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

Understanding sustainable development

Sustainable development is notoriously difficult to grasp for students and professionals. Multidimensional, encompassing social, ecological and economic theories, policies and practice, it can be a maze of complexity and contradiction. This powerful new textbook, by a topic instructor in the field, is the first to unravel sustainable development and provide readers with the deep understanding so often missing in other texts. The book adopts a multi-perspective approach designed specifically to allow access to the topic from a wide range of educational and professional backgrounds and to develop understanding of a diversity of approaches and traditions at different levels. It features multiple entry points, explains jargon and explores controversies. Also offering boxed examples from the local to the global, Understanding Sustainable Development is the most complete guide to the subject for course leaders, students and self-learners.

Sistema mecatrônico de tempo real para monitoramento da qualidade da água embarcado em veleiro robótico autônomo

We propose a mechatronic system for monitoring water quality in rivers, lakes, dams and sea, able to perform the acquisition, processing and presentation of data via the web in real time, in order to facilitate analysis quickly and needs by interested communities. The hardware architecture and software monitoring system has been developed so that it can be generic, that is, supporting different applications. Nevertheless, as a validation of the proposed system, we built a prototype that operates embarked on an autonomous robotic sailboat, a responsible platform for collecting the data in multiple predefined points from a ground station with a planning system navigation. This final application combines the advantages of autonomy of a robotic sailboat with the need for fast and accurate monitoring of water quality, in addition to the use of an autonomous robotic sailboat unmanned facilitate the development of other research in this area.

Transformation into Platform - How can an organisation move from a single-sided business to platforms? A case study at Lyyti

The research studies the transformation from a single-sided offering to a multi-sided platform. The study aims to define platforms and their benefits, creating a theoretical framework by applying change management models with the platform theory, and by finding critical change points of the transformation. The empirical research was done by utilizing action research. The researcher worked as project manager in the case company, and studied the transformation project by working actively and leading the project team. The result of the project was a study of how the company would be able to manage the transformation. The results clearly showed that the company didn’t have the capabilities to finish the transformation. As a conclusion, the study showed that the critical change points that led to the project failure were, that the project was managed with insufficient change managerial efforts, which later resulted as lack of commitment to re-allocating the resources to complete the transformation. Many of the critical change points were results of combined change managerial and platform-related issues.

POPLAR GENE EXPRESSION DATA ANALYSIS PIPELINES

Analyzing large-scale gene expression data is a labor-intensive and time-consuming process. To make data analysis easier, we developed a set of pipelines for rapid processing and analysis poplar gene expression data for knowledge discovery. Of all pipelines developed, differentially expressed genes (DEGs) pipeline is the one designed to identify biologically important genes that are differentially expressed in one of multiple time points for conditions. Pathway analysis pipeline was designed to identify the differentially expression metabolic pathways. Protein domain enrichment pipeline can identify the enriched protein domains present in the DEGs. Finally, Gene Ontology (GO) enrichment analysis pipeline was developed to identify the enriched GO terms in the DEGs. Our pipeline tools can analyze both microarray gene data and high-throughput gene data. These two types of data are obtained by two different technologies. A microarray technology is to measure gene expression levels via microarray chips, a collection of microscopic DNA spots attached to a solid (glass) surface, whereas high throughput sequencing, also called as the next-generation sequencing, is a new technology to measure gene expression levels by directly sequencing mRNAs, and obtaining each mRNA’s copy numbers in cells or tissues. We also developed a web portal (http://sys.bio.mtu.edu/) to make all pipelines available to public to facilitate users to analyze their gene expression data. In addition to the analyses mentioned above, it can also perform GO hierarchy analysis, i.e. construct GO trees using a list of GO terms as an input.

Power Study on Testing Epidemic Alternatives

Detecting change points in epidemic models has been studied by many scholars. Yao (1993) summarized five existing test statistics in the literature. Out of those test statistics, it was observed that the likelihood ratio statistic showed its standout power. However, all of the existing test statistics are based on an assumption that population variance is known, which is an unrealistic assumption in practice. To avoid assuming known population variance, a new test statistic for detecting epidemic models is studied in this thesis. The new test statistic is a parameter-free test statistic which is more powerful compared to the existing test statistics. Different sample sizes and lengths of epidemic durations are used for the power comparison purpose. Monte Carlo simulation is used to find the critical values of the new test statistic and to perform the power comparison. Based on the Monte Carlo simulation result, it can be concluded that the sample size and the length of the duration have some effect on the power of the tests. It can also be observed that the new test statistic studied in this thesis has higher power than the existing test statistics do in all of cases.

Hilbert Space Valued Signal Plus Noise Models: Analysis of Structural Breaks under High Dimensionality and Temporal Dependence

This thesis is concerned with change point analysis for time series, i.e. with detection of structural breaks in time-ordered, random data. This long-standing research field regained popularity over the last few years and is still undergoing, as statistical analysis in general, a transformation to high-dimensional problems. We focus on the fundamental »change in the mean« problem and provide extensions of the classical non-parametric Darling-Erdős-type cumulative sum (CUSUM) testing and estimation theory within highdimensional Hilbert space settings. In the first part we contribute to (long run) principal component based testing methods for Hilbert space valued time series under a rather broad (abrupt, epidemic, gradual, multiple) change setting and under dependence. For the dependence structure we consider either traditional m-dependence assumptions or more recently developed m-approximability conditions which cover, e.g., MA, AR and ARCH models. We derive Gumbel and Brownian bridge type approximations of the distribution of the test statistic under the null hypothesis of no change and consistency conditions under the alternative. A new formulation of the test statistic using projections on subspaces allows us to simplify the standard proof techniques and to weaken common assumptions on the covariance structure. Furthermore, we propose to adjust the principal components by an implicit estimation of a (possible) change direction. This approach adds flexibility to projection based methods, weakens typical technical conditions and provides better consistency properties under the alternative. In the second part we contribute to estimation methods for common changes in the means of panels of Hilbert space valued time series. We analyze weighted CUSUM estimates within a recently proposed »high-dimensional low sample size (HDLSS)« framework, where the sample size is fixed but the number of panels increases. We derive sharp conditions on »pointwise asymptotic accuracy« or »uniform asymptotic accuracy« of those estimates in terms of the weighting function. Particularly, we prove that a covariance-based correction of Darling-Erdős-type CUSUM estimates is required to guarantee uniform asymptotic accuracy under moderate dependence conditions within panels and that these conditions are fulfilled, e.g., by any MA(1) time series. As a counterexample we show that for AR(1) time series, close to the non-stationary case, the dependence is too strong and uniform asymptotic accuracy cannot be ensured. Finally, we conduct simulations to demonstrate that our results are practically applicable and that our methodological suggestions are advantageous.

The Collective Protagonist: Multiple Points of View and the Search for Truth in Familial Narratives

Thesis (Master's)--University of Washington, 2016-06

Responsiveness of the Multiple Sclerosis International Quality of Life questionnaire to disability change: a longitudinal study.

BACKGROUND Responsiveness, defined as the ability to detect a meaningful change, is a core psychometric property of an instrument measuring quality of life (QoL) rarely reported in multiple sclerosis (MS) studies. OBJECTIVE To assess the responsiveness of the Multiple Sclerosis International Quality of Life (MusiQoL) questionnaire to change in disability over 24 months, defined by change in the Expanded Disability Status Scale (EDSS) score. METHODS Patients with MS were enrolled into a multicenter, longitudinal observational study. QoL was assessed using both the MusiQoL and the 36-Item Short-Form (SF-36) instruments at baseline and every 6 months thereafter up to month 24; neurological assessments, including EDSS score, were performed at each evaluation. RESULTS The 24-month EDSS was available for 524 patients. In the 107 worsened patients, two specific dimensions of MusiQoL, the sentimental and sexual life and the relationships with health care system dimensions, and 'physical' scores of SF-36 showed responsiveness. CONCLUSIONS Whereas specific dimensions of MusiQoL identified EDSS changes, the MusiQoL index did not detect disability changes in worsened MS patients in a 24-month observational study. Future responsiveness validation studies should include longer follow-up and more representative samples.

Interferon-gamma impacts at multiple points during the progression of autoimmune diabetes.

The role of interferon-gamma in autoimmune diabetes was assessed by breeding a null mutation of the interferon-gamma receptor alpha chain into the nonobese diabetic mouse strain, as well as into a simplified T cell receptor transgenic model of diabetes. In contrast to a previous report on abrogation of the interferon-gamma gene, mutation of the gene encoding its receptor led to drastic effects on disease in both mouse lines. Nonobese diabetic mice showed a marked inhibition of insulitis-both the kinetics and penetrance-and no signs of diabetes; the transgenic model exhibited near-normal insulitis, but this never evolved into diabetes, either spontaneously or after experimental provocation. This failure could not be explained by perturbations in the ratio of T helper cell phenotypes; rather, it reflected a defect in antigen-presenting cells or in the islet beta cell targets.

Birth weight, weight change, and blood pressure during childhood and adolescence: a school-based multiple cohort study.

OBJECTIVE: We assessed the association between birth weight, weight change, and current blood pressure (BP) across the entire age-span of childhood and adolescence in large school-based cohorts in the Seychelles, an island state in the African region. METHODS: Three cohorts were analyzed: 1004 children examined at age 5.5 and 9.1 years, 1886 children at 9.1 and 12.5, and 1575 children at 12.5 and 15.5, respectively. Birth and 1-year anthropometric data were gathered from medical files. The outcome was BP at age 5.5, 9.1, 12.5 or 15.5 years, respectively. Conditional linear regression analysis was used to estimate the relative contribution of changes in weight (expressed in z-score) during different age periods on BP. All analyses were adjusted for height. RESULTS: At all ages, current BP was strongly associated with current weight. Birth weight was not significantly associated with current BP. Upon adjustment for current weight, the association between birth weight and current BP tended to become negative. Conditional linear regression analyses indicated that changes in weight during successive age periods since birth contributed substantially to current BP at all ages. The strength of the association between weight change and current BP increased throughout successive age periods. CONCLUSION: Weight changes during any age period since birth have substantial impact on BP during childhood and adolescence, with BP being more responsive to recent than earlier weight changes.

Product placement on personal blogs: a multiple case study from companies’ perspective

As traditional advertising is losing its value in corporations’ marketing, new and growing social media marketing channels are increasing their importance. The growing interest in the media and the lack of research on the subject create a clear need for this study. The objectives are to increase understanding about product placement in personal blogs and examine the benefits as well as the downsides created by this marketing channel and present the requirements for success. The study also takes a stand on what kind of things a successful product placement strategy in personal blogs includes and what points should be considered when creating a strategy. The study’s empirical part consists of seven thematic interviews with case companies’ representatives and one agent. The study’s personal blogs were delimited to consist only lifestyle and fashion blogs. The results show that product placement on personal lifestyle and fashion blogs is a strongly growing marketing channel and it is best suited to reach young women. It is also a very good channel to change and improve brand image. Via personal blogs it is possible to reach a large number of consumers with a very cost-efficient manner. Thus utilizing the channel is suitable for all companies regardless of the size of the marketing budget. Of course, companies have to consider the suitability of their product to the themes of blogs. Executing a successful campaign in this media requires good relationship management skills and understanding of this particular media as the final content is not in advertiser’s hands. As a marketing channel, personal blogs differ highly from traditional marketing channels because of their constantly changing nature and multidirectional quality where several parties are in interaction.

Effects of nitric oxide on magnocellular neurons of the supraoptic nucleus involve multiple mechanisms

Physiological evidence indicates that the supraoptic nucleus (SON) is an important region for integrating information related to homeostasis of body fluids. Located bilaterally to the optic chiasm, this nucleus is composed of magnocellular neurosecretory cells (MNCs) responsible for the synthesis and release of vasopressin and oxytocin to the neurohypophysis. At the cellular level, the control of vasopressin and oxytocin release is directly linked to the firing frequency of MNCs. In general, we can say that the excitability of these cells can be controlled via two distinct mechanisms: 1) the intrinsic membrane properties of the MNCs themselves and 2) synaptic input from circumventricular organs that contain osmosensitive neurons. It has also been demonstrated that MNCs are sensitive to osmotic stimuli in the physiological range. Therefore, the study of their intrinsic membrane properties became imperative to explain the osmosensitivity of MNCs. In addition to this, the discovery that several neurotransmitters and neuropeptides can modulate their electrical activity greatly increased our knowledge about the role played by the MNCs in fluid homeostasis. In particular, nitric oxide (NO) may be an important player in fluid balance homeostasis, because it has been demonstrated that the enzyme responsible for its production has an increased activity following a hypertonic stimulation of the system. At the cellular level, NO has been shown to change the electrical excitability of MNCs. Therefore, in this review, we focus on some important points concerning nitrergic modulation of the neuroendocrine system, particularly the effects of NO on the SON.