Modeling Nonlinearities and Asymmetries in Asset Pricing

Financial time series tend to behave in a manner that is not directly drawn from a normal distribution. Asymmetries and nonlinearities are usually seen and these characteristics need to be taken into account. To make forecasts and predictions of future return and risk is rather complicated. The existing models for predicting risk are of help to a certain degree, but the complexity in financial time series data makes it difficult. The introduction of nonlinearities and asymmetries for the purpose of better models and forecasts regarding both mean and variance is supported by the essays in this dissertation. Linear and nonlinear models are consequently introduced in this dissertation. The advantages of nonlinear models are that they can take into account asymmetries. Asymmetric patterns usually mean that large negative returns appear more often than positive returns of the same magnitude. This goes hand in hand with the fact that negative returns are associated with higher risk than in the case where positive returns of the same magnitude are observed. The reason why these models are of high importance lies in the ability to make the best possible estimations and predictions of future returns and for predicting risk.

Customer asset management in action: using customers portfolio for allocating resources across business-to-business relationships for improved shareholder value

Suvi Nenonen Customer asset management in action: using customer portfolios for allocating resources across business-to-business relationships for improved shareholder value Customers are crucial assets to all firms as customers are the ultimate source of all cash flows. Regardless this financial importance of customer relationships, for decades there has been a lack of suitable frameworks explaining how customer relationships contribute to the firm financial performance and how this contribution can be actively managed. In order to facilitate a better understanding of the customer asset, contemporary marketing has investigated the use of financial theories and asset management practices in the customer relationship context. Building on this, marketing academics have promoted the customer lifetime value concept as a solution for valuating and managing customer relationships for optimal financial outcomes. However, the empirical investigation of customer asset management lags behind the conceptual development steps taken. Additionally, the practitioners have not embraced the use of customer lifetime value in guiding managerial decisions - especially in the business-to-business context. The thesis points out that there are fundamental differences between customer relationships and investment instruments as investment targets, effectively eliminating the possibility to use financial theories in a customer relationships context or to optimize the customer base as a single investment portfolio. As an alternative, the thesis proposes the use of customer portfolio approach for allocating resources across the customer base for improved shareholder value. In the customer portfolio approach, the customer base of a firm is divided into multiple portfolios based on customer relationships’ potential to contribute to the shareholder value creation. After this, customer management concepts are tailored to each customer portfolio, designed to improve the shareholder value in their own respect. Therefore, effective customer asset management with the customer portfolio approach necessitates that firms are able to manage multiple parallel customer management concepts, or business models, simultaneously. The thesis is one of the first empirical studies on customer asset management, bringing empirical evidence from multiple business-to-business case studies on how customer portfolio models can be formed, how customer portfolios can be managed, and how customer asset management has contributed to the firm financial performance.

Customer asset management in action: using customers portfolio for allocating resources across business-to-business relationships for improved shareholder value

Suvi Nenonen Customer asset management in action: using customer portfolios for allocating resources across business-to-business relationships for improved shareholder value Customers are crucial assets to all firms as customers are the ultimate source of all cash flows. Regardless this financial importance of customer relationships, for decades there has been a lack of suitable frameworks explaining how customer relationships contribute to the firm financial performance and how this contribution can be actively managed. In order to facilitate a better understanding of the customer asset, contemporary marketing has investigated the use of financial theories and asset management practices in the customer relationship context. Building on this, marketing academics have promoted the customer lifetime value concept as a solution for valuating and managing customer relationships for optimal financial outcomes. However, the empirical investigation of customer asset management lags behind the conceptual development steps taken. Additionally, the practitioners have not embraced the use of customer lifetime value in guiding managerial decisions - especially in the business-to-business context. The thesis points out that there are fundamental differences between customer relationships and investment instruments as investment targets, effectively eliminating the possibility to use financial theories in a customer relationships context or to optimize the customer base as a single investment portfolio. As an alternative, the thesis proposes the use of customer portfolio approach for allocating resources across the customer base for improved shareholder value. In the customer portfolio approach, the customer base of a firm is divided into multiple portfolios based on customer relationships’ potential to contribute to the shareholder value creation. After this, customer management concepts are tailored to each customer portfolio, designed to improve the shareholder value in their own respect. Therefore, effective customer asset management with the customer portfolio approach necessitates that firms are able to manage multiple parallel customer management concepts, or business models, simultaneously. The thesis is one of the first empirical studies on customer asset management, bringing empirical evidence from multiple business-to-business case studies on how customer portfolio models can be formed, how customer portfolios can be managed, and how customer asset management has contributed to the firm financial performance.

The Physical Strenuousness of Work is Slightly Associated with an Upward Trend in the Body Mass Index

This paper explores the relationship between the physical strenuousness of work and the body mass index in Finland, using individual microdata over the period 1972-2002. The data contain self-reported information about the physical strenuousness of a respondent’s current occupation. Our estimates show that the changes in the physical strenuousness of work can explain around 8% at most of the definite increase in BMI observed over the period. The main reason for this appears to be that the quantitative magnitude of the effect of the physical strenuousness of work on BMI is rather moderate. Hence, according to the point estimates, BMI is only around 1.5% lower when one’s current occupation is physically very demanding and involves lifting and carrying heavy objects compared with sedentary job (reference group of the estimations), other things being equal. Accordingly, the changes in eating habits and the amount of physical activity during leisure time must be the most important contributors to the upward trend in BMI in industrialised countries, but not the changes in the labour market structure.

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.

Novel Nanocomposites Made of Boron Nitride Nanotubes and a Physical Gel

This article describes successful incorporation of multiwalled boron nitride nanotubes (BNNTs) and various functionalized BNNTs by Lewis bases such as trioctylamine (TOA), tributylamine (TBA), and triphenylphosphine (TPP), etc., in organogels formed by triphenylenevinylene (TPV)-based low molecular weight gelator (LMWG) in toluene and consequent characterization of the resulting gel nanocomposites. Functionalized BNNTs were synthesized first,and the presence of tubular structures with high aspect ratio and increased diameter compared to the starting BNNTs was confirmed by SEM. TEM, and Raman spectroscopy. The micrographs of composites of I and BNNTs showed evidence of wrapping of the gelator molecules on to the BNNT surface presumably brought about by pi-pi stacking and van der Waals interactions, This leads to the formation of densely packed and directionally aligned fibrous networks. Such ``reinforced'' aggregation of the gelator molecules in presence of doped BNNTs led to an increase in the sot-to-gel transition temperature and the solidification temperature of the gel nanocomposites as revealed from differential scanning calorimetry. Rheological investigations of the gel nanocomposites indicate that the flow properties of the resulting materials become resistant to applied stress upon incorporation of even a very low wt % of BNNTs. Finally, the increase in thermal conductivity of the nanocomposite compared to the gelator alone was observed for the temperature range of 0-60 degrees C which may make these composites potentially useful in various applications depending on the choice and the amount of BNNT loading in the composite.

M.tuberculosis Pantothenate Kinase: Dual Substrate Specificity and Unusual Changes in Ligand Locations

Kinetic measurements of enzyme activity indicate that type I pantothenate kinase from Mycobacterium tuberculosis has dual substrate specificity for ATP and GTP, unlike the enzyme from Escherichia coli, which shows a higher specificity for ATP. A molecular explanation for the difference in the specificities of the two homologous enzymes is provided by the crystal structures of the complexes of the M. tuberculosis enzyme with (1) GMPPCP and pantothenate, (2) GDP and phosphopantothenate, (3) GDP, (4) GDP and pantothenate, (5) AMPPCP, and (6) GMPPCP, reported here, and the structures of the complexes of the two enzymes involving coenzyme A and different adenyl nucleotides reported earlier. The explanation is substantially based on two critical substitutions in the amino acid sequence and the local conformational change resulting from them. The structures also provide a rationale for the movement of ligands during the action of the mycobacterial enzyme. Dual specificity of the type exhibited by this enzyme is rare. The change in locations of ligands during action,observed in the case of the M. tuberculosis enzyme, is unusual, so is the striking difference between two homologous enzymes in the geometryof the binding site, locations of ligands, and specificity. Furthermore, the dual specificity of the mycobacterial enzyme appears to have been caused by a biological necessity. (C) 2010 Elsevier Ltd.All rights reserved.

Plasticity in the primary binding site of galactose/N-acetylgalactosamine-specific lectins - Implication of the C-H center dot center dot center dot O hydrogen bond at the specificity-determining C-4 locus of the saccharide in 4-methoxygalactose recognition by jacalin and winged bean (basic) agglutinin I

It is currently believed that an unsubstituted axial hydroxyl at the specificity-determining C-4 locus of galactose is indispensable for recognition by galactose/N-acetylgalactosamine-specific lectins. Titration calorimetry demonstrates that 4-methoxygalactose retains binding allegiance to the Moraceae lectin jacalin and the Leguminosae lectin, winged bean (basic) agglutinin (WBA I). The binding reactions were driven by dominant favorable enthalpic contributions and exhibited significant enthalpy-entropy compensation. Proton NMR titration of C-methoxygalactose with jacalin and WBA I resulted in broadening of the sugar resonances without any change in chemical shift. The alpha-and beta-anomers of 4-methoxygalactose were found to be in slow exchange with free and lectin-bound states. Both the anomers experience magnetically equivalent environments at the respective binding sites. The binding constants derived from the dependence of NMR line widths on 4-methoxygalactose concentration agreed well with those obtained from titration calorimetry. The results unequivocally demonstrate that the loci corresponding to the axially oriented C-4 hydroxyl group of galactose within the primary binding site of these lectins exhibit plasticity. These analyses suggest, for the first time, the existence of C-H ... O-type hydrogen-bond(s) in protein-carbohydrate interactions in general and between the C-4 locus of galactose derivative and the lectins jacalin and WBA I in particular.

Sequence specificity in spermine-induced structural changes in CG-oligomers

The role of spermine in inducing A-DNA conformation in deoxyoligonucleotides has been studied using CCGG and GGCC as model sequences. It has been found that while CCGG adopts an alternating B-DNA conformation in low salt solution at low temperature, addition of spermine to this medium induces a B --greater than A transition. In contrast, the A-DNA-like structure of GGCC in low salt solution at low temperature does not change under the influence of spermine. This suggests a sequence-dependent behaviour of spermine. Further these results suggest that the A-DNA conformation observed in the crystals of d(iCCGG) and d(GGCC)2 might have been due to the presence of spermine in the crystallization cocktail.

A physical mechanism for North Atlantic SST influence on the Indian summer monsoon

A link between the Atlantic Multidecadal Oscillation (AMO) and multidecadal variability of the Indian summer monsoon rainfall is unraveled and a long sought physical mechanism linking Atlantic climate and monsoon has been identified. The AMO produces persistent weakening (strengthening) of the meridional gradient of tropospheric temperature (TT) by setting up negative (positive) TT anomaly over Eurasia during northern late summer/autumn resulting in early (late) withdrawal of the south west monsoon and persistent decrease (increase) of seasonal monsoon rainfall. On inter-annual time scales, strong North Atlantic Oscillation (NAO) or North Annular mode (NAM) influences the monsoon by producing similar TT anomaly over Eurasia. The AMO achieves the interdecadal modulation of the monsoon by modulating the frequency of occurrence of strong NAO/NAM events. This mechanism also provides a basis for explaining the observed teleconnection between North Atlantic temperature and the Asian monsoon in paleoclimatic proxies. Citation: Goswami, B. N., M. S. Madhusoodanan, C. P. Neema, and D. Sengupta (2006), A physical mechanism for North Atlantic SST influence on the Indian summer monsoon