Quantifying and modeling financial market fluctuations

Die Entstehung eines Marktpreises für einen Vermögenswert kann als Superposition der einzelnen Aktionen der Marktteilnehmer aufgefasst werden, die damit kumulativ Angebot und Nachfrage erzeugen. Dies ist in der statistischen Physik mit der Entstehung makroskopischer Eigenschaften vergleichbar, die von mikroskopischen Wechselwirkungen zwischen den beteiligten Systemkomponenten hervorgerufen werden. Die Verteilung der Preisänderungen an Finanzmärkten unterscheidet sich deutlich von einer Gaußverteilung. Dies führt zu empirischen Besonderheiten des Preisprozesses, zu denen neben dem Skalierungsverhalten nicht-triviale Korrelationsfunktionen und zeitlich gehäufte Volatilität zählen. In der vorliegenden Arbeit liegt der Fokus auf der Analyse von Finanzmarktzeitreihen und den darin enthaltenen Korrelationen. Es wird ein neues Verfahren zur Quantifizierung von Muster-basierten komplexen Korrelationen einer Zeitreihe entwickelt. Mit dieser Methodik werden signifikante Anzeichen dafür gefunden, dass sich typische Verhaltensmuster von Finanzmarktteilnehmern auf kurzen Zeitskalen manifestieren, dass also die Reaktion auf einen gegebenen Preisverlauf nicht rein zufällig ist, sondern vielmehr ähnliche Preisverläufe auch ähnliche Reaktionen hervorrufen. Ausgehend von der Untersuchung der komplexen Korrelationen in Finanzmarktzeitreihen wird die Frage behandelt, welche Eigenschaften sich beim Wechsel von einem positiven Trend zu einem negativen Trend verändern. Eine empirische Quantifizierung mittels Reskalierung liefert das Resultat, dass unabhängig von der betrachteten Zeitskala neue Preisextrema mit einem Anstieg des Transaktionsvolumens und einer Reduktion der Zeitintervalle zwischen Transaktionen einhergehen. Diese Abhängigkeiten weisen Charakteristika auf, die man auch in anderen komplexen Systemen in der Natur und speziell in physikalischen Systemen vorfindet. Über 9 Größenordnungen in der Zeit sind diese Eigenschaften auch unabhängig vom analysierten Markt - Trends, die nur für Sekunden bestehen, zeigen die gleiche Charakteristik wie Trends auf Zeitskalen von Monaten. Dies eröffnet die Möglichkeit, mehr über Finanzmarktblasen und deren Zusammenbrüche zu lernen, da Trends auf kleinen Zeitskalen viel häufiger auftreten. Zusätzlich wird eine Monte Carlo-basierte Simulation des Finanzmarktes analysiert und erweitert, um die empirischen Eigenschaften zu reproduzieren und Einblicke in deren Ursachen zu erhalten, die zum einen in der Finanzmarktmikrostruktur und andererseits in der Risikoaversion der Handelsteilnehmer zu suchen sind. Für die rechenzeitintensiven Verfahren kann mittels Parallelisierung auf einer Graphikkartenarchitektur eine deutliche Rechenzeitreduktion erreicht werden. Um das weite Spektrum an Einsatzbereichen von Graphikkarten zu aufzuzeigen, wird auch ein Standardmodell der statistischen Physik - das Ising-Modell - auf die Graphikkarte mit signifikanten Laufzeitvorteilen portiert. Teilresultate der Arbeit sind publiziert in [PGPS07, PPS08, Pre11, PVPS09b, PVPS09a, PS09, PS10a, SBF+10, BVP10, Pre10, PS10b, PSS10, SBF+11, PB10].

Aircraft-based in-situ aerosol mass spectrometry: Chemical characterization and source identification of submicron particulate matter in the free and upper troposphere and lower stratosphere

The composition of the atmosphere is frequently perturbed by the emission of gaseous and particulate matter from natural as well as anthropogenic sources. While the impact of trace gases on the radiative forcing of the climate is relatively well understood the role of aerosol is far more uncertain. Therefore, the study of the vertical distribution of particulate matter in the atmosphere and its chemical composition contribute valuable information to bridge this gap of knowledge. The chemical composition of aerosol reveals information on properties such as radiative behavior and hygroscopicity and therefore cloud condensation or ice nucleus potential. rnThis thesis focuses on aerosol pollution plumes observed in 2008 during the POLARCAT (Polar Study using Aircraft, Remote Sensing, Surface Measurements and Models, of Climate, Chemistry, Aerosols, and Transport) campaign over Greenland in June/July and CONCERT (Contrail and Cirrus Experiment) campaign over Central and Western Europe in October/November. Measurements were performed with an Aerodyne compact time-of-flight aerosol mass spectrometer (AMS) capable of online size-resolved chemical characterization of non-refractory submicron particles. In addition, the origins of pollution plumes were determined by means of modeling tools. The characterized pollution episodes originated from a large variety of sources and were encountered at distinct altitudes. They included pure natural emissions from two volcanic eruptions in 2008. By the time of detection over Western Europe between 10 and 12 km altitude the plume was about 3 months old and composed to 71 % of particulate sulfate and 21 % of carbonaceous compounds. Also, biomass burning (BB) plumes were observed over Greenland between 4 and 7 km altitude (free troposphere) originating from Canada and East Siberia. The long-range transport took roughly one and two weeks, respectively. The aerosol was composed of 78 % organic matter and 22 % particulate sulfate. Some Canadian and all Siberian BB plumes were mixed with anthropogenic emissions from fossil fuel combustion (FF) in North America and East Asia. It was found that the contribution of particulate sulfate increased with growing influences from anthropogenic activity and Asia reaching up to 37 % after more than two weeks of transport time. The most exclusively anthropogenic emission source probed in the upper troposphere was engine exhaust from commercial aircraft liners over Germany. However, in-situ characterization of this aerosol type during aircraft chasing was not possible. All long-range transport aerosol was found to have an O:C ratio close to or greater than 1 implying that low-volatility oxygenated organic aerosol was present in each case despite the variety of origins and the large range in age from 3 to 100 days. This leads to the conclusion that organic particulate matter reaches a final and uniform state of oxygenation after at least 3 days in the free troposphere. rnExcept for aircraft exhaust all emission sources mentioned above are surface-bound and thus rely on different types of vertical transport mechanisms, such as direct high altitude injection in the case of a volcanic eruption, or severe BB, or uplift by convection, to reach higher altitudes where particles can travel long distances before removal mainly caused by cloud scavenging. A lifetime for North American mixed BB and FF aerosol of 7 to 11 days was derived. This in consequence means that emission from surface point sources, e.g. volcanoes, or regions, e.g. East Asia, do not only have a relevant impact on the immediate surroundings but rather on a hemispheric scale including such climate sensitive zones as the tropopause or the Arctic.

Flexibility and firm value: the role of inventories

In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

Market Prices and Food Aid Local and Regional Procurement and Distribution: A Multi-Country Analysis

To date, no research has rigorously addressed the concern that local and regional procurement (LRP) of food aid could affect food prices and food price volatility in food aid source and recipient countries. We assemble spatially and temporally disaggregated data and estimate the relationship between food prices and their volatility and local food aid procurement and distribution across seven countries for several commodities. In most cases, LRP activities have no statistically significant relationship with either local price levels or food price volatility. The few exceptions underscore the importance of market monitoring. (C) 2013 Elsevier Ltd. All rights reserved.

Application of headspace solid phase microextraction to qualitative and quantitative analysis of tobacco additives in cigarettes

Cigarettes may contain up to 10% by weight additives which are intended to make them more attractive. A fast and rugged method for a cigarette-screening for additives with medium volatility was developed using automatic headspace solid phase microextraction (HS-SPME) with a 65 microm carbowax-divinylbenzene fiber and gas chromatography-mass spectrometry (GC-MS) with standard electron impact ionisation. In three runs, each cigarette sample was extracted in closed headspace vials using basic, acidic and neutral medium containing 0.5 g NaCl or Na2SO4. Furthermore, the method was optimized for quantitative determination of 17 frequently occurring additives. The practical applicability of the method was demonstrated for cigarettes from 32 brands.

Managing server energy and reducing operational cost for online service providers

The past decade has seen the energy consumption in servers and Internet Data Centers (IDCs) skyrocket. A recent survey estimated that the worldwide spending on servers and cooling have risen to above $30 billion and is likely to exceed spending on the new server hardware . The rapid rise in energy consumption has posted a serious threat to both energy resources and the environment, which makes green computing not only worthwhile but also necessary. This dissertation intends to tackle the challenges of both reducing the energy consumption of server systems and by reducing the cost for Online Service Providers (OSPs). Two distinct subsystems account for most of IDC’s power: the server system, which accounts for 56% of the total power consumption of an IDC, and the cooling and humidifcation systems, which accounts for about 30% of the total power consumption. The server system dominates the energy consumption of an IDC, and its power draw can vary drastically with data center utilization. In this dissertation, we propose three models to achieve energy effciency in web server clusters: an energy proportional model, an optimal server allocation and frequency adjustment strategy, and a constrained Markov model. The proposed models have combined Dynamic Voltage/Frequency Scaling (DV/FS) and Vary-On, Vary-off (VOVF) mechanisms that work together for more energy savings. Meanwhile, corresponding strategies are proposed to deal with the transition overheads. We further extend server energy management to the IDC’s costs management, helping the OSPs to conserve, manage their own electricity cost, and lower the carbon emissions. We have developed an optimal energy-aware load dispatching strategy that periodically maps more requests to the locations with lower electricity prices. A carbon emission limit is placed, and the volatility of the carbon offset market is also considered. Two energy effcient strategies are applied to the server system and the cooling system respectively. With the rapid development of cloud services, we also carry out research to reduce the server energy in cloud computing environments. In this work, we propose a new live virtual machine (VM) placement scheme that can effectively map VMs to Physical Machines (PMs) with substantial energy savings in a heterogeneous server cluster. A VM/PM mapping probability matrix is constructed, in which each VM request is assigned with a probability running on PMs. The VM/PM mapping probability matrix takes into account resource limitations, VM operation overheads, server reliability as well as energy effciency. The evolution of Internet Data Centers and the increasing demands of web services raise great challenges to improve the energy effciency of IDCs. We also express several potential areas for future research in each chapter.

Financial decision making about found oil and gas in Ghana : real options vs. traditional methods

This research is a study of the use of capital budgeting methods for investment decisions. It uses both the traditional methods and the newly introduced approach called the real options analysis to make a decision. The research elucidates how capital budgeting can be done when analysts encounter projects with high uncertainty and are capital intensive, for example oil and gas production. It then uses the oil and gas find in Ghana as a case study to support its argument. For a clear understanding a thorough literature review was done, which highlights the advantages and disadvantages of both methods. The revenue that the project will generate and the costs of production were obtained from the predictions by analysts from GNPC and compared to others experts’ opinion. It then applied both the traditional and real option valuation on the oil and gas find in Ghana to determine the project’s feasibility. Although, there are some short falls in real option analysis that are presented in this research, it is still helpful in valuing projects that are capital intensive with high volatility due to the strategic flexibility management possess in their decision making. It also suggests that traditional methods of evaluation should still be maintained and be used to value projects that have no options or those with options yet the options do not have significant impact on the project. The research points out the economic ripples the production of oil and gas will have on Ghana’s economy should the project be undertaken. These ripples include economic growth, massive job creation and reduction of the balance of trade deficit for the country. The long run effect is an eventually improvement of life of the citizens. It is also belief that the production of gas specifically can be used to generate electricity in Ghana which would enable the country to have a more stable and reliable power source necessary to attract more foreign direct investment.

CompAS: A new approach to commonality and variability analysis with applications in computer assisted orthopaedic surgery

In rapidly evolving domains such as Computer Assisted Orthopaedic Surgery (CAOS) emphasis is often put first on innovation and new functionality, rather than in developing the common infrastructure needed to support integration and reuse of these innovations. In fact, developing such an infrastructure is often considered to be a high-risk venture given the volatility of such a domain. We present CompAS, a method that exploits the very evolution of innovations in the domain to carry out the necessary quantitative and qualitative commonality and variability analysis, especially in the case of scarce system documentation. We show how our technique applies to the CAOS domain by using conference proceedings as a key source of information about the evolution of features in CAOS systems over a period of several years. We detect and classify evolution patterns to determine functional commonality and variability. We also identify non-functional requirements to help capture domain variability. We have validated our approach by evaluating the degree to which representative test systems can be covered by the common and variable features produced by our analysis.

The Risk Management of Minimum Return Guarantees

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Target Price Accuracy

This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown) 12-month stock price. Furthermore, we determine factors that explain this accuracy. Target price accuracy is negatively related to analyst-specific optimism and stock-specific risk (measured by volatility and price-to-book ratio). However, target price accuracy is positively related to the level of detail of each report, company size and the reputation of the investment bank. The potential conflicts of interests between an analyst and a covered company do not bias forecast accuracy.

A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

Thermochromatography study of volatile polonium species in various gas atmospheres

Phenomena related to the volatilization of polonium and its compounds are critical issues for the safety assessment of the innovative lead–bismuth cooled type of nuclear reactor or accelerator driven systems. The formation and volatilization of different species of polonium and their interaction with fused silica was studied by thermochromatography using carrier gases with varied redox potential. The obtained results show that under inert and reducing conditions in the absence of moisture, elemental polonium is formed. Polonium compounds more volatile than elemental polonium can be formed if traces of moisture are present in both inert and reducing carrier gas. The use of dried oxygen as carrier gas leads to the formation of polonium oxides, which are less volatile than elemental polonium. It was also found that the volatility of polonium oxides increases with increasing oxidation state. In the presence of moisture in an oxidizing carrier gas, species are formed that are more volatile than the oxides and less volatile than the elemental polonium. Considering the redox potential of the carrier gas those species are likely oxyhydroxides.

The abundance and isotopic composition of Cd in iron meteorites

Cadmium is a highly volatile element and its abundance in meteorites may help better understand volatility-controlled processes in the solar nebula and on meteorite parent bodies. The large thermal neutron capture cross section of 113Cd suggests that Cd isotopes might be well suited to quantify neutron fluences in extraterrestrial materials. The aims of this study were (1) to evaluate the range and magnitude of Cd concentrations in magmatic iron meteorites, and (2) to assess the potential of Cd isotopes as a neutron dosimeter for iron meteorites. Our new Cd concentration data determined by isotope dilution demonstrate that Cd concentrations in iron meteorites are significantly lower than in some previous studies. In contrast to large systematic variations in the concentration of moderately volatile elements like Ga and Ge, there is neither systematic variation in Cd concentration amongst troilites, nor amongst metal phases of different iron meteorite groups. Instead, Cd is strongly depleted in all iron meteorite groups, implying that the parent bodies accreted well above the condensation temperature of Cd (i.e., ≈650 K) and thus incorporated only minimal amounts of highly volatile elements. No Cd isotope anomalies were found, whereas Pt and W isotope anomalies for the same iron meteorite samples indicate a significant fluence of epithermal and higher energetic neutrons. This observation demonstrates that owing to the high Fe concentrations in iron meteorites, neutron capture mainly occurs at epithermal and higher energies. The combined Cd-Pt-W isotope results from this study thus demonstrate that the relative magnitude of neutron capture-induced isotope anomalies is strongly affected by the chemical composition of the irradiated material. The resulting low fluence of thermal neutrons in iron meteorites and their very low Cd concentrations make Cd isotopes unsuitable as a neutron dosimeter for iron meteorites.

Appreciation of nature and appreciation of environmental protection: How stable are these attitudes and which comes first?

Introduction. – Attitude toward nature and attitude toward environmental protection are two separate but correlated attitudes. Little is known about the two attitudes’ stability/volatility over time, despite the practical value of such knowledge. Objectives & method. – Using longitudinal survey data from 251 adults in a cross-lagged structural equation model, we assessed the degree of spontaneous (i.e., unprompted) change in the two attitudes. We also considered whether such change could provide evidence regarding causal direction; causation could go in either of two directions between the two attitudes, or it could even be bi-directional. Results. – We corroborated the substantive connection between attitude toward nature and attitude toward environmental protection; however, the absence of change in the attitudes despite the passage of two years disallows reliable statements about causal direction. Conclusion. – It is possible to protect the environment by encouraging appreciation of nature, but change in attitude toward nature and attitude toward environmental protection may be difficult to achieve with mature individuals.

Modeling the formation and aging of secondary organic aerosols during CalNex 2010

Four different literature parameterizations for the formation and evolution of urban secondary organic aerosol (SOA) frequently used in 3-D models are evaluated using a 0-D box model representing the Los Angeles metropolitan region during the California Research at the Nexus of Air Quality and Climate Change (CalNex) 2010 campaign. We constrain the model predictions with measurements from several platforms and compare predictions with particle- and gas-phase observations from the CalNex Pasadena ground site. That site provides a unique opportunity to study aerosol formation close to anthropogenic emission sources with limited recirculation. The model SOA that formed only from the oxidation of VOCs (V-SOA) is insufficient to explain the observed SOA concentrations, even when using SOA parameterizations with multi-generation oxidation that produce much higher yields than have been observed in chamber experiments, or when increasing yields to their upper limit estimates accounting for recently reported losses of vapors to chamber walls. The Community Multiscale Air Quality (WRF-CMAQ) model (version 5.0.1) provides excellent predictions of secondary inorganic particle species but underestimates the observed SOA mass by a factor of 25 when an older VOC-only parameterization is used, which is consistent with many previous model–measurement comparisons for pre-2007 anthropogenic SOA modules in urban areas. Including SOA from primary semi-volatile and intermediate-volatility organic compounds (P-S/IVOCs) following the parameterizations of Robinson et al. (2007), Grieshop et al. (2009), or Pye and Seinfeld (2010) improves model–measurement agreement for mass concentration. The results from the three parameterizations show large differences (e.g., a factor of 3 in SOA mass) and are not well constrained, underscoring the current uncertainties in this area. Our results strongly suggest that other precursors besides VOCs, such as P-S/IVOCs, are needed to explain the observed SOA concentrations in Pasadena. All the recent parameterizations overpredict urban SOA formation at long photochemical ages (3 days) compared to observations from multiple sites, which can lead to problems in regional and especially global modeling. However, reducing IVOC emissions by one-half in the model to better match recent IVOC measurements improves SOA predictions at these long photochemical ages. Among the explicitly modeled VOCs, the precursor compounds that contribute the greatest SOA mass are methylbenzenes. Measured polycyclic aromatic hydrocarbons (naphthalenes) contribute 0.7% of the modeled SOA mass. The amounts of SOA mass from diesel vehicles, gasoline vehicles, and cooking emissions are estimated to be 16–27, 35–61, and 19–35 %, respectively, depending on the parameterization used, which is consistent with the observed fossil fraction of urban SOA, 71(+-3) %. The relative contribution of each source is uncertain by almost a factor of 2 depending on the parameterization used. In-basin biogenic VOCs are predicted to contribute only a few percent to SOA. A regional SOA background of approximately 2.1 μgm-3 is also present due to the long-distance transport of highly aged OA, likely with a substantial contribution from regional biogenic SOA. The percentage of SOA from diesel vehicle emissions is the same, within the estimated uncertainty, as reported in previous work that analyzed the weekly cycles in OA concentrations (Bahreini et al., 2012; Hayes et al., 2013). However, the modeling work presented here suggests a strong anthropogenic source of modern carbon in SOA, due to cooking emissions, which was not accounted for in those previous studies and which is higher on weekends. Lastly, this work adapts a simple two-parameter model to predict SOA concentration and O/C from urban emissions. This model successfully predicts SOA concentration, and the optimal parameter combination is very similar to that found for Mexico City. This approach provides a computationally inexpensive method for predicting urban SOA in global and climate models. We estimate pollution SOA to account for 26 Tg yr-1 of SOA globally, or 17% of global SOA, one third of which is likely to be non-fossil.