Solvation dynamics in dipolar liquids

The time dependent response of a polar solvent to a changing charge distribution is studied in solvation dynamics. The change in the energy of the solute is measured by a time domain Stokes shift in the fluorescence spectrum of the solute. Alternatively, one can use sophisticated non-linear optical spectroscopic techniques to measure the energy fluctuation of the solute at equilibrium. In both methods, the measured dynamic response is expressed by the normalized solvation time correlation function, S(t). The latter is found to exhibit uniquefeatures reflecting both the static and dynamic characteristics of each solvent. For water, S(t) consists of a dominant sub-50 fs ultrafast component, followed by a multi-exponential decay. Acetonitrile exhibitsa sub-100 fs ultrafast component, followed by an exponential decay. Alcohols and amides show features unique to each solvent and solvent series. However, understanding and interpretation of these results have proven to be difficult, and often controversial. Theoretical studiesand computer simulations have greatly facilitated the understanding ofS(t) in simple systems. Recently solvation dynamics has been used extensively to explore dynamics of complex systems, like micelles and reverse micelles, protein and DNA hydration layers, sol-gel mixtures and polymers. In each case one observes rich dynamical features, characterized again by multi-exponential decays but the initial and final time constants are now widely separated. In this tutorial review, we discuss the difficulties in interpreting the origin of the observed behaviour in complex systems.

Dislocation dynamics in alpha titanium Dynamique des dislocations dans le titane alphaVersetzungsdynamik in alpha-Titan

The activation area and activation enthalpy are determined as a function of stress and temperature for alpha titanium. The results indicated that plastic flow below about 700°K occurs by a single thermally activated mechanism. Activation area determined by differential-stress creep tests falls in the range 80−8b2 and does not systematically depend on the impurity content. The total activation enthalpy derived from the temperature and strain-rate dependence of flow stress is 1.15 eV. The experimental data support a lattice hardening mechanism as controlling the low-temperature deformation in alpha titanium.

Energy landscape view of phase transitions and slow dynamics in thermotropic liquid crystals

Thermotropic liquid crystals are known to display rich phase behavior on temperature variation. Although the nematic phase is orientationally ordered but translationally disordered, a smectic phase is characterized by the appearance of a partial translational order in addition to a further increase in orientational order. In an attempt to understand the interplay between orientational and translational order in the mesophases that thermotropic liquid crystals typically exhibit upon cooling from the high-temperature isotropic phase, we investigate the potential energy landscapes of a family of model liquid crystalline systems. The configurations of the system corresponding to the local potential energy minima, known as the inherent structures, are determined from computer simulations across the mesophases. We find that the depth of the potential energy minima explored by the system along an isochor grows through the nematic phase as temperature drops in contrast to its insensitivity to temperature in the isotropic and smectic phases. The onset of the growth of the orientational order in the parent phase is found to induce a translational order, resulting in a smectic-like layer in the underlying inherent structures; the inherent structures, surprisingly, never seem to sustain orientational order alone if the parent nematic phase is sandwiched between the high-temperature isotropic phase and the low-temperature smectic phase. The Arrhenius temperature dependence of the orientational relaxation time breaks down near the isotropic-nematic transition. We find that this breakdown occurs at a temperature below which the system explores increasingly deeper potential energy minima.

Dynamics of Stick-Slip: Some Universal and Not So Universal Features

Stick-slip is usually observed in driven dissipative threshold systems. In these set of lectures, we discuss, some generic and system specific features of stickslip systems by considering a few examples wherein there has been some progress in understanding the associated dynamics. In most stick slip systems, both at low and high drive rates, the system slides smoothly, but within a window of drive rates, the motion becomes intermittent; the system alternately “sticks” till the stress builds up to a threshold value, and then “slips” when the stress is rapidly released. This intermittent motion can be traced to the existence of an unstable branch separating the two resistive branches in the force-drive-rate relation. While the two resistive branches are experimentally measurable, the unstable branch is usually not measurable and is only inferred.

Dynamics of capacitively coupled double quantum dots

We consider a double dot system of equivalent, capacitively coupled semiconducting quantum dots, each coupled to its own lead, in a regime where there are two electrons on the double dot. Employing the numerical renormalization group, we focus here on single-particle dynamics and the zero-bias conductance, considering in particular the rich range of behaviour arising as the interdot coupling is progressively increased through the strong-coupling (SC) phase, from the spin-Kondo regime, across the SU(4) point to the charge-Kondo regime, and then towards and through the quantum phase transition to a charge-ordered ( CO) phase. We first consider the two-self-energy description required to describe the broken symmetry CO phase, and implications thereof for the non-Fermi liquid nature of this phase. Numerical results for single-particle dynamics on all frequency scales are then considered, with particular emphasis on universality and scaling of low-energy dynamics throughout the SC phase. The role of symmetry breaking perturbations is also briefly discussed.

Growth, self-assembly and dynamics of nano-scale films at fluid interfaces

Ultrathin films at fluid interfaces are important not only from a fundamental point of view as 2D complex fluids but have also become increasingly relevant in the development of novel functional materials. There has been an explosion in the synthesis work in this area over the last decade, giving rise to many exotic nanostructures at fluid interfaces. However, the factors controlling particle nucleation, growth and self-assembly at interfaces are poorly understood on a quantitative level. We will outline some of the recent attempts in this direction. Some of the selected investigations examining the macroscopic mechanical properties of molecular and particulate films at fluid interfaces will be reviewed. We conclude with a discussion of the electronic properties of these films that have potential technological and biological applications.

Molecular Dynamics Simulations of Homogeneous Nucleation

Nucleation is the first step in a phase transition where small nuclei of the new phase start appearing in the metastable old phase, such as the appearance of small liquid clusters in a supersaturated vapor. Nucleation is important in various industrial and natural processes, including atmospheric new particle formation: between 20 % to 80 % of atmospheric particle concentration is due to nucleation. These atmospheric aerosol particles have a significant effect both on climate and human health. Different simulation methods are often applied when studying things that are difficult or even impossible to measure, or when trying to distinguish between the merits of various theoretical approaches. Such simulation methods include, among others, molecular dynamics and Monte Carlo simulations. In this work molecular dynamics simulations of the homogeneous nucleation of Lennard-Jones argon have been performed. Homogeneous means that the nucleation does not occur on a pre-existing surface. The simulations include runs where the starting configuration is a supersaturated vapor and the nucleation event is observed during the simulation (direct simulations), as well as simulations of a cluster in equilibrium with a surrounding vapor (indirect simulations). The latter type are a necessity when the conditions prevent the occurrence of a nucleation event in a reasonable timeframe in the direct simulations. The effect of various temperature control schemes on the nucleation rate (the rate of appearance of clusters that are equally able to grow to macroscopic sizes and to evaporate) was studied and found to be relatively small. The method to extract the nucleation rate was also found to be of minor importance. The cluster sizes from direct and indirect simulations were used in conjunction with the nucleation theorem to calculate formation free energies for the clusters in the indirect simulations. The results agreed with density functional theory, but were higher than values from Monte Carlo simulations. The formation energies were also used to calculate surface tension for the clusters. The sizes of the clusters in the direct and indirect simulations were compared, showing that the direct simulation clusters have more atoms between the liquid-like core of the cluster and the surrounding vapor. Finally, the performance of various nucleation theories in predicting simulated nucleation rates was investigated, and the results among other things highlighted once again the inadequacy of the classical nucleation theory that is commonly employed in nucleation studies.

Struggles over legitimacy in global organizational restructuring: A rhetorical perspective on legitimation strategies and dynamics in a shutdown case

Critical organization scholars have focused increasing attention on industrial and organizational restructurings such as shutdown decisions. However, we know little about the rhetorical strategies used to legitimate or resist plant closures in organizational negotiations. In this paper, we draw from New Rhetoric to analyze rhetorical struggles, strategies and dynamics in unfolding organizational negotiations. We focus on the shutdown of the bus body unit of the Swedish company Volvo in Finland. We distinguish five types of rhetorical legitimation strategies and dynamics. These include the three classical dynamics of logos (rational arguments), pathos (emotional moral arguments), and ethos (authority-based arguments), but also autopoiesis (autopoietic narratives), and cosmos (cosmological constructions). Our analysis adds to the previous studies explaining how organizational restructuring as a phenomenon is legitimated, how this legitimation has changed over time, and how contemporary industrial closures are legitimated in the media. This study also increases our theoretical understanding of the role of rhetoric in legitimation more generally.

Two-Phase Thermodynamic Model for Efficient and Accurate Absolute Entropy of Water from Molecular Dynamics Simulations

Presented here is the two-phase thermodynamic (2PT) model for the calculation of energy and entropy of molecular fluids from the trajectory of molecular dynamics (MD) simulations. In this method, the density of state (DoS) functions (including the normal modes of translation, rotation, and intramolecular vibration motions) are determined from the Fourier transform of the corresponding velocity autocorrelation functions. A fluidicity parameter (f), extracted from the thermodynamic state of the system derived from the same MD, is used to partition the translation and rotation modes into a diffusive, gas-like component (with 3Nf degrees of freedom) and a nondiffusive, solid-like component. The thermodynamic properties, including the absolute value of entropy, are then obtained by applying quantum statistics to the solid component and applying hard sphere/rigid rotor thermodynamics to the gas component. The 2PT method produces exact thermodynamic properties of the system in two limiting states: the nondiffusive solid state (where the fluidicity is zero) and the ideal gas state (where the fluidicity becomes unity). We examine the 2PT entropy for various water models (F3C, SPC, SPC/E, TIP3P, and TIP4P-Ew) at ambient conditions and find good agreement with literature results obtained based on other simulation techniques. We also validate the entropy of water in the liquid and vapor phases along the vapor-liquid equilibrium curve from the triple point to the critical point. We show that this method produces converged liquid phase entropy in tens of picoseconds, making it an efficient means for extracting thermodynamic properties from MD simulations.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

Essays on the Role of Time in Price Discovery (summary section only)

The purpose of this thesis is to examine the role of trade durations in price discovery. The motivation to use trade durations in the study of price discovery is that durations are robust to many microstructure effects that introduce a bias in the measurement of returns volatility. Another motivation to use trade durations in the study of price discovery is that it is difficult to think of economic variables, which really are useful in the determination of the source of volatility at arbitrarily high frequencies. The dissertation contains three essays. In the first essay, the role of trade durations in price discovery is examined with respect to the volatility pattern of stock returns. The theory on volatility is associated with the theory on the information content of trade, dear to the market microstructure theory. The first essay documents that the volatility per transaction is related to the intensity of trade, and a strong relationship between the stochastic process of trade durations and trading variables. In the second essay, the role of trade durations in price discovery is examined with respect to the quantification of risk due to a trading volume of a certain size. The theory on volume is intrinsically associated with the stock volatility pattern. The essay documents that volatility increases, in general, when traders choose to trade with large transactions. In the third essay, the role of trade durations in price discovery is examined with respect to the information content of a trade. The theory on the information content of a trade is associated with the theory on the rate of price revisions in the market. The essay documents that short durations are associated with information. Thus, traders are compensated for responding quickly to information

Essays on Stock Option Compensation and the Role of Incentives and Risk (summary section only)

Managerial pay-for-performance sensitivity has increased rapidly around the world. Early empirical research showed that pay-for-performance sensitivity resulting from stock ownership and stock options appeared to be quite low during the 1970s and early 1980s in the U.S. However, recent empirical research from the U.S. shows an enormous increase in pay-for-performance sensitivity. The global trend has also reached Finland, where stock options have become a major ingredient of executive compensation. The fact that stock options seem to be an appealing form of remuneration from a theoretical point of view combined with the observation that the use of this compensation form has increased significantly during the recent years, implies that research on the dynamics of stock option compensation is highly relevant for the academic community, as well as for practitioners and regulators. The research questions of the thesis are analyzed in four separate essays. The first essay examines whether stock option compensation practices of Finnish firms are consistent with predictions from principal-agent theory. The second essay explores one of the major puzzles in the compensation literature by studying determinants of stock option contract design. In theory, optimal contract design should vary according to firm characteristics. However, in the U.S., variation in contract design seems to be surprisingly low, a phenomenon generally attributed to tax and accounting considerations. In Finland, however, firms are not subject to stringent contracting restrictions, and the variation in contract design tends, in fact, to be quite substantial. The third essay studies the impact of price- and risk incentives arising from stock option compensation on firm investment. In addition, the essay explores one of the most debated questions in the literature, in particular, the relation between incentives and firm performance. Finally, several strands of literature in both economics and corporate finance hypothesize that economic uncertainty is related to corporate decision-making. Previous research has shown that risk tends to slow down firm investment. In the fourth essay, it is hypothesized that firm risk slows down growth from a more universal perspective. Consistent with this view, it is shown that risk not only tends to slow down firm investment, but also employment growth. Moreover, the essay explores whether the nature of firms’ compensation policies, in particular, whether firms make use of stock option compensation, affects the relation between risk and firm growth. In summary, the four essays contribute to the current understanding of stock options as a form of equity incentives, and how incentives and risk affect corporate decision-making. By this, the thesis promotes the knowledge related to the modern theory of the firm.