Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Design of first- and second-order sliding mode observers for induction motors using a stator-flux model

We extend current research in the area of 'sensorless' control of induction motors by presenting two observers based on first- and second-order sliding mode control theories for the simultaneous estimation of flux and speed. We base the observers on the stator-flux model of the motor instead of the usual rotor-flux model mainly because of the uncertain rotor resistance that plays a significant role in the latter. By designing the observers as if they are sliding mode controllers, we lend the properties of parameter insensitive closed-loop dynamics and finite time convergence to the stator flux and speed estimation schemes. We also present simulation and experimental results to validate the operation of the observers.

A systolic evaluator for linear, quadratic, and cubic expressions

High-speed evaluation of a large number of linear, quadratic, and cubic expressions is very important for the modeling and real-time display of objects in computer graphics. Using VLSI techniques, chips called pixel planes have actually been built by H. Fuchs and his group to evaluate linear expressions. In this paper, we describe a topological variant of Fuchs' pixel planes which can evaluate linear, quadratic, cubic, and higher-order polynomials. In our design, we make use of local interconnections only, i.e., interconnections between neighboring processing cells. This leads to the concept of tiling the processing cells for VLSI implementation.

Enhanced reducibility of Ce1-xTixO2 compared to that of CeO2 and higher redox catalytic activity of Ce1-x-yTixPtyO2-delta compared to that of Ce1-xPtxO2-delta

Nanocrystalline Ce1-xTixO2 (0 <= x <= 0.4) and Ce1-xTixPtyO2-delta (x = 0.15, gamma = 0.01, 0.02) solid solutions crystallizing in fluorite structure have been prepared by a single step solution combustion method. Temperature programmed reduction and XPS study of Ce1-xTixO2 (x = 0.0-04) show complete reduction of Ti4+ to Ti3+ and reduction of similar to 20% Ce4+ to Ce3+ state compared to 8% Ce4+ to Ce3+ in the case of pure CeO2 below 675 degrees C. The substitution of Ti ions in CeO2 enhances the reducibility of CeO2. Ce0.84Ti0.15Pt0.01O2-delta crystallizes in fluorite structure and Pt is ionically substituted with 2+ and 4+ oxidation states. The H/Pt atomic ratio at 30 degrees C over Ce0.84Ti0.15Pt0.01O2-delta is 5 and that over Ce0.99Pt0.01O2-delta is 4 against just 0.078 for 8 nm Pt metal particles. Carbon monoxide and hydrocarbon oxidation activity are much higher over Ce1-x-yTixPtyO2 (x = 0.15, 0.01, 0.02) compared to Ce1-xPtxO2 (x = 0.01, 0.02). Synergistic involvement of Pt2+/Pt degrees and Ti4+/Ti3+ redox couples in addition to Ce4+/Ce3+ due to the overlap of Pt(5d), Ti(3d), and Ce(4f) bands near E-F is shown to be responsible for improved redox property and higher catalytic activity.

Discriminating between natural and anthropogenic aerosol contributions to optical depth over Afro-Asian region

To accurately assess the impact of anthropogenic aerosols on climate, spatial and temporal distribution of its radiative properties is essential. The first step towards separating the radiative impact of natural aerosol from its anthropogenic counterparts is to gather information on natural aerosols. In this paper, we have used data from multiple satellites to derive the anthropogenic aerosol fraction (AAF) over the Afro-Asian region. The AAF was largest during the pre-monsoon season (May-June) and lowest during winter. We have shown that over desert locations the AAF was unexpectedly large (>0.4) and the regionally (and annually) averaged anthropogenic fraction over the Afro-Asian region was 0.54 +/- 0.12. Copyright (C) 2010 Royal Meteorological Society

Conformation of substituted polyacetylenes in solution : relationship between electronic properties and local order

A study of the chain conformation in solutions of polyphenylacetylene and poly(2-octyne) has been performed. The two polymers differ in many ways : polyphenylacetylene gives a red solution while poly(2-octyne) is transparent and, a marked difference on the chain rigidity is observed : the statistical length are 45 Å and 135 Å respectively. From the study of these two systems, one deduces that curvature fluctuations play a minor role on the π electrons localization, and that the torsion between monomer units is the pertinent parameter to understand the chain conformation and the π electrons localization.

Molecular Dynamics Simulations of Orientational Relaxation in Dipolar Lattice: Lack of Diffusive Decay for Second and Higher Rank Correlation Functions

Extensive molecular dynamics simulations have been carried out to calculate the orientational correlation functions Cl(t), G(t) = [4n/(21 + l)]Ci=-l (Y*lm(sZ(0)) Ylm(Q(t))) (where Y,,(Q) are the spherical harmonics) of point dipoles in a cubic lattice. The decay of Cl(t) is found to be strikingly different from higher l-correlation functions-the latter do not exhibit diffusive dynamics even in the long time. Both the cumulant expansion expression of Lynden-Bell and the conventional memory function equation provide very good description of the Cl(t) in the short time but fail to reproduce the observed slow, long time decay of c1 (t) .

Determination of C-13 Chemical Shift Anisotropy Tensors and Molecular Order of 4-Hexyloxybenzoic Acid

4-Alkoxy benzoic acids belong to an important class of thermotropic liquid crystals that are structurally simple and often used as starting materials for many novel mesogens. 4-Hexyloxybenzoic acid (HBA) is a homologue of the same series and exhibits an enantiotropic nematic phase. As this molecule could serve as an ideal model compound, high resolution C-13 NMR studies of HEA in solution, solid, and liquid crystalline phases have been undertaken. In the solid state, two-dimensional separation of undistorted powder patterns by effortless recoupling (2D SUPER) experiments have been carried out to estimate the magnitude of the components of the chemical shift anisotropy (GSA) tensor of all the aromatic carbons. These values have been used subsequently for calculating the orientational order parameters in the liquid crystalline phase. The GSA values computed by density functional theory (DFT) calculations showed good agreement with the 2D SUPER values. Additionally, C-13-H-1 dipolar couplings in the nematic phase have been determined by separated local field (SLF) spectroscopy at various temperatures and were used for computing the order parameters, which compared well with those calculated by using the chemical shifts. It is anticipated that the CSA values determined for MBA would be useful for the assignment of carbon chemical shifts and for the study of order and dynamics of structurally similar novel mesogens in their nematic phases.

Single-Molecule DNA Analysis Reveals That Yeast Hop1 Protein Promotes DNA Folding and Synapsis: Implications for Condensation of Meiotic Chromosomes

During meiosis, long-range interaction between homologous chromosomes is thought to be crucial for homology recognition, exchange of DNA strands, and production of normal haploid gametes. However, little is known about the identity of the proteins involved and the actual molecular mechanism(s) by which chromosomes recognize and recombine with their appropriate homologous partners. Single-molecule analyses have the potential to provide insights into our understanding of this fascinating and long-standing question. Using atomic force microscopy and magnetic tweezers techniques, we discovered that Hop1 protein, a key structural component of Saccharomyces cerevisiae synaptonemal complex, exhibits the ability to bridge noncontiguous DNA segments into intramolecular stem-loop structures in which the DNA segments appear to be fully synapsed within the filamentous protein stems. Additional evidence suggests that Hop1 folds DNA into rigid protein DNA filaments and higher-order nucleoprotein structures. Importantly, Hop1 promotes robust intra- and intermolecular synapsis between double-stranded DNA molecules, suggesting that juxtaposition of DNA sequences may assist in strand exchange between homologues by recombination-associated proteins. Finally, the evidence from ensemble experiments is consistent with the notion that Hop1 causes rigidification of DNA molecules. These results provide the first direct evidence for long-range protein-mediated DNA DNA synapsis, independent of crossover recombination, which is presumed to occur during meiotic recombination.

A unified model for the dynamics of driven ribbon with strain and magnetic order parameters

We develop a unified model to explain the dynamics of driven one dimensional ribbon for materials with strain and magnetic order parameters. We show that the model equations in their most general form explain several results on driven magnetostrictive metallic glass ribbons such as the period doubling route to chaos as a function of a dc magnetic field in the presence of a sinusoidal field, the quasiperiodic route to chaos as a function of the sinusoidal field for a fixed dc field, and induced and suppressed chaos in the presence of an additional low amplitude near resonant sinusoidal field. We also investigate the influence of a low amplitude near resonant field on the period doubling route. The model equations also exhibit symmetry restoring crisis with an exponent close to unity. The model can be adopted to explain certain results on magnetoelastic beam and martensitic ribbon under sinusoidal driving conditions. In the latter case, we find interesting dynamics of a periodic one orbit switching between two equivalent wells as a function of an ac magnetic field that eventually makes a direct transition to chaos under resonant driving condition. The model is also applicable to magnetomartensites and materials with two order parameters. (C) 2013 American Institute of Physics. http://dx.doi.org/10.1063/1.4790845]

Structural characterization and molecular order of rodlike mesogens with three- and four-ring core by XRD and C-13 NMR spectroscopy

Structural characterizations using XRD and C-13 NMR spectroscopy of two rodlike mesogens consisting of (i) three phenyl ring core with a polar cyano terminal and (ii) four phenyl ring core with flexible dodecyl terminal chain are presented. The three-ring-core mesogen with cyano terminal exhibits enantiotropic smectic A phase while the four-ring mesogen reveals polymesomorphism and shows enantiotropic nematic, smectic C, and tilted hexatic phases. The molecular organization in the three-ring mesogen is found to be partial bilayer smectic Ad type, and the interdigitation of the molecules in the neighboring layers is attributed to the presence of the polar terminal group. For the four-ring mesogen, the XRD results confirm the existence of the smectic C and the tilted hexatic mesophases. A thermal variation of the layer spacing across the smectic C phase followed by a discrete jump at the transition to the tilted hexatic phase is also observed. The tilt angles have been estimated to be about 45 degrees in the smectic C phase and about 40 degrees in tilted hexatic phase. C-13 NMR results indicate that in the mesophase the molecules are aligned parallel to the magnetic field. From the C-13-H-1 dipolar couplings determined from the 2D experiments, the overall order parameter for the three-ring mesogen in its smectic A phase has been estimated to be 0.72 while values ranging from 0.88 to 0.44 have been obtained for the four-ring mesogen as it passes from the tilted hexatic to the nematic phase. The orientations of the different rings of the core unit with respect to each other and also with respect to the long axis of the molecule have also been obtained.

Interplay of structural distortions, dielectric effects and magnetic order in multiferroic GdMnO3

Multiferroic materials are characterized by simultaneous magnetic and ferroelectric ordering making them good candidates for magneto-electrical applications. We conducted thermal expansion and magnetostriction measurements in magnetic fields up to 14 T on perovskitic GdMnO3 by highresolution capacitive dilatometry in an effort to determine all longitudinal and transversal components of the magnetostriction tensor. Below the ordering temperature T (N) = 42 K, i.e., within the different complex (incommensurate or complex) antiferromagnetic phases, lattice distortions of up to 100 ppm have been found. Although no change of the lattice symmetry occurs, the measurements reveal strong magneto-structural phenomena, especially in the incommensurate sinusoidal antiferromagnetic phase. A strong anisotropy of the magnetoelastic properties was found, in good agreement with the type and propagation vector of the magnetic structure. We demonstrate that our capacitive dilatometry can detect lattice expansion effects and changes of the dielectric permittivity simultaneously because the sample is housed inside the capacitor. A separation of both effects is possible by shielding the sample. Dielectric transitions could be detected by this method and compared to the critical values of H and T in the magnetic phase diagram. Dielectric changes measured at 1 kHz excitation frequency are detected in GdMnO3 at about 180 K, and between 10 K and 25 K in the canted antiferromagnetic structure which is characterized by a complex magnetic order on both the Gd- and Mn-sites.

GYROSONICS: SIGNATURE ANALYSIS AND REDUCED-ORDER MODELS

In this paper, the authors study the structure of a novel binaural sound with a certain phase and amplitude modulation and the response to this excitation when it is applied to natural rewarding circuit of human brain through auditory neural pathways. This novel excitation, also referred to as gyrosonic excitation in this work, has been found to have interesting effects such as stabilization effects on the left and right hemispheric brain signaling as captured by Galvanic Skin Resistance (GSR) measurements, control of cardiac rhythms (observed from ECG signals), mitigation of psychosomatic syndrome, and mitigation of migraine pain. Experimental data collected from human subjects are presented, and these data are examined to categorize the extent of systems disorder and reinforcement reward due to the gyrosonic stimulus. A multi-path reduced-order model has been developed to analyze the GSR signals. The filtered results are indicative of complicated reinforcing reward patterns due to the gyrosonic stimulation when it is used as a control input for patients with psychosomatic and cardiac disorders.

A 5th and 7th Order Harmonic Suppression Scheme for Open-end Winding Asymmetrical Six-phase IM Drive Using Capacitor-fed Inverter

Voltage source inverter (VSI) fed six-phase induction motor drives have high 6n +/- 1; n = odd order harmonic currents, due to absence of back emf for these currents. To suppress these harmonic currents, either bulky inductive harmonic filters or complex pulse width modulation (PWM) techniques have to be used. This paper proposes a simple harmonic elimination scheme using capacitor fed inverters, for an asymmetrical six-phase induction motor VSI fed drive. Two three phase inverters fed from a single capacitor is used on the open-end side of the motor, to suppress 6n +/- 1; n = odd order harmonics. A PWM scheme that can suppress the harmonics, as well as balance the capacitor voltage is also proposed. The capacitor fed inverters are switched so that the fundamental voltage is not affected. The proposed scheme is verified using MATLAB Simulink simulation at different speeds. The effectiveness of the scheme is demonstrated by comparing the results with those obtained by disabling the capacitor fed inverters. Experimental results are also provided to validate the functionality of the proposed controller.

Elliptical tracers in two-dimensional, homogeneous, isotropic fluid turbulence: The statistics of alignment, rotation, and nematic order

We study the statistical properties of orientation and rotation dynamics of elliptical tracer particles in two-dimensional, homogeneous, and isotropic turbulence by direct numerical simulations. We consider both the cases in which the turbulent flow is generated by forcing at large and intermediate length scales. We show that the two cases are qualitatively different. For large-scale forcing, the spatial distribution of particle orientations forms large-scale structures, which are absent for intermediate-scale forcing. The alignment with the local directions of the flow is much weaker in the latter case than in the former. For intermediate-scale forcing, the statistics of rotation rates depends weakly on the Reynolds number and on the aspect ratio of particles. In contrast with what is observed in three-dimensional turbulence, in two dimensions the mean-square rotation rate increases as the aspect ratio increases.