Measurement of the top quark mass at CDF using the “neutrino ϕ weighting” template method on a lepton plus isolated track sample

We present a measurement of the top quark mass with t-tbar dilepton events produced in p-pbar collisions at the Fermilab Tevatron $\sqrt{s}$=1.96 TeV and collected by the CDF II detector. A sample of 328 events with a charged electron or muon and an isolated track, corresponding to an integrated luminosity of 2.9 fb$^{-1}$, are selected as t-tbar candidates. To account for the unconstrained event kinematics, we scan over the phase space of the azimuthal angles ($\phi_{\nu_1},\phi_{\nu_2}$) of neutrinos and reconstruct the top quark mass for each $\phi_{\nu_1},\phi_{\nu_2}$ pair by minimizing a $\chi^2$ function in the t-tbar dilepton hypothesis. We assign $\chi^2$-dependent weights to the solutions in order to build a preferred mass for each event. Preferred mass distributions (templates) are built from simulated t-tbar and background events, and parameterized in order to provide continuous probability density functions. A likelihood fit to the mass distribution in data as a weighted sum of signal and background probability density functions gives a top quark mass of $165.5^{+{3.4}}_{-{3.3}}$(stat.)$\pm 3.1$(syst.) GeV/$c^2$.

Top quark mass measurement in the tt̅ all hadronic channel using a matrix element technique in pp̅ collisions at √s=1.96 TeV

We present a measurement of the top quark mass in the all-hadronic channel (\tt $\to$ \bb$q_{1}\bar{q_{2}}q_{3}\bar{q_{4}}$) using 943 pb$^{-1}$ of \ppbar collisions at $\sqrt {s} = 1.96$ TeV collected at the CDF II detector at Fermilab (CDF). We apply the standard model production and decay matrix-element (ME) to $\ttbar$ candidate events. We calculate per-event probability densities according to the ME calculation and construct template models of signal and background. The scale of the jet energy is calibrated using additional templates formed with the invariant mass of pairs of jets. These templates form an overall likelihood function that depends on the top quark mass and on the jet energy scale (JES). We estimate both by maximizing this function. Given 72 observed events, we measure a top quark mass of 171.1 $\pm$ 3.7 (stat.+JES) $\pm$ 2.1 (syst.) GeV/$c^{2}$. The combined uncertainty on the top quark mass is 4.3 GeV/$c^{2}$.

Nonlinear aeroelasticity of rotating and flapping wings - a review

The interaction between large deflections, rotation effects and unsteady aerodynamics makes the dynamic analysis of rotating and flapping wing a nonlinear aeroelastic problem. This problem is governed by nonlinear periodic partial differential equations whose solution is needed to calculate the response and loads acting on vehicles using rotary or flapping wings for lift generation. We look at three important problems in this paper. The first problem shows the effect of nonlinear phenomenon coming from piezoelectric actuators used for helicopter vibration control. The second problem looks at the propagation on material uncertainty on the nonlinear response, vibration and aeroelastic stability of a composite helicopter rotor. The third problem considers the use of piezoelectric actuators for generating large motions in a dragonfly inspired flapping wing. These problems provide interesting insights into nonlinear aeroelasticity and show the likelihood of surprising phenomenon which needs to be considered during the design of rotary and flapping wing vehicle

Essays on Stock Options, Incentives, and Managerial Action

Executive compensation and managerial behavior have received an increasing amount of attention in the financial economics literature since the mid 1970s. The purpose of this thesis is to extend our understanding of managerial compensation, especially how stock option compensation is linked to the actions undertaken by the management. Furthermore, managerial compensation is continuously and heatedly debated in the media and an emerging consensus from this discussion seems to be that there still exists gaps in our knowledge of optimal contracting. In Finland, the first executive stock options were introduced in the 1980s and throughout the last 15 years it has become increasingly popular for Finnish listed firms to use this type of managerial compensation. The empirical work in the thesis is conducted using data from Finland, in contrast to most previous studies that predominantly use U.S. data. Using Finnish data provides insight of how market conditions affect compensation and managerial action and provides an opportunity to explore what parts of the U.S. evidence can be generalized to other markets. The thesis consists of four essays. The first essay investigates the exercise policy of the executive stock option holders in Finland. In summary, Essay 1 contributes to our understanding of the exercise policies by examining both the determinants of the exercise decision and the markets reaction to the actual exercises. The second essay analyzes the factors driving stock option grants using data for Finnish publicly listed firms. Several agency theory based variables are found to have have explanatory power on the likelihood of a stock option grant. Essay 2 also contributes to our understanding of behavioral factors, such as prior stock return, as determinants of stock option compensation. The third essay investigates the tax and stock option motives for share repurchases and dividend distributions. We document strong support for the tax motive for share repurchases. Furthermore, we also analyze the dividend distribution decision in companies with stock options and find a significant difference between companies with and without dividend protected options. We thus document that the cutting of dividends found in previous U.S. studies can be avoided by dividend protection. In the fourth essay we approach the puzzle of negative skewness in stock returns from an altogether different angle than in previous studies. We suggest that negative skewness in stock returns is generated by management disclosure practices and find proof for this. More specifically, we find that negative skewness in daily returns is induced by returns for days when non-scheduled firm specific news is disclosed.

Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.

Factors Driving Stock Option Grants - Empirical Evidence from Finland

This study contributes to the executive stock option literature by looking at factors driving the introduction of such a compensation form on a firm level. Using a discrete decision model I test the explanatory power of several agency theory based variables and find strong support for predictability of the form of executive compensation. Ownership concentration and liquidity are found to have a significant negative effect on the probability of stock option adoption. Furtermore, I find evidence of CEO ownership, institutional ownership, investment intensity, and historical market return having a significant and a positive relationship to the likelihood of adopting a executive stock option program.

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

A non-orthogonal distributed space-time coded protocol - Part 1:Signal model and design criteria

In this two-part series of papers, a generalized non-orthogonal amplify and forward (GNAF) protocol which generalizes several known cooperative diversity protocols is proposed. Transmission in the GNAF protocol comprises of two phases - the broadcast phase and the cooperation phase. In the broadcast phase, the source broadcasts its information to the relays as well as the destination. In the cooperation phase, the source and the relays together transmit a space-time code in a distributed fashion. The GNAF protocol relaxes the constraints imposed by the protocol of Jing and Hassibi on the code structure. In Part-I of this paper, a code design criteria is obtained and it is shown that the GNAF protocol is delay efficient and coding gain efficient as well. Moreover GNAF protocol enables the use of sphere decoders at the destination with a non-exponential Maximum likelihood (ML) decoding complexity. In Part-II, several low decoding complexity code constructions are studied and a lower bound on the Diversity-Multiplexing Gain tradeoff of the GNAF protocol is obtained.

Approximate linear time ML decoding on tail-biting trellises in two rounds

A linear time approximate maximum likelihood decoding algorithm on tail-biting trellises is presented, that requires exactly two rounds on the trellis. This is an adaptation of an algorithm proposed earlier with the advantage that it reduces the time complexity from O(m log m) to O(m) where m is the number of nodes in the tail-biting trellis. A necessary condition for the output of the algorithm to differ from the output of the ideal ML decoder is deduced and simulation results on an AWGN channel using tail-biting trellises for two rate 1/2 convolutional codes with memory 4 and 6 respectively, are reported.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Characterization of human symptomatic rotavirus isolates MP409 and MP480 having ‘long’ RNA electropherotype and subgroup I specificity, highly related to the P6[1],G8 type bovine rotavirus A5, from Mysore, India

In an epidemiological study of symptomatic human rotaviruses in Mysore, India during 1993 and 1994, isolates MP409 and MP480 were isolated from two children suffering from severe, acute dehydrating diarrhea. Both isolates exhibited 'long' RNA pattern and subgroup I specificity suggesting the likelihood of their animal origin. Both isolates did not react with monoclonal antibodies (MAbs) specific for serotypes G1 to G6 as well as CIO. To determine the genetic origin of these isolates, complete nucleotide sequences of genes encoding the outer capsid proteins VP4 and VP7, nonstructural proteins NSP1 and NSP3 and viral enterotoxin protein NSP4 from MP409 and partial sequences of genes from MP480 were determined. Comparison of the 5' and 3' terminal sequences of 250 nucleotides revealed complete identity of the gene sequences in both strains suggesting that MP409 and MP480 are two different isolates of a single strain. Comparison of the nucleotide and deduced amino acid sequences of VP4, VP7, NSP1 and NSP3 of MP409 with published sequences of strains belonging to different serotypes revealed that both outer capsid proteins VP4 and VP7 and NSP1 are highly related to the respective proteins from the P6[1], G8 type bovine rotavirus A5 isolated from a calf with diarrhoea in Thailand and that the NSP3 is highly homologous to that of bovine rotaviruses. The NSP 1 protein showed greatest sequence identity with NSP4s belonging to the KUN genetic group to which NSP4s from human G2 type strains and bovine rotaviruses belong. MP409 and MP480 likely signify interspecies transmission of P6[1], G8 type strains from cattle to humans and represent the first P6[1] type rotaviruses isolated in humans. These and our previous studies on the asymptomatic neonatal strain I321 are of evolutionary and epidemiological significance in the context of close association of majority of the Indian population with cattle.

Low-Complexity Near-MAP Decoding of Large Non-Orthogonal STBCs Using PDA

Non-orthogonal space-time block codes (STBC) from cyclic division algebras (CDA) are attractive because they can simultaneously achieve both high spectral efficiencies (same spectral efficiency as in V-BLAST for a given number of transmit antennas) as well as full transmit diversity. Decoding of non-orthogonal STBCs with hundreds of dimensions has been a challenge. In this paper, we present a probabilistic data association (PDA) based algorithm for decoding non-orthogonal STBCs with large dimensions. Our simulation results show that the proposed PDA-based algorithm achieves near SISO AWGN uncoded BER as well as near-capacity coded BER (within 5 dB of the theoretical capacity) for large non-orthogonal STBCs from CDA. We study the effect of spatial correlation on the BER, and show that the performance loss due to spatial correlation can be alleviated by providing more receive spatial dimensions. We report good BER performance when a training-based iterative decoding/channel estimation is used (instead of assuming perfect channel knowledge) in channels with large coherence times. A comparison of the performances of the PDA algorithm and the likelihood ascent search (LAS) algorithm (reported in our recent work) is also presented.

High-Rate,2-Group ML-Decodable STBCs for 2(m) Transmit Antennas

A Space-Time Block Code (STBC) in K-variables is said to be g-Group ML-Decodable (GMLD) if its Maximum-Likelihood (ML) decoding metric can be written as a sum of g independent terms, with each term being a function of a subset of the K variables. In this paper, a construction method to obtain high-rate, 2-GMLD STBCs for 2(m) transmit antennas, m > 1, is presented. The rate of the STBC obtained for 2(m) transmit antennas is 2(m-2) + 1/2(m), complex symbols per channel use. The design method is illustrated for the case of 4 and 8 transmit antennas. The code obtained for 4 transmit antennas is equivalent to the rate-5/4 Quasi-Orthogonal design (QOD) proposed by Yuen, Guan and Tjung.

A Reactive Tabu Search Based Equalizer for Severely Delay-Spread UWB MIMO-ISI Channels

We propose a novel equalizer for ultrawideband (UWB) multiple-input multiple-output (MIMO) channels characterized by severe delay spreads. The proposed equalizer is based on reactive tabu search (RTS), which is a heuristic originally designed to obtain approximate solutions to combinatorial optimization problems. The proposed RTS equalizer is shown to perform increasingly better for increasing number of multipath components (MPC), and achieve near maximum likelihood (ML) performance for large number of MPCs at a much less complexity than that of the ML detector. The proposed RTS equalizer is shown to perform close to within 0.4 dB of single-input multiple-output AWGN performance at 10(-3) uncoded BER on a severely delay-spread UWB MIMO channel with 48 equal-energy MPCs.

A Low ML-Decoding Complexity, High Coding Gain, Full-Rate, Full-Diversity STBC for 4 x 2 MIMO System

This paper proposes a full-rate, full-diversity space-time block code(STBC) with low maximum likelihood (ML) decoding complexity and high coding gain for the 4 transmit antenna, 2 receive antenna (4 x 2) multiple-input multiple-output (MIMO) system that employs 4/16-QAM. For such a system, the best code known is the DjABBA code and recently, Biglieri, Hong and Viterbo have proposed another STBC (BHV code) for 4-QAM which has lower ML-decoding complexity than the DjABBA code but does not have full-diversity like the DjABBA code. The code proposed in this paper has the same ML-decoding complexity as the BHV code for any square M-QAM but has full-diversity for 4- and 16-QAM. Compared with the DjABBA code, the proposed code has lower ML-decoding complexity for square M-QAM constellation, higher coding gain for 4- and 16-QAM, and hence a better codeword error rate (CER) performance. Simulation results confirming this are presented.