Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Stochastic models of IEEE 802.11e wireless net works with multimedia applications

We provide a survey of some of our recent results ([9], [13], [4], [6], [7]) on the analytical performance modeling of IEEE 802.11 wireless local area networks (WLANs). We first present extensions of the decoupling approach of Bianchi ([1]) to the saturation analysis of IEEE 802.11e networks with multiple traffic classes. We have found that even when analysing WLANs with unsaturated nodes the following state dependent service model works well: when a certain set of nodes is nonempty, their channel attempt behaviour is obtained from the corresponding fixed point analysis of the saturated system. We will present our experiences in using this approximation to model multimedia traffic over an IEEE 802.11e network using the enhanced DCF channel access (EDCA) mechanism. We have found that we can model TCP controlled file transfers, VoIP packet telephony, and streaming video in the IEEE802.11e setting by this simple approximation.

What Can A Service Logic Offer Marketing Theory

The goods-dominated marketing model has major shortcomings as a guiding marketing theory. Its marketing mix approach is mainly geared towards buying and does not include consumption as an integral part of marketing theory. Although it is during the process of consuming goods and services that value is generated for customers and the foundation for repeat purchasing and customer relationships are laid, this process is left outside the scope of marketing. The focus in service marketing is not on a product but on interactions in service encounters. Consumption has become an integral part of a holistic marketing model. Other than standardized goods-based value propositions can be better understood when taking a servicebased approach. It is concluded that marketing based on a goods logic is but a special case of marketing based on a service logic and applicable only in certain contexts with standardized products.

Characterization of barium titanate fine powders formed from hydrothermal crystallization

A detailed evaluation of size, shape and microstrains of BaTiO3 crystallites produced by hydrothermal crystallization at 90 – 180 °C and 0.1 – 1.2 MPa, from amorphous TiO2· xH2O (3 < × < 8) gel and aqueous Ba(OH)2 is presented, using X-ray line-broadening and TEM studies. Whereas the concentration of Ba(OH)2 and the acceptor impurities affect the crystallite shape, the stoichimetry with respect to Ba/Ti, donor as well as acceptor impurities, and the temperature of crystallization influence the microstrains. It is shown that strains in the crystallites are related to the point defects in the lattice. Compensation of the residually present hydroxyl ions in the oxygen sublattice by cation vacancies results in strains leading to metastable presence of the cubic phase at room temperature. Studies on the diffuse phase transition behaviour of these submicron powders show that the stable tetragonal phase is produced only on annealing at high temperatures where the mobility of cations vacancies are larger. Heat-treatment reduces anisotropy and strain in undoped samples, whereas annealing is less effective in doped materials. Comparison of the crystillite size by TEM showed better agreement with the Warren—Averbach method.

Crystal structure and conformation study of N-methyl-t-3-methyl-r-2, c-6-diphenylpiperidin-4-one thiosemicarbazone

Thiosemicarbazones are having the ability to bind with metal and inhibit the enzyme ribonucleoside diphosphate reductase(RDR),an enzyme which is involved in the synthesis of DNA precursors in the mammalian cells.The title compound N-methyl-t-3-methyl-r-2, c-6-diphenylpiperidin-4-one thiosemicarbazone (NMMDPT), CCDC 218052, was prepared using Mannich reaction and characterized by X-ray diffraction methods.The crystal data are:C20H24N4S; M.W= 352.49, triclinic,space group P (1) over bar, a = 8.467(2)angstrom, b = 10.228(2)angstrom, c = 12.249(2)angstrom; lpha=92.595(3)degrees, beta=104.173(3)degrees, gamma=13.628(3)degrees; V=930.0(3)angstrom(3), Z=2, D-cal=1.259Mgm(-3),mu=0.184mm(-1),lambda (MoKalpha)=0.71073 angstrom, final R1 and wR2 are 0.0470 and 0.1052, respectively. The piperidine rings adopt chair conformation. The planar phenyl rings are oriented equatorially at 2,6-positions of the piperidine ring. The molecular packing can be viewed as dimers held together by two N-H...S types of intermolecular hydrogen bonds. Weak C-H...pi interactions also support the stability of the molecules in the crystal in addition to van der Waals forces. (c) 2006 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Diverse pathways for salicin utilization in Shigella sonnei and Escherichia coli carrying an impaired bgl operon

Utilization of the aryl-beta-glucosides salicin or arbutin in most wild-type strains of E. coli is achieved by a single-step mutational activation of the bgl operon. Shigella sonnei, a branch of the diverse E. coli strain tree, requires two sequential mutational steps for achieving salicin utilization as the bglB gene, encoding the phospho-beta-glucosidase B, harbors an inactivating insertion. We show that in a natural isolate of S. sonnei, transcriptional activation of the gene SSO1595, encoding a phospho-beta-glucosidase, enables salicin utilization with the permease function being provided by the activated bgl operon. SSO1595 is absent in most commensal strains of E. coli, but is present in extra-intestinal pathogens as bgcA, a component of the bgc operon that enables beta-glucoside utilization at low temperature. Salicin utilization in an E. coli bglB laboratory strain also requires a two-step activation process leading to expression of BglF, the PTS-associated permease encoded by the bgl operon and AscB, the phospho-beta-glucosidase B encoded by the silent asc operon. BglF function is needed since AscF is unable to transport beta-glucosides as it lacks the IIA domain involved in phopho-relay. Activation of the asc operon in the Sal(+) mutant is by a promoter-up mutation and the activated operon is subject to induction. The pathway to achieve salicin utilization is therefore diverse in these two evolutionarily related organisms; however, both show cooperation between two silent genetic systems to achieve a new metabolic capability under selection.

Effect of favorable pressure gradient on transitional spot formation rate

The calculation of the transitional boundary layer requires estimates of the extent of the transition zone, which in turn depends on the rate at which turbulent spots are formed. This rate has been found to scale with local boundary layer thickness and viscosity, and the resulting nondimensional group (called crumble) is a function of the pressure gradient, among other parameters. Available experimental data are analyzed to show that the crumble increases slowly with increasing favorable pressure gradients, being about four times as large as in constant-pressure flow when the Thwaites pressure gradient parameter at the effective origin of the resulting turbulent boundary layer is 0.1 and when transition is driven by free-stream turbulence.

On the models for deuterium long-range isotope effects in13C NMR spectroscopy

The long-range deuterium isotope effects on13C nuclear shielding are physically not yet completely understood. Two existing models for explaining these effects, vibrational and substituent, are compared here. The vibrational model is based on the Born-Oppenheimer approximation, but it can explain only one-bond deuterium effects. To the contrary, the substituent model may explain many long-range isotope effects, but it is controversial due to the assumption of some distinct electronic properties of isotopes. We explain how long-range deuterium isotope effects may be rationalized by the subtle electronic changes induced by isotope substitution, which does not violate the Born-Oppenheimer approximation.

Orientation dependence of the indentation impression morphology in a Mg alloy

The formation of anomalous indentations, with two opposite faces describing a pin-cushion effect and the other two faces normal, in long elongated grains of an extruded Mg-2Al-1Zn alloy is reported. Subsurface microstructural observations combined with Schmid factor calculations suggest that extension twinning accompanied by basal slip are the reasons for these. Johnson's expanding cavity model is invoked for further substantiation. (C) 2010 Acta Materialia Inc. Published by Elsevier Ltd. All rights reserved.

Detrimental Effects of Hypoxia-Specific Expression of Uracil DNA Glycosylase (Ung) in Mycobacterium smegmatis

Mycobacterium tuberculosis is known to reside latently in a significant fraction of the human population. Although the bacterium possesses an aerobic mode of metabolism, it adapts to persistence under hypoxic conditions such as those encountered in granulomas. While in mammalian systems hypoxia is a recognized DNA-damaging stress, aspects of DNA repair in mycobacteria under such conditions have not been studied. We subjected Mycobacterium smegmatis, a model organism, to the Wayne's protocol of hypoxia. Analysis of the mRNA of a key DNA repair enzyme, uracil DNA glycosylase (Ung), by real-time reverse transcriptase PCR (RT-PCR) revealed its downregulation during hypoxia. However, within an hour of recovery of the culture under normal oxygen levels, the Ung mRNA was restored. Analysis of Ung by immunoblotting and enzyme assays supported the RNA analysis results. To understand its physiological significance, we misexpressed Ung in M. smegmatis by using a hypoxia-responsive promoter of narK2 from M. tuberculosis. Although the misexpression of Ung during hypoxia decreased C-to-T mutations, it compromised bacterial survival upon recovery at normal oxygen levels. RT-PCR analysis of other base excision repair gene transcripts (UdgB and Fpg) suggested that these DNA repair functions also share with Ung the phenomenon of downregulation during hypoxia and recovery with return to normal oxygen conditions. We discuss the potential utility of this phenomenon in developing attenuated strains of mycobacteria.

The chemistry of vetivalene-type vetivalene-type naturally-occurring sesquiterpenoids

Vetivalene, 1,4-dimetiiyl-6-isopropylnaphl1tlmlenc(1 ) represents a new sesquiterpene skelcton which 15 presumed to originate from eudesmane by a shift of the angular nicthyl group. Novel sesquiterpenm related to vetivalene have been isolated from plant sources ill ~s c e o ig ears. A suriey dealing xith the chemistry (structure, synthesis and configuration) of members of this interesting new class OF yesquiterpenes, coniprising occidol, risbitinol and the various ernmotinn is presented

The chemistry of vetivalene-type naturally occurring sesqufterpenoids

Vetivalene, 1,4-dimetiiyl-6-isopropylnaphl1tlmlenc(1 ) represents a new sesquiterpene skelcton which 15 presumed to originate from eudesmane by a shift of the angular nicthyl group. Novel sesquiterpenm related to vetivalene have been isolated from plant sources ill ~s c e o ig ears. A suriey dealing xith the chemistry (structure, synthesis and configuration) of members of this interesting new class OF yesquiterpenes, coniprising occidol, risbitinol and the various ernmotinn is presented.

Selective-Area Atomic Layer Deposition

Atomic layer deposition (ALD) is a method to deposit thin films from gaseous precursors to the substrate layer-by-layer so that the film thickness can be tailored with atomic layer accuracy. Film tailoring is even further emphasized with selective-area ALD which enables the film growth to be controlled also on the substrate surface. Selective-area ALD allows the decrease of a process steps in preparing thin film devices. This can be of a great technological importance when the ALD films become into wider use in different applications. Selective-area ALD can be achieved by passivation or activation of a surface. In this work ALD growth was prevented by octadecyltrimethoxysilane, octadecyltrichlorosilane and 1-dodecanethiol SAMs, and by PMMA (polymethyl methacrylate) and PVP (poly(vinyl pyrrolidone) polymer films. SAMs were prepared from vapor phase and by microcontact printing, and polymer films were spin coated. Microcontact printing created patterned SAMs at once. The SAMs prepared from vapor phase and the polymer mask layers were patterned by UV lithography or lift-off process so that after preparation of a continuous mask layer selected areas of them were removed. On these areas the ALD film was deposited selectively. SAMs and polymer films prevented the growth in several ALD processes such as iridium, ruthenium, platinum, TiO2 and polyimide so that the ALD films did grow only on areas without SAM or polymer mask layer. PMMA and PVP films also protected the surface against Al2O3 and ZrO2 growth. Activation of the surface for ALD of ruthenium was achieved by preparing a RuOX layer by microcontact printing. At low temperatures the RuCp2-O2 process nucleated only on this oxidative activation layer but not on bare silicon.