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.

A conditional random field-based downscaling method for assessment of climate change impact on multisite daily precipitation in the Mahanadi basin

Downscaling to station-scale hydrologic variables from large-scale atmospheric variables simulated by general circulation models (GCMs) is usually necessary to assess the hydrologic impact of climate change. This work presents CRF-downscaling, a new probabilistic downscaling method that represents the daily precipitation sequence as a conditional random field (CRF). The conditional distribution of the precipitation sequence at a site, given the daily atmospheric (large-scale) variable sequence, is modeled as a linear chain CRF. CRFs do not make assumptions on independence of observations, which gives them flexibility in using high-dimensional feature vectors. Maximum likelihood parameter estimation for the model is performed using limited memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) optimization. Maximum a posteriori estimation is used to determine the most likely precipitation sequence for a given set of atmospheric input variables using the Viterbi algorithm. Direct classification of dry/wet days as well as precipitation amount is achieved within a single modeling framework. The model is used to project the future cumulative distribution function of precipitation. Uncertainty in precipitation prediction is addressed through a modified Viterbi algorithm that predicts the n most likely sequences. The model is applied for downscaling monsoon (June-September) daily precipitation at eight sites in the Mahanadi basin in Orissa, India, using the MIROC3.2 medium-resolution GCM. The predicted distributions at all sites show an increase in the number of wet days, and also an increase in wet day precipitation amounts. A comparison of current and future predicted probability density functions for daily precipitation shows a change in shape of the density function with decreasing probability of lower precipitation and increasing probability of higher precipitation.

Entanglement production due to quench dynamics of an anisotropic XY chain in a transverse field

We compute concurrence and negativity as measures of two-spin entanglement generated by a power-law quench (characterized by a rate tau(-1) and an exponent alpha) which takes an anisotropic XY chain in a transverse field through a quantum critical point (QCP). We show that only spins separated by an even number of lattice spacings get entangled in such a process. Moreover, there is a critical rate of quench, tau(-1)(c), above which no two-spin entanglement is generated; the entire entanglement is multipartite. The ratio of the entanglements between consecutive even neighbors can be tuned by changing the quench rate. We also show that for large tau, the concurrence (negativity) scales as root alpha/tau(alpha/tau), and we relate this scaling behavior to defect production by the quench through a QCP.

Multicarrier analysis of magnetotransport data at low and high electric fields

We present some results on multicarrier analysis of magnetotransport data, Both synthetic as well as data from narrow gap Hg0.8Cd0.2Te samples are used to demonstrate applicability of various algorithms vs. nonlinear least square fitting, Quantitative Mobility Spectrum Analysis (QMSA) and Maximum Entropy Mobility Spectrum Analysis (MEMSA). Comments are made from our experience oil these algorithms, and, on the inversion procedure from experimental R/sigma-B to S-mu specifically with least square fitting as an example. Amongst the conclusions drawn are: (i) Experimentally measured resistivity (R-xx, R-xy) should also be used instead of just the inverted conductivity (sigma(xx), sigma(xy)) to fit data to semiclassical expressions for better fits especially at higher B. (ii) High magnetic field is necessary to extract low mobility carrier parameters. (iii) Provided the error in data is not large, better estimates to carrier parameters of remaining carrier species can be obtained at any stage by subtracting highest mobility carrier contribution to sigma from the experimental data and fitting with the remaining carriers. (iv)Even in presence of high electric field, an approximate multicarrier expression can be used to guess the carrier mobilities and their variations before solving the full Boltzmann equation.

High Resolution Surface Imaging Using a Carbon Nanotube Array with Pointed Height distribution

In this paper we discuss a new technique to image the surfaces of metallic substrates using field emission from a pointed array of carbon nanotubes (CNTs). We consider a pointed height distribution of the CNT array under a diode configuration with two side gates maintained at a negative potential to obtain a highly intense beam of electrons localized at the center of the array. The CNT array on a metallic substrate is considered as the cathode and the test substrate as the anode. Scanning the test Substrate with the cathode reveals that the field emission current is highly sensitive to the surface features with nanometer resolution. Surface features of semi-circular, triangular and rectangular geometries (projections and grooves) are considered for simulation. This surface scanning/mapping technique can be applied for surface roughness measurements with nanoscale accuracy. micro/nano damage detection, high precision displacement sensors, vibrometers and accelerometers. among other applications.

RTK-based GNSS drifters for monitoring in estuaries and rivers: Field experimental results

This paper presents a novel RTK-based GNSS Lagrangian drifter system that is capable of monitoring water velocity, turbulence and dispersion coefficients of river and estuarine. The Lagrangian drifters use the dual-frequency real time kinematic (RTK) technique for both position and velocity estimations. The capsule is designed to meet the requirements such as minimizing height, diameter, minimizing the direct wind drag, positive buoyancy for satellite signal reception and stability, and waterproof housing for electronic components, such as GNSS receiver and computing board. The collected GNSS data are processed with post-processing RTK software. Several experiments have been carried out in two rivers in Brisbane and Sunshine Coast in Queensland. Results show that the high accuracy GNSS-drifters can be used to measure dispersion coefficient resulting from sub-tidal velocity fluctuations in shallow tidal water. In addition, the RTK-GNSS drifters respond well to vertical motion and thus could be applicable to flood monitoring.

Off-axis field approximations for ion traps with apertures

In recent work (Int. J. Mass Spec., vol. 282, pp. 112–122) we have considered the effect of apertures on the fields inside rf traps at points on the trap axis. We now complement and complete that work by considering off-axis fields in axially symmetric (referred to as “3D”) and in two dimensional (“2D”) ion traps whose electrodes have apertures, i.e., holes in 3D and slits in 2D. Our approximation has two parts. The first, EnoAperture, is the field obtained numerically for the trap under study with apertures artificially closed. We have used the boundary element method (BEM) for obtaining this field. The second part, EdueToAperture, is an analytical expression for the field contribution of the aperture. In EdueToAperture, aperture size is a free parameter. A key element in our approximation is the electrostatic field near an infinite thin plate with an aperture, and with different constant-valued far field intensities on either side. Compact expressions for this field can be found using separation of variables, wherein the choice of coordinate system is crucial. This field is, in turn, used four times within our trap-specific approximation. The off-axis field expressions for the 3D geometries were tested on the quadrupole ion trap (QIT) and the cylindrical ion trap (CIT), and the corresponding expressions for the 2D geometries were tested on the linear ion trap (LIT) and the rectilinear ion trap (RIT). For each geometry, we have considered apertures which are 10%, 30%, and 50% of the trap dimension. We have found that our analytical correction term EdueToAperture, though based on a classical small-aperture approximation, gives good results even for relatively large apertures.

Multiple excitation nano-spot generation and confocal detection for far-field microscopy

An imaging technique is developed for the controlled generation of multiple excitation nano-spots for far-field microscopy. The system point spread function (PSF) is obtained by interfering two counter-propagating extended depth-of-focus PSF (DoF-PSF), resulting in highly localized multiple excitation spots along the optical axis. The technique permits (1) simultaneous excitation of multiple planes in the specimen; (2) control of the number of spots by confocal detection; and (3) overcoming the point-by-point based excitation. Fluorescence detection from the excitation spots can be efficiently achieved by Z-scanning the detector/pinhole assembly. The technique complements most of the bioimaging techniques and may find potential application in high resolution fluorescence microscopy and nanoscale imaging.

Features of the geomagnetic field during the Holocene and Proterozoic

The geomagnetic field is one of the most fundamental geophysical properties of the Earth and has significantly contributed to our understanding of the internal structure of the Earth and its evolution. Paleomagnetic and paleointensity data have been crucial in shaping concepts like continental drift, magnetic reversals, as well as estimating the time when the Earth's core and associated geodynamo processes begun. The work of this dissertation is based on reliable Proterozoic and Holocene geomagnetic field intensity data obtained from rocks and archeological artifacts. New archeomagnetic field intensity results are presented for Finland, Estonia, Bulgaria, Italy and Switzerland. The data were obtained using sophisticated laboratory setups as well as various reliability checks and corrections. Inter-laboratory comparisons between three laboratories (Helsinki, Sofia and Liverpool) were performed in order to check the reliability of different paleointensity methods. The new intensity results fill up considerable gaps in the master curves for each region investigated. In order to interpret the paleointensity data of the Holocene period, a novel and user-friendly database (GEOMAGIA50) was constructed. This provided a new tool to independently test the reliability of various techniques and materials used in paleointensity determinations. The results show that archeological artifacts, if well fired, are the most suitable materials. Also lavas yield reliable paleointensity results, although they appear more scattered. This study also shows that reliable estimates are obtained using the Thellier methodology (and its modifications) with reliability checks. Global paleointensity curves during Paleozoic and Proterozoic have several time gaps with few or no intensity data. To define the global intensity behavior of the Earth's magnetic field during these times new rock types (meteorite impact rocks) were investigated. Two case histories are presented. The Ilyinets (Ukraine) impact melt rocks yielded a reliable paleointensity value at 440 Ma (Silurian), whereas the results from Jänisjärvi impact melts (Russian Karelia, ca. 700 Ma) might be biased towards high intensity values because of non-ideal magnetic mineralogy. The features of the geomagnetic field at 1.1 Ga are not well defined due to problems related to reversal asymmetries observed in Keweenawan data of the Lake Superior region. In this work new paleomagnetic, paleosecular variation and paleointensity results are reported from coeval diabases from Central Arizona and help understanding the asymmetry. The results confirm the earlier preliminary observations that the asymmetry is larger in Arizona than in Lake Superior area. Two of the mechanisms proposed to explain the asymmetry remain plausible: the plate motion and the non-dipole influence.

Tendency toward crossover of the effective susceptibility exponent from its doubled Ising value to its doubled mean-field value near a double critical point

The critical behavior of osmotic susceptibility in an aqueous electrolyte mixture 1-propanol (1P)+water (W)+potassium chloride is reported. This mixture exhibits re-entrant phase transitions and has a nearly parabolic critical line with its apex representing a double critical point (DCP). The behavior of the susceptibility exponent is deduced from static light-scattering measurements, on approaching the lower critical solution temperatures (TL’s) along different experimental paths (by varying t) in the one-phase region. The light-scattering data analysis substantiates the existence of a nonmonotonic crossover behavior of the susceptibility exponent in this mixture. For the TL far away from the DCP, the effective susceptibility exponent γeff as a function of t displays a nonmonotonic crossover from its single limit three-dimensional (3D)-Ising value ( ∼ 1.24) toward its mean-field value with increase in t. While for that closest to the DCP, γeff displays a sharp, nonmonotonic crossover from its nearly doubled 3D-Ising value toward its nearly doubled mean-field value with increase in t. The renormalized Ising regime extends over a relatively larger t range for the TL closest to the DCP, and a trend toward shrinkage in the renormalized Ising regime is observed as TL shifts away from the DCP. Nevertheless, the crossover to the mean-field limit extends well beyond t>10−2 for the TL’s studied. The observed crossover behavior is attributed to the presence of strong ion-induced clustering in this mixture, as revealed by various structure probing techniques. As far as the critical behavior in complex or associating mixtures with special critical points (like the DCP) is concerned, our results indicate that the influence of the DCP on the critical behavior must be taken into account not only on the renormalization of the critical exponent but also on the range of the Ising regime, which can shrink with decrease in the influence of the DCP and with the extent of structuring in the system. The utility of the field variable tUL in analyzing re-entrant phase transitions is demonstrated. The effective susceptibility exponent as a function of tUL displays a nonmonotonic crossover from its asymptotic 3D-Ising value toward a value slightly lower than its nonasymptotic mean-field value of 1. This behavior in the nonasymptotic, high tUL region is interpreted in terms of the possibility of a nonmonotonic crossover to the mean-field value from lower values, as foreseen earlier in micellar systems.

Studies of electronic structure by x-ray Raman and emission spectroscopy: applications to MgB2 superconductors and high pressure physics

X-ray Raman scattering and x-ray emission spectroscopies were used to study the electronic properties and phase transitions in several condensed matter systems. The experimental work, carried out at the European Synchrotron Radiation Facility, was complemented by theoretical calculations of the x-ray spectra and of the electronic structure. The electronic structure of MgB2 at the Fermi level is dominated by the boron σ and π bands. The high density of states provided by these bands is the key feature of the electronic structure contributing to the high critical temperature of superconductivity in MgB2. The electronic structure of MgB2 can be modified by atomic substitutions, which introduce extra electrons or holes into the bands. X ray Raman scattering was used to probe the interesting σ and π band hole states in pure and aluminum substituted MgB2. A method for determining the final state density of electron states from experimental x-ray Raman scattering spectra was examined and applied to the experimental data on both pure MgB2 and on Mg(0.83)Al(0.17)B2. The extracted final state density of electron states for the pure and aluminum substituted samples revealed clear substitution induced changes in the σ and π bands. The experimental work was supported by theoretical calculations of the electronic structure and x-ray Raman spectra. X-ray emission at the metal Kβ line was applied to the studies of pressure and temperature induced spin state transitions in transition metal oxides. The experimental studies were complemented by cluster multiplet calculations of the electronic structure and emission spectra. In LaCoO3 evidence for the appearance of an intermediate spin state was found and the presence of a pressure induced spin transition was confirmed. Pressure induced changes in the electronic structure of transition metal monoxides were studied experimentally and were analyzed using the cluster multiplet approach. The effects of hybridization, bandwidth and crystal field splitting in stabilizing the high pressure spin state were discussed. Emission spectroscopy at the Kβ line was also applied to FeCO3 and a pressure induced iron spin state transition was discovered.

Modified density matrix renormalization group algorithm for the zigzag spin-1/2 chain with frustrated antiferromagnetic exchange: Comparison with field theory at large J(2)/J(1)

A modified density matrix renormalization group (DMRG) algorithm is applied to the zigzag spin-1/2 chain with frustrated antiferromagnetic exchange J(1) and J(2) between first and second neighbors. The modified algorithm yields accurate results up to J(2)/J(1) approximate to 4 for the magnetic gap Delta to the lowest triplet state, the amplitude B of the bond order wave phase, the wavelength lambda of the spiral phase, and the spin correlation length xi. The J(2)/J(1) dependences of Delta, B, lambda, and xi provide multiple comparisons to field theories of the zigzag chain. The twist angle of the spiral phase and the spin structure factor yield additional comparisons between DMRG and field theory. Attention is given to the numerical accuracy required to obtain exponentially small gaps or exponentially long correlations near a quantum phase transition.

Gasifier stoves - science, technology and field outreach

Development of a new class of single pan high efficiency, low emission stoves, named gasifier stoves, that promise constant power that can be controlled using any solid biomass fuel in the form of pellets is reported here. These stoves use battery-run fan-based air supply for gasification (primary air) and for combustion (secondary air).Design with the correct secondary air flow ensures near-stoichiometric combustion that allows attainment of peak combustion temperatures with accompanying high water boiling efficiencies (up to 50% for vessels of practical relevance) and very low emissions (of carbon monoxide, particulate matter and oxides of nitrogen). The use of high density agro-residue based pellets or coconut shell pieces ensures operational duration of about an hour or more at power levels of 3 kWth (similar to 12 g/min). The principles involved and the optimization aspects of the design are outlined. The dependence of efficiency and emissions on the design parameters are described. The field imperatives that drive the choice of the rechargeable battery source and the fan are brought out. The implications of developments of Oorja-Plus and OorjaSuper stoves to the domestic cooking scenario of India are briefly discussed. The process development, testing and internal qualification tasks were undertaken by Indian Institute of Science. Product development and the fuel pellet production were dealt with by First Energy Private Ltd.Close interaction at several times during this period has helped progress the project from the laboratory to large scale commercial operation. At this time, over four hundred thousand stoves and 30 kilotonnes fuel have been sold in four states in India.

Student satisfaction with models of field placement supervision

Field placements provide social work students with the opportunity to integrate their classroom learning with the knowledge and skills used in various human service programs. The supervision structure that has most commonly been used is the intensive one-to-one, clinical teaching model. However, this model is being challenged by significant changes in educational and industry sectors, which have led to an increased use of alternative fieldwork structures and supervision arrangements, including task supervision, group supervision, external supervision, and shared supervisory arrangements. This study focuses on identifying models of supervision and student satisfaction with their learning experiences and the supervision received on placement. The study analysed responses to a questionnaire administered to 263 undergraduate social work students enrolled in three different campuses in Australia after they had completed their first or final field placement. The study identified that just over half of the placements used the traditional one student to one social work supervisor model. A number of “emerging” models were also identified, where two or more social workers were involved in the professional supervision of the student. High levels of dissatisfaction were reported by those students who received external social work supervision. Results suggest that students are more satisfied across all aspects of the placement where there is a strong on-site social work presence.

Student satisfaction with models of field placement supervision

Field placements provide social work students with the opportunity to integrate their classroom learning with the knowledge and skills used in various human service programs. The supervision structure that has most commonly been used is the intensive one-to-one, clinical teaching model. However, this model is being challenged by significant changes in educational and industry sectors, which have led to an increased use of alternative fieldwork structures and supervision arrangements, including task supervision, group supervision, external supervision, and shared supervisory arrangements. This study focuses on identifying models of supervision and student satisfaction with their learning experiences and the supervision received on placement. The study analysed responses to a questionnaire administered to 263 undergraduate social work students enrolled in three different campuses in Australia after they had completed their first or final field placement. The study identified that just over half of the placements used the traditional one student to one social work supervisor model. A number of “emerging” models were also identified, where two or more social workers were involved in the professional supervision of the student. High levels of dissatisfaction were reported by those students who received external social work supervision. Results suggest that students are more satisfied across all aspects of the placement where there is a strong on-site social work presence.