Allocations of permanent and transitory earnings between retained earnings and dividend payments /

"Paper presented at the Southern Financial Association Meeting at Washington, D.C., Nov. 5-7, 1980."

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Biophysical and network mechanisms of high frequency extracellular potentials in the rat hippocampus

<p>A fundamental question in neuroscience is how distributed networks of neurons communicate and coordinate dynamically and specifically. Several models propose that oscillating local networks can transiently couple to each other through phase-locked firing. Coherent local field potentials (LFP) between synaptically connected regions is often presented as evidence for such coupling. The physiological correlates of LFP signals depend on many anatomical and physiological factors, however, and how the underlying neural processes collectively generate features of different spatiotemporal scales is poorly understood. High frequency oscillations in the hippocampus, including gamma rhythms (30-100 Hz) that are organized by the theta oscillations (5-10 Hz) during active exploration and REM sleep, as well as sharp wave-ripples (SWRs, 140-200 Hz) during immobility or slow wave sleep, have each been associated with various aspects of learning and memory. Deciphering their physiology and functional consequences is crucial to understanding the operation of the hippocampal network.</p> <p>We investigated the origins and coordination of high frequency LFPs in the hippocampo-entorhinal network using both biophysical models and analyses of large-scale recordings in behaving and sleeping rats. We found that the synchronization of pyramidal cell spikes substantially shapes, or even dominates, the electrical signature of SWRs in area CA1 of the hippocampus. The precise mechanisms coordinating this synchrony are still unresolved, but they appear to also affect CA1 activity during theta oscillations. The input to CA1, which often arrives in the form of gamma-frequency waves of activity from area CA3 and layer 3 of entorhinal cortex (EC3), did not strongly influence the timing of CA1 pyramidal cells. Rather, our data are more consistent with local network interactions governing pyramidal cells' spike timing during the integration of their inputs. Furthermore, the relative timing of input from EC3 and CA3 during the theta cycle matched that found in previous work to engage mechanisms for synapse modification and active dendritic processes. Our work demonstrates how local networks interact with upstream inputs to generate a coordinated hippocampal output during behavior and sleep, in the form of theta-gamma coupling and SWRs.</p>

Mechatronic design of a high frequency probe for haptic interaction

Current force feedback, haptic interface devices are generally limited to the display of low frequency, high amplitude spatial data. A typical device consists of a low impedance framework of one or more degrees-of-freedom (dof), allowing a user to explore a pre-defined workspace via an end effector such as a handle, thimble, probe or stylus. The movement of the device is then constrained using high gain positional feedback, thus reducing the apparent dof of the device and conveying the illusion of hard contact to the user. Such devices are, however, limited to a narrow bandwidth of frequencies, typically below 30Hz, and are not well suited to the display of surface properties, such as object texture. This paper details a device to augment an existing force feedback haptic display with a vibrotactile display, thus providing a means of conveying low amplitude, high frequency spatial information of object surface properties. 1. Haptics and Haptic Interfaces Haptics is the study of human touch and interaction with the external environment via touch. Information from the human sense of touch can be classified in to two categories, cutaneous and kinesthetic. Cutaneous information is provided via the mechanoreceptive nerve endings in the glabrous skin of the human hand. It is primarily a means of relaying information regarding small-scale details in the form of skin stretch, compression and vibration.

Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

Multi-year high-frequency current and water quality in-situ observations at the Guadiana Estuary

High-frequency data collected continuously over a multiyear time frame are required for investigating the various agents that drive ecological and hydrodynamic processes in estuaries. Here, we present water quality and current in-situ observations from a fixed monitoring station operating from 2008 to 2014 in the lower Guadiana Estuary, southern Portugal (37°11.30' N, 7°24.67' W). The data were recorded by a multi-parametric probe providing hourly records (temperature, salinity, chlorophyll, dissolved oxygen, turbidity, and pH) at a water depth of ~1 m, and by a bottom-mounted acoustic Doppler current profiler measuring the pressure, near-bottom temperature, and flow velocity through the water column every 15 min. The time-series data, in particular the probe ones, present substantial gaps arising from equipment failure and maintenance, which are ineluctable with this type of observations in harsh environments. However, prolonged (months-long) periods of multi-parametric observations during contrasted external forcing conditions are available. The raw data are reported together with flags indicating the quality status of each record. River discharge data from two hydrographic stations located near the estuary head are also provided to support data analysis and interpretation.

Losses, dividend reductions, and market reaction associated with past earnings and dividends patterns

This paper examines investors' reactions to dividend reductions or omissions conditional on past earnings and dividend patterns for a sample of eighty-two U.S. firms that incurred an annual loss. We document that the market reaction for firms with long patterns of past earnings and dividend payouts is significantly more negative than for firms with lessestablished past earnings and dividends records. Our results can be explained by the following line of reasoning. First, consistent with DeAngelo, DeAngelo, and Skinner (1992), a loss following a long stream of earnings and dividend payments represents an unreliable indicator of future earnings. Thus, established firms have higher loss reliability than less-established firms. Second, because current earnings and dividend policy are a substitute source of means of forecasting future earnings, lower loss reliability increases the information content of dividend reductions. Therefore, given the presence of a loss, the longer the stream of prior earnings and dividend payments, (1) the lower the loss reliability and (2) the more reliably dividend cuts are perceived as an indication that earnings difficulties will persist in the future.

Collective sampling and analysis of high order tensors for chatroom communications

This work investigates the accuracy and efficiency tradeoffs between centralized and collective (distributed) algorithms for (i) sampling, and (ii) n-way data analysis techniques in multidimensional stream data, such as Internet chatroom communications. Its contributions are threefold. First, we use the Kolmogorov-Smirnov goodness-of-fit test to show that statistical differences between real data obtained by collective sampling in time dimension from multiple servers and that of obtained from a single server are insignificant. Second, we show using the real data that collective data analysis of 3-way data arrays (users x keywords x time) known as high order tensors is more efficient than centralized algorithms with respect to both space and computational cost. Furthermore, we show that this gain is obtained without loss of accuracy. Third, we examine the sensitivity of collective constructions and analysis of high order data tensors to the choice of server selection and sampling window size. We construct 4-way tensors (users x keywords x time x servers) and analyze them to show the impact of server and window size selections on the results.

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.

High-frequency oscillations in a solar active region observed with the RAPID DUAL IMAGER

High-cadence, synchronized, multiwavelength optical observations of a solar active region (NOAA 10794) are presented. The data were obtained with the Dunn Solar Telescope at the National Solar Observatory/Sacramento Peak using a newly developed camera system: the rapid dual imager. Wavelet analysis is undertaken to search for intensity related oscillatory signatures, and periodicities ranging from 20 to 370 s are found with significance levels exceeding 95%. Observations in the H-α blue wing show more penumbral oscillatory phenomena when compared to simultaneous G-band observations. The H-α oscillations are interpreted as the signatures of plasma motions with a mean velocity of 20 km s-1. The strong oscillatory power over H-α blue-wing and G-band penumbral bright grains is an indication of the Evershed flow with frequencies higher than previously reported.

High frequency acoustics in colloid-based meso- and nanostructures by spontaneous Brillouin light scattering

Materials that can mold the flow of elastic waves of certain energy in certain directions are called phononic materials. The present thesis deals essentially with such phononic systems, which are structured in the mesoscale (<1 µm), and with their individual components. Such systems show interesting phononic properties in the hypersonic region, i.e., at frequencies in the GHz range. It is shown that colloidal systems are excellent model systems for the realization of such phononic materials. Therefore, different structures and particle architectures are investigated by Brillouin light scattering, the inelastic scattering of light by phonons.rnThe experimental part of this work is divided into three chapters: Chapter 4 is concerned with the localized mechanical waves in the individual spherical colloidal particles, i.e., with their resonance- or eigenvibrations. The investigation of these vibrations with regard to the environment of the particles, their chemical composition, and the influence of temperature on nanoscopically structured colloids allows novel insights into the physical properties of colloids at small length scales. Furthermore, some general questions concerning light scattering on such systems, in dispute so far, are convincingly addressed.rnChapter 5 is a study of the traveling of mechanical waves in colloidal systems, consisting of ordered and disordered colloids in liquid or elastic matrix. Such systems show acoustic band gaps, which can be explained geometrically (Bragg gap) or by the interaction of the acoustic band with the eigenvibrations of the individual spheres (hybridization gap).rnWhile the latter has no analogue in photonics, the presence of strong phonon scatterers, when a large elastic mismatch between the composite components exists, can largely impact phonon propagation in analogy to strong multiple light scattering systems. The former is exemplified in silica based phononic structures that opens the door to new ways of sound propagation manipulation.rnChapter 6 describes the first measurement of the elastic moduli in newly fabricated by physical vapor deposition so-called ‘stable organic glasses’. rnIn brief, this thesis explores novel phenomena in colloid-based hypersonic phononic structures, utilizing a versatile microfabrication technique along with different colloid architectures provided by material science, and applying a non-destructive optical experimental tool to record dispersion diagrams.rn

Experimental high frequency apparatus: how to make and use it,

Mode of access: Internet.