Measuring Tail Risks at High Frequency

I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads. Market makers embed tail risk information into spreads because (1) they lose to arbitrageurs when changes to asset values exceed the cost of liquidity and (2) underlying price movements and potential costs are linear in factor loadings. Using this insight, simple cross-sectional regressions relating spreads and trading volume to factor betas can recover tail risks in real time for priced or non-priced return factors. The methodology disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with Federal Open Market Committee announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash. The recovered time series of implied market risks also aligns closely with both realized market jumps and the VIX.

Electron beam lithography assisted high-resolution pattern generation

This thesis details the top-down fabrication of nanostructures on Si and Ge substrates by electron beam lithography (EBL). Various polymeric resist materials were used to create nanopatterns by EBL and Chapter 1 discusses the development characteristics of these resists. Chapter 3 describes the processing parameters, resolution and topographical and structural changes of a new EBL resist known as ‘SML’. A comparison between SML and the standard resists PMMA and ZEP520A was undertaken to determine the suitability of SML as an EBL resist. It was established that SML is capable of high-resolution patterning and showed good pattern transfer capabilities. Germanium is a desirable material for use in microelectronic applications due to a number of superior qualities over silicon. EBL patterning of Ge with high-resolution hydrogen silsesquioxane (HSQ) resist is however difficult due to the presence of native surface oxides. Thus, to combat this problem a new technique for passivating Ge surfaces prior to EBL processes is detailed in Chapter 4. The surface passivation was carried out using simple acids like citric acid and acetic acid. The acids were gentle on the surface and enabled the formation of high-resolution arrays of Ge nanowires using HSQ resist. Chapter 5 details the directed self-assembly (DSA) of block copolymers (BCPs) on EBL patterned Si and, for the very first time, Ge surfaces. DSA of BCPs on template substrates is a promising technology for high volume and cost effective nanofabrication. The BCP employed for this study was poly (styrene-b-ethylene oxide) and the substrates were pre-defined by HSQ templates produced by EBL. The DSA technique resulted into pattern rectification (ordering in BCP) and in pattern multiplication within smaller areas.

Gas, water and volume characteristics during controlled degassing experiments on ODP Leg 164 PCS cores

A pressurized core with CH4 hydrate or dissolved CH4 should evolve gas volumes in a predictable manner as pressure is released over time at isothermal conditions. Incremental gas volumes were collected as pressure was released over time from 29 pressure core sampler (PCS) cores from Sites 994, 995, 996, and 997 on the Blake Ridge. Most of these cores were kept at or near 0ºC with an ice bath, and many of these cores yielded substantial quantities of CH4. Volume-pressure plots were constructed for 20 of these cores. Only five plots conform to expected volume and pressure changes for sediment cores with CH4 hydrate under initial pressure and temperature conditions. However, other evidence suggests that sediment in these five and at least five other PCS cores contained CH4 hydrate before core recovery and gas release. Detection of CH4 hydrate in a pressurized sediment core through volume-pressure relationships is complicated by two factors. First, significant quantities of CH4-poor borehole water fill the PCS and come into contact with the core. This leads to dilution of CH4 concentration in interstitial water and, in many cases, decomposition of CH4 hydrate before a degassing experiment begins. Second, degassing experiments were conducted after the PCS had equilibrated in an ice-water bath (0ºC). This temperature is significantly lower than in situ values in the sediment formation before core recovery. Our results and interpretations for PCS cores collected on Leg 164 imply that pressurized containers formerly used by the Deep Sea Drilling Project (DSDP) and currently used by ODP are not appropriately designed for direct detection of gas hydrate in sediment at in situ conditions through volume-pressure relationships.

Fossil associations from the middle and upper Eocene strata of the Pamplona Basin and surrounding areas (Navarre, western Pyrenees)

Fossil associations from the middle and upper Eocene (Bartonian and Priabonian) sedimentary succession of the Pamplona Basin are described. This succession was accumulated in the western part of the South Pyrenean peripheral foreland basin and extends from deep-marine turbiditic (Ezkaba Sandstone Formation) to deltaic (Pamplona Marl, Ardanatz Sandstone and Ilundain Marl formations) and marginal marine deposits (Gendulain Formation). The micropalaeontological content is high. It is dominated by foraminifera, and common ostracods and other microfossils are also present. The fossil ichnoasssemblages include at least 23 ichnogenera and 28 ichnospecies indicative of Nereites, Cruziana, Glossifungites and ?Scoyenia-Mermia ichnofacies. Body macrofossils of 78 taxa corresponding to macroforaminifera, sponges, corals, bryozoans, brachiopods, annelids, molluscs, arthropods, echinoderms and vertebrates have been identified. Both the number of ichnotaxa and of species (e. g. bryozoans, molluscs and condrichthyans) may be considerably higher. Body fossil assemblages are comparable to those from the Eocene of the Nord Pyrenean area (Basque Coast), and also to those from the Eocene of the west-central and eastern part of South Pyrenean area (Aragon and Catalonia). At the European scale, the molluscs assemblages seem endemic from the Pyrenean area, although several Tethyan (Italy and Alps) and Northern elements (Paris basin and Normandy) have been recorded. Palaeontological data of studied sedimentary units fit well with the shallowing process that throughout the middle and late Eocene occurs in the area, according to the sedimentological and stratigraphical data.

Tidal and wind influences on circulation in the southern mouth of the Ría de Vigo (NW Iberian Peninsula)

Tidal and wind influences on the velocity field in the Ría de Vigo were assessed using atmospheric data from two meteorological stations located at Bouzas port and on an oceanic buoy off Silleiro Cape along with oceanic data from an ADCP moored in the Ría for a 72-day period. A two-layer circulation pattern was observed. Near-surface and near-bottom currents are primarily influenced by wind (especially remote winds), separated by an intermediate layer dominated by tidal variability. At subtidal frequencies, residual currents are well correlated with wind variability. Remote wind forcing exhibited a markedly high correlation with surface layer currents, indicating the major role played by wind in the long-term upwelling-modulated circulation of the Ría.

Tidal and wind influences on circulation in the southern mouth of the Ría de Vigo (NW Iberian Peninsula)

Tidal and wind influences on the velocity field in the Ría de Vigo were assessed using atmospheric data from two meteorological stations located at Bouzas port and on an oceanic buoy off Silleiro Cape along with oceanic data from an ADCP moored in the Ría for a 72-day period. A two-layer circulation pattern was observed. Near-surface and near-bottom currents are primarily influenced by wind (especially remote winds), separated by an intermediate layer dominated by tidal variability. At subtidal frequencies, residual currents are well correlated with wind variability. Remote wind forcing exhibited a markedly high correlation with surface layer currents, indicating the major role played by wind in the long-term upwelling-modulated circulation of the Ría.

Calcium-rich gap transients: Tidal detonations of white dwarfs?

We hypothesize that at least some of the recently discovered class of calcium-rich gap transients are tidal detonation events of white dwarfs (WDs) by black holes (BHs) or possibly neutron stars. We show that the properties of the calcium-rich gap transients agree well with the predictions of the tidal detonation model. Under the predictions of this model, we use a follow-up X-ray observation of one of these transients, SN 2012hn, to place weak upper limits on the detonator mass of this system that include all intermediate-mass BHs (IMBHs). As these transients are preferentially in the stellar haloes of galaxies, we discuss the possibility that these transients are tidal detonations of WDs caused by random flyby encounters with IMBHs in dwarf galaxies or globular clusters. This possibility has been already suggested in the literature but without connection to the calcium-rich gap transients. In order for the random flyby cross-section to be high enough, these events would have to be occurring inside these dense stellar associations. However, there is a lack of evidence for IMBHs in these systems, and recent observations have ruled out all but the very faintest dwarf galaxies and globular clusters for a few of these transients. Another possibility is that these are tidal detonations caused by three-body interactions, where a WD is perturbed towards the detonator in isolated multiple star systems. We highlight a number of ways this could occur, even in lower mass systems with stellar-mass BHs or neutron stars. Finally, we outline several new observational tests of this scenario, which are feasible with current instrumentation.

Functional management of ankle sprains: what volume and intensity of walking is undertaken in the first week

BACKGROUND:
Acute ankle sprains are usually managed functionally, with advice to undertake progressive weight-bearing and walking. Mechanical loading is an important modular of tissue repair; therefore, the clinical effectiveness of walking after ankle sprain may be dose dependent. The intensity, magnitude and duration of load associated with current functional treatments for ankle sprain are unclear.
AIM:
To describe physical activity (PA) in the first week after ankle sprain and to compare results with a healthy control group.
METHODS:
Participants (16-65 years) with an acute ankle sprain were randomised into two groups (standard or exercise). Both groups were advised to apply ice and compression, and walk within the limits of pain. The exercise group undertook additional therapeutic exercises. PA was measured using an activPAL accelerometer, worn for 7 days after injury. Comparisons were made with a non-injured control group.
RESULTS:
The standard group were significantly less active (1.2 ± 0.4 h activity/day; 5621 ± 2294 steps/day) than the exercise (1.7 ± 0 .7 h/day, p=0.04; 7886 ± 3075 steps/day, p=0.03) and non-injured control groups (1.7 ± 0.4 h/day, p=0.02; 8844 ± 2185 steps/day, p=0.002). Also, compared with the non-injured control group, the standard and exercise groups spent less time in moderate (38.3 ± 12.7 min/day vs 14.5 ± 11.4 min/day, p=0.001 and 22.5 ± 15.9 min/day, p=0.003) and high-intensity activity (4.1 ± 6.9 min/day vs 0.1 ± 0.1 min/day, p=0.001 and 0.62 ± 1.0 min/day p=0.005).
CONCLUSION:
PA patterns are reduced in the first week after ankle sprain, which is partly ameliorated with addition of therapeutic exercises. This study represents the first step towards developing evidence-based walking prescription after acute ankle sprain.

Do Changes in Current Flow as a Result of Arrays of Tidal Turbines Have an Effect on Benthic Communities?

Arrays of tidal energy converters have the potential to provide clean renewable energy for future generations. Benthic communities may, however, be affected by changes in current speeds resulting from arrays of tidal converters located in areas characterised by strong currents. Current speed, together with bottom type and depth, strongly influence benthic community distributions; however the interaction of these factors in controlling benthic dynamics in high energy environments is poorly understood. The Strangford Lough Narrows, the location of SeaGen, the world’s first single full-scale, grid-compliant tidal energy extractor, is characterised by spatially heterogenous high current flows. A hydrodynamic model was used to select a range of benthic community study sites that had median flow velocities between 1.5–2.4 m/s in a depth range of 25–30 m. 25 sites were sampled for macrobenthic community structure using drop down video survey to test the sensitivity of the distribution of benthic communities to changes in the flow field. A diverse range of species were recorded which were consistent with those for high current flow environments and corresponding to very tide-swept faunal communities in the EUNIS classification. However, over the velocity range investigated, no changes in benthic communities were observed. This suggested that the high physical disturbance associated with the high current flows in the Strangford Narrows reflected the opportunistic nature of the benthic species present with individuals being continuously and randomly affected by turbulent forces and physical damage. It is concluded that during operation, the removal of energy by marine tidal energy arrays in the far-field is unlikely to have a significant effect on benthic communities in high flow environments. The results are of major significance to developers and regulators in the tidal energy industry when considering the environmental impacts for site licences.

Microwave Plasma Assisted ALD Development for the Deposition of Gate Oxides & ALD of High-k Dielectrics

The semiconductor industry's urge towards faster, smaller and cheaper integrated circuits has lead the industry to smaller node devices. The integrated circuits that are now under volume production belong to 22 nm and 14 nm technology nodes. In 2007 the 45 nm technology came with the revolutionary high- /metal gate structure. 22 nm technology utilizes fully depleted tri-gate transistor structure. The 14 nm technology is a continuation of the 22 nm technology. Intel is using second generation tri-gate technology in 14 nm devices. After 14 nm, the semiconductor industry is expected to continue the scaling with 10 nm devices followed by 7 nm. Recently, IBM has announced successful production of 7 nm node test chips. This is the fashion how nanoelectronics industry is proceeding with its scaling trend. For the present node of technologies selective deposition and selective removal of the materials are required. Atomic layer deposition and the atomic layer etching are the respective techniques used for selective deposition and selective removal. Atomic layer deposition still remains as a futuristic manufacturing approach that deposits materials and lms in exact places. In addition to the nano/microelectronics industry, ALD is also widening its application areas and acceptance. The usage of ALD equipments in industry exhibits a diversi cation trend. With this trend, large area, batch processing, particle ALD and plasma enhanced like ALD equipments are becoming prominent in industrial applications. In this work, the development of an atomic layer deposition tool with microwave plasma capability is described, which is a ordable even for lightly funded research labs.

Analysis of Policies for Safety Improvements on Low-Volume Rural Roadways,1994

In order to determine the adequacy with which safety problems on low-volume rural roadways were addressed by the four states of Federal Region VII (Iowa, Kansas, Missouri, and Nebraska), a review was made of the states' safety policies. After reviewing literature dealing with the identification of hazardous locations, evaluation methodologies, and system-wide safety improvements, a survey of the states' safety policies was conducted. An official from each state was questioned about the various aspects and procedures dealing with safety improvements. After analyzing and comparing the remarkably diverse policies, recommendations were made in the form of a model safety program. This program included special modifications that would help remediate hazards on low-volume rural roadways. Especially encouraged is a system-wide approach to improvement which would cover all parts of the highway system, not just urban and high-volume roadways.

Stochastic Modeling of Reversible Biochemical Reaction-Diffusion Systems and High-Resolution Shock-Capturing Methods for Fluid Interfaces

Thesis (Ph.D.)--University of Washington, 2016-08

A three dimensional finite volume approach to the thermo-mechanical modelling of the shape casting of metals

This paper presents a three dimensional, thermos-mechanical modelling approach to the cooling and solidification phases associated with the shape casting of metals ei. Die, sand and investment casting. Novel vortex-based Finite Volume (FV) methods are described and employed with regard to the small strain, non-linear Computational Solid Mechanics (CSM) capabilities required to model shape casting. The CSM capabilities include the non-linear material phenomena of creep and thermo-elasto-visco-plasticity at high temperatures and thermo-elasto-visco-plasticity at low temperatures and also multi body deformable contact with which can occur between the metal casting of the mould. The vortex-based FV methods, which can be readily applied to unstructured meshes, are included within a comprehensive FV modelling framework, PHYSICA. The additional heat transfer, by conduction and convection, filling, porosity and solidification algorithms existing within PHYSICA for the complete modelling of all shape casting process employ cell-centred FV methods. The termo-mechanical coupling is performed in a staggered incremental fashion, which addresses the possible gap formation between the component and the mould, and is ultimately validated against a variety of shape casting benchmarks.

A finite-volume shallow layer method for the MHD instabilities in an aluminium production cell

An electrolytic cell for Aluminium production contains molten metal and molten electrolyte, which are subject to high dc-currents and magnetic fields. Lorentz forces arising from the cross product of current and magnetic field may amplify natural gravity waves at the interface between the two fluids, leading to short circuits in extreme cases. The external magnetic field and current distribution in the production cell is computed through a detailed finite element analysis at Torino Polytechnic. The results are then used to compute the magnetohydrodynamic and thermal effects in the aluminium/electrolyte bath. Each cell has lateral dimensions of 6m x 2m, whilst the bath depth is only 30cm. the electrically resistive electrolyte path, which is critical in the operation of the cell, has layer depth of only a few centimetres below each carbon anode. Because the shallow dimensions of the liquid layer a finite-volume shallow-layer technique has been used at Greenwich to compute the resulting flow-field and interface perturbations. The information obtained from this method, i.e. depth averaged velocities and aluminium/electrolyte interface position is then embedded in the three-dimensional finite volume code PHYSICA and will be used to compute the heat transfer and phase change in the cell.

A neuroimaging investigation of the association between aerobic fitness, hippocampal volume and memory performance in preadolescent children

Because children are becoming increasingly overweight, unhealthy and unfit, understanding the neurocognitive benefits of an active lifestyle in childhood has important public health and educational implications. Animal research has indicated that aerobic exercise is related to increased cell proliferation and survival in the hippocampus as well as enhanced hippocampal-dependent learning and memory. Recent evidence extends this relationship to elderly humans by suggesting that high aerobic fitness levels in older adults are associated with increased hippocampal volume and superior memory performance. The present study aimed to further extend the link between fitness, hippocampal volume, and memory to a sample of preadolescent children. To this end, magnetic resonance imaging was employed to investigate whether high- and low-fit 9- and 10-year-old children showed differences in hippocampal volume and if the differences were related to performance on an item and relational memory task. Relational but not item memory is primarily supported by the hippocampus. Consistent with predictions, high-fit children showed greater bilateral hippocampal volumes. Furthermore, hippocampal volume was positively associated with performance on the relational but not the item memory task. The findings are the first to suggest that aerobic fitness can impact the structure and function of the developing human brain.