VIX as a stock market indicator

The goal of this research was to make an overall sight to VIX and how it can be used as a stock market indicator. Volatility index, often referred as the fear index, measures how much does it cost for investor to protect his/hers S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has succesfull timing coordinator and it has told about the market state adding its own psychological view of the amount of fear and greed.

Guidelines for CERIF-XML Data Exchange with CSUC’s Catalan Research Portal (PRC) (Version 2.2)

The Catalan Research Portal (Portal de la Recerca de Catalunya or PRC) is an initiative carried out by the Consortium for University Services in Catalonia (CSUC) in coordination with nearly all universities in Catalonia. The Portal will provide an online CERIF-compliant collection of all research outputs produced by Catalan HEIs together with an appropriate contextual information describing the specific environment where the output was generated (such as researchers, research group, research project, etc). The initial emphasis of the Catalan Research Portal approach to research outputs will be made on publications, but other outputs such as patents and eventually research data will eventually be addressed as well. These guidelines provide information for PRC data providers to expose and exchange their research information metadata in CERIFXML compatible structure, thus allowing them not just to exchange validated CERIF XML data with the PRC platform, but to improve their general interoperability by being able to deliver CERIFcompatible outputs.

Models for the estimation of thermodynamic properties of layered double hydroxides: application to the study of their anion exchange characteristics

Several models for the estimation of thermodynamic properties of layered double hydroxides (LDHs) are presented. The predicted thermodynamic quantities calculated by the proposed models agree with experimental thermodynamic data. A thermodynamic study of the anion exchange process on LDHs is also made using the described models. Tables for the prediction of monovalent anion exchange selectivities on LDHs are provided. Reasonable agreement is found between the predicted and the experimental monovalent anion exchange selectivities.

Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.

A Markov chain analysis of emotional exchange in voice-to-voice communication: Testing for the mimicry hypothesis of emotional contagion

Mimicry is a central plank of the emotional contagion theory; however, it was only tested with facial and postural emotional stimuli. This study explores the existence of mimicry in voice-to-voice communication by analyzing 8,747 sequences of emotional displays between customers and employees in a call-center context. We listened live to 967 telephone inter-actions, registered the sequences of emotional displays, and analyzed them with a Markov chain. We also explored other propositions of emotional contagion theory that were yet to be tested in vocal contexts. Results supported that mimicry is significantly present at all levels. Our findings fill an important gap in the emotional contagion theory; have practical implications regarding voice-to-voice interactions; and open doors for future vocal mimicry research.

The Market Behavior of Emerging Stock Markets in Europe

This study investigates the over and underreaction effects in nine emerging stock markets of Europe. Especially, the possible behavioral aspects behind them are an area of interest. These aspects would link them strongly to behavioral finance. Second, our aim is to provide more evidence of the similar or dissimilar behavior in general among these countries. Third, the possibility to gain abnormal returns from these markets is also under investigation. Data from nine emerging stock market indexes in Europe is gathered from January 1, 1998 to January 1, 2008 to find answers to the stated questions. Studies for the over and underreaction effects are done using a variant of the event study methodology which in this case includes two different calculation methods for the expected returns. Studies are performed using 60 day time intervals. The results between the two different methods used are relatively similar concerning the over and underreaction effects. Another of the methods, however, suggests there to be behavioral aspects behind the effects interpreted. On the other hand, the another method does not support this suggestion. However, a conclusion can be made that the factors driving these countries' behavior are related to their geographical location and to the fact that they are emerging countries.

Testing the Random Walk Hypothesis on the Baltic Stock Markets

The purpose of the thesis is to analyze whether the returns of general stock market indices of Estonia, Latvia and Lithuania follow the random walk hypothesis (RWH), and in addition, whether they are consistent with the weak-form efficiency criterion. Also the existence of the day-of-the-week anomaly is examined in the same regional markets. The data consists of daily closing quotes of the OMX Tallinn, Riga and Vilnius total return indices for the sample period from January 3, 2000 to August 28, 2009. Moreover, the full sample period is also divided into two sub-periods. The RWH is tested by applying three quantitative methods (i.e. the Augmented Dickey-Fuller unit root test, serial correlation test and non-parametric runs test). Ordinary Least Squares (OLS) regression with dummy variables is employed to detect the day-of-the-week anomalies. The random walk hypothesis (RWH) is rejected in the Estonian and Lithuanian stock markets. The Latvian stock market exhibits more efficient behaviour, although some evidence of inefficiency is also found, mostly during the first sub-period from 2000 to 2004. Day-of-the-week anomalies are detected on every stock market examined, though no longer during the later sub-period.

The intrinsic mechanisms of softwood fiber damage in brown stock fiber line unit operations Lappeenranta 2010

The effects of pulp processing on softwood fiber properties strongly influence the properties of wet and dry paper webs. Pulp strength delivery studies have provided observations that much of the strength potential of long fibered pulp is lost during brown stock fiber line operations where the pulp is merely washed and transferred to the subsequent processing stages. The objective of this work was to study the intrinsic mechanisms which maycause fiber damage in the different unit operations of modern softwood brown stock processing. The work was conducted by studying the effects of industrial machinery on pulp properties with some actions of unit operations simulated in laboratory scale devices under controlled conditions. An optical imaging system was created and used to study the orientation of fibers in the internal flows during pulp fluidization in mixers and the passage of fibers through the screen openings during screening. The qualitative changes in fibers were evaluated with existing and standardized techniques. The results showed that each process stage has its characteristic effects on fiber properties: Pulp washing and mat formation in displacement washers introduced fiber deformations especially if the fibers entering the stage were intact, but it did not decrease the pulp strength properties. However, storage chests and pulp transfer after displacement washers contributed to strength deterioration. Pulp screening proved to be quite gentle, having the potential of slightly evening out fiber deformations from very deformed pulps and vice versa inflicting a marginal increase in the deformation indices if the fibers were previously intact. Pulp mixing in fluidizing industrial mixers did not have detrimental effects on pulp strength and had the potential of slightly evening out the deformations, provided that the intensity of fluidization was high enough to allow fiber orientation with the flow and that the time of mixing was short. The chemical and mechanical actions of oxygen delignification had two distinct effects on pulp properties: chemical treatment clearly reduced pulp strength with and without mechanical treatment, and the mechanical actions of process machinery introduced more conformability to pulp fibers, but did not clearly contribute to a further decrease in pulp strength. The chemical composition of fibers entering the oxygen stage was also found to affect the susceptibility of fibers to damage during oxygen delignification. Fibers with the smallest content of xylan were found to be more prone to irreversibledeformations accompanied with a lower tensile strength of the pulp. Fibers poor in glucomannan exhibited a lower fiber strength while wet after oxygen delignification as compared to the reference pulp. Pulps with the smallest lignin content on the other hand exhibited improved strength properties as compared to the references.

Flow injection spectrophotometric determination of adrenaline using a solid-phase reactor containing triiodide ions immobilized in an anion-exchange resin

A flow injection spectrophotometric procedure with on-line solid-phase reactor containing ion triiodide immobilized in an anion-exchange resin is proposed for the determination of adrenaline (epinephrine) in pharmaceutical products. Adrenaline is oxidized by triiodide ion immobilized in an anionic-exchange resin yielding adrenochrome which is transported by the carrier solution and detected at a wavelength of 488 nm. Adrenaline was determined in three pharmaceutical products in the 6.4 x 10-6 to 3.0 x 10-4 mol L-1 concentration range with a detection limit of 4.8 x 10-7 mol L-1. The recovery of this analyte in three samples ranged from 96.0 to 105 %. The analytical frequency was 80 determinations per hour and the RSDs were less than 1 % for adrenaline concentrations of 6.4 x 10-5 and 2.0 x 10-4 mol L-1 (n=10). A paired t-test showed that all results obtained for adrenaline in commercial formulations using the proposed flow injection procedure and a spectrophotometric batch procedure agree at the 95% confidence level.

The Li+, Na+ and K+ ion exchange reaction process on the surface of mixed oxide SiO2/TiO2/Sb2O5 surface prepared by the sol-gel processing method

The porous mixed oxide SiO2/TiO2/Sb2O5 obtained by the sol-gel processing method presented a good ion exchange property and a high exchange capacity towards the Li+, Na+ and K+ ions. In the H+/M+ ion exchange process, the H+ / Na+ could be described as presenting an ideal character. The ion exchange equilibria of Li+ and K+ were quantitatively described with the help of the model of fixed tetradentate centers. The results of simulation evidence that for the H+ / Li+ exchange the usual situation takes place: the affinity of the material to the Li+ ions is decreased with increasing the degree of ion exchange. On the contrary, for K+ the effects of positive cooperativity, that facilitate the H+ / K+ exchange, were revealed.