Three essays on market depth in futures markets

Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This database allows for the analysis of depth along the entire limit order book rather than just at the first level. The first essay examines the characteristics of depth within the context of the five-deep limit order book. Results show that a large amount of depth is present in the book beyond the best level. Furthermore, the findings show that the characteristics of five-deep depth between day and night trading vary and that depth is unequal across levels within the limit order book. The second essay examines the link between the five-deep market depth and the bid-ask spread. The results suggest an inverse relation between the spread and the depth after adjusting for control factors. The third essay explores transitory volatility in relation to depth in the limit order book. Evidence supports the relation between an increase in volatility and a subsequent decrease in market depth. Overall, the results of this dissertation are consistent with limit order traders actively managing depth along the limit order book in electronic U.S. futures markets.

Data compilation on the biological response to ocean acidification: environmental and experimental context of data sets and related literature

The exponential growth of studies on the biological response to ocean acidification over the last few decades has generated a large amount of data. To facilitate data comparison, a data compilation hosted at the data publisher PANGAEA was initiated in 2008 and is updated on a regular basis (doi:10.1594/PANGAEA.149999). By January 2015, a total of 581 data sets (over 4 000 000 data points) from 539 papers had been archived. Here we present the developments of this data compilation five years since its first description by Nisumaa et al. (2010). Most of study sites from which data archived are still in the Northern Hemisphere and the number of archived data from studies from the Southern Hemisphere and polar oceans are still relatively low. Data from 60 studies that investigated the response of a mix of organisms or natural communities were all added after 2010, indicating a welcomed shift from the study of individual organisms to communities and ecosystems. The initial imbalance of considerably more data archived on calcification and primary production than on other processes has improved. There is also a clear tendency towards more data archived from multifactorial studies after 2010. For easier and more effective access to ocean acidification data, the ocean acidification community is strongly encouraged to contribute to the data archiving effort, and help develop standard vocabularies describing the variables and define best practices for archiving ocean acidification data.

An evaluation of home range models for marine fish tracking and fine scale habitat use and movement patterns of age 1 Greenland cod (Gadus macrocephalus ogac)

My thesis examines fine-scale habitat use and movement patterns of age 1 Greenland cod (Gadus macrocephalus ogac) tracked using acoustic telemetry. Recent advances in tracking technologies such as GPS and acoustic telemetry have led to increasingly large and detailed datasets that present new opportunities for researchers to address fine-scale ecological questions regarding animal movement and spatial distribution. There is a growing demand for home range models that will not only work with massive quantities of autocorrelated data, but that can also exploit the added detail inherent in these high-resolution datasets. Most published home range studies use radio-telemetry or satellite data from terrestrial mammals or avian species, and most studies that evaluate the relative performance of home range models use simulated data. In Chapter 2, I used actual field-collected data from age-1 Greenland cod tracked with acoustic telemetry to evaluate the accuracy and precision of six home range models: minimum convex polygons, kernel densities with plug-in bandwidth selection and the reference bandwidth, adaptive local convex hulls, Brownian bridges, and dynamic Brownian bridges. I then applied the most appropriate model to two years (2010-2012) of tracking data collected from 82 tagged Greenland cod tracked in Newman Sound, Newfoundland, Canada, to determine diel and seasonal differences in habitat use and movement patterns (Chapter 3). Little is known of juvenile cod ecology, so resolving these relationships will provide valuable insight into activity patterns, habitat use, and predator-prey dynamics, while filling a knowledge gap regarding the use of space by age 1 Greenland cod in a coastal nursery habitat. By doing so, my thesis demonstrates an appropriate technique for modelling the spatial use of fish from acoustic telemetry data that can be applied to high-resolution, high-frequency tracking datasets collected from mobile organisms in any environment.

Retificação plana tangencial dos ferros fundidos nodular, vermicular e cinzento em várias condições de corte

In a scenario of increasing competitiveness of the global industrial sector and with a consumer market increasingly demanding, there is an increased demand for new materials and, consequently, possibilities to explore new research and technological advances towards the development of new manufacturing methods or the improvement of existing technologies. In the case of cast irons, new grades of them have been developed so that their mechanical properties have been improved, making them more competitive with steel, expanding the applications and thus represents great economic gain for metallurgy and manufacturing sectors. This increases the interest and creates new opportunities to study these materials and identify how they respond in terms of the surface integrity, tool wear, cutting forces, among others, when machined by grinding operation. In this context, due to the lack of results from grinding of cast irons and studies comparing grindability among several grades of cast irons found in the literature, this work aims to generate scientific and technological contribution to the metallurgical and metal working sector through roughness results (Ra and Rz parameters) and evaluation and analysis of the subsurface integrity of three cast iron grades (gray, compacted graphite and nodular). The machining trials were performed on a surface grinding machine with silicon carbide grinding wheel at different cutting conditions. The input variables were the radial depth of cut (15 and 30 μm), worktable speed, vw (5 and 10 m/min) and the abrasive grain size of the grinding wheel. The results showed that surface roughness increased with the radial depth of cut for all materials tested; and the lowest values were obtained for gray cast iron. Also, roughness was sensitive to variation of worktable speed and the lowest values were obtained after machining with vw = 5 m/min. With respect to the abrasive grain size, as it decreased the roughness values increased to gray and nodular cast iron grades. Furthermore, grinding burns marks were observed on the surfaces of nodular cast iron and compacted graphite iron grades after grinding the smallest grain size, contrary to what is usually reported in literature. However, no evidence of severe thermal damages below the machined surfaces of all cast iron grades was observed after analyzing the results of hardness and the SEM micrograph images.

System packaging & integration for a swallowable capsule using a direct access sensor

Technological developments in biomedical microsystems are opening up new opportunities to improve healthcare procedures. Swallowable diagnostic capsules are an example of this. In this paper, a diagnostic capsule technology is described based on direct-access sensing of the Gastro Intestinal (GI) fluids throughout the GI tract. The objective of this paper is two-fold: i) develop a packaging method for a direct access sensor, ii) develop an encapsulation method to protect the system electronics. The integrity of the interconnection after sensor packaging and encapsulation is correlated to its reliability and thus of importance. The zero level packaging of the sensor was achieved by using a so called Flip Chip Over Hole (FCOH) method. This allowed the fluidic sensing media to interface with the sensor, while the rest of the chip including the electrical connections can be insulated effectively. Initial tests using Anisotropic Conductive Adhesive (ACA) interconnect for the FCOH demonstrated good electrical connections and functionality of the sensor chip. Also a preliminary encapsulation trial of the flip chipped sensor on a flexible test substrate has been carried out and showed that silicone encapsulation of the system is a viable option.

Development and reliability of a direct access sensor using flip chip on flex technology with anisotropic conductive adhesive

Technological developments in biomedical microsystems are opening up new opportunities to improve healthcare procedures. Swallowable diagnostic sensing capsules are an example of these. In none of the diagnostic sensing capsules, is the sensor’s first level packaging achieved via Flip Chip Over Hole (FCOH) method using Anisotropic Conductive Adhesive (ACA). In a capsule application with direct access sensor (DAS), ACA not only provides the electrical interconnection but simultaneously seals the interconnect area and the underlying electronics. The development showed that the ACA FCOH was a viable option for the DAS interconnection. Adequate adhesive formed a strong joint that withstood a shear stress of 120N/mm2 and a compressive stress of 6N required to secure the final sensor assembly in place before encapsulation. Electrical characterization of the ACA joint in a fluid environment showed that the ACA was saturated with moisture and that the ions in the solution actively contributed to the leakage current, characterized by the varying rate of change of conductance. Long term hygrothermal aging of the ACA joint showed that a thermal strain of 0.004 and a hygroscopic strain of 0.0052 were present and resulted in a fatigue like process. In-vitro tests showed that high temperature and acidity had a deleterious effect of the ACA and its joint. It also showed that the ACA contact joints positioned at around or over 1mm would survive the gastrointestinal (GI) fluids and would be able to provide a reliable contact during the entire 72hr of the GI transit time. A final capsule demonstrator was achieved by successfully integrating the DAS, the battery and the final foldable circuitry into a glycerine capsule. Final capsule soak tests suggested that the silicone encapsulated system could survive the 72hr gut transition.

Experimental Study of Storage Ring Free-Electron Laser with Novel Capabilities

The Duke Free-electron laser (FEL) system, driven by the Duke electron storage ring, has been at the forefront of developing new light source capabilities over the past two decades. In 1999, the Duke FEL demonstrated the first lasing of a storage ring FEL in the vacuum ultraviolet (VUV) region at $194$ nm using two planar OK-4 undulators. With two helical undulators added to the outboard sides of the planar undulators, in 2005 the highest FEL gain ($47.8\%$) of a storage ring FEL was achieved using the Duke FEL system with a four-undulator configuration. In addition, the Duke FEL has been used as the photon source to drive the High Intensity $\gamma$-ray Source (HIGS) via Compton scattering of the FEL beam and electron beam inside the FEL cavity. Taking advantage of FEL's wavelength tunability as well as the adjustability of the energy of the electron beam in the storage ring, the nearly monochromatic $\gamma$-ray beam has been produced in a wide energy range from $1$ to $100$ MeV at the HIGS. To further push the FEL short wavelength limit and enhance the FEL gain in the VUV regime for high energy $\gamma$-ray production, two additional helical undulators were installed in 2012 using an undulator switchyard system to allow switching between the two planar and two helical undulators in the middle section of the FEL system. Using different undulator configurations made possible by the switchyard, a number of novel capabilities of the storage ring FEL have been developed and exploited for a wide FEL wavelength range from infrared (IR) to VUV. These new capabilities will eventually be made available to the $\gamma$-ray operation, which will greatly enhance the $\gamma$-ray user research program, creating new opportunities for certain types of nuclear physics research.

With the wide wavelength tuning range, the FEL is an intrinsically well-suited device to produce lasing with multiple colors. Taking advantage of the availability of an undulator system with multiple undulators, we have demonstrated the first two-color lasing of a storage ring FEL. Using either a three- or four-undulator configuration with a pair of dual-band high reflectivity mirrors, we have achieved simultaneous lasing in the IR and UV spectral regions. With the low-gain feature of the storage ring FEL, the power generated at the two wavelengths can be equally built up and precisely balanced to reach FEL saturation. A systematic experimental program to characterize this two-color FEL has been carried out, including precise power control, a study of the power stability of two-color lasing, wavelength tuning, and the impact of the FEL mirror degradation. Using this two-color laser, we have started to develop a new two-color $\gamma$-ray beam for scientific research at the HIGS.

Using the undulator switchyard, four helical undulators installed in the beamline can be configured to not only enhance the FEL gain in the VUV regime, but also allow for the full polarization control of the FEL beams. For the accelerator operation, the use of helical undulators is essential to extend the FEL mirror lifetime by reducing radiation damage from harmonic undulator radiation. Using a pair of helical undulators with opposite helicities, we have realized (1) fast helicity switching between left- and right-circular polarizations, and (2) the generation of fully controllable linear polarization. In order to extend these new capabilities of polarization control to the $\gamma$-ray operation in a wide energy range at the HIGS, a set of FEL polarization diagnostic systems need to be developed to cover the entire FEL wavelength range. The preliminary development of the polarization diagnostics for the wavelength range from IR to UV has been carried out.

Diffusible Signal Factor (DSF)-dependent quorum sensing in pathogenic bacteria and its exploitation for disease control

Cell-to-cell signals of the Diffusible Signal Factor (DSF) family are cis-2-unsaturated fatty acids of differing chain length and branching pattern. DSF signalling has been described in diverse bacteria to include plant and human pathogens where it acts to regulate functions such as biofilm formation, antibiotic tolerance and the production of virulence factors. DSF family signals can also participate in interspecies signalling with other bacteria and interkingdom signaling such as with the yeast Candida albicans. Interference with DSF signalling may afford new opportunities for the control of bacterial disease. Such strategies will depend in part on detailed knowledge of the molecular mechanisms underlying the processes of signal synthesis, perception and turnover. Here, I review both recent progress in understanding DSF signalling at the molecular level and prospects for translating this knowledge into approaches for disease control.

L’espace comme matériau : l’architecture moderne et le complexe du Bauhaus à Dessau

Pour respecter les droits d’auteur, la version électronique de ce mémoire a été dépouillée de certains documents visuels. La version intégrale du mémoire a été déposée à la Division de la gestion des documents et des archives.

Nuevas oportunidades como experiencia. Jóvenes y desigualdad en el caso del Plan FinEs2 en el Gran La Plata

Este artículo tiene como objetivo abordar la articulación de tres dimensiones de la desigualdad social -segregación urbana, segregación educativa y segmentación del mercado de trabajo- que configuran las posiciones desiguales de los jóvenes estudiantes del Plan FinEs2 en el espacio social. Al mismo tiempo, nos proponemos esbozar algunas líneas de análisis para el abordaje de las repercusiones de dicha experiencia en las trayectorias de los jóvenes. Para ello, desde una perspectiva cualitativa, trabajamos con entrevistas en profundidad a jóvenes estudiantes y a docentes del Plan FinEs2 en el Gran La Plata durante el período 2013-2014. Como resultado pudimos observar que la segregación urbana presenta profundas cercanías con las desigualdades en el mercado de trabajo y en el sistema educativo. Estas dimensiones de la desigualdad se encadenan, se combinan y se potencian en un proceso en el que las desventajas se acumulan y dan como resultado signos de la desigualdad social y su reproducción. Sin embargo, dimos cuenta de cuatro movimientos que el recorrido de la experiencia habilita: posiciones frente a las situaciones de aprendizaje, reconocimiento de la posibilidad de complementar actividades laborales y de formación, cambios en las posiciones en sus dinámicas familiares y en espacios de trabajo y significaciones en torno al título secundario

Nuevas oportunidades como experiencia. Jóvenes y desigualdad en el caso del Plan FinEs2 en el Gran La Plata

Este artículo tiene como objetivo abordar la articulación de tres dimensiones de la desigualdad social -segregación urbana, segregación educativa y segmentación del mercado de trabajo- que configuran las posiciones desiguales de los jóvenes estudiantes del Plan FinEs2 en el espacio social. Al mismo tiempo, nos proponemos esbozar algunas líneas de análisis para el abordaje de las repercusiones de dicha experiencia en las trayectorias de los jóvenes. Para ello, desde una perspectiva cualitativa, trabajamos con entrevistas en profundidad a jóvenes estudiantes y a docentes del Plan FinEs2 en el Gran La Plata durante el período 2013-2014. Como resultado pudimos observar que la segregación urbana presenta profundas cercanías con las desigualdades en el mercado de trabajo y en el sistema educativo. Estas dimensiones de la desigualdad se encadenan, se combinan y se potencian en un proceso en el que las desventajas se acumulan y dan como resultado signos de la desigualdad social y su reproducción. Sin embargo, dimos cuenta de cuatro movimientos que el recorrido de la experiencia habilita: posiciones frente a las situaciones de aprendizaje, reconocimiento de la posibilidad de complementar actividades laborales y de formación, cambios en las posiciones en sus dinámicas familiares y en espacios de trabajo y significaciones en torno al título secundario

Nuevas oportunidades como experiencia. Jóvenes y desigualdad en el caso del Plan FinEs2 en el Gran La Plata

Este artículo tiene como objetivo abordar la articulación de tres dimensiones de la desigualdad social -segregación urbana, segregación educativa y segmentación del mercado de trabajo- que configuran las posiciones desiguales de los jóvenes estudiantes del Plan FinEs2 en el espacio social. Al mismo tiempo, nos proponemos esbozar algunas líneas de análisis para el abordaje de las repercusiones de dicha experiencia en las trayectorias de los jóvenes. Para ello, desde una perspectiva cualitativa, trabajamos con entrevistas en profundidad a jóvenes estudiantes y a docentes del Plan FinEs2 en el Gran La Plata durante el período 2013-2014. Como resultado pudimos observar que la segregación urbana presenta profundas cercanías con las desigualdades en el mercado de trabajo y en el sistema educativo. Estas dimensiones de la desigualdad se encadenan, se combinan y se potencian en un proceso en el que las desventajas se acumulan y dan como resultado signos de la desigualdad social y su reproducción. Sin embargo, dimos cuenta de cuatro movimientos que el recorrido de la experiencia habilita: posiciones frente a las situaciones de aprendizaje, reconocimiento de la posibilidad de complementar actividades laborales y de formación, cambios en las posiciones en sus dinámicas familiares y en espacios de trabajo y significaciones en torno al título secundario

Multi-Scale Visualization and Interpretation of Geological Relationships

Visualization and interpretation of geological observations into a cohesive geological model are essential to Earth sciences and related fields. Various emerging technologies offer approaches to multi-scale visualization of heterogeneous data, providing new opportunities that facilitate model development and interpretation processes. These include increased accessibility to 3D scanning technology, global connectivity, and Web-based interactive platforms. The geological sciences and geological engineering disciplines are adopting these technologies as volumes of data and physical samples greatly increase. However, a standardized and universally agreed upon workflow and approach have yet to properly be developed. In this thesis, the 3D scanning workflow is presented as a foundation for a virtual geological database. This database provides augmented levels of tangibility to students and researchers who have little to no access to locations that are remote or inaccessible. A Web-GIS platform was utilized jointly with customized widgets developed throughout the course of this research to aid in visualizing hand-sized/meso-scale geological samples within a geologic and geospatial context. This context is provided as a macro-scale GIS interface, where geophysical and geodetic images and data are visualized. Specifically, an interactive interface is developed that allows for simultaneous visualization to improve the understanding of geological trends and relationships. These developed tools will allow for rapid data access and global sharing, and will facilitate comprehension of geological models using multi-scale heterogeneous observations.

Avaliação da sensibilidade médica para o risco de gravidez não planeada

Prémio em Contraceção 2012 da Sociedade Portuguesa de Contraceção

Logic-Based Delivery of Site-Specifically-Modified Proteins from Gels through Engineered Biomacromolecular Architecture

Thesis (Master's)--University of Washington, 2016-08