Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Jatkuvan äänitehojakautuman algoritmi pitkien käytävien äänikenttien mallintamiseen

JÄKÄLA-algoritmi (Jatkuvan Äänitehojakautuman algoritmi Käytävien Äänikenttien LAskentaan) ja sen NUMO- ja APPRO-laskentayhtälöt perustuvat käytävällä olevan todellisen äänilähteen kuvalähteiden symmetriaan. NUMO on algoritmin numeerisen ratkaisun ja APPRO likiarvoratkaisun laskentayhtälö. Algoritmia johdettaessa oletettiin, että absorptiomateriaali oli jakautunut tasaisesti käytävän ääntä heijastaville pinnoille. Suorakaiteen muotoisen käytävän kuvalähdetason muunto jatkuvaksi äänitehojakautumaksi sisältää kolme muokkausvaihetta. Aluksi suorakaiteen kuvalähdetaso muunnetaan neliön muotoiseksi. Seuraavaksi neliön muotoisen kuvalähdetason samanarvoiset kuvalähteet siirretään koordinaattiakselille diskreetiksi kuvalähdejonoksi. Lopuksi kuvalähdejono muunnetaan jatkuvaksi äänitehojakautumaksi, jolloin käytävän vastaanottopisteen äänenpainetaso voidaan laskea integroimalla jatkuvan äänitehojakautuman yli. JÄKÄLA-algoritmin validiteetin toteamiseksi käytettiin testattua kaupallista AKURI-ohjelmaa. AKURI-ohjelma antoi myös hyvän käsityksen siitä, miten NUMO- ja APPRO-yhtälöillä lasketut arvot mahdollisesti eroavat todellisilla käytävillä mitatuista arvoista. JÄKÄLA-algoritmin NUMO- ja APPRO-yhtälöitä testattiin myös vertaamalla niiden antamia tuloksia kolmen erityyppisen käytävän äänenpainetasomittauksiin. Tässä tutkimuksessa on osoitettu, että akustisen kuvateorian pohjalta on mahdollista johtaa laskenta-algoritmi, jota voidaan soveltaa pitkien käytävien äänikenttien pika-arvioinnissa paikan päällä. Sekä teoreettinen laskenta että käytännön äänenpainetasomittaukset todellisilla käytävillä osoittivat, että JÄKÄLA-algoritmin yhtälöiden ennustustarkkuus oli erinomainen ideaalikäytävillä ja hyvä niillä todellisilla käytävillä, joilla ei ollut ääntä heijastavia rakenteita. NUMO- ja APPRO-yhtälöt näyttäisivät toimivan hyvin käytävillä, joiden poikkileikkaus oli lähes neliön muotoinen ja joissa pintojen suurin absorptiokerroin oli korkeintaan kymmenen kertaa pienintä absorptiokerrointa suurempi. NUMO- ja APPRO-yhtälöiden suurin puute on, etteivät ne ota huomioon pintojen erilaisia absorptiokertoimia eivätkä esineistä heijastuvia ääniä. NUMO- ja APPRO- laskentayhtälöt poikkesivat mitatuista arvoista eniten käytävillä, joilla kahden vastakkaisen pinnan absorptiokerroin oli hyvin suuri ja toisen pintaparin hyvin pieni, ja käytävillä, joissa oli massiivisia, ääntä heijastavia pilareita ja palkkeja. JÄKÄLA-algoritmin NUMO- ja APPRO-yhtälöt antoivat tutkituilla käytävillä kuitenkin selvästi tarkempia arvoja kuin Kuttruffin likiarvoyhtälö ja tilastollisen huoneakustiikan perusyhtälö. JÄKÄLA-algoritmin laskentatarkkuutta on testattu vain neljällä todellisella käytävällä. Algoritmin kehittämiseksi tulisi jatkossa käytävän vastakkaisia pintoja ja niiden absorptiokertoimia käsitellä laskennassa pareittain. Algoritmin validiteetin varmistamiseksi on mittauksia tehtävä lisää käytävillä, joiden absorptiomateriaalien jakautumat poikkeavat toisistaan.

Cardiothoracic ratio and vertebral heart size (VHS) to standardize the heart size of the tufted capuchin (Cebus apella Linnaeus, 1758) in computerized radiographic images

Abstract: The VHS and CTR were assessed using computerized thoracic radiographs of ten clinically healthy tufted capuchin monkeys (five males and five females) from the Wild Animal Screening Center in São Luís (Centro de Triagem de Animais Silvestres de São Luís-MA-CETAS). Radiographs were taken in laterolateral and dorsoventral projections to calculate the cardiothoracic ratio (VHS) and vertebral heart size (CTR). The VHS showed mean values of 9.34±0.32v (males) and 9.16±0.34v (females) and there was no statistical difference between males and females (p>0.05). The CTR showed mean values of 0.55±0.04 (males) and 0.52±0.03 (females) and there was no statistical difference between the sexes (p>0.05). There was positive correlation between VHS and CTR (r=0.78). The thoracic and heart diameters showed mean values of 5.70±0.48cm and 2.16±0.40cm in the males, respectively. In the females they measured 5.32±0.39cm and 2.94±0.32cm. There was no statistical difference between the sexes. Our results show that the high correlation found between VHS and CTR permitted the verification with similar clinical precision between the two methods to estimate alterations in the heart silhouette by radiographic examination of tufted capuchin, making it an easy technique to apply that can be considered in the investigation of heart problems for this wild species.

Pressure Drop in Vertical Core-Annular Flow

An experimental apparatus for the study of core annular flows of heavy oil and water at room temperature has been set up and tested at laboratory scale. The test section consists of a 2.75 cm ID galvanized steel pipe. Tap water and a heavy oil (17.6 Pa.s; 963 kg/m³) were used. Pressure drop in a vertical upward test section was accurately measured for oil flow rates in the range 0.297 - 1.045 l/s and water flow rates ranging from 0.063 to 0.315 l/s. The oil-water input ratio was in the range 1-14. The measured pressure drop comprises gravitational and frictional parts. The gravitational pressure drop was expressed in terms of the volumetric fraction of the core, which was determined from a correlation developed by Bannwart (1998b). The existence of an optimum water-oil input ratio for each oil flow rate was observed in the range 0.07 - 0.5. The frictional pressure drop was modeled to account for both hydrodynamic and net buoyancy effects on the core. The model was adjusted to fit our data and shows excellent agreement with data from another source (Bai, 1995).

Development of a process for the direct synthesis of hydrogen peroxide in a novel microstructured reactor

Microreactors have proven to be versatile tools for process intensification. Over recent decades, they have increasingly been used for product and process development in chemical industries. Enhanced heat and mass transfer in the reactors due to the extremely high surfacearea- to-volume ratio and interfacial area allow chemical processes to be operated at extreme conditions. Safety is improved by the small holdup volume of the reactors and effective control of pressure and temperature. Hydrogen peroxide is a powerful green oxidant that is used in a wide range of industries. Reduction and auto-oxidation of anthraquinones is currently the main process for hydrogen peroxide production. Direct synthesis is a green alternative and has potential for on-site production. However, there are two limitations: safety concerns because of the explosive gas mixture produced and low selectivity of the process. The aim of this thesis was to develop a process for direct synthesis of hydrogen peroxide utilizing microreactor technology. Experimental and numerical approaches were applied for development of the microreactor. Development of a novel microreactor was commenced by studying the hydrodynamics and mass transfer in prototype microreactor plates. The prototypes were designed and fabricated with the assistance of CFD modeling to optimize the shape and size of the microstructure. Empirical correlations for the mass transfer coefficient were derived. The pressure drop in micro T-mixers was investigated experimentally and numerically. Correlations describing the friction factor for different flow regimes were developed and predicted values were in good agreement with experimental results. Experimental studies were conducted to develop a highly active and selective catalyst with a proper form for the microreactor. Pd catalysts supported on activated carbon cloths were prepared by different treatments during the catalyst preparation. A variety of characterization methods were used for catalyst investigation. The surface chemistry of the support and the oxidation state of the metallic phase in the catalyst play important roles in catalyst activity and selectivity for the direct synthesis. The direct synthesis of hydrogen peroxide was investigated in a bench-scale continuous process using the novel microreactor developed. The microreactor was fabricated based on the hydrodynamic and mass transfer studies and provided a high interfacial area and high mass transfer coefficient. The catalysts were prepared under optimum treatment conditions. The direct synthesis was conducted at various conditions. The thesis represents a step towards a commercially viable direct synthesis. The focus is on the two main challenges: mitigating the safety problem by utilization of microprocess technology and improving the selectivity by catalyst development.

Catalytic direct synthesis of hydrogen peroxide in a novel microstructured reactor

The direct synthesis from hydrogen and oxygen is a green alternative for production of hydrogen peroxide. However, this process suffers from two challenges. Firstly, mixtures of hydrogen and oxygen are explosive over a wide range of concentrations (4-94% H2 in O2). Secondly, the catalytic reaction of hydrogen and oxygen involves several reaction pathways, many of them resulting in water production and therfore decreasing selectivity. The present work deals with these two challenges. The safety problem was dealed by employing a novel microstructured reactor. Selectivity of the reaction was highly improved by development a set of new catalysts. The final goal was to develop an effective and safe continuous process for direct synthesis of hydrogen peroxide from H2 and O2. Activated carbon cloth and Sibunit were examined as the catalysts’ supports. Palladium and gold monometallic and palladium-gold bimetallic catalysts were thoroughly investigated by numerous kinetic experiments performed in a tailored batch reactor and several catalyst charachterization methods. A complete set of data for direct synthesis of H2O2 and its catalytic decomposition and hydrogenation was obtained. These data were used to assess factors influencing selectivity and activity of the catalysts in direct synthesis of H2O2 as well as its decomposition and hydrogenation. A novel microstructured reactor was developed based on hydrodynamics and mass transfer studies in prototype microstractural plates. The shape and the size of the structural elements in the microreactor plate were optimized in a way to get high gas-liquid interfacial area and gas-liquid mass transfer. Finally, empirical correlations for the volumetric mass transfer coefficient were derived. A bench-scale continuous process was developed by using the novel microstructral plate reactor. A series of kinetic experiments were performed to investigate the effects of the gas and the liquid feed rates and their ratio, the amount of the catalyst, the gas feed composition and pressure on the final rate of H2O2 production and selectivity.

Photic driving in the electroencephalogram of children and adolescents: harmonic structure and relation to the resting state

In order to identify latent bioelectrical oscillators, 15 normal subjects (aged 9-17 years, 8 males, 7 females) were subjected to intermittent photic stimulation. The EEG amplitude spectra corresponding to the 11 fixed frequencies of stimulation presented (3-24 Hz) were combined to form "profiles" of the driving reaction in the right occipital area. The driving response varied with frequency, and was demonstrable in 70-100% of cases (using as criterion peak amplitudes 20% larger than those of the neighbors). The strongest responses were observed at the frequency closest to the alpha peak of the resting EEG. A secondary profile maximum was in the theta band. In 10 subjects, this maximum exceeded half the alpha peak (with an average of 72.4% of the alpha peak), while in the resting spectra, theta amplitudes were much lower than the alpha maxima. This responsiveness in theta activity seems to be characteristic of prepubertal and pubertal subjects. The profiles and resting EEG spectra showed a highly significant Pearson's correlation, with the peak in the theta band of the profiles being the main difference observed between them. The correlation coefficient was significantly correlated with the ratio of the maxima in the theta and alpha bands (R = -0.77, P<0.001). The correlation coefficient between profile and resting spectrum may be a useful indicator in screening methods used to reveal latent cerebral oscillators. Profiles for the second and third harmonics were correlated with those of the first harmonic (fundamental frequency), when considering the corresponding EEG frequencies. Peak frequencies in all three profiles were close to those of the individual's background alpha rhythm, and peak amplitudes in higher harmonics were not much lower than those of the fundamental frequency (mean values of 84 and 63%, for second and third harmonics, respectively).

Plasma hydroxy-metronidazole/ metronidazole ratio in hepatitis C virus-induced liver disease

It has been suggested that the measurement of metronidazole clearance is a sensitive method for evaluating liver function. The aim of this study was to evaluate the usefulness of plasma hydroxy-metronidazole/metronidazole ratios as indicators of dynamic liver function to detect changes resulting from the various forms of chronic hepatitis C virus (HCV) infection. A total of 139 individuals were studied: 14 healthy volunteers, 22 healthy, asymptomatic, consecutive anti-HCV-positive HCV-RNA negative subjects, 81 patients with chronic hepatitis C (49 with moderate/severe chronic hepatitis and 34 with mild hepatitis), and 20 patients with cirrhosis of the liver. HCV status was determined by the polymerase chain reaction. Plasma concentrations of metronidazole and its hydroxy-metabolite were measured by reverse-phase high-performance liquid chromatography with ultraviolet detection in a blood sample collected 10 min after the end of a metronidazole infusion. Anti-HCV-positive HCV-RNA-negative individuals demonstrated a significantly reduced capacity to metabolize intravenously infused metronidazole compared to healthy individuals (0.0478 ± 0.0044 vs 0.0742 ± 0.0232). Liver cirrhosis patients also had a reduced plasma hydroxy-metronidazole/metronidazole ratio when compared to the other groups of anti-HCV-positive individuals (0.0300 ± 0.0032 vs 0.0438 ± 0.0027 (moderate/severe chronic hepatitis) vs 0.0455 ± 0.0026 (mild chronic hepatitis) and vs 0.0478 ± 0.0044 (anti-HCV-positive, HCV-RNA-negative individuals)). These results suggest an impairment of the metronidazole metabolizing system induced by HCV infection that lasts after viral clearance. In those patients with chronic hepatitis C, this impairment is paralleled by progression of the disease to liver cirrhosis.

Performance of two-dimensional Doppler echocardiography for the assessment of infarct size and left ventricular function in rats

Although echocardiography has been used in rats, few studies have determined its efficacy for estimating myocardial infarct size. Our objective was to estimate the myocardial infarct size, and to evaluate anatomic and functional variables of the left ventricle. Myocardial infarction was produced in 43 female Wistar rats by ligature of the left coronary artery. Echocardiography was performed 5 weeks later to measure left ventricular diameter and transverse area (mean of 3 transverse planes), infarct size (percentage of the arc with infarct on 3 transverse planes), systolic function by the change in fractional area, and diastolic function by mitral inflow parameters. The histologic measurement of myocardial infarction size was similar to the echocardiographic method. Myocardial infarct size ranged from 4.8 to 66.6% when determined by histology and from 5 to 69.8% when determined by echocardiography, with good correlation (r = 0.88; P < 0.05; Pearson correlation coefficient). Left ventricular diameter and mean diastolic transverse area correlated with myocardial infarct size by histology (r = 0.57 and r = 0.78; P < 0.0005). The fractional area change ranged from 28.5 ± 5.6 (large-size myocardial infarction) to 53.1 ± 1.5% (control) and correlated with myocardial infarct size by echocardiography (r = -0.87; P < 0.00001) and histology (r = -0.78; P < 00001). The E/A wave ratio of mitral inflow velocity for animals with large-size myocardial infarction (5.6 ± 2.7) was significantly higher than for all others (control: 1.9 ± 0.1; small-size myocardial infarction: 1.9 ± 0.4; moderate-size myocardial infarction: 2.8 ± 2.3). There was good agreement between echocardiographic and histologic estimates of myocardial infarct size in rats.

Efficacy of the FEV1/FEV6 ratio compared to the FEV1/FVC ratio for the diagnosis of airway obstruction in subjects aged 40 years or over

The present cross-sectional, population-based study was designed to evaluate the performance of the FEV1/FEV6 ratio for the detection of airway-obstructed subjects compared to the FEV1/FVC <0.70 fixed ratio test, as well as the lower limit of normality (LLN) for 1000 subjects ³40 years of age in the metropolitan area of São Paulo, SP, Brazil. After the exclusion of 37 (3.7%) spirometries, a total of 963 pre-bronchodilator (BD) and 918 post-BD curves were constructed. The majority of the post-BD curves (93.1%) were of very good quality and achieved grade A (762 curves) or B (93 curves). The FEV1/FEV6 and FEV1/FVC ratios were highly correlated (r² = 0.92, P < 0.000). Two receiver operator characteristic curves were constructed in order to express the imbalance between the sensitivity and specificity of the FEV1/FEV6 ratio compared to two FEV1/FVC cut-off points for airway obstruction: equal to 70 (area under the curve = 0.98, P < 0.0001) and the LLN (area under the curve = 0.97, P < 0.0001), in the post-BD curves. According to an FEV1/FVC <0.70, the cut-off point for the FEV1/FEV6 ratio with the highest sum for sensitivity and specificity was 0.75. The FEV1/FEV6 ratio can be considered to be a good alternative to the FEV1/FVC ratio for the diagnosis of airway obstruction, both using a fixed cut-off point or below the LLN as reference. The FEV1/FEV6 ratio has the additional advantage of being an easier maneuver for the subjects and for the lung function technicians, providing a higher reproducibility than traditional spirometry maneuvers.

Epistolarum conscribendarum forma & ratio

Dedikaatio: Johannes Cajanus, Jacobus Frosterus, Laurentius Lithovius, Olaus Lauraeus, Jacobus Falander, Johannes Laibeck, Georgius Aenelius, Johannes Forsman, Abraham Falander, Johannes Argillander.

Spot urine porphyrins/creatinine ratio profile of healthy Brazilian individuals adjusted for personal habits

Changes in urinary porphyrin excretion may be the result of hereditary causes and/or from environmental or occupational exposure. The objective of this study was to measure the amount of some porphyrins in spot urine samples obtained from volunteers randomly selected from a healthy adult population of São Paulo with a sensitive HPLC method and to estimate normal ranges for a non-exposed population. Spot urine samples were collected from 126 subjects (both genders, 18 to 65 years old) not occupationally exposed to porphyrinogenic agents. Porphyrin fractions were separated on RP-18 HPLC column eluted with a methanol/ammonium acetate buffer gradient, pH 4.0, and measured fluorometrically (excitation 405 nm/emission 620 nm). The amount of porphyrins was corrected for urinary creatinine excretion. Only 8-carboxyl (uro) and 4-carboxyl (copro) porphyrins were quantified as µg/g creatinine. Data regarding age, gender, occupational activities, smoking and drinking habits were analyzed by Mann-Whitney and Kruskal-Wallis tests. Uroporphyrin results did not differ significantly between the subgroups studied. Copro and uro + copro porphyrins were significantly different for smokers (P = 0.008) and occupational activities (P = 0.004). With respect to alcohol consumption, only men drinking >20 g/week showed significant differences in the levels of copro (P = 0.022) and uro + copro porphyrins (P = 0.012). The 2.5-97.5th percentile limit values, excluding those for subjects with an alcohol drinking habit >20 g/week, were 0-20.8, 11.7-93.1, and 15.9-102.9 µg/g creatinine for uro, copro and uro + copro porphyrins, respectively. These percentile limit values can be proposed as a first attempt to provide urinary porphyrin reference values for our population, serving for an early diagnosis of porphyrinopathies or as biomarkers of exposure to porphyrinogenic agents.

Highly sensitive C-reactive protein and male gender are independently related to the severity of coronary disease in patients with metabolic syndrome and an acute coronary event

Patients with metabolic syndrome are at high-risk for development of atherosclerosis and cardiovascular events. The objective of this study was to examine the major determinants of coronary disease severity, including those coronary risk factors associated with metabolic syndrome, during the early period after an acute coronary episode. We tested the hypothesis that inflammatory markers, especially highly sensitive C-reactive protein (hsCRP), are related to coronary atherosclerosis, in addition to traditional coronary risk factors. Subjects of both genders aged 30 to 75 years (N = 116) were prospectively included if they had suffered a recent acute coronary syndrome (acute myocardial infarction or unstable angina pectoris requiring hospitalization) and if they had metabolic syndrome diagnosed according to the National Cholesterol Education Program/Adult Treatment Panel III. Patients were submitted to a coronary angiography and the burden of atherosclerosis was estimated by the Gensini score. The severity of coronary disease was correlated (Spearman’s or Pearson’s coefficient) with gender (r = 0.291, P = 0.008), age (r = 0.218, P = 0.048), hsCRP (r = 0.256, P = 0.020), ApoB/ApoA ratio (r = 0.233, P = 0.041), and carotid intima-media thickness (r = 0.236, P = 0.041). After multiple linear regression, only male gender (P = 0.046) and hsCRP (P = 0.012) remained independently associated with the Gensini score. In this high-risk population, male gender and high levels of hsCRP, two variables that can be easily obtained, were associated with more extensive coronary disease, identifying patients with the highest potential of developing new coronary events.