Transverse momentum and pseudorapidity distributions of charged hadrons in pp collisions at sqrt(s) = 0.9 and 2.36 TeV

Measurements of inclusive charged-hadron transverse-momentum and pseudorapidity distributions are presented for proton-proton collisions at sqrt(s) = 0.9 and 2.36 TeV. The data were collected with the CMS detector during the LHC commissioning in December 2009. For non-single-diffractive interactions, the average charged-hadron transverse momentum is measured to be 0.46 +/- 0.01 (stat.) +/- 0.01 (syst.) GeV/c at 0.9 TeV and 0.50 +/- 0.01 (stat.) +/- 0.01 (syst.) GeV/c at 2.36 TeV, for pseudorapidities between -2.4 and +2.4. At these energies, the measured pseudorapidity densities in the central region, dN(charged)/d(eta) for |eta|

Essays on Stock Market Reactions to New Information

A functioning stock market is an essential component of a competitive economy, since it provides a mechanism for allocating the economy’s capital stock. In an ideal situation, the stock market will steer capital in a manner that maximizes the total utility of the economy. As prices of traded stocks depend on and vary with information available to investors, it is apparent that information plays a crucial role in a functioning stock market. However, even though information indisputably matters, several issues regarding how stock markets process and react to new information still remain unanswered. The purpose of this thesis is to explore the link between new information and stock market reactions. The first essay utilizes new methodological tools in order to investigate the average reaction of investors to new financial statement information. The second essay explores the behavior of different types of investors when new financial statement information is disclosed to the market. The third essay looks into the interrelation between investor size, behavior and overconfidence. The fourth essay approaches the puzzle of negative skewness in stock returns from an altogether different angle than previous studies. The first essay presents evidence of the second derivatives of some financial statement signals containing more information than the first derivatives. Further, empirical evidence also indicates that some of the investigated signals proxy risk while others contain information priced with a delay. The second essay documents different categories of investors demonstrating systematical differences in their behavior when new financial statement information arrives to the market. In addition, a theoretical model building on differences in investor overconfidence is put forward in order to explain the observed behavior. The third essay shows that investor size describes investor behavior very well. This finding is predicted by the model proposed in the second essay, and hence strengthens the model. The behavioral differences between investors of different size furthermore have significant economic implications. Finally, the fourth essay finds strong evidence of management news disclosure practices causing negative skewness in stock returns.

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 Stock Options, Incentives, and Managerial Action

Executive compensation and managerial behavior have received an increasing amount of attention in the financial economics literature since the mid 1970s. The purpose of this thesis is to extend our understanding of managerial compensation, especially how stock option compensation is linked to the actions undertaken by the management. Furthermore, managerial compensation is continuously and heatedly debated in the media and an emerging consensus from this discussion seems to be that there still exists gaps in our knowledge of optimal contracting. In Finland, the first executive stock options were introduced in the 1980s and throughout the last 15 years it has become increasingly popular for Finnish listed firms to use this type of managerial compensation. The empirical work in the thesis is conducted using data from Finland, in contrast to most previous studies that predominantly use U.S. data. Using Finnish data provides insight of how market conditions affect compensation and managerial action and provides an opportunity to explore what parts of the U.S. evidence can be generalized to other markets. The thesis consists of four essays. The first essay investigates the exercise policy of the executive stock option holders in Finland. In summary, Essay 1 contributes to our understanding of the exercise policies by examining both the determinants of the exercise decision and the markets reaction to the actual exercises. The second essay analyzes the factors driving stock option grants using data for Finnish publicly listed firms. Several agency theory based variables are found to have have explanatory power on the likelihood of a stock option grant. Essay 2 also contributes to our understanding of behavioral factors, such as prior stock return, as determinants of stock option compensation. The third essay investigates the tax and stock option motives for share repurchases and dividend distributions. We document strong support for the tax motive for share repurchases. Furthermore, we also analyze the dividend distribution decision in companies with stock options and find a significant difference between companies with and without dividend protected options. We thus document that the cutting of dividends found in previous U.S. studies can be avoided by dividend protection. In the fourth essay we approach the puzzle of negative skewness in stock returns from an altogether different angle than in previous studies. We suggest that negative skewness in stock returns is generated by management disclosure practices and find proof for this. More specifically, we find that negative skewness in daily returns is induced by returns for days when non-scheduled firm specific news is disclosed.

Evaluating the Predictability of the Volatility Smile Using Return Distributions

In this paper, we examine the predictability of observed volatility smiles in three major European index options markets, utilising the historical return distributions of the respective underlying assets. The analysis involves an application of the Black (1976) pricing model adjusted in accordance with the Jarrow-Rudd methodology as proposed in 1982. Thereby we adjust the expected future returns for the third and fourth central moments as these represent deviations from normality in the distributions of observed returns. Thus, they are considered one possible explanation to the existence of the smile. The obtained results indicate that the inclusion of the higher moments in the pricing model to some extent reduces the volatility smile, compared with the unadjusted Black-76 model. However, as the smile is partly a function of supply, demand, and liquidity, and as such intricate to model, this modification does not appear sufficient to fully capture the characteristics of the smile.

Integrating strong and weak discontinuities without integration subcells and example applications in an XFEM/GFEM framework

Partition of unity methods, such as the extended finite element method, allows discontinuities to be simulated independently of the mesh (Int. J. Numer. Meth. Engng. 1999; 45:601-620). This eliminates the need for the mesh to be aligned with the discontinuity or cumbersome re-meshing, as the discontinuity evolves. However, to compute the stiffness matrix of the elements intersected by the discontinuity, a subdivision of the elements into quadrature subcells aligned with the discontinuity is commonly adopted. In this paper, we use a simple integration technique, proposed for polygonal domains (Int. J. Nuttier Meth. Engng 2009; 80(1):103-134. DOI: 10.1002/nme.2589) to suppress the need for element subdivision. Numerical results presented for a few benchmark problems in the context of linear elastic fracture mechanics and a multi-material problem show that the proposed method yields accurate results. Owing to its simplicity, the proposed integration technique can be easily integrated in any existing code. Copyright (C) 2010 John Wiley & Sons, Ltd.

Hydration of ions under confinement

Molecular dynamics simulations are used to examine the changes in water density and hydration characteristics of NaCl solutions confined in slit-shaped graphitic pores. Using a structural signature, we define the hydration limit as the salt concentration at which a sharp drop in the hydration number is observed. At small pores (H = 8.0-10 angstrom), confined water does not possess bulk-like features and remains in a layered arrangement between two surfaces. Despite this high degree of confinement, ions are able to form a quasi-2D hydration shell between two surfaces. Our results indicate the strong propensity of ions to form the first hydration shell, even under extremely confined aqueous environments. The hydration of ions is seen to weakly perturb the oxygen density distributions between two surfaces. The hydration number of Na+ reduces to about 4.15 at a pore width of H = 0.8 nm, when compared with the bulk hydration number of 6.25. At larger pore widths, above H = 16 angstrom, where bulk-like water densities are observed in the central regions of the pore, the hydration number is above 6.

A novel fiber-coated strong base-type anion exchanger with superfast kinetics. Removal and recovery of silver thiosulfate from aqueous solutions

A commercial acrylic fiber with 92% (w/w) acrylonitrile content was partially hydrolyzed converting a fraction of the nitrile (-CN) groups to carboxylic acid (-COOH) groups, to coat the fiber with polyethylenimine (PEI) resin, which was then crosslinked with glutaraldehyde and further quaternized with ethyl chloroacetate to produce a novel strong-base anionic exchanger in the form of fiber. Designated as PAN(QPEI.XG)(Cl-), the fibrous sorbent was compared with a commercial bead-form resin Amberlite IRA-458(Cl-) in respect of sorption capacity, selectivity, and kinetics for removal of silver thiosulfate complexes from aqueous solutions. Though the saturation level of [Ag(S2O3)(2)](3-) on PAN(QPEI.XG)(Cl-) is considerably less than that on IRA-458(Cl-), the gel-coated fibrous sorbent exhibits, as compared to the bead-form sorbent, a significantly higher sorption selectivity for the silver thiosulfate complex in the presence of excess of other anions Such as S2O32-, SO42-, and Cl-, and a remarkably faster rate of both sorption and stripping. The initial uptake of the sorbate by the fibrous sorbent is nearly instantaneous, reaching up to similar to 80% of the saturation capacity within 10 s, as compared to only similar to 12% on the bead-form sorbent. The high initial rate of uptake fits a shell-core kinetic model for sorption on fiber of cylindrical geometry. With 4M HCl, the stripping of the sorbed silver complex from the fibrous sorbent is clean and nearly instantaneous, while, in contrast, a much slower rate of stripping on the bead-form sorbent leads to its fouling due to a slow decomposition of the silver thiosulfate complex in the acidic medium.

Deformation and failure of a film/substrate system subjected to spherical indentation: Part 1. Experimental validation of stresses and strains derived using Hankel transform technique in an elastic film/substrate system

Our concern here is to rationalize experimental observations of failure modes brought about by indentation of hard thin ceramic films deposited on metallic substrates. By undertaking this exercise, we would like to evolve an analytical framework that can be used for designs of coatings. In Part I of the paper we develop an algorithm and test it for a model system. Using this analytical framework we address the issue of failure of columnar TiN films in Part II [J. Mater. Res. 21, 783 (2006)] of the paper. In this part, we used a previously derived Hankel transform procedure to derive stress and strain in a birefringent polymer film glued to a strong substrate and subjected to spherical indentation. We measure surface radial strains using strain gauges and bulk film stresses using photo elastic technique (stress freezing). For a boundary condition based on Hertzian traction with no film interface constraint and assuming the substrate constraint to be a function of the imposed strain, the theory describes the stress distributions well. The variation in peak stresses also demonstrates the usefulness of depositing even a soft film to protect an underlying substrate.

Infrared Spectra of Dimethylquinolines in the Gas Phase: Experiment and Theory

Infrared spectra of atmospherically important dimethylquinolines (DMQs), namely 2,4-DMQ, 2,6-DMQ, 2,7-DMQ, and 2,8-DMQ in the gas phase at 80 degrees C were recorded using a long variable path-length cell. DFT calculations were carried out to assign the bands in the experimentally observed spectra at the B3LYP/6-31G* level of theory. The spectral assignments particularly for the C-H stretching modes could not be made unambiguously using calculated anharmonic or scaled harmonic frequencies. To resolve this problem, a scaled force field method of assignment was used. Assignment of fundamental modes was confirmed by potential energy distributions (PEDs) of the normal modes derived by the scaled force fields using a modified version of the UMAT program in the QCPE package. We demonstrate that for large molecules such as the DMQs, the scaling of the force field is more effective in arriving at the correct assignment of the fundamentals for a quantitative vibrational analysis. An error analysis of the mean deviation of the calculated harmonic, anharmonic, and force field fitted frequencies from the observed frequency provides strong evidence for the correctness of the assignment.

Strong metal-support interaction in nickel/niobium pentoxide and nickel/titania catalysts

EXAFS studies of Ni/Nb20, and Ni/Ti02 catalysts reduced at 773 K show evidence for the presence of a short Ni-Nb (Ti) and a long Ni-Nb (Ti) bond. The results provide evidence for considerable structural reorganization of the support in the vicinity of the Ni particles.

Optimum aperture distributions in the presence of blockage

A method is presented for optimising the performance indices of aperture antennas in the presence of blockage. An N-dimensional objective function is formed for maximising the directivity factor of a circular aperture with blockage under sidelobe-level constraints, and is minimised using the simplex search method. Optimum aperture distributions are computed for a circular aperture with blockage of circular geometry that gives the maximum directivity factor under sidelobe-level constraints.

Strong spin-two interaction and general relativity

The concept of short range strong spin-two (f) field (mediated by massive f-mesons) and interacting directly with hadrons was introduced along with the infinite range (g) field in early seventies. In the present review of this growing area (often referred to as strong gravity) we give a general relativistic treatment in terms of Einstein-type (non-abelian gauge) field equations with a coupling constant Gf reverse similar, equals 1038 GN (GN being the Newtonian constant) and a cosmological term λf ƒ;μν (ƒ;μν is strong gravity metric and λf not, vert, similar 1028 cm− is related to the f-meson mass). The solutions of field equations linearized over de Sitter (uniformly curves) background are capable of having connections with internal symmetries of hadrons and yielding mass formulae of SU(3) or SU(6) type. The hadrons emerge as de Sitter “microuniverses” intensely curved within (radius of curvature not, vert, similar10−14 cm).The study of spinor fields in the context of strong gravity has led to Heisenberg's non-linear spinor equation with a fundamental length not, vert, similar2 × 10−14 cm. Furthermore, one finds repulsive spin-spin interaction when two identical spin-Image particles are in parallel configuration and a connection between weak interaction and strong gravity.Various other consequences of strong gravity embrace black hole (solitonic) solutions representing hadronic bags with possible quark confinement, Regge-like relations between spins and masses, connection with monopoles and dyons, quantum geons and friedmons, hadronic temperature, prevention of gravitational singularities, providing a physical basis for Dirac's two metric and large numbers hypothesis and projected unification with other basic interactions through extended supergravity.

Toxicant distributions and impact models in environmental risk analysis of waste sites

Myrkyllisten aineiden jakaumat ja vaikutusmallit jätealueiden ympäristöriskien analyysissä.