Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Effect of copper addition on the fracture and fatigue crack growth behavior of solution heat-treated SUS 304H austenitic steel

Small additions of Cu to the SUS 304H, a high temperature austenitic stainless steel, enhance its high temperature strength and creep resistance. As Cu is known to cause embrittlement, the effect of Cu on room temperature mechanical properties that include fracture toughness and fatigue crack threshold of as-solutionized SUS 304H steel were investigated in this work. Experimental results show a linear reduction in yield and ultimate strengths with Cu addition of up to 5 wt.% while ductility drops markedly for 5 wt.% Cu alloy. However, the fracture toughness and the threshold stress intensity factor range for fatigue crack initiation were found to be nearly invariant with Cu addition. This is because the fracture in this alloy is controlled by the debonding from the matrix of chromium carbide precipitates, as evident from fractography. Cu, on the other hand, remains either in solution or as nano-precipitates and hence does not influence the fracture characteristics. It is concluded that small additions of Cu to 304H will not have adverse effects on its fracture and fatigue behavior. (C) 2010 Elsevier B.V. All rights reserved.

Crystal growth, transport and magnetic properties of rare-earth manganite Pr1-xPbxMnO3

Crystal growth, electrical and magnetic properties are reported for mixed valence manganite Pr1-xPbxMnO3 (x = 0.2, 0.23, and 0.3). The crystals with x = 0.2 and 0.23 are ferromagnetic and insulating, whereas that with x = 0.3 is ferromagnetic below 200 K and shows an insulator-metal transition at 235 K. This composition shows a magnetoresistance of 90% in a field of 5 T. In the paramagnetic region, the temperature dependence of magnetic susceptibility of the crystals follows a Curie-Weiss behavior. The thermal evolution of magnetization in the ferromagnetic phase varies as T-3/2, in accordance with Bloch's law. The spin-stiffness constant D obtained from the Bloch constant is found to increase linearly with x. The magnetization does not reach complete saturation upto a field of 5 T. A possible contribution of the Pr spins to the total magnetic moment is discussed.

Probing top-gated field effect transistor of reduced graphene oxide monolayer made by dielectrophoresis

We demonstrate a top-gated field effect transistor made of a reduced graphene oxide (RGO) monolayer (graphene) by dielectrophoresis. The Raman spectrum of RGO flakes of typical size of 5 mu m x 5 mu m shows a single 2D band at 2687 cm(-1), characteristic of single-layer graphene.The two-probe current-voltage measurements of RGO flakes, deposited in between the patterned electrodes with a gap of 2.5 mu m using ac dielectrophoresis, show ohmic behavior with a resistance of similar to 37 k Omega. The temperature dependence of the resistance (R) of RGO measured between 305 K and 393 K yields a temperature coefficient of resistance [dR/dT]/R similar to -9.5 x 10(-4)/K, the same as that of mechanically exfoliated single-layer graphene. The field-effect transistor action was obtained by electrochemical top-gating using a solid polymer electrolyte (PEO + LiClO4) and Pt wire. The ambipolar nature of graphene flakes is observed up to a doping level of similar to 6 x 10(12)/cm(2) and carrier mobility of similar to 50 cm(2)/V s. The source-drain current characteristics show a tendency of current saturation at high source-drain voltage which is analyzed quantitatively by a diffusive transport model. (C) 2010 Elsevier Ltd. All rights reserved.

Critical micelle concentration from a lattice gas model

The temperature dependence of the critical micelle concentration (CMC) and a closed-loop coexistence curve are obtained, via Monte Carlo simulations, in the water surfactant limit of a two-dimensional version of a statistical mechanical model for micro-emulsions, The CMC and the coexistence curve reproduce various experimental trends as functions of the couplings. In the oil-surfactant limit, there is a conventional coexistence cure with an upper consolute point that allows for a region of three-phase coexistence between oil-rich, water-rich and microemulsion phases.

Investigations on Bi2CuO4: a quasi-one-dimensional oxide system

The potential of Bi2CuO4 as the first oxide system to show a linear-chain magnetic behaviour is examined. Electron diffraction studies do not resolve the previously reported ambiguity regarding its space group. The magnetic susceptibility data at high temperatures are best fitted to a uniform antiferromagnetic spin-1/2 Heisenberg chain. At low temperatures, however, neither the uniform nor the alternating Heisenberg antiferromagnetic model fits the data. Magnetic susceptibility data over the entire temperature range can be fitted if one assumes dimeric units with a nearly degenerate second singlet state close to the ground state, these states being separated from an excited triplet state by an energy gap. A simple heuristic model of a dimer that gives such an energy level spectrum is examined.

Electron paramagnetic resonance studies of some ternary oxides of copper (II)

The electron paramagnetic resonance (EPR) of ternary oxides of Cu(II) has been studied between 4.2 and 300 K. The systems include those with 180 degrees Cu-O-Cu interactions (such as Ln2CuO4, Sr2CuO2Cl2, Sr2CuO3 and Ca2CuO3) or 90 degrees Cu-O-Cu interactions (such as Y2Cu2O5 or BaCuO2) as well as those in which the Cu2+ ions are isolated (such as Y2BaCuO5, La1.8Ba1.2Cu0.9O4.8 and Bi2CuO4). The change in the EPR susceptibility as a function of temperature is compared with that of the DC magnetic susceptibility. Compounds with extended 180 degrees Cu-O-Cu interactions which have a low susceptibility also do not give EPR signals below room temperature. For compounds such as Ca2CuO3 with one-dimensional 180 degrees Cu-O-Cu interactions a weak EPR signal is found the temperature dependence of which is very different from that of the DC susceptibility. For Y2BaCuO5 as well as for La1.8Ba1.2Cu0.9O4.8 the EPR susceptibility as well as its temperature variation are comparable with those of the static susceptibility near room temperature but very different at low temperatures. Bi2CuO4 also shows a similar behaviour. In contrast, for Y2Cu2O5, in which the copper ions have a very distorted nonsquare-planar configuration, the EPR and the static susceptibility show very similar temperature dependences. In general, compounds in which the copper ions have a square-planar geometry give no EPR signal in the ground state (0 K) while those with a distortion from square-planar geometry do give a signal. The results are analysed in the light of recent MS Xalpha calculations on CuO46- square-planar clusters with various Cu-O distances as well as distortions. It is suggested that in square-planar geometry the ground state has an unpaired electron in anionic orbitals which is EPR inactive. Competing interactions from other cations, an increase in Cu-O distance or distortions from square-planar geometry stabilise another state which has considerably more Cu 3d character. These states are EPR active. Both these states, however, are magnetic. For isolated CuO46- clusters the magnetic interactions seem to involve only the states which have mainly anionic character.

Synthesis and characterization of metal substituted AlxCr1-x(acetylacetonate)(3) single-source precursors for their application to MOCVD of thin films

A detailed study, involving the synthesis of a single-source precursor containing two metal ions sharing the same crystallographic site, has been undertaken to elucidate the use of such a single-source precursor in a CVD process for growing thin films of oxides comprising these two metals, ensuring a uniform composition and distribution of metal ions. The substituted complexes Cr1-xAlx(acac)(3), where acac = acetyl-acetonate, have been prepared by a co-synthesis method, and characterized using UV-Vis spectroscopy. TGA/DTA measurements, and single crystal X-ray diffraction at low temperature. All the studied compositions crystallize in the monoclinic space group P2(1)/c with Z = 4 in the unit cell. It was observed that the ratio (Al:Cr) of the site occupancy for the metal ions, obtained from single crystal refinement, is in agreement with the results obtained from complexometric titrations. All the solid state structures have the metal in an octahedral environment forming six-membered chelate rings. M-O acac bond lengths and disorder in the terminal carbon have been studied in detail for these substituted metal-organic complexes. One composition among these was chosen to evaluate their suitability as a single-source precursor in a LPMOCVD process (low-pressure metal-organic chemical vapour deposition) for the deposition of a substituted binary metal oxide thin film. The resulting thin films were characterized by X-ray diffraction, scanning electron microscopy, and infrared spectroscopy. (C) 2010 Elsevier Ltd. All rights reserved.

Reactivity studies of highly electrophilic ruthenium complexes

The 16-electron, coordinatively unsaturated, dicationic ruthenium complex Ru(P(OH)(2)(OMe))(dppe)(2)]OTf](2) (1a) brings about the heterolysis of the C-H bond in phenylacetylene to afford the phenylacetylide complex trans-Ru(C CPh)(P(OH)(2)(OMe))(dppe)(2)]OTf] (2). The phenylacetylide complex undergoes hydrogenation to give a ruthenium hydride complex trans-Ru(H)(P(OH)(2)(OMe))(dppe)(2)]OTf] (3) and phenylacetylene via the addition of H-2 across the Ru-C bond. The 16-electron complex also reacts with HSiCl3 quite vigorously to yield a chloride complex trans-Ru(Cl)(P(OH)(2)(OMe))(dppe)(2)]OTf] (4). On the other hand, the other coordinatively unsaturated ruthenium complex Ru(P(OH)(3))(dppe)(2)]OTf](2) (1b) reacts with a base N-benzylideneaniline to afford a phosphonate complex Ru(P(O)(OH)(2))(dppe)(2)]OTf] (5) via the abstraction of one of the protons of the P(OH)(3) ligand by the base. The phenylacetylide, chloride, and the phosphonate complexes have been structurally characterized. The phosphonate complex reacts with H-2 to afford the corresponding dihydrogen complex trans-Ru(eta(2)-H-2)(P(O)(OH)(2))(dppe)(2)]OTf] (5-H2). The intact nature of the H-H bond in this species was established using variable temperature H-1 spin-lattice relaxation time measurements and the observation of a significant J(H,D) coupling in the HD isotopomer trans-Ru(eta(2)-HD)(P(O)(OH)(2))(dppe)(2)]OTf] (5-HD). (C) 2010 Elsevier B. V. All rights reserved.

Over-expression and purification strategies for recombinant multi-protein oligomers: A case study of Mycobacterium tuberculosis sigma/anti-sigma factor protein complexes

The function of a protein in a cell often involves coordinated interactions with one or several regulatory partners. It is thus imperative to characterize a protein both in isolation as well as in the context of its complex with an interacting partner. High resolution structural information determined by X-ray crystallography and Nuclear Magnetic Resonance offer the best route to characterize protein complexes. These techniques, however, require highly purified and homogenous protein samples at high concentration. This requirement often presents a major hurdle for structural studies. Here we present a strategy based on co-expression and co-purification to obtain recombinant multi-protein complexes in the quantity and concentration range that can enable hitherto intractable structural projects. The feasibility of this strategy was examined using the sigma factor/anti-sigma factor protein complexes from Mycobacterium tuberculosis. The approach was successful across a wide range of sigma factors and their cognate interacting partners. It thus appears likely that the analysis of these complexes based on variations in expression constructs and procedures for the purification and characterization of these recombinant protein samples would be widely applicable for other multi-protein systems. (C) 2010 Elsevier Inc. All rights reserved.

Response of fungal and actinobacterial communities to water-level drawdown in boreal peatland sites

"We used PCR-DGGE fingerprinting and direct sequencing to analyse the response of fungal and actinobacterial communities to changing hydrological conditions at 3 different sites in a boreal peatland complex in Finland. The experimental design involved a short-term (3 years; STD) and a long-term (43 years; LTD) water-level drawdown. Correspondence analyses of DGGE bands revealed differences in the communities between natural sites representing the nutrient-rich mesotrophic fen, the nutrient-poorer oligotrophic fen, and the nutrient-poor ombrotrophic bog. Still, most fungi and actinobacteria found in the pristine peatland seemed robust to the environmental variables. Both fungal and actinobacterial diversity was higher in the fens than in the bog. Fungal diversity increased significantly after STD whereas actinobacterial diversity did not respond to hydrology. Both fungal and actinobacterial communities became more similar between peatland types after LTD, which was not apparent after STD. Most sequences clustered equally between the two main fungal phyla Ascomycota and Basidiomycota. Sequencing revealed that basidiomycetes may respond more (either positively or negatively) to hydrological changes than ascomycetes. Overall, our results suggest that fungal responses to water-level drawdown depend on peatland type. Actinobacteria seem to be less sensitive to hydrological changes, although the response of some may similarly depend on peatland type. (C) 2009 Elsevier Ltd. All rights reserved."

Enantiospecific synthesis and confirmation of the relative and absolute stereostructure of 11-hydroxyguaiadienes

Enantiospecific total synthesis of two epimeric sesquiterpenes 11-hydroxyguaiadienes has been accomplished starting from the readily available monoterpene (R)-limonene, which confirmed the structure and absolute configuration of the natural products. (C) 2010 Elsevier Ltd. All rights reserved.

High accuracy curve fits for chirality, length and diameter dependent initial modulus of single walled carbon nanotubes

Many previous studies regarding the estimation of mechanical properties of single walled carbon nanotubes (SWCNTs) report that, the modulus of SWCNTs is chirality, length and diameter dependent. Here, this dependence is quantitatively described in terms of high accuracy curve fit equations. These equations allow us to estimate the modulus of long SWCNTs (lengths of about 100-120 nm) if the value at the prescribed low lengths (lengths of about 5-10 nm) is known. This is supposed to save huge computational time and expense. Also, based on the observed length dependent behavior of SWCNT initial modulus, we predict that, SWCNT mechanical properties such as Young's modulus, secant modulus, maximum tensile strength, failure strength, maximum tensile strain and failure strain might also exhibit the length dependent behavior along with chirality and length dependence. (C) 2010 Elsevier B.V. All rights reserved.

Interdiffusion study on Co(W) solid solution and topological close-packed mu phase in Co-W system

An interdiffusion study is conducted on the Co-W system by a diffusion couple technique. The interdiffusion coefficient of the Co(W) solid solution and the Co7W6 mu phase is determined. The activation energy is found to increase with the W content of the Co(W) solid solution. (C) 2010 Elsevier Ltd. All rights reserved.