Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

Case study: Reaping the benefits of reliable systems and flexible support

Case study on how Chichester College is taking a strategic approach to improving the student experience through effective use of technology.

Modelos de organización flexible: estudio del sector de la maquina-herramienta

Uno de los objetivos de este artículo ha sido identificar el modo en que las nuevas formas organizativas suponen una transformación drástica con respecto a los modelos tradicionales. Los nuevos modelos y, en particular, el de organización virtual supone la aparición de un nuevo marco conceptual. La innovación no reside tanto en que se abordan nuevas soluciones para los problemas, como en la transformación de los propios problemas y cuestiones clave.

FTT-MA: A Flexible Time-Triggered Middleware Architecture for Time Sensitive, Resource-Aware AmI Systems

There is an increasing number of Ambient Intelligence (AmI) systems that are time-sensitive and resource-aware. From healthcare to building and even home/office automation, it is now common to find systems combining interactive and sensing multimedia traffic with relatively simple sensors and actuators (door locks, presence detectors, RFIDs, HVAC, information panels, etc.). Many of these are today known as Cyber-Physical Systems (CPS). Quite frequently, these systems must be capable of (1) prioritizing different traffic flows (process data, alarms, non-critical data, etc.), (2) synchronizing actions in several distributed devices and, to certain degree, (3) easing resource management (e.g., detecting faulty nodes, managing battery levels, handling overloads, etc.). This work presents FTT-MA, a high-level middleware architecture aimed at easing the design, deployment and operation of such AmI systems. FTT-MA ensures that both functional and non-functional aspects of the applications are met even during reconfiguration stages. The paper also proposes a methodology, together with a design tool, to create this kind of systems. Finally, a sample case study is presented that illustrates the use of the middleware and the methodology proposed in the paper.

Nanostructured giant magneto-impedance multilayers deposited onto flexible substrates for low pressure sensing

Nanostructured FeNi-based multilayers are very suitable for use as magnetic sensors using the giant magneto-impedance effect. New fields of application can be opened with these materials deposited onto flexible substrates. In this work, we compare the performance of samples prepared onto a rigid glass substrate and onto a cyclo olefin copolymer flexible one. Although a significant reduction of the field sensitivity is found due to the increased effect of the stresses generated during preparation, the results are still satisfactory for use as magnetic field sensors in special applications. Moreover, we take advantage of the flexible nature of the substrate to evaluate the pressure dependence of the giant magneto-impedance effect. Sensitivities up to 1 Omega/Pa are found for pressures in the range of 0 to 1 Pa, demostrating the suitability of these nanostructured materials deposited onto flexible substrates to build sensitive pressure sensors.

Neuartige flexible Selektionseinrichtungen für Schleppnetzsteerte

Die wissenschaftlich-technische Zusammenarbeit zwischen dem Institut für Fischereitechnik (IFH) und dem russischen Institut MariNPO in Kaliningrad war 1997/98 schwerpunktmäßig auf die Entwicklung flexibler Vorrichtungen zur Größenselektion von Fischen in Schleppnetzsteerten sowie deren gemeinsame Erprobung in der Ostsee-Dorschfischerei ausgerichtet. Die Vorteile solcher flexiblen Vorrichtungen aus textilem Material verglichen mit starren, meist aus Metall gefertigten bestehen darin, daß sie bei der Handhabung keine dauerhaften Verformungen bekommen, keine Erschwernisse oder Gefährdungen der Decksbesatzung, insbesondere bei schwerem Wetter, verursachen und problemlos mit dem Netz aufgetrommelt werden können. Außerdem sind sie wesentlich billiger in den Anschaffungskosten als Metallgitter aus nichtrostendem Stahl. Ihre Installation vor dem Hievteil ermöglicht zudem ein ungestörteres Selektieren als bei Fluchtfenstern im Bereich des Steertendes, wo die Fische stark verdichtet sind und mehr oder weniger gewaltsam an bzw. durch die Maschen gepreßt werden. Der Umlauftank in Kaliningrad sowie das geschleppte, steuerbare UW-Videosystem des IFH bieten gute Voraussetzungen für eine umfassende experimentelle Untersuchung der entwickelten Vorrichtungen, über die im folgenden berichtet wird.

Development And Application Of Flexible Substrate Sensors In Instantaneous Heat Flux Measurement

A new type of sensor with the flexible substrate is introduced. It is applicable in measuring instantaneous heat flux on the model surface in a hypersonic shock tunnel. The working principle, structure and manufacture process of the sensor are presented. The substrate thickness and the dynamic response parameter of the sensor are calculated. Because this sensor was successfully used in measuring the instantaneous heat flux on the surface of a flat plate in a detonation-driven shock tunnel, it may be effective in measuring instantaneous heat flux on the model surface.

Markets and microstructure

This document contains three papers examining the microstructure of financial interaction in development and market settings. I first examine the industrial organization of financial exchanges, specifically limit order markets. In this section, I perform a case study of Google stock surrounding a surprising earnings announcement in the 3rd quarter of 2009, uncovering parameters that describe information flows and liquidity provision. I then explore the disbursement process for community-driven development projects. This section is game theoretic in nature, using a novel three-player ultimatum structure. I finally develop econometric tools to simulate equilibrium and identify equilibrium models in limit order markets.

In chapter two, I estimate an equilibrium model using limit order data, finding parameters that describe information and liquidity preferences for trading. As a case study, I estimate the model for Google stock surrounding an unexpected good-news earnings announcement in the 3rd quarter of 2009. I find a substantial decrease in asymmetric information prior to the earnings announcement. I also simulate counterfactual dealer markets and find empirical evidence that limit order markets perform more efficiently than do their dealer market counterparts.

In chapter three, I examine Community-Driven Development. Community-Driven Development is considered a tool empowering communities to develop their own aid projects. While evidence has been mixed as to the effectiveness of CDD in achieving disbursement to intended beneficiaries, the literature maintains that local elites generally take control of most programs. I present a three player ultimatum game which describes a potential decentralized aid procurement process. Players successively split a dollar in aid money, and the final player--the targeted community member--decides between whistle blowing or not. Despite the elite capture present in my model, I find conditions under which money reaches targeted recipients. My results describe a perverse possibility in the decentralized aid process which could make detection of elite capture more difficult than previously considered. These processes may reconcile recent empirical work claiming effectiveness of the decentralized aid process with case studies which claim otherwise.

In chapter four, I develop in more depth the empirical and computational means to estimate model parameters in the case study in chapter two. I describe the liquidity supplier problem and equilibrium among those suppliers. I then outline the analytical forms for computing certainty-equivalent utilities for the informed trader. Following this, I describe a recursive algorithm which facilitates computing equilibrium in supply curves. Finally, I outline implementation of the Method of Simulated Moments in this context, focusing on Indirect Inference and formulating the pseudo model.

From Shadow to Green: Linking Environmental Fiscal Reforms and the Informal Economy

47 p.

An integrated design approach to power systems : from power flows to electricity markets

Power system is at the brink of change. Engineering needs, economic forces and environmental factors are the main drivers of this change. The vision is to build a smart electrical grid and a smarter market mechanism around it to fulfill mandates on clean energy. Looking at engineering and economic issues in isolation is no longer an option today; it needs an integrated design approach. In this thesis, I shall revisit some of the classical questions on the engineering operation of power systems that deals with the nonconvexity of power flow equations. Then I shall explore some issues of the interaction of these power flow equations on the electricity markets to address the fundamental issue of market power in a deregulated market environment. Finally, motivated by the emergence of new storage technologies, I present an interesting result on the investment decision problem of placing storage over a power network. The goal of this study is to demonstrate that modern optimization and game theory can provide unique insights into this complex system. Some of the ideas carry over to applications beyond power systems.

Flexible microimplants for in vivo sensing

The work in this thesis develops two types of microimplants for the application of cardiovascular in vivo biomedical sensing, one for short-term diagnosis and the other for long-term monitoring.

Despite advances in diagnosis and therapy, atherosclerotic cardiovascular disease remains the leading cause of morbidity and mortality in the Western world. Predicting metabolically active atherosclerotic plaques has remained an unmet clinical need. A stretchable impedance sensor manifested as a pair of quasi-concentric microelectrodes was developed to detect unstable intravascular. By integrating the impedance sensor with a cardiac catheter, high-resolution Electrochemical Impedance Spectroscopy (EIS) measurements can be conducted during cardiac catheterization. An inflatable silicone balloon is added to the sensor to secure a well-controlled contact with the plaque under test in vivo. By deploying the device to the explants of NZW rabbit aorta and live animals, distinct EIS measurements were observed for unstable atherosclerotic plaques that harbored active lipids and inflammatory cells.

On the other hand, zebrafish (Danio rerio) is an emerging genetic model for heart regenerative medicine. In humans, myocardial infarction results in the irreversible loss of cardiomyocytes. Zebrafish hearts can fully regenerate after two months with 20% ventricular resection. Long-term electrocardiogram (ECG) recording can characterize the heart regeneration in a functional dimension. A flexible microelectrode membrane was developed to be percutaneously implanted onto a zebrafish heart and record epicardial ECG signals from specific regions on it. Region-specific aberrant cardiac signals were obtained from injured and regenerated hearts. Following that, in order to achieve continuous and wireless recording from non-sedated and non-restricted small animal models, a wireless ECG recording system was designed for the microelectrode membrane, prototyped on a printed circuit board and demonstrated on a one-day-old neonatal mouse. Furthermore, a flexible and compact parylene C printed circuit membrane was used as the integration platform for the wireless ECG recording electronics. A substantially miniature wireless ECG recording system was achieved.

Financial Futures Markets and Their Impact on the Real Economy in Middle and Low Income Countries

This project analyses the influence of the futures market on middle and low income countries. In it, I attempt to show that investments made by large investment funds in this market, as well as by certain pension plans, bring major consequences whose effects are more evident in less developed countries. The cornerstones of the work are as follows; to attempt to see the existing relationship between the commodity futures market and its underlying assets; analysing products such as wheat, rice and corn in-depth, because these are the most basic foodstuffs at a global level; to determine how an increase in trading in these markets can affect the lives of people in the poorest countries; to analyse investor concern regarding the consequences that their investments may have. Throughout the project we will see how large speculators use production forecasting models to determine the shortage of a commodity in order to take a position in the futures market to profit from it. In addition we will see how an increase in trading in this market causes an increase in the price of the underlying asset in the spot market. As for investor concern, I can say it is negligible, but the idea of running pension plans or investment funds that follow some social criteria has been welcomed by those interviewed, which makes me think that different legislation is possible. This legislation will only come into existence if it is demanded by the people. A fact that now becomes complicated because without a minimum financial basis, they cannot even know how the large investment funds trade with hunger in the world. The day when most people understand how large speculators profit from famine will be the day to put pressure on governments to begin to put limits on speculation. This makes financial awareness necessary in order to achieve a curb in excessive speculation.

A novel method to design flexible URAs

Aperture patterns play a vital role in coded aperture imaging ( CAI) applications. In recent years, many approaches were presented to design optimum or near-optimum aperture patterns. Uniformly redundant arrays (URAs) are, undoubtedly, the most successful for constant sidelobe of their periodic autocorrelation function. Unfortunately, the existing methods can only be used to design URAs with a limited number of array sizes and fixed autocorrelation sidelobe-to-peak ratios. In this paper, we present a novel method to design more flexible URAs. Our approach is based on a searching program driven by DIRECT, a global optimization algorithm. We transform the design question to a mathematical model, based on the DIRECT algorithm, which is advantageous for computer implementation. By changing determinative conditions, we obtain two kinds of types of URAs, including the filled URAs which can be constructed by existing methods and the sparse URAs which have never been mentioned by other authors as far as we know. Finally, we carry out an experiment to demonstrate the imaging performance of the sparse URAs.