The microstructure of the Irish stock market

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. Although we find no evidence of volatility changes associated with the introduction of Xetra we do find evidence of an increase in the speed of adjustment (JEL: G15).

Independent detectors for expansion and rotation, and for orthogonal components of deformation

It is well known that optic flow - the smooth transformation of the retinal image experienced by a moving observer - contains valuable information about the three-dimensional layout of the environment. From psychophysical and neurophysiological experiments, specialised mechanisms responsive to components of optic flow (sometimes called complex motion) such as expansion and rotation have been inferred. However, it remains unclear (a) whether the visual system has mechanisms for processing the component of deformation and (b) whether there are multiple mechanisms that function independently from each other. Here, we investigate these issues using random-dot patterns and a forced-choice subthreshold summation technique. In experiment 1, we manipulated the size of a test region that was permitted to contain signal and found substantial spatial summation for signal components of translation, expansion, rotation, and deformation embedded in noise. In experiment 2, little or no summation was found for the superposition of orthogonal pairs of complex motion patterns (eg expansion and rotation), consistent with probability summation between pairs of independent detectors. Our results suggest that optic-flow components are detected by mechanisms that are specialised for particular patterns of complex motion.

The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

The fatigue properties of pressure diecast zinc-aluminium based alloys

The fatigue behaviour of the cold chamber pressure-die-cast alloys: Mazak3, ZA8, ZA27, M3K, ZA8K, ZA27K, K1, K2 and K3 was investigated at temperature of 20°C. The alloys M3K, ZA8K and ZA27K were also examined at temperatures of 50 and 100°C. The ratio between fatigue strength and tensile strength was established at 20°C at 107 cycles. The fatigue life prediction of the alloys M3K, ZA8K and ZA27K was formulated at 20, 50 and 100°C. The prediction formulae were found to be reasonably accurate. All of the experimental alloys were heterogeneous and contained large but varying amounts of pores. These pores were a major contribution and dominated the alloys fatigue failure. Their effect, however, on tensile failure was negligible. The ZA27K possessed the highest tensile strength but the lowest fatigue strength. The relationship between the fracture topography and the microstructure was also determined by the use of a mixed signal of a secondary electron and a back-scattered electron on the SEM. The tensile strength of the experimental alloys was directly proportional to the aluminium content within the alloys. The effect of copper content was also investigated within the alloys K1, K2, ZA8K and K3 which contained 0%, 0.5%, 1.0% and 2.0% respectively. It was determined that the fatigue and tensile strengths improved with higher copper contents. Upon ageing the alloys Mazak3, ZA8 and ZA27 at an ambient temperature for 5 years, copper was also found to influence and maintain the metastable Zn-Al (αm) phase. The copper free Mazak3 upon ageing lost this metastable phase. The 1.0% copper ZA8 alloy had lost almost 50% of its metastable phase. Finally the 2.0% copper ZA27 had merely lost 10% of its metastable phase. The cph zinc contained a limited number of slip systems, therefore twinning deformation was unavoidable in both fatigue and tensile testing.

Development of multiphase and multiscale mathematical models for thermal spray process

High velocity oxyfuel (HVOF) thermal spraying is one of the most significant developments in the thermal spray industry since the development of the original plasma spray technique. The first investigation deals with the combustion and discrete particle models within the general purpose commercial CFD code FLUENT to solve the combustion of kerosene and couple the motion of fuel droplets with the gas flow dynamics in a Lagrangian fashion. The effects of liquid fuel droplets on the thermodynamics of the combusting gas flow are examined thoroughly showing that combustion process of kerosene is independent on the initial fuel droplet sizes. The second analysis copes with the full water cooling numerical model, which can assist on thermal performance optimisation or to determine the best method for heat removal without the cost of building physical prototypes. The numerical results indicate that the water flow rate and direction has noticeable influence on the cooling efficiency but no noticeable effect on the gas flow dynamics within the thermal spraying gun. The third investigation deals with the development and implementation of discrete phase particle models. The results indicate that most powder particles are not melted upon hitting the substrate to be coated. The oxidation model confirms that HVOF guns can produce metallic coating with low oxidation within the typical standing-off distance about 30cm. Physical properties such as porosity, microstructure, surface roughness and adhesion strength of coatings produced by droplet deposition in a thermal spray process are determined to a large extent by the dynamics of deformation and solidification of the particles impinging on the substrate. Therefore, is one of the objectives of this study to present a complete numerical model of droplet impact and solidification. The modelling results show that solidification of droplets is significantly affected by the thermal contact resistance/substrate surface roughness.

Polymer modified cement: hydration microstructure and diffusion properties

Investigations concentrated on the styrene butadiene rubber (SBR) latex and formulations included standard carboxylated and special carboxylated latexes. The aqueous component, containing the stabilisers and antifoaming agent but not the polymer solids, was also used. For comparison, limited investigations were carried out using other polymer types e.g. acrylic, ethylene-vinyl acetate (EVA), and redispersible powders rather than emulsions. The major findings were: 1) All latex systems investigated acted as retarders for cement hydration. The extent of retardation depends on the type of polymer. The mechanism for cement hydration may be changed, and excessive retardation influences properties. 2) Polymer modified cements exhibited either similar or coarser pore structures compared with unmodified cements. Results suggest that polymer mainly exists in a mixture of cement hydrates and polymer phase. Very little evidence was found for the formation of a distinct polymer film phase. 3) During the first few days of curing the polymer solids are removed from the pore solution and concentrations of OH-, Na+ and K+ are reduced. These observations are probably a result of polymer-cement surface interactions since there was no evidence of any chemical reactions or degradation of the polymer. 4) Improved diffusional resistance of modified cements depends on the ability to achieve adequate workability at low w/c ratio, rather than modification of matrix structure.

Deformation of sand in plane strain and oxisymmetric compression

Small scale laboratory experiments, in which the specimen is considered to represent an element of soil in the soil mass, are essential to the evolution of fundamental theories of mechanical behaviour. In this thesis, plane strain and axisymmetric compression tests, performed on a fine sand, are reported and the results are compared with various theoretical predictions. A new apparatus is described in which cuboidal samples can be tested in either axisymmetric compression or plane strain. The plane strain condition is simulated either by rigid side platens, in the conventional manner, or by flexible side platens which also measure the intermediate principal stress. Close control of the initial porosity of the specimens is achieved by a vibratory method of sample preparation. The strength of sand is higher in plane strain than in axisymmetric compression, and the strains required to mobilize peak strength are much smaller. The difference between plane strain and axisymmetric compression behaviour is attributed to the restrictions on particle movement enforced by the plane strain condition; this results in an increase in the frictional component of shear strength. The stress conditions at failure in plane strain, including the intermediate principal stress, are accurately predicted by a theory based on the stress- dilatancy interpretation of Mohr's circles. Detailed observations of rupture modes are presented and measured rupture plane inclinations are predicted by the stress-dilatancy theory. Although good correlation with the stress-dilatancy theory is obtained during virgin loading, in both axisymmetric compression and plane strain, the stress-dilatancy rule is only obeyed during reloading if the specimen has been unloaded to approximate ambient stress conditions. The shape of the stress-strain curves during pre-peak deformation, in both plane strain and axisymmetric compression, is accurately described bv a combined parabolic-hyperbolic specification.

The deformation behaviour of the collapsing and destructured soils of the Sana'a area and their response to field treatment

Previous work has indicated the presence of collapsing and structured soils in the surface layers underlying Sana's, the capital of Yemen Republic. This study set out initially to define and, ultimately, to alleviate the problem by investigating the deformation behaviour of these soils through both field and laboratory programmes. The field programme was carried out in Sana'a while the laboratory work consisted of two parts, an initial phase at Sana's University carried out in parallel with the field programme on natural and treated soils and the major phase at Aston University carried out on natural, destructured and selected treated soils. The initial phase of the laboratory programme included classification, permeability, and single (collapsing) and double oedometer tests while the major phase, at Aston, was extended to also include extensive single and double oedometer tests, Scanning Electron Microscopy and Energy Dispersive Spectrum analysis. The mechanical tests were carried out on natural and destructed samples at both the in situ and soaked moisture conditions. The engineering characteristics of the natural intact, field-treated and laboratory destructured soils are reported, including their collapsing potentials which show them to be weakly bonded with nil to severe collapsing susceptibility. Flooding had no beneficial effect, with limited to moderate improvement being achieved by preloading and roller compaction, while major benefits were achieved from deep compaction. From these results a comparison between the soil response to the different treatments and general field remarks were presented. Laboratory destructuring reduced the stiffness of the soils while their compressibility was increasing. Their collapsing and destructuring mechanisms have been examined by studying the changes in structure accompanying these phenomena. Based on the test results for the intact and the laboratory destructured soils, a simplified framework has been developed to represent the collapsing and deformation behaviour at both the partially saturated and soaked states, and comments are given on its general applicability and limitations. It has been used to evaluate all the locations subjected to field treatment. It provided satisfactory results for the deformation behaviour of the soils destructed by field treatment. Finally attention is drawn to the design considerations together with the recommendations for the selection of potential improvement techniques to be used for foundation construction on the particular soils of the Sana's region.

Textural and microstructural studies of zinc sulfide and associated phases in certain base metal deposits

A textural and microstructural study of a variety of zinc sulfide-containing ores has been undertaken, and the possible depositional and deformational controls of textural and microstructural development considered. Samples for the study were taken from both deformed and undeformed zinc ores of the Central U.S. Appalachians, and deformed zinc ores of the English Pennines. A variety of mineralogical techniques were employed, including transmitted and reflected light microscopy of etched and unetched material, transmission electron microscopy and electron microprobe analysis. For the Pennine zinc sulfides, spectroscopic, x-ray diffraction and fluid inclusion studies were also undertaken. Optical and electron optical examination of the Appalachian material confirmed the suitability of zinc sulfide for detailed study with such techniques. Growth and deformation-related microstructures could be distinguished from specimen-preparation induced artifacts. A deformationally-mduced lamelliform optical anisotropy is seen to be developed in areas hosting a dense planar microstructure of {111} twin- and slip-planes. The Pennine zinc sulfide texturally records a changing depositional environment. Thus, for example, delicately growth- zoned crystals are truncated and cross-cut by solution disconformities. Fluid inclusion studies indicate a highly saline (20-25 wt. % equiv. NaCl), low temperature (100-150°C.) fluid. Texturally, two varieties of zinc sulfide can be recognised; a widely developed, iron- banded variety, and a paragenetically early variety, banded due to horizons rich in crystal defects and microscopic inclusions. The zinc sulfide takes the form of a disordered 3C-polytype, with much of the disorder being deformational in origin. Twin- and slip-plane fabrics are developed . A deformation-related optical anisotropy is seen to overprint growth-related anisotropy, along with cuprian alteration of certain {111} deformation planes.