Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Novel Anti-Campylobacter Compounds Identified Using High Throughput Screening of a Pre-selected Enriched Small Molecules Library

Campylobacter is a leading cause of foodborne bacterial gastroenteritis worldwide and infections can be fatal. The emergence of antibiotic-resistant Campylobacter spp. necessitates the development of new antimicrobials. We identified novel anti-Campylobacter small molecule inhibitors using a high throughput growth inhibition assay. To expedite screening, we made use of a “bioactive” library of 4,182 compounds that we have previously shown to be active against diverse microbes. Screening for growth inhibition of Campylobacter jejuni, identified 781 compounds that were either bactericidal or bacteriostatic at a concentration of 200 µM. Seventy nine of the bactericidal compounds were prioritized for secondary screening based on their physico-chemical properties. Based on the minimum inhibitory concentration against a diverse range of C. jejuni and a lack of effect on gut microbes, we selected 12 compounds. No resistance was observed to any of these 12 lead compounds when C. jejuni was cultured with lethal or sub-lethal concentrations suggesting that C. jejuni is less likely to develop resistance to these compounds. Top 12 compounds also possessed low cytotoxicity to human intestinal epithelial cells (Caco-2 cells) and no hemolytic activity against sheep red blood cells. Next, these 12 compounds were evaluated for ability to clear C. jejuni in vitro. A total of 10 compounds had an anti-C. jejuni effect in Caco-2 cells with some effective even at 25 µM concentrations. These novel 12 compounds belong to five established antimicrobial chemical classes; piperazines, aryl amines, piperidines, sulfonamide and pyridazinone. Exploitation of analogues of these chemical classes may provide Campylobacter specific drugs that can be applied in both human and animal medicine.

A boat hitchhiker's guide to survival: Cabomba caroliniana desiccation resistance and survival ability

Cabomba caroliniana is a submersed macrophyte that has become a serious invader. Cabomba predominantly spreads by stem fragments, in particular through unintentional transport on boat trailers ('hitch hiking'). Desiccation resistance affects the potential dispersal radius. Therefore, knowledge of maximum survival times allows predicting future dispersal. Experiments were conducted to assess desiccation resistance and survival ability of cabomba fragments under various environmental scenarios. Cabomba fragments were highly tolerant of desiccation. However, even relatively low wind speeds resulted in rapid mass loss, indicating a low survival rate of fragments exposed to air currents, such as fragments transported on a boat trailer. The experiments indicated that cabomba could survive at least 3 h of overland transport if exposed to wind. However, even small clumps of cabomba could potentially survive up to 42 h. Thus, targeting the transport of clumps of macrophytes should receive high priority in management. The high resilience of cabomba to desiccation demonstrates the risk of continuing spread. Because of the high probability of fragment viability on arrival, preventing fragment uptake on boat trailers is paramount to reduce the risk of further spread. These findings will assist improving models that predict the spread of aquatic invasive macrophytes.

Components and circuits for tunneling diode based high frequency sources

Terahertz (THz) technology has been generating a lot of interest because of the potential applications for systems working in this frequency range. However, to fully achieve this potential, effective and efficient ways of generating controlled signals in the terahertz range are required. Devices that exhibit negative differential resistance (NDR) in a region of their current-voltage (I-V ) characteristics have been used in circuits for the generation of radio frequency signals. Of all of these NDR devices, resonant tunneling diode (RTD) oscillators, with their ability to oscillate in the THz range are considered as one of the most promising solid-state sources for terahertz signal generation at room temperature. There are however limitations and challenges with these devices, from inherent low output power usually in the range of micro-watts (uW) for RTD oscillators when milli-watts (mW) are desired. At device level, parasitic oscillations caused by the biasing line inductance when the device is biased in the NDR region prevent accurate device characterisation, which in turn prevents device modelling for computer simulations. This thesis describes work on I-V characterisation of tunnel diode (TD) and RTD (fabricated by Dr. Jue Wang) devices, and the radio frequency (RF) characterisation and small signal modelling of RTDs. The thesis also describes the design and measurement of hybrid TD oscillators for higher output power and the design and measurement of a planar Yagi antenna (fabricated by Khalid Alharbi) for THz applications. To enable oscillation free current-voltage characterisation of tunnel diodes, a commonly employed method is the use of a suitable resistor connected across the device to make the total differential resistance in the NDR region positive. However, this approach is not without problems as the value of the resistor has to satisfy certain conditions or else bias oscillations would still be present in the NDR region of the measured I-V characteristics. This method is difficult to use for RTDs which are fabricated on wafer due to the discrepancies in designed and actual resistance values of fabricated resistors using thin film technology. In this work, using pulsed DC rather than static DC measurements during device characterisation were shown to give accurate characteristics in the NDR region without the need for a stabilisation resistor. This approach allows for direct oscillation free characterisation for devices. Experimental results show that the I-V characterisation of tunnel diodes and RTD devices free of bias oscillations in the NDR region can be made. In this work, a new power-combining topology to address the limitations of low output power of TD and RTD oscillators is presented. The design employs the use of two oscillators biased separately, but with the combined output power from both collected at a single load. Compared to previous approaches, this method keeps the frequency of oscillation of the combined oscillators the same as for one of the oscillators. Experimental results with a hybrid circuit using two tunnel diode oscillators compared with a single oscillator design with similar values shows that the coupled oscillators produce double the output RF power of the single oscillator. This topology can be scaled for higher (up to terahertz) frequencies in the future by using RTD oscillators. Finally, a broadband Yagi antenna suitable for wireless communication at terahertz frequencies is presented in this thesis. The return loss of the antenna showed that the bandwidth is larger than the measured range (140-220 GHz). A new method was used to characterise the radiation pattern of the antenna in the E-plane. This was carried out on-wafer and the measured radiation pattern showed good agreement with the simulated pattern. In summary, this work makes important contributions to the accurate characterisation and modelling of TDs and RTDs, circuit-based techniques for power combining of high frequency TD or RTD oscillators, and to antennas suitable for on chip integration with high frequency oscillators.

Competitive ability of cultivated rice against weedy rice biotypes – A review

Weedy rice has been identified as a threat to rice production worldwide. Its phenotypic and genotypic diversity and its potential to compete against rice in all development stages from germination to maturity have resulted in a loss of rice yield and grain quality, which is remarkably high in directseeded rice cultivation. Weedy rice dormancy varies, it has a higher germination rate, and tolerates deeper germination depth compared to rice cultivars. Interactions of weedy rice with cultivars often reflect early vigor, more tillering, nutrient utilization ability for shoot development with respect to rice cultivars even though the latter also show an improvement in shoot development under competition. An exponential relationship has been reported between cultivated rice loss and weedy rice density: this is true for all rice cultivars. The degree of loss is dependent on the competitive ability of the rice cultivar being studied, and each weedy rice biotype also interacts differently. Hence, the need for a comprehensive study of the biology of various weedy rice variants. Difficulties arise in the management of weedy rice due to its physiological, anatomical, and morphological similarities to cultivated rice. The manipulation of the environment to improve cultivated rice production and suppress the emergence of weedy rice variants is important in the management of weedy rice, as well as other cultural practices and use of pesticides. The development of herbicide-resistant rice cultivars is necessary to totally eliminate the weedy rice variants. This review provides information on the competitive ability of weedy rice against rice cultivars; this information is essential to create management options to control weedy rice.

Assessment of student engagement among junior high school students and associations with self-esteem, burnout, and academic achievement

The aim of the study was to investigate the structure of affective and cognitive engagement using the Student Engagement Instrument (SEI; Appleton, Christenson, Kim, & Reschly, 2006) and to examine the associations to behavioral engagement, as well as student-reported self-esteem, burnout, and academic achievement among Finnish junior high school students. The analyses were carried out in the main sample of 2,485 students, as well as in an independent sample of 821 students. The results showed that the original five-factor structure of the SEI construed along three affective and two cognitive engagement factors fit the current data relatively well. Affective and cognitive student engagement correlated positively with an independent measure of behavioral engagement. Furthermore, affective and cognitive engagement were positively associated with student-reported self-esteem and academic achievement, and negatively with school burnout. The findings provided corroborating evidence for the psychometric properties and utilization of the SEI instrument for assessing the engagement of junior high school students. (DIPF/Orig.)

INVESTIGATING THE USE OF MAZE-CBM FOR HIGH SCHOOL STUDENTS

Recent legislation and initiatives set forth high academic expectations for all high school graduates in the area of reading (National Governors Association Center for Best Practices, 2010; Every Student Succeeds Act, 2015). To determine which students need additional support to meet these reading standards, teachers can conduct universal screening using formative assessments. Maze Curriculum-Based Measurement (Maze-CBM) is a commonly used screening and progress monitoring assessment that the National Center on Intensive Intervention (2013) and the Center on Instruction (Torgesen & Miller, 2009) recommend. Despite the recommendation to use Maze-CBM, little research has been conducted on the reliability and validity of Maze-CBM for measuring reading ability for students at the secondary level (Mitchell & Wexler, 2016). In the papers included in this dissertation, I present an initial investigation into the use of Maze-CBM for secondary students. In the first paper, I investigated prior studies of Maze-CBM for students in Grades 6 through 12. Next, in the second paper, I investigated the alternate-form reliability and validity for screening students in Grades 9 and 10 using signal detection theory methods. In the third paper, I examined the effect of genre on Maze-CBM scores with a sample of students in Grades 9 and 10 using multilevel modeling. When writing these three papers, I discovered several important findings related to Maze-CBM. First, there are few studies that have investigated the technical adequacy of Maze-CBM for screening and progress monitoring students in Grades 6 through 12. Additionally, only two studies (McMaster, Wayman, & Cao, 2006; Pierce, McMaster, & Deno, 2010) examined the technical adequacy of Maze-CBM for high school students. A second finding is that the reliability of Maze-CBM is often below acceptable levels for making screening decisions or progress monitoring decisions (.80 and above and .90 and above, respectively; Salvia, Ysseldyke, & Bolt, 2007) for secondary students. A third finding is that Maze-CBM scores show promise of being a valid screening tool for reading ability of secondary students. Finally, I found that the genre of the text used in the Maze-CBM assessment does impact scores on Maze-CBM for students in Grades 9 and 10.

BLACK, MALE, AND HIGH-ACHIEVING: AN EXAMINATION OF A RISK FACTOR AND CULTURAL RESOURCES FOR BLACK MALE ACADEMIC ACHIEVEMENT

Black boys are confronted with unique educational circumstances. They are often misdiagnosed and misplaced into special education programs (Bush-Daniels, 2008; Patton, 1998; Terman et al., 1996). Additionally, they are less likely to be enrolled in gifted and talented programs, even if their former achievements reflect their aptitude to succeed (Black Alliance for Educational Options, n.d.; Moore & Flowers, 2012). Given these statistics, a considerable emphasis has been placed on the causes and the consequences of low/under achievement for this population. As a result, the experiences of Black males who are achieving have been greatly neglected. Moreover, little is known about the factors that facilitate academic achievement among high-achieving Black boys. In an effort to bring the heterogenic nature of schooling experiences for Black boys to light, the present study examined the influence risk and protective factors had on the academic experiences of high-achieving Black boys. Grounded in the risk and resilience framework and the Integrative Model for the Study of Minority Youth Development, this study explored whether the high-achieving Black high school boys in this sample (n =88) reported experiencing discrimination (i.e. academic-based) and how this academic-based discrimination related to their 1) academic performance (i.e. GPA), 2) perceptions of math ability, and 3) race-based academic self-concept. In addition to exploring how academic-based discrimination was linked to academic achievement, this study examined how cultural resources such as racial socialization messages and racial identity related to academic achievement. Specifically, cultural socialization, preparation for bias, egalitarianism, private regard and public regard were evaluated alongside the three academic outcomes under study. Finally, the study explored whether aspects of racial socialization or racial identity buffered the effects of discrimination on any of the outcomes. Interestingly, the race/ethnicity of the student mattered for how students perceived their math ability. The risk factor academic-based discrimination was linked to academic performance. Cultural resources cultural socialization, preparation for bias, and private regard were linked to various academic outcomes of interest. There was only one significant moderating effect: a high private regard buffered the relationship between academic-based discrimination and race-based academic self-concept. Limitations and implications of this study are discussed.

The effects of the quality of social relationships and emotion regulation ability on the happiness of introvert individuals

Previous research has shown that extraverts are happier than introverts and, although happy introverts exist, it is unclear under what conditions they can achieve happiness. The aim of the present study is to analyze the quality of social relationships and emotion regulation ability as a possible factor for happiness in introvert individuals. 1006 adults (42% males) completed measures of extraversion, neuroticism, quality of social relationships, emotion regulation ability and happiness. Results shows that introverts have significantly lower happiness, quality of life, quality of social relationship and emotion regulation ability scores than extraverts. Besides, those individuals with high quality social relationships or high emotion regulation ability were happier. Introverts were happier when they had high scores for quality of social relationships and emotion regulation ability, however the effect size was small. These results suggest that emotion regulation and social relationships are important to understand the relationships between introversion and happiness.

Predictive ability of Genomic Estimated Family Values (GEFV).

Genomic selection (GS) has been used to compute genomic estimated breeding values (GEBV) of individuals; however, it has only been applied to animal and major plant crops due to high costs. Besides, breeding and selection is performed at the family level in some crops. We aimed to study the implementation of genome-wide family selection (GWFS) in two loblolly pine (Pinus taeda L.) populations: i) the breeding population CCLONES composed of 63 families (5-20 individuals per family), phenotyped for four traits (stem diameter, stem rust susceptibility, tree stiffness and lignin content) and genotyped using an Illumina Infinium assay with 4740 polymorphic SNPs, and ii) a simulated population that reproduced the same pedigree as CCLONES, 5000 polymorphic loci and two traits (oligogenic and polygenic). In both populations, phenotypic and genotypic data was pooled at the family level in silico. Phenotypes were averaged across replicates for all the individuals and allele frequency was computed for each SNP. Marker effects were estimated at the individual (GEBV) and family (GEFV) levels with Bayes-B using the package BGLR in R and models were validated using 10-fold cross validations. Predicted ability, computed by correlating phenotypes with GEBV and GEFV, was always higher for GEFV in both populations, even after standardizing GEFV predictions to be comparable to GEBV. Results revealed great potential for using GWFS in breeding programs that select families, such as most outbreeding forage species. A significant drop in genotyping costs as one sample per family is needed would allow the application of GWFS in minor crops.

Adaptation to urban environments promotes high reproductive success in the tawny frogmouth (Podargus strigoides), an endemic nocturnal bird species

The tawny frogmouth (Podargus strigoides) is an endemic, nocturnal bird species widespread throughout Australia with high numbers in urban environments but very limited information exists on its ability to cope with urban systems. We investigated the reproductive behaviour of this species in response to a continuum of urbanisation. Firstly, we asked does the degree of urbanisation influence the availability of suitable nesting locations. Secondly, does broad and/or local scale factors surrounding a nest influence reproductive success? And finally, does the degree of urbanisation influence time of breeding? We located 158 nest sites and monitored 189 breeding attempts across four breeding seasons (2010-2013). One hundred and thirty three of these attempts successfully fledged 177 chicks. We categorized 75 attempts as first known attempts for that season resulting in 77 fledged chicks. In some pairs, repeated attempts occurred after failure. We observed double brooding by three pairs, a strategy largely unknown in this species. Spatial modelling revealed that birds selected more vegetated areas of the gradient within which to locate their nests, avoiding more highly urbanized areas. We identified no association between land-use type and breeding success at both broad and local scales. Birds selected native rough-barked Eucalyptus tree species more frequently than other trees for nesting. The key drivers for the commencement of breeding were climatic variables, in particular rainfall. The ability of the species to synchronize breeding attempts to coincide with optimal environmental conditions resulted in extremely high reproductive success suggesting high individual fitness and an adaptation to local environmental conditions.

High-sensitivity acoustic sensors from nanofibre webs

Considerable interest has been devoted to converting mechanical energy into electricity using polymer nanofibres. In particular, piezoelectric nanofibres produced by electrospinning have shown remarkable mechanical energy-to-electricity conversion ability. However, there is little data for the acoustic-to-electric conversion of electrospun nanofibres. Here we show that electrospun piezoelectric nanofibre webs have a strong acoustic-to-electric conversion ability. Using poly(vinylidene fluoride) as a model polymer and a sensor device that transfers sound directly to the nanofibre layer, we show that the sensor devices can detect low-frequency sound with a sensitivity as high as 266 mV Pa(-1). They can precisely distinguish sound waves in low to middle frequency region. These features make them especially suitable for noise detection. Our nanofibre device has more than five times higher sensitivity than a commercial piezoelectric poly(vinylidene fluoride) film device. Electrospun piezoelectric nanofibres may be useful for developing high-performance acoustic sensors.

Directional water transport fabrics with durable ultra-high one-way transport capacity

Fabrics with automatic one-way water transport ability are highly desirable for applications in daily life, industry, health, and defense. However, most of the studies on one-way water transport fabrics only report the qualitative water transport results. The lack of quantitative measure makes it hard to assess the directional transport quality. Here, it is proved that a hydrophilic fabric after being electrosprayed with a thin layer of hydrophobic coating on one side shows one-way water transport ability. By using moisture management tester, the water transport property is qualitatively characterized and the effect of hydrophobic fabric layer thickness on one-way water transport feature is examined. The hydrophobic fabric layer thickness is found to play a key role in deciding the one-way transport ability. When a plain woven fabric with an overall thickness of 420 μm and average pore size of 33 μm is used as fabric substrate, a hydrophobic fabric layer thickness between 22 and 62 μm allows the treated fabric to show a one-way droplet transport feature. A one-way transport index as high as 861 can be attained. The one-way water transport is durable enough to withstand repeated washing. This novel fabric may be useful for development of “smart” textiles for various applications.

Efficacy of ACL injury risk screening methods in identifying high-risk landing patterns during a sport-specific task

Screening methods sensitive to movement strategies that increase anterior cruciate ligament (ACL) loads are likely to be effective in identifying athletes at-risk of ACL injury. Current ACL injury risk screening methods are yet to be evaluated for their ability to identify athletes' who exhibit high-risk lower limb mechanics during sport-specific maneuvers associated with ACL injury occurrences. The purpose of this study was to examine the efficacy of two ACL injury risk screening methods in identifying high-risk lower limb mechanics during a sport-specific landing task. Thirty-two female athletes were screened using the Landing Error Scoring System (LESS) and Tuck Jump Assessment. Participants' also completed a sport-specific landing task, during which three-dimensional kinematic and kinetic data were collected. One-dimensional statistical parametric mapping was used to examine the relationships between screening method scores, and the three-dimensional hip and knee joint rotation and moment data from the sport-specific landing. Higher LESS scores were associated with reduced knee flexion from 30 to 57 ms after initial contact (P = 0.003) during the sport-specific landing; however, no additional relationships were found. These findings suggest the LESS and Tuck Jump Assessment may have minimal applicability in identifying athletes' who exhibit high-risk landing postures in the sport-specific task examined.

High adult mortality in disease-challenged frog populations increases vulnerability to drought

Pathogen emergence can drive major changes in host population demography, with implications for population dynamics and sensitivity to environmental fluctuations. The amphibian disease chytridiomycosis, caused by infection with the fungal pathogen Batrachochytrium dendrobatidis (Bd), is implicated in the severe decline of over 200 amphibian species. In species that have declined but not become extinct, Bd persists and can cause substantial ongoing mortality. High rates of mortality associated with Bd may drive major changes in host demography, but this process is poorly understood. Here, we compared population age structure of Bd-infected populations, Bd-free populations, and museum specimens collected prior to Bd emergence for the endangered Australian frog, Litoria verreauxii alpina (alpine tree frog). We then used population simulations to investigate how pathogen-associated demographic shifts affect the ability of populations to persist in stochastic environments. We found that Bd-infected populations have a severely truncated age structure associated with very high rates of annual adult mortality. Near-complete annual adult turnover in Bd-infected populations means that individuals breed once, compared with Bd-free populations where adults may breed across multiple years. Our simulations showed that truncated age structure erodes the capacity of populations to withstand periodic recruitment failure; a common challenge for species reproducing in uncertain environments. We document previously undescribed demographic shifts associated with a globally emerging pathogen and demonstrate how these shifts alter host ecology. Truncation of age structure associated with Bd effectively reduces host niche width, and can help explain the contraction of L. v. alpina to perennial waterbodies where the risk of drought-induced recruitment failure is low. Reduced capacity to tolerate other sources of mortality may explain variation in decline severity among other chytridiomycosis-challenged species and highlights the potential to mitigate disease impacts through minimising other sources of mortality.