The microstructure of the Irish stock market

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. Although we find no evidence of volatility changes associated with the introduction of Xetra we do find evidence of an increase in the speed of adjustment (JEL: G15).

Multiphase modelling of the characteristics of close coupled gas atomization

Not withstanding the high demand of metal powder for automotive and High Tech applications, there are still many unclear aspects of the production process. Only recentlyhas supercomputer performance made possible numerical investigation of such phenomena. This thesis focuses on the modelling aspects of primary and secondary atomization. Initially two-dimensional analysis is carried out to investigate the influence of flow parameters (reservoir pressure and gas temperature principally) and nozzle geometry on final powder yielding. Among the different types, close coupled atomizers have the best performance in terms of cost and narrow size distribution. An isentropic contoured nozzle is introduced to minimize the gas flow losses through shock cells: the results demonstrate that it outperformed the standard converging-diverging slit nozzle. Furthermore the utilization of hot gas gave a promising outcome: the powder size distribution is narrowed and the gas consumption reduced. In the second part of the thesis, the interaction of liquid metal and high speed gas near the feeding tube exit was studied. Both axisymmetric andnon-axisymmetric geometries were simulated using a 3D approach. The filming mechanism was detected only for very small metal flow rates (typically obtained in laboratory scale atomizers). When the melt flow increased, the liquid core overtook the adverse gas flow and entered in the high speed wake directly: in this case the disruption isdriven by sinusoidal surface waves. The process is characterized by fluctuating values of liquid volumes entering the domain that are monitored only as a time average rate: it is far from industrial robustness and capability concept. The non-axisymmetric geometry promoted the splitting of the initial stream into four cores, smaller in diameter and easier to atomize. Finally a new atomization design based on the lesson learned from previous cases simulation is presented.

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

Polymer modified cement: hydration microstructure and diffusion properties

Investigations concentrated on the styrene butadiene rubber (SBR) latex and formulations included standard carboxylated and special carboxylated latexes. The aqueous component, containing the stabilisers and antifoaming agent but not the polymer solids, was also used. For comparison, limited investigations were carried out using other polymer types e.g. acrylic, ethylene-vinyl acetate (EVA), and redispersible powders rather than emulsions. The major findings were: 1) All latex systems investigated acted as retarders for cement hydration. The extent of retardation depends on the type of polymer. The mechanism for cement hydration may be changed, and excessive retardation influences properties. 2) Polymer modified cements exhibited either similar or coarser pore structures compared with unmodified cements. Results suggest that polymer mainly exists in a mixture of cement hydrates and polymer phase. Very little evidence was found for the formation of a distinct polymer film phase. 3) During the first few days of curing the polymer solids are removed from the pore solution and concentrations of OH-, Na+ and K+ are reduced. These observations are probably a result of polymer-cement surface interactions since there was no evidence of any chemical reactions or degradation of the polymer. 4) Improved diffusional resistance of modified cements depends on the ability to achieve adequate workability at low w/c ratio, rather than modification of matrix structure.

The relationship between fracture toughness and microstructure in titanium alloys

Linear Elastic Fracture Mechanics has been used to study the microstructural factors controlling the strength and toughness of two alpha-beta, titanium alloys. Fracture toughness was found to be independent of orientation for alloy Ti/6A1/4-V, but orientation dependent for IMI 700, bend and tension specimens giving similar toughness values. Increasing the solution temperature led to the usual inverse relationship between strength and toughness, with toughness becoming a minimum as the beta transus was approached. The production of a double heat treated microstructure led to a 100% increase in toughness in the high strength alloy and a 20% increase in alloy Ti/6A1/4V, with little decrease in strength. The double heat treated microstruoture was produced by cooling from the beta field into the alpha beta field, followed. by conventional solution treatment and ageing. Forging above the beta transus led to an increase in toughness over alpha beta forging in the high strength alloy, but had little effect on the toughness of Ti/6A1/4V. Light and electron microscopy showed that the increased toughness resulted from the alpha phase being changed from mainly continuous to a discontinuous platelet form in a transformed beta matrix. Void formation occurred at the alpha-beta interface and crack propagation was via the interface or across the platelet depending on which process required the least energy. Varying the solution treatment temperature produced a varying interplatelet spacing and platelet thickness. The finest interplatelet spacing was associated with the highest toughness, since a higher applied stress was required to give the necessary stress concentration to initiate void formation. The thickest alpha platelet size gave the highest toughness which could be interpreted in terms of Krafftt's "process zone size" and the critical crack tip displacement criterion by Hahn and Rosenfield from an analysis by Goodier and Field.

Influence of impact angles on penetration rates of CRAs exposed to a high velocity multiphase flow

A combined flow loop - jet impingement pilot plant has been used to determine mass loss rates in a mixed gas - saltwater - sand multiphase flow at impact velocities up to 70 m/s. Artificial brine with a salt content of 27 g/1 was used as liquid phase. Sand content, with grain size below 150 µ, was 2.7 g/l brine. CO at a pressure of 15 bar was used as gas phase. The impact angle between jet stream (nozzle) and sample surface was varied between 30 and 90°. Rectangular stainless steel disc samples with a size of 20 × 15 × 5 mm were used. They were mechanically ground and polished prior to testing. Damaged surfaces of specimens exposed to the high velocity multiphase flow were investigated by stereo microscopy, scanning electron microscopy (SEM) and an optical device for 3D surface measurements. Furthermore, samples were investigated by applying atomic force microscopy (AFM), magnetic force microscopy (MFM) and nanoindentation. Influence of impact velocity and impact angle on penetration rates (mass loss rates) of two CRAs (UNS S30400 and N08028) are presented. Moreover effects of chemical composition and mechanical properties are critically discussed. © 2008 by NACE International.

Selective localization of organoclay and effects on the morphology and mechanical properties of LDPE/PA11 blends with distributed and co-continuous morphology

A study was made on the effect of small amounts of organically modified clay on the morphology and mechanical properties of blends of low-density polyethylene and polyamide 11 at different compositions. The influence of the filler on the blend morphology was investigated using wide angle X-ray diffractometry, scanning and transmission electron microscopy and selective extraction experiments. The filler was found to locate predominantly in the more hydrophilic polyamide phase. Although such uneven distribution does not have a significant effect on the onset of phase co-continuity of the polymer components, it brings about a drastic refinement of the microstructure for the blends both with droplets/matrix and co-continuous morphologies. In addition to the expected reinforcing action of the filler, the resulting fine microstructure plays an important role in enhancing the mechanical properties of the blends. This is essentially because of a good quality of stress transfer across the interface between the constituents, which also seems to benefit for a good interfacial adhesion promoted by the filler. Our results provide the experimental evidence for the capabilities of nanoparticles added to multiphase polymer systems to act selectively as a reinforcing agent for specific domains of the material and as a medium able to assist the refinement of the polymer phases during mixing.

An investigation into the depandance of electrical properties on microstructure in polycrystalline barium titanate

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT