C. It is confirmed from X-ray diffraction (XRD) studies that in the high-temperature-synthesized samples, cubic and BCT phases coexist, in contrast to the room-temperature-synthesized sample, which consists of only cubic phase with sizes of the particles lying between 2 and 3 nm. The sizes of BCT phase nanocrystals are bigger than those of cubic phase of ZnS. The presence of BCT phase of ZnS in the samples is increased from 40 to 90% when the temperature of synthesis is increased from 65 to 95 degrees C. The nanocrystalline nature and UV-Vis absorption characteristics of the prepared samples have been studied with a transmission electron microscope (TEM) and a UV-Visible pectrophotometer, respectively. The room-temperature-synthesized ZnS sample shows photoluminescence (PL) emission in the blue region with multiple peaks, whereas the high-temperature-synthesized samples show PL emissions in the visible region. The Gaussian fittings of the measured PL spectra shows that three PL peaks at 429, 477, and 525 nm are appeared in the 65 degrees C sample and two peaks at 491 and 540 nm appear in the 95 degrees C sample with the enhanced PL intensity of the green peak at 540 nm. (C) 2010 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim

Electron field emission from sp (2)-induced insulating to metallic behaviour of amorphous carbon (a-C) films

The influence of concentration and size of sp (2) cluster on the transport properties and electron field emissions of amorphous carbon films have been investigated. The observed insulating to metallic behaviour from reduced activation energy derived from transport measurement and threshold field for electron emission of a-C films can be explained in terms of improvements in the connectivity between sp (2) clusters. The connectivity is resulted by the cluster concentration and size. The concentration and size of sp (2) content cluster is regulated by the coalescence of carbon globules into clusters, which evolves with deposition conditions.