Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Actin Dynamics in Muscle Cells

In every cell, actin is a key component involved in migration, cytokinesis, endocytosis and generation of contraction. In non-muscle cells, actin filaments are very dynamic and regulated by an array of proteins that interact with actin filaments and/or monomeric actin. Interestingly, in non-muscle cells the barbed ends of the filaments are the predominant assembly place, whereas in muscle cells actin dynamics was reported to predominate at the pointed ends of thin filaments. The actin-based thin filament pointed (slow growing) ends extend towards the middle of the sarcomere's M-line where they interact with the thick filaments to generate contraction. The actin filaments in muscle cells are organized into a nearly crystalline array and are believed to be significantly less dynamic than the ones in other cell types. However, the exact mechanisms of the sarcomere assembly and turnover are largely unknown. Interestingly, although sarcomeric actin structures are believed to be relatively non-dynamic, many proteins promoting actin dynamics are expressed also in muscle cells (e.g ADF/cofilin, cyclase-associated protein and twinfilin). Thus, it is possible that the muscle-specific isoforms of these proteins promote actin dynamics differently from their non-muscle counterparts, or that actin filaments in muscle cells are more dynamic than previously thought. To study protein dynamics in live muscle cells, I used primary cell cultures of rat cardiomyocytes. My studies revealed that a subset of actin filaments in cardiomyocyte sarcomeres displays rapid turnover. Importantly, I discovered that the turnover of actin filaments depends on contractility of the cardiomyocytes and that the contractility-induced actin dynamics plays an important role in sarcomere maturation. Together with previous studies those findings suggest that sarcomeres undergo two types of actin dynamics: (1) contractility-dependent turnover of whole filaments and (2) regulatory pointed end monomer exchange to maintain correct thin filament length. Studies involving an actin polymerization inhibitor suggest that the dynamic actin filament pool identified here is composed of filaments that do not contribute to contractility. Additionally, I provided evidence that ADF/cofilins, together with myosin-induced contractility, are required to disassemble non-productive filaments in developing cardiomyocytes. In addition, during these studies we learned that isoforms of actin monomer binding protein twinfilin, Twf-1 and Twf-2a localise to myofibrils in cardiomyocytes and may thus contribute to actin dynamics in myofibrils. Finally, in collaboration with Roberto Dominguez s laboratory we characterized a new actin nucleator in muscle cells - leiomodin (Lmod). Lmod localises towards actin filament pointed ends and its depletion by siRNA leads to severe sarcomere abnormalities in cardiomyocytes. The actin filament nucleation activity of Lmod is enhanced by interactions with tropomyosin. We also revealed that Lmod expression correlates with the maturation of myofibrils, and that it associates with sarcomeres only at relatively late stages of myofibrillogenesis. Thus, Lmod is unlikely to play an important role in myofibril formation, but rather might be involved in the second step of the filament arrangement and/or maintenance through its ability to promote tropomyosin-induced actin filament nucleation occurring at the filament pointed ends. The results of these studies provide valuable new information about the molecular mechanisms underlying muscle sarcomere assembly and turnover. These data offer important clues to understanding certain physiological and pathological behaviours of muscle cells. Better understanding of the processes occurring in muscles might help to find strategies for determining, diagnosis, prognosis and therapy in heart and skeletal muscles diseases.

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.

On the use of weather radar for mesoscale applications in northern conditions

Mesoscale weather phenomena, such as the sea breeze circulation or lake effect snow bands, are typically too large to be observed at one point, yet too small to be caught in a traditional network of weather stations. Hence, the weather radar is one of the best tools for observing, analyzing and understanding their behavior and development. A weather radar network is a complex system, which has many structural and technical features to be tuned, from the location of each radar to the number of pulses averaged in the signal processing. These design parameters have no universal optimal values, but their selection depends on the nature of the weather phenomena to be monitored as well as on the applications for which the data will be used. The priorities and critical values are different for forest fire forecasting, aviation weather service or the planning of snow ploughing, to name a few radar-based applications. The main objective of the work performed within this thesis has been to combine knowledge of technical properties of the radar systems and our understanding of weather conditions in order to produce better applications able to efficiently support decision making in service duties for modern society related to weather and safety in northern conditions. When a new application is developed, it must be tested against ground truth . Two new verification approaches for radar-based hail estimates are introduced in this thesis. For mesoscale applications, finding the representative reference can be challenging since these phenomena are by definition difficult to catch with surface observations. Hence, almost any valuable information, which can be distilled from unconventional data sources such as newspapers and holiday shots is welcome. However, as important as getting data is to obtain estimates of data quality, and to judge to what extent the two disparate information sources can be compared. The presented new applications do not rely on radar data alone, but ingest information from auxiliary sources such as temperature fields. The author concludes that in the future the radar will continue to be a key source of data and information especially when used together in an effective way with other meteorological data.

Kirkkoon kuuluminen Helsingin osa-alueilla

In Helsinki's evangelical lutheran congregations, the share of the people being members of that church compared with all the people living in their specific geographical areas varies from 62,4 per cent in Paavali to 80,7 per cent in Munkkiniemi. The boundaries of the congregations are about to be redrawn to level the differences in the congregations. In this thesis, the reasons of the differences in Helsinki s districts were studied closer. The data consisted of statistical information gathered from the Population Information System of Finland. It included information by age groups about the population register keeper, marital status, native tongue, level of education and gender in the end of 2005. Additional data was gathered from Helsinki Region Statistics web service. It included information about the dwelling, level of income and main activities of the inhabitants in the districts. The main method was stepwise linear regression. Minor methods were crosstabulation and correlation matrixes. The result of the study was a statistical model that explains 72,2 per cent of the variation of the shares in the congregations. The dependent variable was the share of the people being members of evangelical lutheran church in the dirstricts. The independent variables were the share of the people having other than Finnish or Swedish as their native tongue, the share of rented apartments, the shares of apartments including four rooms and a kitchen, the share of detached houses in the districts and the shares of women and people with no income in the districts. The independent variables present in the model depict the amount of foreigners, dwellings, gender and the level of income of the population. The high share of foreigners, people with no income and rented apartments explain the low share of the people being members of evangelical lutheran church. On the contrary, the high share of the people being members of evangelical lutheran church in the district is explained by the large apartments, detached houses and amount of women living there.

X-ray-reflectivity study of Ge-Si-Ge films

Here we report on an x-ray specular reflectivity study of Ce-Si-Ge trilayers grown on Si(001) single-crystal substrate by ion beam sputtering deposition at various substrate temperatures. The electron-density profile of the trilayer as a function of depth, obtained from x-ray-reflectivity data, reveals an intermixing of Si and Ge. The x-ray-reflectivity data have been analyzed using a scheme based on the distorted-wave Born approximation, and the validity of the analysis scheme was checked using simulated data. Analyzed results provided information regarding interdiffusion in this system. We notice that although the Si-on-Ge interface is sharp, a Si0.4Ge0.6 alloy is formed at the Ge-on-Si interface.

Solar energy decision support system

Energy plays a prominent role in human society. As a result of technological and industrial development,the demand for energy is rapidly increasing. Existing power sources that are mainly fossil fuel based are leaving an unacceptable legacy of waste and pollution apart from diminishing stock of fuels.Hence, the focus is now shifted to large-scale propagation of renewable energy. Renewable energy technologies are clean sources of energy that have a much lower environmental impact than conventional energy technologies. Solar energy is one such renewable energy. Most renewable energy comes either directly or indirectly from the sun. Estimation of solar energy potential of a region requires detailed solar radiation climatology, and it is necessary to collect extensive radiation data of high accuracy covering all climatic zones of the region. In this regard, a decision support system (DSS)would help in estimating solar energy potential considering the region’s energy requirement.This article explains the design and implementation of DSS for assessment of solar energy. The DSS with executive information systems and reporting tools helps to tap vast data resources and deliver information. The main hypothesis is that this tool can be used to form a core of practical methodology that will result in more resilient in time and can be used by decision-making bodies to assess various scenarios. It also offers means of entering, accessing, and interpreting the information for the purpose of sound decision making.

PLAStiCC: Predictive Look-Ahead Scheduling for Continuous dataflows on Clouds

Scalable stream processing and continuous dataflow systems are gaining traction with the rise of big data due to the need for processing high velocity data in near real time. Unlike batch processing systems such as MapReduce and workflows, static scheduling strategies fall short for continuous dataflows due to the variations in the input data rates and the need for sustained throughput. The elastic resource provisioning of cloud infrastructure is valuable to meet the changing resource needs of such continuous applications. However, multi-tenant cloud resources introduce yet another dimension of performance variability that impacts the application's throughput. In this paper we propose PLAStiCC, an adaptive scheduling algorithm that balances resource cost and application throughput using a prediction-based lookahead approach. It not only addresses variations in the input data rates but also the underlying cloud infrastructure. In addition, we also propose several simpler static scheduling heuristics that operate in the absence of accurate performance prediction model. These static and adaptive heuristics are evaluated through extensive simulations using performance traces obtained from Amazon AWS IaaS public cloud. Our results show an improvement of up to 20% in the overall profit as compared to the reactive adaptation algorithm.

The Impact of Firm Level Contracting on Wage Levels and Inequality: Spain 1995-2002

This paper provides microeconomic evidence on the variation over time of the firm-specific wage premium in Spain from 1995 to 2002, and its impact on wage inequality. We make use of two waves of a detailed linked employer-employee data set. In addition, a new data set with financial information on firms is used for 2002 to control as flexibly as possible for differences in the performance of firms (aggregated at industry level). To our knowledge, there is no microeconomic evidence on the dynamics of the firm-specific wage premium for Spain or for any other country with a similar institutional setting. Our results suggest that there is a clear tendency towards centralization in the collective bargaining process in Spain over this seven-year period, that the firm-level contract wage premium undergoes a substantial decrease, particularly for women, and finally that the "centralization" observed in the collective bargaining process has resulted in a slight decrease in wage inequality.

Distribution of fishing effort and resulting tuna catches from the Eastern Tropical Pacific by quarters of the year, 1951-1958

ENGLISH: This is a data report based on information collected from the logbooks of baitboats and purse-seiners engaged in the fishery for yellowfin (Neothunnus macropterus) and skipjack (Katsulvonus pelamis) tuna in the Eastern Tropical Pacific Ocean from 1951 through 1958. The detailed analysis of these data appears in other research bulletins, some already published and others in preparation. SPANISH: Este es un informe basado en los datos contenidos en la información recogida de los registros de bitácora de los barcos de carnada y rederos que se dedicaron a la pesca de atún aleta amarilla (Neothunnus macropterus) y barrilete (Katsuwonus pelamis) en el Océano Pacífico Oriental Tropical de 1951 a 1958. El análisis detallado de estos datos aparece en otros boletines de investigación, algunos de los cuales ya han sido publicados y otros están en preparación.

Distribution and sighting frequency of reef fishes in the Florida Keys National Marine Sanctuary

This study analyzed species richness, distribution, and sighting frequency of selected reef fishes to describe species assemblage composition, abundance, and spatial distribution patterns among sites and regions (Upper Keys, Middle Keys, Lower Keys, and Dry Tortugas) within the Florida Keys National Marine Sanctuary (FKNMS) barrier reef ecosystem. Data were obtained from the Reef Environmental Education Foundation (REEF) Fish Survey Project, a volunteer fish-monitoring program. A total of 4,324 visual fish surveys conducted at 112 sites throughout the FKNMS were used in these analyses. The data set contained sighting information on 341 fish species comprising 68 families. Species richness was generally highest in the Upper Keys sites (maximum was 220 species at Molasses Reef) and lowest in the Dry Tortugas sites. Encounter rates differed among regions, with the Dry Tortugas having the highest rate, potentially a result of differences in the evenness in fishes and the lower diversity of habitat types in the Dry Tortugas region. Geographic coverage maps were developed for 29 frequently observed species. Fourteen of these species showed significant regional variation in mean sighting frequency (%SF). Six species had significantly lower mean %SF and eight species had significantly higher mean %SF in the Dry Tortugas compared with other regions. Hierarchical clustering based on species composition (presence-absence) and species % SF revealed interesting patterns of similarities among sites that varied across spatial scales. Results presented here indicate that phenomena affecting reef fish composition in the FKNMS operate at multiple spatial scales, including a biogeographic scale that defines the character of the region as a whole, a reef scale (~50-100 km) that include meso-scale physical oceanographic processes and regional variation in reef structure and associated reef habitats, and a local scale that includes level of protection, cross-shelf location and a suite of physical characteristics of a given reef. It is likely that at both regional and local scales, species habitat requirements strongly influence the patterns revealed in this study, and are particularly limiting for species that are less frequently observed in the Dry Tortugas. The results of this report serve as a benchmark for the current status of the reef fishes in the FKNMS. In addition, these data provide the basis for analyses on reserve effects and the biogeographic coupling of benthic habitats and fish assemblages that are currently underway. (PDF contains 61 pages.)

Die europäischen Krabbenanlandungen der letzten Jahre: Deutschland Nr. 1

Fishery on brown shrimp has developed towards one of the most important fisheries in the North Sea area in economic terms. Statistical data on European wide landings have been gathered by a working group of the International Council for the Exploration of the Sea. They show relatively stable shares of approximately 50% for Germany, 38% for the Netherlands and 8% for Denmark. Further production originates from Great Britain, France and Belgium. The new log-book regulation of the EU will give similar data improved by better information on fishing areas and fishing effort.

Ortsbezogene Informationen in Internet-Datenbanken - das Beispiel "Baltic SeaWeb"

Whoever in future will need information about a location or an area, either literature, measurement data, photos or administrative information, might only click on that spot on a screen map in the internet. A search programme started thereby will offer all available information in databanks. A step forward to such a solution, to the retrieval of location related literature and measurement data from different kinds of databanks, is presented by the project “Baltic Sea Web” (http://www.baltic.vtt.fi/ demonstrator/index.html). The basic idea was to make the available information about a certain location accessible via a link of their geographical coordinates, longitude and latitude, to a map in a web browser

Fisheries management in the social domain: perspectives from Tanzania's Lake Victoria fishery

For a long time, the Tanzanian Fisheries Department has managed Tanzanian fisheries without incorporating other stakeholders within its management framework. On lake Victoria, the persistent use of illegal fishing gear and declining catches have led the government to realize that this system of fisheries management may no longer be viable, and have sought to incorporate fishing communities into the management structure. Through the creation of beach management units (BMUs), the Fisheries Departments have sought to persuade fishing communities to implement and enforce Tanzania's fishing regulations and to monitor the fishery. In this paper we explore a recently gathered data set that yields information on, amongst others, how Tanzanian fishing communities perceive the state of their resource base, how they view their relationship with the Fisheries Department, the efficacy of fishing regulations and other variables. We draw on a series of criteria developed by Ostron (1990) for institutional 'robustness' to explore various areas of institutional development on Lake Victoria, and to try and anticipate how the BMUs will fare. We argue there are many socio-political and economic factors that will determine how communities will receive and perceive their responsibilities towards government-imposed administrative structures at the local level, these will become 'socialized' such that they will vary from place to place. While this may bode well for problems of heterogeneity, it does not necessarily mean that fisheries management objective on Lake Victoria will be met

Diferenças históricas, espaciais, sociais e por grupos de idade da razão de sexo, na população internada pelo SUS por HIV

A epidemia de HIV/AIDS, pelo seu histórico, é de natureza mutável em vários contextos sociais em todo o mundo. Desde a notificação dos primeiros casos até hoje, observa-se um curso diferenciado no decorrer do tempo, tanto no campo social como na biomedicina, o que a torna um problema passível de controle a longo prazo. Essas mudanças, entretanto, não são percebidas de igual maneira em todos os países ou regiões. Devido a vários fatores, a epidemia persiste como uma das dez primeiras causas de morte no mundo, sendo a primeira delas na África. No Brasil, o perfil da epidemia assemelha-se ao global, tendendo a diminuir/estabilizar a velocidade do surgimento de novos casos. Essa contenção deve-se ao impacto de ações preventivas desenvolvidas por iniciativas governamentais e não governamentais no sentido de promover práticas sexuais mais seguras. Neste mesmo contexto, algumas análises espaciais revelam transições demográficas da epidemia de HIV/AIDS nos anos mais recentes. Há mudanças e desigualdades na razão de sexo em diferentes condições sociodemográficas e do ponto de vista geracional. Em razão disso, este trabalho justifica-se pela necessidade de analisar as mudanças na razão de sexo, fornecendo informações importantes para o planejamento e política de prevenção no tratamento da AIDS, tendo em vista a vulnerabilidade da população feminina. O objetivo principal desta pesquisa é analisar diferenças históricas, espaciais e sociais da razão de sexo e idade na população internada pelo SUS em consequência da infecção pelo HIV no período de 1998 a 2009. Trata-se de um estudo descritivo e ecológico das diferenças históricas, espaciais e por grupos de idade na Razão de Sexo abrangendo também uma análise da Regressão Linear Múltipla das variáveis. Foram utilizados os dados do Sistema de Informações Hospitalares do SUS-SIH/SUS - DATASUS/MS, como fonte de informação para os casos de AIDS internados no período de 1998 a 2009. Foram considerados casos com idade compreendida entre 15 e 49 anos, bem como estratificados e analisados dados gerados nas microrregiões, a fim de homogeneizar as informações dentro de cada estrato com dados do censo de 2000. As variáveis independentes foram representadas pelos seguintes indicadores (fatores de vulnerabilidade): a) percentagem da população rural residente na região; b) tamanho da população da microrregião, para testar se o tamanho da população está associado à razão de sexo por HIV e c) percentagem da população de 15 a 49 anos de idade não alfabetizada. Nos resultados é possível notar que em quase todas as regiões há um aumento considerável do número de mulheres infectadas pelo HIV, o que leva à dedução da presença de um processo de feminização, atrelado à heterossexualização da epidemia. Os resultados do estudo apontam que a epidemia de HIV/AIDS tende a atingir indiscriminadamente as regiões Nordeste, Sul e Sudeste, especialmente as duas últimas. Esta constatação de que, em anos recentes, as mulheres vêm sendo infectadas em proporções maiores que os homens, corrobora o processo de feminização da AIDS, já anunciado por alguns autores.