Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

A cost effective pipelined divider for double precision floating point number

he growth of high-performance application in computer graphics, signal processing and scientific computing is a key driver for high performance, fixed latency; pipelined floating point dividers. Solutions available in the literature use large lookup table for double precision floating point operations.In this paper, we propose a cost effective, fixed latency pipelined divider using modified Taylor-series expansion for double precision floating point operations. We reduce chip area by using a smaller lookup table. We show that the latency of the proposed divider is 49.4 times the latency of a full-adder. The proposed divider reduces chip area by about 81% than the pipelined divider in [9] which is based on modified Taylor-series.

Service Productivity: Toward a Conceptualisation of the Transformation of inputs

The productivity of a process is related to how effectively input resources are transformed into value for customers. For the needs of manufacturers of physical products there are widely used productivity concepts and measurements instruments. However, in service processes the underlying assumptions of these concepts and models do not hold. For example, manufacturing-based productivity models assume that an altered configuration of input resources in the production process does not lead to quality changes in outputs (the constant-quality assumption). However, in a service context changes in the production resources and productions systems do affect the perceived quality of services. Therefore, using manufacturing-oriented productivity models in service contexts are likely to give managers wrong directions for action. Research into the productivity of services is still scarce, because of the lack of viable models. The purpose of the present article is to analyse the requirements for the development of a productivity concept for service operations. Based on the analysis, a service productivity model is developed. According to this model, service productivity is a function of 1) how effectively input resources into the service (production) process are transformed to outputs in the form of services (internal or cost efficiency), 2) how well the quality of the service process and its outcome is perceived (external or revenue efficiency), and 3) how effectively the capacity of the service process is utilised (capacity efficiency). In addition, directions for developing measurement models for service productivity are discussed.

A simple low-cost electrical switching analyzer for I-V characterization of switching samples and devices

The phenomena of nonlinear I-V behavior and electrical switching find extensive applications in power control, information storage, oscillators, etc. The study of I-V characteristics and switching parameters is necessary for the proper application of switching materials and devices. In the present work, a simple low-cost electrical switching analyzer has been developed for the measurement of the electrical characteristics of switching materials and devices. The system developed consists of a microcontroller-based excitation source and a high-speed data acquisition system. The design details of the excitation source, its interface with the high-speed data acquisition system and personal computer, and the details of the application software developed for automated measurements are described. Typical I-V characteristics and switching curves obtained with the system developed are also presented to illustrate the capability of the instrument developed.

A low-cost lead-acid battery with high specific-energy

Lightweight grids for lead-acid battery grids have been prepared from acrylonitrile. butadiene styrene (ABS) copolymer followed by coating with lead. Subsequently, the grids have been electrochemically coated with a conductive and corrosion-resistant layer of polyaniline. These grids are about 75% lighter than those employed in conventional lead-acid batteries. Commercial-grade 6V/3.5 Ah (C-20-rate) lead-acid batteries have been assembled and characterized employing positive and negative plates constituting these grids. The specific energy of such a lead-acid battery is about 50 Wh/kg. The batteries can withstand fast charge-discharge duty cycles.

Development of a low-cost portable colorimeter for the estimation of fluoride in drinking water

People in many countries are affected by fluorosis owing to the high levels of fluoride in drinking water. An inexpensive method for estimating the concentration of the fluoride ion in drinking water would be helpful in identifying safe sources of water and also in monitoring the performance of defluoridation techniques. For this purpose, a simple, inexpensive, and portable colorimeter has been developed in the present work. It is used in conjunction with the SPADNS method, which shows a color change in the visible region on addition of water containing fluoride to a reagent solution. Groundwater samples were collected from different parts of the state of Karnataka, India and analysed for fluoride. The results obtained using the colorimeter and the double beam spectrophotometer agreed fairly well. The costs of the colorimeter and of the chemicals required per test were about Rs. 250 (US$ 5) and Rs. 2.5 (US$ 0.05), respectively. In addition, the cost of the chemicals required for constructing the calibration curve was about Rs. 15 (US$ 0.3). (C) 2010 Elsevier B.V. All rights reserved.

Kesämökkikäynnin virkistysarvon määrittäminen matkakustannusmenetelmällä

Tämän tutkielman tarkoituksena on määrittää kesämökkikäynnin virkistysarvo. Aihetta ei ole aikaisemmin tutkittu, vaikka kesämökkeily on merkittävä osa suomalaista elämää. Kesämökkikäynnin virkistysarvo tarkoittaa hyötyä, jonka yksilö saa kesämökillä virkistäytymisestä. Virkistäytyminen kesämökillä pitää sisällään kaiken kesämökillä ja sen ympäristössä tapahtuvan harrastamisen ja rentoutumisen. Koska ympäristö on tärkeässä osassa mökillä virkistäytymisessä, tässä tutkielmassa on lisäksi tarkoitus tutkia, kuinka mökkiympäristön ominaisuudet vaikuttavat virkistysarvoon. Tarkasteltavina ympäristön ominaisuuksina ovat virkistäytymisen estävät leväkukinnot ja mökin rannattomuus. Koska mökkeily toisaalta myös kuormittaa ympäristöä, tutkielmassa tutkitaan myös, kuinka sähköistys, ympäristöä kuormittava kesämökin ominaisuus, vaikuttaa virkistysarvoon. Virkistysarvo on markkinaton hyöty, joten sen määrittämiseen on käytettävä jotain markkinattomien hyödykkeiden arvottamismenetelmää. Tässä työssä arvottaminen tapahtuu matkakustannusmenetelmällä, jota käytetään yleisesti ympäristön tarjoamien virkistyspalveluiden taloudelliseen arvottamiseen. Kesämökkikäyntien kysyntää kuvaava matkakustannusmallin ekonometrinen mallintaminen suoritetaan negatiivisella binomimallilla. Tutkielman tulosten mukaan noin neljän päivän pituinen käynti sähköistetyllä kesämökillä, jossa on ranta eivätkä levät häiritse virkistäytymistä, tuottaa 167-205 euron suuruisen virkistyshyödyn. Virkistäytymisen estävät leväkukinnot laskevat arvoa 40 prosentilla ja mökin rannattomuus 45 prosentilla. Käynti sähköistetyllä mökillä tuottaa 3-5 prosenttia korkeamman virkistyshyödyn kuin käynti sähköistämättömällä mökillä. Suomessa kesän aikana tehtävien mökkikäyntien yhteenlaskettu virkistyshyöty on 430-530 miljoonaa, jos mökillä on ranta, jossa levistä ei ole haittaa. Häiritsevät leväkukinnot laskevat yhteenlaskettua virkistyshyötyä 30 miljoonalla ja rannattomuus 10-20 miljoonalla. Sähköistys nostaa yhteenlaskettua virkistyshyötyä 20-30 miljoonalla eurolla.

Puunoston kehittäminen Stora Enso Metsän Helsingin palvelupisteessä

The operation environment in the roundwood trade in Finland in the 1990’s include several changes. They are changes in the structure of non-industrial private forest (NIPF) ownership, forest taxation, in forest legislation, in price recommendation agreement, diminishing resources of forestry extension services, etc. At the same time, the roundwood demand has been rising. All these developments cause uncertainty in wood procurement organisations, and call for research to find out how to adapt into the changing environment. The objective of this study is to produce information for roundwood purchasing planning and cus-tomer satisfaction management to be used by Stora Enso Metsä Customer Service, Helsinki. For this pur-pose, data needs to be gathered about the urban NIPFs and their forest estates, behaviour related to forestry and timber-selling, customer satisfaction in their latest timber selling transaction, and their opinions about Enso’s new customer service office and its service concept. To fulfil the objective of the study, a NIPF -owner -survey (N=1064, response rate 39,7%) was con-ducted in October 1998-January 1999. The sample was made on the basis of the marketing database of Stora Enso Oyj Forest Customer Service in Helsinki. In planning the frame of reference of the empirical study, the model of service quality by Grönroos was applied. The following aspects were included in the 7-page questionnaire: demographic, sosio-economic and forest estate background, relation to the forest service supply, behaviour related to forestry, timber-selling motives and behaviour, last contact organisation and its image in forestry business, expectations and percep-tions in the latest timber-selling transactions, and behavioural intentions. The results revealed that the share of women, pensioners and academically educated people among forest owners was quite high. The majority of the forest estates of the metropolitan forest owners were situ-ated in the provinces of South Finland and East Finland. The average forest estate area was considerably smaller than in a previous study. Economic and recreational objectives were most important in the use of forests. Forest Associations were involved in half of the roundwood sales transactions of the respondents in the metropolitan area. The wood quantity of transactions was considerably higher than the average in the whole country. Bank-organised forest-related activities, taxation infos and trips to the forest were the most popular activities. Among the services, silvicultural advices were needed mostly and stub treatment least. Brochure material related to stumpage timber sales and taxation were considered most important compared to material related to delivery sales. The service expectations were at highest for women and they were less satisfied with the service than men. 2nd and 3rd generation residents of the metropolitan area thought about the new customer service concept more positively than the 1st generation residents. Internet users under 60 years thought more positively about new satellite picture-based woodlot search concept. Cross-tabulation of factor scores against background variables indicated that women with relatively low education level a greater need to sell roundwood than entrepreneurs, white-collar workers and directors, and Internet users. Suspiciousness towards timber procurement organisations was relatively strong among women and those whose forest income share of the total income was either null or over 20 %. The average customer satisfaction score was negative in all nine questions. Statistical differences be-tween different companies did not exist in the average satisfaction scores. Stora Enso’s Helsinki forest cus-tomer service could choose the ability to purchase all timber grades as its competitive advantage. Out of nine service dimension included in the questionnaire, in this particular service dimension, Enso’s Helsinki forest customer service’s score exceeded most all organisations’ average customer satisfaction score. On the basis of importance – performance matrix, advice and quidance could have been provided more to the forest owners in their latest timber–selling transaction.

Inventory Routing - A Strategic Management Accounting Perspective

This dissertation develops a strategic management accounting perspective of inventory routing. The thesis studies the drivers of cost efficiency gains by identifying the role of the underlying cost structure, demand, information sharing, forecasting accuracy, service levels, vehicle fleet, planning horizon and other strategic factors as well as the interaction effects among these factors with respect to performance outcomes. The task is to enhance the knowledge of the strategic situations that favor the implementation of inventory routing systems, understanding cause-and-effect relationships, linkages and gaining a holistic view of the value proposition of inventory routing. The thesis applies an exploratory case study design, which is based on normative quantitative empirical research using optimization, simulation and factor analysis. Data and results are drawn from a real world application to cash supply chains. The first research paper shows that performance gains require a common cost component and cannot be explained by simple linear or affine cost structures. Inventory management and distribution decisions become separable in the absence of a set-dependent cost structure, and neither economies of scope nor coordination problems are present in this case. The second research paper analyzes whether information sharing improves the overall forecasting accuracy. Analysis suggests that the potential for information sharing is limited to coordination of replenishments and that central information do not yield more accurate forecasts based on joint forecasting. The third research paper develops a novel formulation of the stochastic inventory routing model that accounts for minimal service levels and forecasting accuracy. The developed model allows studying the interaction of minimal service levels and forecasting accuracy with the underlying cost structure in inventory routing. Interestingly, results show that the factors minimal service level and forecasting accuracy are not statistically significant, and subsequently not relevant for the strategic decision problem to introduce inventory routing, or in other words, to effectively internalize inventory management and distribution decisions at the supplier. Consequently the main contribution of this thesis is the result that cost benefits of inventory routing are derived from the joint decision model that accounts for the underlying set-dependent cost structure rather than the level of information sharing. This result suggests that the value of information sharing of demand and inventory data is likely to be overstated in prior literature. In other words, cost benefits of inventory routing are primarily determined by the cost structure (i.e. level of fixed costs and transportation costs) rather than the level of information sharing, joint forecasting, forecasting accuracy or service levels.

Designing Creativity Through Clusters - A periodisation of cluster discourse

The thesis focuses on one of the most dominant articulations of the relation between geographical place and development, clusters - internationally competing place-bound economic system of production in related industries. The dominant articulation of cluster discourse represents the subnational region as a system of production, and as a means for competitiveness for Western countries. Its reproduction in theories has become one of the most prolific exports of economic geography to other disciplines and for policymaking. By analysing cluster discourse the thesis traces how the languages and processes of globalization have over time altered the understandings of the relation between geographical place and the economy. It shows how in its latest incarnation of the cluster discourse, the language of mainstream economics is combined with ‘softer’ elements (e.g. community, learning, creativity) in the economic geographic discourse. This is typical for the idea of soft capitalism, wherein it is assumed that economic success emanates from soft characteristics, such as knowledge, learning and creativity, rather than straightforward technological or cost advantages. A reoccurring critique against the dominant understanding of the relationship between competitiveness and regions, as articulated in cluster discourse, has pinpointed the perspective’s inability to reconcile the respective and reciprocal roles of local standard of living with firm competitiveness. The thesis traces how such critique is increasingly appropriated through the fusion of the economic, social and cultural landscape into the language of capitalism. It shows how cluster discourse has appropriated its critique, by focusing on creativity, with its strong associations to arts, individual artists and the cultural sphere in general, while predominantly creating its meaning in relation to competitiveness. The thesis consists of six essays that each outlines the development of the cluster discourse. The essays show how meaning systems and strategies are created, accepted and naturalized in cluster discourse, how this affects individuals, the economic landscape and society at large, as well as showing which understandings are marginalized in the process. The thesis argues that clusters are a) inseparable from ideology and politics and b) they are the result of purposeful social practice. It calls for increased reflexivity within corporate and economic geographic research on clusters, and underlines the importance of placing issues of power at the centre of analysis.

Profitable Customer Management: A Study in Retail Banking

The increasing focus of relationship marketing and customer relationship management (CRM) studies on issues of customer profitability has led to the emergence of an area of research on profitable customer management. Nevertheless, there is a notable lack of empirical research examining the current practices of firms specifically with regard to the profitable management of customer relationships according to the approaches suggested in theory. This thesis fills this research gap by exploring profitable customer management in the retail banking sector. Several topics are covered, including marketing metrics and accountability; challenges in the implementation of profitable customer management approaches in practice; analytic versus heuristic (‘rule of thumb’) decision making; and the modification of costly customer behavior in order to increase customer profitability, customer lifetime value (CLV), and customer equity, i.e. the financial value of the customer base. The thesis critically reviews the concept of customer equity and proposes a Customer Equity Scorecard, providing a starting point for a constructive dialog between marketing and finance concerning the development of appropriate metrics to measure marketing outcomes. Since customer management and measurement issues go hand in hand, profitable customer management is contingent on both marketing management skills and financial measurement skills. A clear gap between marketing theory and practice regarding profitable customer management is also identified. The findings show that key customer management aspects that have been proposed within the literature on profitable customer management for many years, are not being actively applied by the banks included in the research. Instead, several areas of customer management decision making are found to be influenced by heuristics. This dilemma for marketing accountability is addressed by emphasizing that CLV and customer equity, which are aggregate metrics, only provide certain indications regarding the relative value of customers and the approximate value of the customer base (or groups of customers), respectively. The value created by marketing manifests itself in the effect of marketing actions on customer perceptions, behavior, and ultimately the components of CLV, namely revenues, costs, risk, and retention, as well as additional components of customer equity, such as customer acquisition. The thesis also points out that although costs are a crucial component of CLV, they have largely been neglected in prior CRM research. Cost-cutting has often been viewed negatively in customer-focused marketing literature on service quality and customer profitability, but the case studies in this thesis demonstrate that reduced costs do not necessarily have to lead to lower service quality, customer retention, and customer-related revenues. Consequently, this thesis provides an expanded foundation upon which marketers can stake their claim for accountability. By focusing on the range of drivers and all of the components of CLV and customer equity, marketing has the potential to provide specific evidence concerning how various activities have affected the drivers and components of CLV within different groups of customers, and the implications for customer equity on a customer base level.

Jätteenkeräyksen ja -siirron yhteiskunnalliset kustannukset Punavuoressa – Tarkastelussa seka-, bio-, kartonki- ja paperijäte

Tämän pro gradu -tutkielman tarkoituksena on määrittää jätteenkeräyksen ja -siirron yhteiskunnalliset kustannukset valitulla tutkimusalueella Helsingin Punavuoressa. Jätteenkeräyksen ja -siirron kustannukset vastaavat suuruudeltaan merkittävää osaa jätehuollon kokonaiskustannuksista, minkä vuoksi kustannusten tutkimiselle ja tarkastelulle löytyy kysyntää. Lisäksi keräyksen ja siirron kustannukset saattavat vaihdella suuresti johtuen erilaisista kaupunkirakenteista,keräysmenetelmistä ja teknologioista, joten tapaustarkastelun avulla pystytään selvittämään yksityiskohtaisesti alueen jätteenkeräyksen ja -siirron kustannukset. Tutkimusalue Helsingin Punavuoressa on yksi Suomen tiheimmin asutuista alueista, missä jätteidenkeräystä hankaloittaa kapeat kadut, useat sisäpihoille sijoitetut jätehuoneet ja vilkas liikenne. Erityispiirteidensä vuoksi jätteenkeräys- ja siirto aiheuttaa tutkimusalueella yksityisten kustannusten lisäksi myös useita ulkoisvaikutuksia muun muassa ilmansaasteiden ja viihtyvyyshaittojen muodossa. Tässä työssä lasketaan jätteenkeräyksen ja -siirron yhteiskunnalliset kustannukset neljän eri jätelajin osalta huomioimalla sekä yksityiset kustannustekijät että ulkoiskustannuksina syntyvien päästöjen kustannukset. Työn aineistona on käytetty erilaisia kustannuslaskelmien kirjallisuuslähteitä, asiantuntija-arvioita ja tutkimusalueella tehtyjä kellotusmittauksia. Alueen kellotusmittauksiin perustuvalla aikaperusteisella laskentatavalla jätteenkeräyksen ja -siirron jätetonnikohtaisiksi keskimääräisiksi kustannuksiksi saatiin 73 €/t. Kustannuksissa havaittiin kuitenkin suuria jätelajikohtaisia eroja, jolloin keräyksen ja siirron kustannukset heittelivät 49–125 €/t välillä. Suuret jätelajikohtaiset kustannuserot ovat selitettävissä pitkälti jätteiden koostumuksella, koska kevyiden ja paljon tilaa vievien jätelajien jätetonnikohtaiset kustannukset olivat suurimpia. Teoriataustan ja lähdeaineiston perusteella saadut tulokset myös osoittavat, että jätteenkeräyksen ja siirron kustannuksista huomioitujen ulkoiskustannusten osuus on häviävän pieni verrattuna yksityisten kustannusten tasoon.

Synthesis of Cost-Optimal Shell-and-Tube Heat Exchangers

Synthesis of cost-optimal shell-and-tube heat exchangers is a difficult task since it involves a large number of parameters. An attempt is made in this article to simplify the process of choosing the parameter values that will minimize the cost of any heat exchanger satisfying a given heat duty and a particular set of constraints. The simplification is based on decoupling of the geometric and the thermal aspects of the problem. The concept of curves for cost-optimal design is introduced and is shown to simplify the synthesis process for shell-and-tube heat exchangers.

Evaluating the regional and distributional impacts of forestry cost-share payments.

XVIII IUFRO World Congress, Ljubljana 1986.

Cost and effectiveness of legal mandates for the practice of forestry on private land.

XVIII IUFRO World Congress, Ljubljana 1986.