Is it possible to utilize VIX for a profitable trading strategy of S&P 500 Index?

The goal of this research was to make an overall sight to VIX® and how it can be used as a stock market indicator. Volatility index often referred as the fear index, measures how much it costs for investor to protect his/her S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has been a successful timing coordinator and it has given incremental information about the market state adding its own psychological view of the amount of fear and greed. Correctly utilized VIX information gives a considerable advantage in timing market actions. In this paper we test how VIX works as a leading indicator of broad stock market index such as S&P 500 (SPX). The purpose of this paper is to find a working way to interpret VIX. The various tests are made on time series data ranging from the year 1990 to the year 2010. The 10-day simple moving average strategy gave significant profits from the whole time when VIX data is available. Strategy was able to utilize the increases of SPX in example portfolio value and was able to step aside when SPX was declining. At the times when portfolio was aside of S it was on safety fund like on treasury bills getting an annual yield of 3 percent. On the other side just a static number’s of VIX did not work as indicators in a profit making way.

Optimal trading of wind power in the short term market

The energy reform, which is happening all over the world, is caused by the common concern of the future of the humankind in our shared planet. In order to keep the effects of the global warming inside of a certain limit, the use of fossil fuels must be reduced. The marginal costs of the renewable sources, RES are quite high, since they are new technology. In order to induce the implementation of RES to the power grid and lower the marginal costs, subsidies were developed in order to make the use of RES more profitable. From the RES perspective the current market is developed to favor conventional generation, which mainly uses fossil fuels. Intermittent generation, like wind power, is penalized in the electricity market since it is intermittent and thus diffi-cult to control. Therefore, the need of regulation and thus the regulation costs to the producer differ, depending on what kind of generation market participant owns. In this thesis it is studied if there is a way for market participant, who has wind power to use the special characteristics of electricity market Nord Pool and thus reach the gap between conventional generation and the intermittent generation only by placing bids to the market. Thus, an optimal bid is introduced, which purpose is to minimize the regulation costs and thus lower the marginal costs of wind power. In order to make real life simulations in Nord Pool, a wind power forecast model was created. The simulations were done in years 2009 and 2010 by using a real wind power data provided by Hyötytuuli, market data from Nord Pool and wind forecast data provided by Finnish Meteorological Institute. The optimal bid needs probability intervals and therefore the methodology to create probability distributions is introduced in this thesis. In the end of the thesis it is shown that the optimal bidding improves the position of wind power producer in the electricity market.

Crop residues on short-term CO2 emissions in sugarcane production areas

The proper management of agricultural crop residues could produce benefits in a warmer, more drought-prone world. Field experiments were conducted in sugarcane production areas in the Southern Brazil to assess the influence of crop residues on the soil surface in short-term CO2 emissions. The study was carried out over a period of 50 days after establishing 6 plots with and without crop residues applied to the soil surface. The effects of sugarcane residues on CO2 emissions were immediate; the emissions from residue-covered plots with equivalent densities of 3 (D50) and 6 (D100) t ha-1 (dry mass) were less than those from non-covered plots (D0). Additionally, the covered fields had lower soil temperatures and higher soil moisture for most of the studied days, especially during the periods of drought. Total emissions were as high as 553.62 ± 47.20 g CO2 m-2, and as low as 384.69 ± 31.69 g CO2 m-2 in non-covered (D0) and covered plot with an equivalent density of 3 t ha-1 (D50), respectively. Our results indicate a significant reduction in CO2 emissions, indicating conservation of soil carbon over the short-term period following the application of sugarcane residues to the soil surface.

Control of ammonia emissions in naturally ventilated dairy cattle facilities in Portugal

We conducted a study of the processes associated to NH3 emission in naturally ventilated dairy cattle facilities, having described factors that regulate NH3 emission, as well as methodologies for measuring these emissions at these facilities. Appropriate techniques to mitigate NH3 emission in facilities located in regions with warm climates were also identified. The most effective mitigation techniques with simple implementation include strategies associated to: (i) installation design and flooring, which lead to reduced emissions, (ii) excreta pre-excretion, namely the use of diets with optimized crude protein content and increased milk production at farm level; and (iii) excreta post-excretion, particularly by changing the conditions of environmental monitoring within the premises, practice introduction or additive application in the management of excreta deposited on floors.

Candace Bushnellin Trading Up Edith Whartonin romaanin The Custom of the Country uudelleenkirjoituksena

Candace Bushnellin (1958–) vuonna 2003 julkaistu romaani Trading Up kuvaa nuoren naispäähenkilön määrätietoista pyrkimystä rikkauteen, maineeseen ja New Yorkin suihkuseurapiireihin. Se on uudelleenkirjoitus Edith Whartonin romaanista The Custom of the Country (1913). Wharton (1862–1937) käsitteli tuotannossaan New Yorkin vanhaa yläluokkaa ja kuvasi usein liikettä yhteiskuntaluokassa ylös tai alas. 1990-luvulta alkaen Bushnell on käsitellyt teoksissaan samankaltaisia aiheita, joskin oman aikansa kontekstissa. Hän on itse todennut Whartonin teosten olevan merkittäviä esikuvia omalle tuotannolleen. Pro gradu -tutkielmassani tarkastelen Bushnellin romaania Trading Up Whartonin The Custom of the Country -teoksen uudelleenkirjoituksena. Analysoimalla teoksia rinnakkain selvitän, millaisia keinoja Bushnell käyttää uudelleenkirjoituksessaan ja mikä merkitys Whartonin romaanin uudelleenkirjoituksella on. Tutkimusnäkökulmani on feministinen, ja keskityn valtasuhteisiin liittyviin kysymyksiin. Tarkastelen etenkin yhteiskuntaluokkaan, sukupuoleen ja seksuaalisuuteen liittyviä valtasuhteita ja sitä, miten valtasuhteet Bushnellin uudelleenkirjoituksessa eroavat Whartonin romaanissa esiintyvistä. Tarkastelen tutkimiani romaaneja myös genren näkökulmasta, Trading Up -romaania osana chick lit -genreä ja The Custom of the Country -teosta taparomaanina. Chick lit on 1990- luvulla syntynyt viihteellinen naisten kirjallisuuden genre, joka kuvaa nuoria naisia ja käsittelee esimerkiksi ihmissuhteita ja perheeseen, työelämään tai ulkonäköön liittyviä kysymyksiä. Kulutuskulttuuri ja uusliberalistinen yksilöllisyys kuuluvat chick lit -genreen. Se on kytketty myös postfeminismiin: chick litissä feminismistä joko vaietaan, tai se esitetään pikemminkin yksittäisten naisten elämäntapavalintoina kuin poliittisena liikkeenä. Bushnellin lisäksi myös muut chick lit -kirjailijat ovat teoksissaan viitanneet taparomaaneihin. Tutkielmassani totean Bushnellin uudelleenkirjoittavan The Custom of the Country -romaania paikoitellen hyvin suoraan. Vaikka teosten ajallisen etäisyyden ja yhteiskunnallisten muutosten takia esimerkiksi yhteiskuntaluokkaan liittyvissä valtasuhteissa on tapahtunut muutoksia, esitetään monet asiat muuttumattomina. Etenkin sukupuolen kuvaus ja sukupuoltenväliset valtasuhteet näyttäytyvät samankaltaisina kummassakin teoksessa. Postfeminismissä ja uusliberalismissa yksilön mahdollisuutta tehdä valintoja korostetaan. Bushnellin romaanin naishenkilöhahmoilla pitäisi olla enemmän valinnan mahdollisuuksia kuin Whartonin sankarittarilla, mutta näiden tekemät ratkaisut ovat lopulta hyvin samankaltaisia. Vaikka Trading Up toistaa Whartonin teoksen tarinaa melko tarkasti, ei siitä välity Whartonin romaanissa merkittävää yhteiskuntakriittisyyttä.

Performance characteristic of moving average trading rules in the Finnish stock market

The thesis examines the profitability of DMAC trading rules in the Finnish stock market over the 1996-2012 period. It contributes to the existing technical analysis literature by comparing for the first time the performance of DMAC strategies based on individual stock trading portfolios to the performance of index trading strategies based on the trading on the index (OMX Helsinki 25) that consists of the same stocks. Besides, the market frictions including transaction costs and taxes are taken into account, and the results are reported from both institutional and individual investor’s perspective. Performance characteristic of DMAC rules are evaluated by simulating 19,900 different trading strategies in total for two non- overlapping 8-year sub-periods, and decomposing the full-sample-period performance of DMAC trading strategies into distinct bullish- and bearish-period performances. The results show that the best DMAC rules have predictive power on future price trends, and these rules are able to outperform buy-and-hold strategy. Although the performance of the DMAC strategies is highly dependent on the combination of moving average lengths, the best DMAC rules of the first sub-period have also performed well during the latter sub-period in the case of individual stock trading strategies. According to the results, the outperformance of DMAC trading rules over buy-and-hold strategy is mostly attributed to their superiority during the bearish periods, and particularly, during stock market crashes.

The effects of location, feedstock availability, and supply-chain logistics on the greenhouse gas emissions of forest-biomass energy utilization in Finland

Forest biomass represents a geographically distributed feedstock, and geographical location affects the greenhouse gas (GHG) performance of a given forest-bioenergy system in several ways. For example, biomass availability, forest operations, transportation possibilities and the distances involved, biomass end-use possibilities, fossil reference systems, and forest carbon balances all depend to some extent on location. The overall objective of this thesis was to assess the GHG emissions derived from supply and energy-utilization chains of forest biomass in Finland, with a specific focus on the effect of location in relation to forest biomass’s availability and the transportation possibilities. Biomass availability and transportation-network assessments were conducted through utilization of geographical information system methods, and the GHG emissions were assessed by means of lifecycle assessment. The thesis is based on four papers in which forest biomass supply on industrial scale was assessed. The feedstocks assessed in this thesis include harvesting residues, smalldiameter energy wood and stumps. The principal implication of the findings in this thesis is that in Finland, the location and availability of biomass in the proximity of a given energyutilization or energy-conversion plant is not a decisive factor in supply-chain GHG emissions or the possible GHG savings to be achieved with forest-biomass energy use. Therefore, for the greatest GHG reductions with limited forest-biomass resources, energy utilization of forest biomass in Finland should be directed to the locations where most GHG savings are achieved through replacement of fossil fuels. Furthermore, one should prioritize the types of forest biomass with the lowest direct supply-chain GHG emissions (e.g., from transport and comminution) and the lowest indirect ones (in particular, soil carbon-stock losses), regardless of location. In this respect, the best combination is to use harvesting residues in combined heat and power production, replacing peat or coal.

Greenhouse gas emissions from peat and biomass-derived fuels, electricity and heat — Estimation of various production chains by using LCA methodology

More discussion is required on how and which types of biomass should be used to achieve a significant reduction in the carbon load released into the atmosphere in the short term. The energy sector is one of the largest greenhouse gas (GHG) emitters and thus its role in climate change mitigation is important. Replacing fossil fuels with biomass has been a simple way to reduce carbon emissions because the carbon bonded to biomass is considered as carbon neutral. With this in mind, this thesis has the following objectives: (1) to study the significance of the different GHG emission sources related to energy production from peat and biomass, (2) to explore opportunities to develop more climate friendly biomass energy options and (3) to discuss the importance of biogenic emissions of biomass systems. The discussion on biogenic carbon and other GHG emissions comprises four case studies of which two consider peat utilization, one forest biomass and one cultivated biomasses. Various different biomass types (peat, pine logs and forest residues, palm oil, rapeseed oil and jatropha oil) are used as examples to demonstrate the importance of biogenic carbon to life cycle GHG emissions. The biogenic carbon emissions of biomass are defined as the difference in the carbon stock between the utilization and the non-utilization scenarios of biomass. Forestry-drained peatlands were studied by using the high emission values of the peatland types in question to discuss the emission reduction potential of the peatlands. The results are presented in terms of global warming potential (GWP) values. Based on the results, the climate impact of the peat production can be reduced by selecting high-emission-level peatlands for peat production. The comparison of the two different types of forest biomass in integrated ethanol production in pulp mill shows that the type of forest biomass impacts the biogenic carbon emissions of biofuel production. The assessment of cultivated biomasses demonstrates that several selections made in the production chain significantly affect the GHG emissions of biofuels. The emissions caused by biofuel can exceed the emissions from fossil-based fuels in the short term if biomass is in part consumed in the process itself and does not end up in the final product. Including biogenic carbon and other land use carbon emissions into the carbon footprint calculations of biofuel reveals the importance of the time frame and of the efficiency of biomass carbon content utilization. As regards the climate impact of biomass energy use, the net impact on carbon stocks (in organic matter of soils and biomass), compared to the impact of the replaced energy source, is the key issue. Promoting renewable biomass regardless of biogenic GHG emissions can increase GHG emissions in the short term and also possibly in the long term.

Mitigation possibilities to Greenhouse gas emissions from power production in India

Global warming is assertively the greatest environmental challenge for humans of 21st century. It is primarily caused by the anthropogenic greenhouse gas (GHG) that trap heat in the atmosphere. Because of which, the GHG emission mitigation, globally, is a critical issue in the political agenda of all high-profile nations. India, like other developing countries, is facing this threat of climate change while dealing with the challenge of sustaining its rapid economic growth. India’s economy is closely connected to its natural resource base and climate sensitive sectors like water, agriculture and forestry. Due to Climate change the quality and distribution of India’s natural resources may transform and lead to adverse effects on livelihood of its people. Therefore, India is expected to face a major threat due to the projected climate change. This study proposes possible solutions for GHG emission mitigation that are specific to the power sector of India. The methods discussed here will take Indian power sector from present coal dominant ideology to a system, centered with renewable energy sources. The study further proposes a future scenario for 2050, based on the present Indian government policies and global energy technologies advancements.

Insiders´ views as a predictor of stock performance : can insider trading be used to predict stock performance on the United States stock market?

This thesis studies the possibility of using information on insiders’ transactions to forecast future stock returns after the implementation of Sarbanes Oxley Act in July 2003. Insider transactions between July 2003 and August 2009 are analysed with regression tests to identify the relationships between insiders’ transactions and future stock returns. This analysis is complemented with rudimentary bootstrapping procedures to verify the robustness of the findings. The underlying assumption of the thesis is that insiders constantly receive pieces of information that indicate future performance of the company. They may not be allowed to trade on large and tangible pieces of information but they can trade on accumulation of smaller, intangible pieces of information. Based on the analysis in the thesis insiders’ profits were found not to differ from the returns from broad stock index. However, their individual transactions were found to be linked to future stock returns. The initial model was found to be unstable but some of the predictive power could be sacrificed to achieve greater stability. Even after sacrificing some predictive power the relationship was significant enough to allow external investors to achieve abnormal profits after transaction costs and taxes. The thesis does not go into great detail about timing of transactions. Delay in publishing insiders’ transactions is not taken into account in the calculations and the closed windows are not studied in detail. The potential effects of these phenomena are looked into and they do not cause great changes in the findings. Additionally the remuneration policy of an insider or a company is not taken into account even though it most likely affects the trading patterns of insiders. Even with the limitations the findings offer promising opportunities for investors to improve their investment processes by incorporating additional information from insiders’ transaction into their decisions. The findings also raise questions on how insider trading should be regulated. Insiders achieve greater returns than other investors based on superior information. On the other hand, more efficient information transfer could warrant more lenient regulation. The fact that insiders’ returns are dominated by the large investment stake they maintain all the time in their own companies also speaks for more leniency. As Sarbanes Oxley Act considerably modified the insider trading landscape, this analysis provides information that has not been available before. The thesis also constitutes a thorough analysis of insider trading phenomenon which has previously been somewhat separated into several studies.

Minimizing Conducted RF-Emissions in Switch Mode Power Supplies Using Spread-Spectrum Techniques

Switching power supplies are usually implemented with a control circuitry that uses constant clock frequency turning the power semiconductor switches on and off. A drawback of this customary operating principle is that the switching frequency and harmonic frequencies are present in both the conducted and radiated EMI spectrum of the power converter. Various variable-frequency techniques have been introduced during the last decade to overcome the EMC problem. The main objective of this study was to compare the EMI and steady-state performance of a switch mode power supply with different spread-spectrum/variable-frequency methods. Another goal was to find out suitable tools for the variable-frequency EMI analysis. This thesis can be divided into three main parts: Firstly, some aspects of spectral estimation and measurement are presented. Secondly, selected spread spectrum generation techniques are presented with simulations and background information. Finally, simulations and prototype measurements from the EMC and the steady-state performance are carried out in the last part of this work. Combination of the autocorrelation function, the Welch spectrum estimate and the spectrogram were used as a substitute for ordinary Fourier methods in the EMC analysis. It was also shown that the switching function can be used in preliminary EMC analysis of a SMPS and the spectrum and autocorrelation sequence of a switching function correlates with the final EMI spectrum. This work is based on numerous simulations and measurements made with the prototype. All these simulations and measurements are made with the boost DC/DC converter. Four different variable-frequency modulation techniques in six different configurations were analyzed and the EMI performance was compared to the constant frequency operation. Output voltage and input current waveforms were also analyzed in time domain to see the effect of the spread spectrum operation on these quantities. According to the results presented in this work, spread spectrum modulation can be utilized in power converter for EMI mitigation. The results from steady-state voltage measurements show, that the variable-frequency operation of the SMPS has effect on the voltage ripple, but the ripple measured from the prototype is still acceptable in some applications. Both current and voltage ripple can be controlled with proper main circuit and controller design.

Biogas production in regional integrated biodegradable waste treatment – Possibilities for improving energy performance and reducing GHG emissions

The greatest threat that the biodegradable waste causes on the environment is the methane produced in landfills by the decomposition of this waste. The Landfill Directive (1999/31/EC) aims to reduce the landfilling of biodegradable waste. In Finland, 31% of biodegradable municipal waste ended up into landfills in 2012. The pressure of reducing disposing into landfills is greatly increased by the forthcoming landfill ban on biodegradable waste in Finland. There is a need to discuss the need for increasing the utilization of biodegradable waste in regional renewable energy production to utilize the waste in a way that allows the best possibilities to reduce GHG emissions. The objectives of the thesis are: (1) to find important factors affecting renewable energy recovery possibilities from biodegradable waste, (2) to determine the main factors affecting the GHG balance of biogas production system and how to improve it and (3) to find ways to define energy performance of biogas production systems and what affects it. According to the thesis, the most important factors affecting the regional renewable energy possibilities from biodegradable waste are: the amount of available feedstock, properties of feedstock, selected utilization technologies, demand of energy and material products and the economic situation of utilizing the feedstocks. The biogas production by anaerobic digestion was seen as the main technology for utilizing biodegradable waste in agriculturally dense areas. The main reason for this is that manure was seen as the main feedstock, and it can be best utilized with anaerobic digestion, which can produce renewable energy while maintaining the spreading of nutrients on arable land. Biogas plants should be located close to the heat demand that would be enough to receive the produced heat also in the summer months and located close to the agricultural area where the digestate could be utilized. Another option for biogas use is to upgrade it to biomethane, which would require a location close to the natural gas grid. The most attractive masses for biogas production are municipal and industrial biodegradable waste because of gate fees the plant receives from them can provide over 80% of the income. On the other hand, directing gate fee masses for small-scale biogas plants could make dispersed biogas production more economical. In addition, the combustion of dry agricultural waste such as straw would provide a greater energy amount than utilizing them by anaerobic digestion. The complete energy performance assessment of biogas production system requires the use of more than one system boundary. These can then be used in calculating output–input ratios of biogas production, biogas plant, biogas utilization and biogas production system, which can be used to analyze different parts of the biogas production chain. At the moment, it is difficult to compare different biogas plants since there is a wide variation of definitions for energy performance of biogas production. A more consistent way of analyzing energy performance would allow comparing biogas plants with each other and other recovery systems and finding possible locations for further improvement. Both from the GHG emission balance and energy performance point of view, the energy consumption at the biogas plant was the most significant factor. Renewable energy use to fulfil the parasitic energy demand at the plant would be the most efficient way to reduce the GHG emissions at the plant. The GHG emission reductions could be increased by upgrading biogas to biomethane and displacing natural gas or petrol use in cars when compared to biogas CHP production. The emission reductions from displacing mineral fertilizers with digestate were seen less significant, and the greater N2O emissions from spreading digestate might surpass the emission reductions from displacing mineral fertilizers.

Reduction of nitrogen oxide emissions in lime kiln

Different nitrogen oxide removal technologies for rotary lime kiln are studied in this thesis, the main focus being in commercial technologies. Post-combustion methods are investigated in more detail as potential possible NOx removal with combustion methods in rotary lime kiln is more limited or primary methods are already in use. However, secondary methods as NOx scrubber, SNCR or SCR technologies are not listed as the Best Available Technologies defined by European Union. BAT technologies for NOx removal in lime kiln are (1) Optimised combustion and combustion control, (2) Good mixing of fuel and air, (3) Low-NOx burner and (4) Fuel selection/low-N fuel. SNCR method is the most suitable technique for NOx removal in lime kiln when NOx removal from 50 % to 70 % is required in case primary methods are already in use or cannot be applied. In higher removal cases ammonia slip is an issue in SNCR. By using SCR better NOx reduction can be achieved but issues with catalyst materials are expected to arise because of the dust and sulphur dioxide which leads to catalyst poison formation in lower flue gas temperatures. NOx scrubbing has potential when simultaneous NOx and SO2 removal is required. The challenge is that NO cannot be scrubbed directly, but once it is oxidized to NO2 or further scrubbing can be performed as the solubility of NO2 is higher. Commercial installations have not been made regarding SNCR, SCR or NOx scrubbing regarding rotary lime kiln. For SNCR and SCR the closest references come from cement industry.

A Template for Cloud Technology Deployment in an Energy Trading Environment

Nykyaikaiset pilvipalvelut tarjoavat suurille yrityksille mahdollisuuden tehostaa laskennallista tietojenkäsittelyä. Pilvipalveluiden käyttöönotto tuo mukanaan kuitenkin esimerkiksi useita tietoturvakysymyksiä, joiden vuoksi käyttöönoton tulee olla tarkasti suunniteltua. Tämä tutkimus esittelee kirjallisuuskatsaukseen perustuvan, asteittaisen suunnitelman pilvipalveluiden käyttöönotolle energialiiketoimintaympäristössä. Kohdeyrityksen sisäiset haastattelut ja katsaus nykyisiin energiateollisuuden pilviratkaisuihin muodostavat kokonaiskuvan käyttöönoton haasteista ja mahdollisuuksista. Tutkimuksen päätavoitteena on esittää ratkaisut tyypillisiin pilvipalvelun käyttöönotossa esiintyviin ongelmiin käyttöönottomallin avulla. Tutkimuksessa rakennettu käyttöönottomalli testattiin esimerkkitapauksen avulla ja malli todettiin toimivaksi. Ulkoisten palveluiden herättämien tietoturvakysymysten takia käyttöönoton ensimmäiset osiot, kuten lopputuotteen määrittely ja huolellinen suunnittelu, ovat koko käyttöönottoprosessin ydin. Lisäksi pilvipalveluiden käyttöönotto vaatii nykyiseltä käyttöympäristöltä uusia teknisiä ja hallinnollisia taitoja. Tutkimuksen tulokset osoittavat pilvipalveluiden monipuolisen hyödyn erityisesti laskentatehon tarpeen vaihdellessa. Käyttöönottomallin rinnalle luotu kustannusvertailu tukee kirjallisuuskatsauksessa esille tuotuja hyötyjä ja tarjoaa kohdeyritykselle perusteen tutkimuksen eteenpäin viemiselle.