Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

Having a word with yourself:neural correlates of self-criticism and self-reassurance

Self-criticism is strongly correlated with a range of psychopathologies, such as depression, eating disorders and anxiety. In contrast, self-reassurance is inversely associated with such psychopathologies. Despite the importance of self-judgements and evaluations, little is known about the neurophysiology of these internal processes. The current study therefore used a novel fMRI task to investigate the neuronal correlates of self-criticism and self-reassurance. Participants were presented statements describing two types of scenario, with the instruction to either imagine being self-critical or self-reassuring in that situation. One scenario type focused on a personal setback, mistake or failure, which would elicit negative emotions, whilst the second was of a matched neutral event. Self-criticism was associated with activity in lateral prefrontal cortex (PFC) regions and dorsal anterior cingulate (dAC), therefore linking self-critical thinking to error processing and resolution, and also behavioural inhibition. Self-reassurance was associated with left temporal pole and insula activation, suggesting that efforts to be self-reassuring engage similar regions to expressing compassion and empathy towards others. Additionally, we found a dorsal/ventral PFC divide between an individual's tendency to be self-critical or self-reassuring. Using multiple regression analyses, dorsolateral PFC activity was positively correlated with high levels of self-criticism (assessed via self-report measure), suggesting greater error processing and behavioural inhibition in such individuals. Ventrolateral PFC activity was positively correlated with high self-reassurance. Our findings may have implications for the neural basis of a range of mood disorders that are characterised by a preoccupation with personal mistakes and failures, and a self-critical response to such events.

Combining temporal and spectral information with spatial mapping to identify differences between phonological and semantic networks:a magnetoencephalographic approach

Early, lesion-based models of language processing suggested that semantic and phonological processes are associated with distinct temporal and parietal regions respectively, with frontal areas more indirectly involved. Contemporary spatial brain mapping techniques have not supported such clear-cut segregation, with strong evidence of activation in left temporal areas by both processes and disputed evidence of involvement of frontal areas in both processes. We suggest that combining spatial information with temporal and spectral data may allow a closer scrutiny of the differential involvement of closely overlapping cortical areas in language processing. Using beamforming techniques to analyze magnetoencephalography data, we localized the neuronal substrates underlying primed responses to nouns requiring either phonological or semantic processing, and examined the associated measures of time and frequency in those areas where activation was common to both tasks. Power changes in the beta (14-30 Hz) and gamma (30-50 Hz) frequency bandswere analyzed in pre-selected time windows of 350-550 and 500-700ms In left temporal regions, both tasks elicited power changes in the same time window (350-550 ms), but with different spectral characteristics, low beta (14-20 Hz) for the phonological task and high beta (20-30 Hz) for the semantic task. In frontal areas (BA10), both tasks elicited power changes in the gamma band (30-50 Hz), but in different time windows, 500-700ms for the phonological task and 350-550ms for the semantic task. In the left inferior parietal area (BA40), both tasks elicited changes in the 20-30 Hz beta frequency band but in different time windows, 350-550ms for the phonological task and 500-700ms for the semantic task. Our findings suggest that, where spatial measures may indicate overlapping areas of involvement, additional beamforming techniques can demonstrate differential activation in time and frequency domains. © 2012 McNab, Hillebrand, Swithenby and Rippon.

All-optical nonlinear fibre signal processing

All-optical technologies for data processing and signal manipulation are expected to play a major role in future optical communications. Nonlinear phenomena occurring in optical fibre have many attractive features and great, but not yet fully exploited potential in optical signal processing. Here, we overview our recent results and advances in developing novel photonic techniques and approaches to all-optical processing based on fibre nonlinearities. Amongst other topics, we will discuss phase-preserving optical 2R regeneration, the possibility of using parabolic/flat-top pulses for optical signal processing and regeneration, and nonlinear optical pulse shaping. A method for passive nonlinear pulse shaping based on pulse pre-chirping and propagation in a normally dispersive fibre will be presented. The approach provides a simple way of generating various temporal waveforms of fundamental and practical interest. Particular emphasis will be given to the formation and characterization of pulses with a triangular intensity profile. A new technique of doubling/copying optical pulses in both the frequency and time domains using triangular-shaped pulses will be also introduced.

Dispersion-managed solitons in fibre systems and lasers

Nonlinear systems with periodic variations of nonlinearity and/or dispersion occur in a variety of physical problems and engineering applications. The mathematical concept of dispersion managed solitons already has made an impact on the development of fibre communications, optical signal processing and laser science. We overview here the field of the dispersion managed solitons starting from mathematical theories of Hamiltonian and dissipative systems and then discuss recent advances in practical implementation of this concept in fibre-optics and lasers.

Executive function and emotional focus in autobiographical memory specificity in older adults

The current study examined the role of executive function in retrieval of specific autobiographical memories in older adults with regard to control of emotion during retrieval. Older and younger adults retrieved memories of specific events in response to emotionally positive, negative and neutral word cues. Contributions of inhibitory and updating elements of executive function to variance in autobiographical specificity were assessed to determine processes involved in the commonly found age-related reduction in specificity. A negative relationship between age and specificity was only found in retrieval to neutral cues. Alternative explanations of this age preservation of specificity of emotional recall are explored, within the context of control of emotion in the self-memory system and preserved emotional processing and positivity effect in older adults. The pattern of relationships suggests updating, rather than inhibition as the source of age-related reduction in specificity, but that emotional processing (particularly of positively valenced memories) is not influenced by age-related variance in executive control. The tendency of older adults to focus on positive material may thus act as a buffer against detrimental effects of reduced executive function capacity on autobiographical retrieval, representing a possible target for interventions to improve specificity of autobiographical memory retrieval in older adults.

Measurement of implicit leadership theories and their effect on leadership processes and outcomes

The leadership categorisation theory suggests that followers rely on a hierarchical cognitive structure in perceiving leaders and the leadership process, which consists of three levels; superordinate, basic and subordinate. The predominant view is that followers rely on Implicit Leadership Theories (ILTs) at the basic level in making judgments about managers. The thesis examines whether this presumption is true by proposing and testing two competing conceptualisations; namely the congruence between the basic level ILTs (general leader) and actual manager perceptions, and subordinate level ILTs (job-specific leader) and actual manager. The conceptualisation at the job-specific level builds on context-related assertions of the ILT explanatory models: leadership categorisation, information processing and connectionist network theories. Further, the thesis addresses the effects of ILT congruence at the group level. The hypothesised model suggests that Leader-Member Exchange (LMX) will act as a mediator between ILT congruence and outcomes. Three studies examined the proposed model. The first was cross-sectional with 175 students reporting on work experience during a 1-year industrial placement. The second was longitudinal and had a sample of 343 students engaging in a business simulation in groups with formal leadership. The final study was a cross-sectional survey in several organisations with a sample of 178. A novel approach was taken to congruence analysis; the hypothesised models were tested using Latent Congruence Modelling (LCM), which accounts for measurement error and overcomes the majority of limitations of traditional approaches. The first two studies confirm the traditional theorised view that employees rely on basic-level ILTs in making judgments about their managers with important implications, and show that LMX mediates the relationship between ILT congruence and work-related outcomes (performance, job satisfaction, well-being, task satisfaction, intragroup conflict, group satisfaction, team realness, team-member exchange, group performance). The third study confirms this with conflict, well-being, self-rated performance and commitment as outcomes.

Open-source mapping and services for Web-based land-cover validation

Monitoring land-cover changes on sites of conservation importance allows environmental problems to be detected, solutions to be developed and the effectiveness of actions to be assessed. However, the remoteness of many sites or a lack of resources means these data are frequently not available. Remote sensing may provide a solution, but large-scale mapping and change detection may not be appropriate, necessitating site-level assessments. These need to be easy to undertake, rapid and cheap. We present an example of a Web-based solution based on free and open-source software and standards (including PostGIS, OpenLayers, Web Map Services, Web Feature Services and GeoServer) to support assessments of land-cover change (and validation of global land-cover maps). Authorised users are provided with means to assess land-cover visually and may optionally provide uncertainty information at various levels: from a general rating of their confidence in an assessment to a quantification of the proportions of land-cover types within a reference area. Versions of this tool have been developed for the TREES-3 initiative (Simonetti, Beuchle and Eva, 2011). This monitors tropical land-cover change through ground-truthing at latitude / longitude degree confluence points, and for monitoring of change within and around Important Bird Areas (IBAs) by Birdlife International and the Royal Society for the Protection of Birds (RSPB). In this paper we present results from the second of these applications. We also present further details on the potential use of the land-cover change assessment tool on sites of recognised conservation importance, in combination with NDVI and other time series data from the eStation (a system for receiving, processing and disseminating environmental data). We show how the tool can be used to increase the usability of earth observation data by local stakeholders and experts, and assist in evaluating the impact of protection regimes on land-cover change.

Recent advances in fibre grating devices and their sensing applications

Over the last twenty years, we have been continuously seeing R&D efforts and activities in developing optical fibre grating devices and technologies and exploring their applications for telecommunications, optical signal processing and smart sensing, and recently for medical care and biophotonics. In addition, we have also witnessed successful commercialisation of these R&Ds, especially in the area of fibre Bragg grating (FBG) based distributed sensor network systems and technologies for engineering structure monitoring in industrial sectors such as oil, energy and civil engineering. Despite countless published reports and papers and commercial realisation, we are still seeing significant and novel research activities in this area. This invited paper will give an overview on recent advances in fibre grating devices and their sensing applications with a focus on novel fibre gratings and their functions and grating structures in speciality fibres. The most recent developments in (i) femtosecond inscription for microfluidic/grating devices, (2) tilted grating based novel polarisation devices and (3) dual-peak long-period grating based DNA hybridisation sensors will be discussed.

Dispersion-managed solitons in fibre systems and lasers

Nonlinear systems with periodic variations of nonlinearity and/or dispersion occur in a variety of physical problems and engineering applications. The mathematical concept of dispersion managed solitons already has made an impact on the development of fibre communications, optical signal processing and laser science. We overview here the field of the dispersion managed solitons starting from mathematical theories of Hamiltonian and dissipative systems and then discuss recent advances in practical implementation of this concept in fibre-optics and lasers.

Fabrication of micro-channels in optical fibers using femtosecond laser pulses and selective chemical etching

The fabrication of micro-channels in single-mode optical fibers is demonstrated using focused femtosecond laser processing and chemical etching. Straight line micro-channels are achieved based on a simple technique which overcomes limitations imposed by the fiber curved surface. © 2005 Optical Society of America.

All-optical nonlinear fibre signal processing

All-optical technologies for data processing and signal manipulation are expected to play a major role in future optical communications. Nonlinear phenomena occurring in optical fibre have many attractive features and great, but not yet fully exploited potential in optical signal processing. Here, we overview our recent results and advances in developing novel photonic techniques and approaches to all-optical processing based on fibre nonlinearities. Amongst other topics, we will discuss phase-preserving optical 2R regeneration, the possibility of using parabolic/flat-top pulses for optical signal processing and regeneration, and nonlinear optical pulse shaping. A method for passive nonlinear pulse shaping based on pulse pre-chirping and propagation in a normally dispersive fibre will be presented. The approach provides a simple way of generating various temporal waveforms of fundamental and practical interest. Particular emphasis will be given to the formation and characterization of pulses with a triangular intensity profile. A new technique of doubling/copying optical pulses in both the frequency and time domains using triangular-shaped pulses will be also introduced.

Words and intelligence II:essays in honor of Yorick Wilks

Yorick Wilks is a central figure in the fields of Natural Language Processing and Artificial Intelligence. His influence has extends to many areas of these fields and includes contributions to Machine Translation, word sense disambiguation, dialogue modeling and Information Extraction.This book celebrates the work of Yorick Wilks from the perspective of his peers. It consists of original chapters each of which analyses an aspect of his work and links it to current thinking in that area. His work has spanned over four decades but is shown to be pertinent to recent developments in language processing such as the Semantic Web.This volume forms a two-part set together with Words and Intelligence I, Selected Works by Yorick Wilks, by the same editors.

Generation and performance of localised surface plasmons utilising nano-scale structured multi-layered thin films deposited upon D-shaped optical fiber

A new generation of surface plasmonic optical fibre sensors is fabricated using multiple coatings deposited on a lapped section of a single mode fibre. Post-deposition UV laser irradiation using a phase mask produces a nano-scaled surface relief grating structure, resembling nano-wires. The overall length of the individual corrugations is approximately 14 μm with an average full width half maximum of 100 nm. Evidence is presented to show that these surface structures result from material compaction created by the silicon dioxide and germanium layers in the multi-layered coating and the surface topology is capable of supporting localised surface plasmons. The coating compaction induces a strain gradient into the D-shaped optical fibre that generates an asymmetric periodic refractive index profile which enhances the coupling of the light from the core of the fibre to plasmons on the surface of the coating. Experimental data are presented that show changes in spectral characteristics after UV processing and that the performance of the sensors increases from that of their pre-UV irradiation state. The enhanced performance is illustrated with regards to change in external refractive index and demonstrates high spectral sensitivities in gaseous and aqueous index regimes ranging up to 4000 nm/RIU for wavelength and 800 dB/RIU for intensity. The devices generate surface plasmons over a very large wavelength range, (visible to 2 μm) depending on the polarization state of the illuminating light. © 2013 SPIE.

Weight loss strategies, stress, and cognitive function:supervised versus unsupervised dieting

The early stages of dieting to lose weight have been associated with neuro-psychological impairments. Previous work has not elucidated whether these impairments are a function solely of unsupported or supported dieting. Raised cortico-steroid levels have been implicated as a possible causal mechanism. Healthy, overweight, pre-menopausal women were randomised to one of three conditions in which they dieted either as part of a commercially available weight loss group, dieted without any group support or acted as non-dieting controls for 8 weeks. Testing occurred at baseline and at 1, 4 and 8 weeks post baseline. During each session, participants completed measures of simple reaction time, motor speed, vigilance, immediate verbal recall, visuo-spatial processing and (at Week 1 only) executive function. Cortisol levels were gathered at the beginning and 30 min into each test session, via saliva samples. Also, food intake was self-recorded prior to each session and fasting body weight and percentage body fat were measured at each session. Participants in the unsupported diet condition displayed poorer vigilance performance (p=0.001) and impaired executive planning function (p=0.013) (along with a marginally significant trend for poorer visual recall (p=0.089)) after 1 week of dieting. No such impairments were observed in the other two groups. In addition, the unsupported dieters experienced a significant rise in salivary cortisol levels after 1 week of dieting (p<0.001). Both dieting groups lost roughly the same amount of body mass (p=0.011) over the course of the 8 weeks of dieting, although only the unsupported dieters experienced a significant drop in percentage body fat over the course of dieting (p=0.016). The precise causal nature of the relationship between stress, cortisol, unsupported dieting and cognitive function is, however, uncertain and should be the focus of further research. © 2005 Elsevier Ltd. All rights reserved.