Currency Carry Trades – Excess Returns and Performance Optimization of G10 Currency Carry Trade Strategies during the Euro Era

This study examines the excess returns provided by G10 currency carry trading during the Euro era. The currency carry trade has been a popular trade throughout the past decades offering excess returns to investors. The thesis aims to contribute to existing research on the topic by utilizing a new set of data for the Euro era as well as using the Euro as a basis for the study. The focus of the thesis is specifically on different carry trade strategies’ performance, risk and diversification benefits. The study finds proof of the failure of the uncovered interest rate parity theory through multiple regression analyses. Furthermore, the research finds evidence of significant diversification benefits in terms of Sharpe ratio and improved return distributions. The results suggest that currency carry trades have offered excess returns during 1999-2014 and that volatility plays an important role in carry trade returns. The risk, however, is diversifiable and therefore our results support previous quantitative research findings on the topic.

Changes in the electrophysiological parameters of the posterior intestine of Anguilla anguilla (Pisces) induced by oxytocin, urotensin II and aldosterone

In view of the importance of the intestine in the osmoregulation of freshwater fishes, we determined the effects of oxytocin, urotensin II (UII), and aldosterone added to the serosal side of the isolated posterior intestine of the freshwater-adapted teleost Anguilla anguilla on electrophysiological parameters. Oxytocin decreased the short-circuit current (SCC) and transepithelial potential difference (TPD) at concentrations of 1 and 10 mU/ml (to 50% and 42% of control values, respectively), but did not alter these parameters at a concentration of 0.1 mU/ml. UII reduced SCC and TPD at concentrations of 10 nM, 50 nM and 100 nM (to 85% of control values), but increased these parameters at the concentration of 500 nM (to 115% of control values). Aldosterone did not alter SCC or TPD at the concentrations tested (10 nM and 100 nM). Oxytocin may open Na+ channels in the apical membrane, allowing the flow of Na+ to the serosa, reducing SCC and TPD. Should this hypothesis be correct, oxytocin would be important for freshwater adaptation, since it would increase Na+ absorption. The reduction of SCC and TPD in the posterior intestine of A. anguilla induced by UII is evidence that this neurohormone is also important for freshwater adaptation in teleosts. Aldosterone did not show this effect probably due to the lack of receptors in this organ

Changes in the behavioral and immunological parameters of the mollusk Biomphalaria tenagophila induced by disruption of the circadian cycle as a consequence of continuous illumination

In the present investigation we studied some behavioral and immunological parameters of adult gastropod mollusk, Biomphalaria tenagophila, which have been reproducing for several generations under laboratory conditions. One group of gastropods was kept on a 14-h light/10-h dark cycle, corresponding to a regular circadian cycle, and another group was exposed to continuous light for 48 h. Animals were studied along (behavioral groups) or immediately after (immunological groups) 48 h of regular circadian cycle or continuous light conditions. Stopping/floating, dragging and sliding were the behavioral aspects considered (N = 20 for regular cycle; N = 20 for continuous illumination) and number of hemocytes/µl hemolymph was the immunological parameter studied (N = 15 for regular cycle, N = 14 for continuous illumination). Animals under continuous illumination were more active (sliding = 33 episodes, dragging = 48 episodes) and displayed a lower number of hemocytes (78.0 ± 24.27/µl) when compared with mollusks kept on a regular circadian cycle (sliding = 18 episodes, dragging = 27 episodes; hemocytes = 157.6 ± 53.27/µl). The data are discussed in terms of neural circuits and neuroimmunological relations with the possible stressful effect of continuous illumination.

Production planning and optimization of a pulp mill: introduction of the optimisation based scheduling software for pulp industry

The objective of this project was to introduce a new software product to pulp industry, a new market for case company. An optimization based scheduling tool has been developed to allow pulp operations to better control their production processes and improve both production efficiency and stability. Both the work here and earlier research indicates that there is a potential for savings around 1-5%. All the supporting data is available today coming from distributed control systems, data historians and other existing sources. The pulp mill model together with the scheduler, allows what-if analyses of the impacts and timely feasibility of various external actions such as planned maintenance of any particular mill operation. The visibility gained from the model proves also to be a real benefit. The aim is to satisfy demand and gain extra profit, while achieving the required customer service level. Research effort has been put both in understanding the minimum features needed to satisfy the scheduling requirements in the industry and the overall existence of the market. A qualitative study was constructed to both identify competitive situation and the requirements vs. gaps on the market. It becomes clear that there is no such system on the marketplace today and also that there is room to improve target market overall process efficiency through such planning tool. This thesis also provides better overall understanding of the different processes in this particular industry for the case company.

The estimation of tuberculosis transmission parameters using ABC and MCMC methods

The aim of this work is to apply approximate Bayesian computation in combination with Marcov chain Monte Carlo methods in order to estimate the parameters of tuberculosis transmission. The methods are applied to San Francisco data and the results are compared with the outcomes of previous works. Moreover, a methodological idea with the aim to reduce computational time is also described. Despite the fact that this approach is proved to work in an appropriate way, further analysis is needed to understand and test its behaviour in different cases. Some related suggestions to its further enhancement are described in the corresponding chapter.

Limited-sampling strategy models for estimating the pharmacokinetic parameters of 4-methylaminoantipyrine, an active metabolite of dipyrone

Bioanalytical data from a bioequivalence study were used to develop limited-sampling strategy (LSS) models for estimating the area under the plasma concentration versus time curve (AUC) and the peak plasma concentration (Cmax) of 4-methylaminoantipyrine (MAA), an active metabolite of dipyrone. Twelve healthy adult male volunteers received single 600 mg oral doses of dipyrone in two formulations at a 7-day interval in a randomized, crossover protocol. Plasma concentrations of MAA (N = 336), measured by HPLC, were used to develop LSS models. Linear regression analysis and a "jack-knife" validation procedure revealed that the AUC0-¥ and the Cmax of MAA can be accurately predicted (R²>0.95, bias <1.5%, precision between 3.1 and 8.3%) by LSS models based on two sampling times. Validation tests indicate that the most informative 2-point LSS models developed for one formulation provide good estimates (R²>0.85) of the AUC0-¥ or Cmax for the other formulation. LSS models based on three sampling points (1.5, 4 and 24 h), but using different coefficients for AUC0-¥ and Cmax, predicted the individual values of both parameters for the enrolled volunteers (R²>0.88, bias = -0.65 and -0.37%, precision = 4.3 and 7.4%) as well as for plasma concentration data sets generated by simulation (R²>0.88, bias = -1.9 and 8.5%, precision = 5.2 and 8.7%). Bioequivalence assessment of the dipyrone formulations based on the 90% confidence interval of log-transformed AUC0-¥ and Cmax provided similar results when either the best-estimated or the LSS-derived metrics were used.

Effect of the establishment of dominance relationships on cortisol and other metabolic parameters in Nile tilapia (Oreochromis niloticus)

The objective of the present study was to investigate the influence of the establishment of dominance relationships and social stress on plasma cortisol and metabolite levels in Nile tilapia (Oreochromis niloticus). During the 30-day experiment, the fish weighing 236 ± 29 g were kept in individual aquaria, except for two pairings lasting 6 h each. Blood samples were taken from the animals before and after pairing. Display, approach, attack, rebuff, chase flight, and coloration were carried out on days 16 and 30. Activities and behaviors characteristic of the establishment of dominance relationships were described. It was possible to classify all experimental fish (N = 30) as dominant or subordinate. No differences were detected between dominant (N = 15) and subordinate (N = 15) fish during isolation or after pairing in cortisol (isolated: 5.76 ± 0.98 vs 5.42 ± 0.63; paired: 10.94 ± 1.62 vs 11.21 ± 2.45 µg/dl), glucose (isolated: 60.02 ± 4.9 vs 67.85 ± 16.16; paired: 110.44 ± 15.72 vs 136.26 ± 22.46 mg/dl), triglyceride (isolated: 167.87 ± 5.06 vs 185.68 ± 7.24; paired: 210.85 ± 13.40 vs 221.82 ± 12.70 mg/dl) or total protein levels (isolated: 7.01 ± 0.42 vs 6.69 ± 0.59; paired: 9.21 ± 0.62 vs 9.51 ± 0.66 g/dl). However, when isolated (N = 30) and paired (N = 30) tilapia were compared, there were significant differences in cortisol and metabolite levels. The similar response presented by dominant and subordinate tilapia indicates that establishment of dominance relationships was a stressor for both groups.

Determinants of Bone Strength and Predictors of Hip Fracture among Finnish Adults. Results from the Health 2000 Survey and the Mini-Finland Health Survey

The objective of this thesis was to identify the determinants of bone strength and predictors of hip fracture in representative samples of Finnish adults. A secondary objective was to construct a simple multifactorial model for hip fracture prediction over a 10-year follow-up period. The study was based on the Health 2000 Survey conducted during 2000 to 2001 (men and women aged 30 years or over, n=6 035) and the Mini-Finland Health Survey conducted during 1978 to 1980 (women aged 45 years or over, n=2 039). Study subjects participated in health interviews and comprehensive health examination. In the Health 2000 Survey, bone strength was assessed by means of calcaneal quantitative ultrasound (QUS). The follow-up information about hip fractures was drawn from the National Hospital Discharge Register. In this study, age, weight, height, serum 25-hydroxyvitamin D (S-25(OH)D), physical activity, smoking and alcohol consumption as well as menopause and eventual HRT in women were found to be associated with calcaneal broadband ultrasound attenuation (BUA) and speed of sound (SOS). Parity was associated with a decreased risk of hip fracture in postmenopausal women. Age, height, weight or waist circumference, quantitative ultrasound index (QUI), S-25(OH)D and fall-related factors, such as maximal walking speed, Parkinson’s disease, and the number of prescribed CNS active medication were significant independent predictors of hip fracture. At the population level, the incremental value of QUS appeared to be minor in hip fracture prediction when the fall-related risk factors were taken into account. A simple multifactorial model for hip fracture prediction presented in this study was based on readily available factors (age, gender, height, waist circumference, and fallrelated factors). Prospective studies are needed to test this model in patient-based study populations.

The effect of focal point parameters in fiber laser welding of structural steel

In this thesis the effect of focal point parameters in fiber laser welding of structural steel is studied. The goal is to establish relations between laser power, focal point diameter and focal point position with the resulting quality, weld-bead geometry and hardness of the welds. In the laboratory experiments, AB AH36 shipbuilding steel was welded in an I-butt joint configuration using IPG YLS-10000 continuous wave fiber laser. The quality of the welds produced were evaluated based on standard SFS-EN ISO 13919-1. The weld-bead geometry was defined from the weld cross-sections and Vickers hardness test was used to measure hardness's from the middle of the cross-sections. It was shown that all the studied focal point parameters have an effect on the quality, weld-bead geometry and hardness of the welds produced.

Application of Doehlert experimental design in the optimization of experimental variables for the Pseudozyma sp. (CCMB 306) and Pseudozyma sp. (CCMB 300) cell lysis

This study aimed to verify the influence of pH and temperature on the lysis of yeast using experimental design. In this study, the enzymatic extract containing β-1,3-glucanase and chitinase, obtained from the micro-organism Moniliophthora perniciosa, was used. The experiment showed that the best conditions for lysis of Pseudozyma sp. (CCMB 306) and Pseudozyma sp. (CCMB 300) by lytic enzyme were pH 4.9 at 37 ºC and pH 3.9 at 26.7 ºC, respectively. The lytic enzyme may be used for obtaining various biotechnology products from yeast.

Kinetic, thermodynamic properties, and optimization of barley hydration

The hydration kinetics of five barley cultivars was studied at six different temperatures ranging from 10 to 35 ºC for 32 hours applying the Peleg model. Response Surface was used to describe dynamic of the process and identify the hydration time for each cultivar. The activation energy (Ea), enthalpy (ΔH*), entropy (ΔS*), and Gibbs free energy (ΔG*) were estimated from the adjusted parameters and Arrhenius equation. Temperature had significant effect on the hydration of the five cultivars. At low temperatures, the stabilization time for hydration was faster. Peleg constants K1 and K2 decreased with increasing temperature. The cultivar BRS BRAU showed the lowest value of initial absorption rate (R0 = 0.149 kg.h-1) at 10 ºC, while the cultivar BRS BOREMA had the highest value of R0 (0.367 kg.h-1 at 35 ºC). The equilibrium moisture content (Me) increased with increasing temperature. The cultivars BRS CAUE and BRS BRAU showed the lowest values of Ea, ΔH*, ΔS* showed negative values, and ΔG* increased with increasing temperature, confirming the effect of temperature on hydration.

Optimization of extrusion variables for the production of snacks from by-products of rice and soybean

This study aimed to define the process conditions to obtain snacks from the by-products of rice and soybean with physical characteristics suitable for marketing. Therefore, the effects of moisture and extrusion temperature on the expansion and color of the products obtained experimentally obtained were evaluated, and the proximate composition of the by-products and that of the snack with greater desirability were determined. Response surface methodology and rotational central composite design were used, and desirability test based on the regression models adjusted was applied. The most desirable snack, with the highest expansion index (3.39), specific volume (13.5 mL.g-1), and the chromaticity coordinate a* (2.79), was obtained under 12 g.100 g-1 moisture and 85ºC of temperature in the third zone of the extruder. The snack produced under these conditions attained content of protein and lipid content 41 and 64% higher than that of the traditional corn snack. It can be concluded that producing extruded snack made form a mixture of broken grains, rice bran, and soybean okara (81:9:10) is technologically feasible, enabling the development of a new product with good nutritional value that can improve the diet of children, the main consumers of this type of food.

Optimization of image analysis techniques for quality assessment of whole-wheat breads made with fat replacer

The cellular structure of healthy food products, with added dietary fiber and low in calories, is an important factor that contributes to the assessment of quality, which can be quantified by image analysis of visual texture. This study seeks to compare image analysis techniques (binarization using Otsu’s method and the default ImageJ algorithm, a variation of the iterative intermeans method) for quantification of differences in the crumb structure of breads made with different percentages of whole-wheat flour and fat replacer, and discuss the behavior of the parameters number of cells, mean cell area, cell density, and circularity using response surface methodology. Comparative analysis of the results achieved with the Otsu and default ImageJ algorithms showed a significant difference between the studied parameters. The Otsu method demonstrated the crumb structure of the analyzed breads more reliably than the default ImageJ algorithm, and is thus the most suitable in terms of structural representation of the crumb texture.

Optimization of Transportation System by Tailored Logistics Network: A Case Study in Automotive Industry

This thesis aims to redesign the supply chain system in an automotive industry in order to obtain space reduction in the inventory by using tailored logistics network. The redesigning process by tailored supply chain will combine all possible shipment methods including direct shipment, milk-run, milk-run via distribution center and Kanban delivery. The current supply chain system in Nissan goes rather well when the production volume is in moderate level. However, when the production volume is high, there is a capacity problem in the warehouse to accommodate all delivered parts from suppliers. Hence, the optimization of supply chain system is needed in order to obtain efficient logistics process and effective inventory consumption. The study will use primary data for both qualitative and quantitative approach as the research methods. Qualitative data will be collected by conducting interviews with people related to procurement and inventory control. Quantitative data consists of list of suppliers with their condition in several parameters which will be evaluated and analyzed by using scoring method to assign the most suitable transportation network to each suppliers for improvement of inventory reduction in a cost efficient manner.

Optimization of trial wave functions for use in quantum Monte Carlo with application to LiH

Methods for both partial and full optimization of wavefunction parameters are explored, and these are applied to the LiH molecule. A partial optimization can be easily performed with little difficulty. But to perform a full optimization we must avoid a wrong minimum, and deal with linear-dependency, time step-dependency and ensemble-dependency problems. Five basis sets are examined. The optimized wavefunction with a 3-function set gives a variational energy of -7.998 + 0.005 a.u., which is comparable to that (-7.990 + 0.003) 1 of Reynold's unoptimized \fin ( a double-~ set of eight functions). The optimized wavefunction with a double~ plus 3dz2 set gives ari energy of -8.052 + 0.003 a.u., which is comparable with the fixed-node energy (-8.059 + 0.004)1 of the \fin. The optimized double-~ function itself gives an energy of -8.049 + 0.002 a.u. Each number above was obtained on a Bourrghs 7900 mainframe computer with 14 -15 hrs CPU time.