Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Position sensorless electrically excited synchronous motor drive for industrial use based on direct flux linkage and torque control

Synchronous machines with an AC converter are used mainly in large drives, for example in ship propulsion drives as well as in rolling mill drives in steel industry. These motors are used because of their high efficiency, high overload capacity and good performance in the field weakening area. Present day drives for electrically excited synchronous motors are equipped with position sensors. Most drives for electrically excited synchronous motors will be equipped with position sensors also in future. This kind of drives with good dynamics are mainly used in metal industry. Drives without a position sensor can be used e.g. in ship propulsion and in large pump and blower drives. Nowadays, these drives are equipped with a position sensor, too. The tendency is to avoid a position sensor if possible, since a sensor reduces the reliability of the drive and increases costs (latter is not very significant for large drives). A new control technique for a synchronous motor drive is a combination of the Direct Flux Linkage Control (DFLC) based on a voltage model and a supervising method (e.g. current model). This combination is called Direct Torque Control method (DTC). In the case of the position sensorless drive, the DTC can be implemented by using other supervising methods that keep the stator flux linkage origin centered. In this thesis, a method for the observation of the drift of the real stator flux linkage in the DTC drive is introduced. It is also shown how this method can be used as a supervising method that keeps the stator flux linkage origin centered in the case of the DTC. In the position sensorless case, a synchronous motor can be started up with the DTC control, when a method for the determination of the initial rotor position presented in this thesis is used. The load characteristics of such a drive are not very good at low rotational speeds. Furthermore, continuous operation at a zero speed and at a low rotational speed is not possible, which is partly due to the problems related to the flux linkage estimate. For operation in a low speed area, a stator current control method based on the DFLC modulator (DMCQ is presented. With the DMCC, it is possible to start up and operate a synchronous motor at a zero speed and at low rotational speeds in general. The DMCC is necessary in situations where high torque (e.g. nominal torque) is required at the starting moment, or if the motor runs several seconds at a zero speed or at a low speed range (up to 2 Hz). The behaviour of the described methods is shown with test results. The test results are presented for the direct flux linkage and torque controlled test drive system with a 14.5 kVA, four pole salient pole synchronous motor with a damper winding and electric excitation. The static accuracy of the drive is verified by measuring the torque in a static load operation, and the dynamics of the drive is proven in load transient tests. The performance of the drive concept presented in this work is sufficient e.g. for ship propulsion and for large pump drives. Furthermore, the developed methods are almost independent of the machine parameters.

Genetic linkage map of Phaseolus vulgaris and identification of QTLs responsible for resistance to Xanthomonas axonopodis pv. phaseoli

Common bean (Phaseolus vulgaris) cultivars with a high degree of resistance to Xanthomonas axonopodis pv. phaseoli (Xap) are not available in Brazil. Despite many studies, a low degree of resistance to Xap continues to exist due to its complex genetic inheritance, which is not well known. The objectives of this research were to complement a common bean genetic map based on the cross between a susceptible genotype 'HAB-52' and a resistant genotype 'BAC-6', and to map and analyze genomic regions (quantitative trait loci – QTLs) related to Xap resistance. Eleven linkage groups were determined using 143 RAPD markers, covering 1,234.5 cM of the genome. This map was used to detect QTLs associated with Xap resistance on leaves and pods. The averages of disease severity on leaves (represented by the transformed disease index – TDI) and pods (represented by the diameter of lesion on pods – DLP) were added to the data of the linkage map. Five TDI QTLs and only one LDP QTL were detected. The TDI QTLs were placed in the A, B, G and J linkage groups, with phenotypic variations ranging from 12.7 to 71.6%. The DLP QTL explained 12.9% of the phenotypic variation and was mapped in a distinct linkage group. These results indicate that there are different genes involved in the control of resistance on leaves and pods.

Absence of linkage between MHC and a gene involved in susceptibility to human schistosomiasis

Six hundred million people are at risk of infection by Schistosoma mansoni. MHC haplotypes have been reported to segregate with susceptibility to schistosomiasis in murine models. In humans, a major gene related to susceptibility/resistance to infection by S. mansoni (SM1) and displaying the mean fecal egg count as phenotype was detected by segregation analysis. This gene displayed a codominant mode of inheritance with an estimated frequency of 0.20-0.25 for the deleterious allele and accounted for more than 50% of the variance of infection levels. To determine if the SM1 gene segregates with the human MHC chromosomal region, we performed a linkage study by the lod score method. We typed for HLA-A, B, C, DR and DQ antigens in 11 informative families from an endemic area for schistosomiasis in Bahia, Brazil, by the microlymphocytotoxicity technique. HLA-DR typing by the polymerase chain reaction with sequence-specific primers (PCR-SSP) and HLA-DQ were confirmed by PCR-sequence-specific oligonucleotide probes (PCR-SSOP). The lod scores for the different q values obtained clearly indicate that there is no physical linkage between HLA and SM1 genes. Thus, susceptibility or resistance to schistosomiasis, as defined by mean fecal egg count, is not primarily dependent on the host's HLA profile. However, if the HLA molecule plays an important role in specific immune responses to S. mansoni, this may involve the development of the different clinical aspects of the disease such as granuloma formation and development of hepatosplenomegaly.

Influence of Travelling Current Linkage Harmonics on Inductance Variation, Torque Ripple and Sensorless Capability of Tooth-Coil Permanent-Magnet Synchronous Machines

This paper introduces an important source of torque ripple in PMSMs with tooth-coil windings (TC-PMSMs). It is theoretically proven that saturation and cross-saturation phenomena caused by the non-synchronous harmonics of the stator current linkage cause a synchronous inductance variation with a particular periodicity. This, in turn, determines the magnitude of the torque ripple and can also deteriorate the performance of signal-injection-based rotor position estimation algorithms. An improved dq- inductance model is proposed. It can be used in torque ripple reduction control schemes and can enhance the self-sensing capabilities of TC-PMSMs

Candidate gene linkage analysis indicates genetic heterogeneity in Marfan syndrome

Marfan syndrome (MFS) is an autosomal dominant disease of the connective tissue that affects the ocular, skeletal and cardiovascular systems, with a wide clinical variability. Although mutations in the FBN1 gene have been recognized as the cause of the disease, more recently other loci have been associated with MFS, indicating the genetic heterogeneity of this disease. We addressed the issue of genetic heterogeneity in MFS by performing linkage analysis of the FBN1 and TGFBR2 genes in 34 families (345 subjects) who met the clinical diagnostic criteria for the disease according to Ghent. Using a total of six microsatellite markers, we found that linkage with the FBN1 gene was observed or not excluded in 70.6% (24/34) of the families, and in 1 family the MFS phenotype segregated with the TGFBR2 gene. Moreover, in 4 families linkage with the FBN1 and TGFBR2 genes was excluded, and no mutations were identified in the coding region of TGFBR1, indicating the existence of other genes involved in MFS. Our results suggest that the genetic heterogeneity of MFS may be greater that previously reported.

Evaluation of energy expenditure in forward and backward movements performed by soccer referees

The aim of this study was to measure the energy expenditure for locomotor activities usually performed by soccer referees during a match (walking, jogging, and running) under laboratory conditions, and to compare forward with backward movements. The sample was composed by 10 male soccer referees, age 29±7.8 years, body mass 77.5±6.2 kg, stature 1.78±0.07 m and professional experience of 7.33±4.92 years. Referees were evaluated on two separate occasions. On the first day, maximal oxygen uptake (VO2max) was determined by a maximal treadmill test, and on the second day, the oxygen consumption was determined in different speeds of forward and backward movements. The mean VO2max was 41.20±3.60 mL·kg-1·min-1 and the mean heart rate achieved in the last stage of the test was 190.5±7.9 bpm. When results of forward and backward movements were compared at 1.62 m/s (walking speed), we found significant differences in VO2, in metabolic equivalents, and in kcal. However, the same parameters in forward and backward movements at jogging velocities (2.46 m/s) were not significantly different, showing that these motor activities have similar intensity. Backward movements at velocities equivalent to walking and jogging are moderate-intensity activities, with energy expenditure less than 9 kcal. Energy expenditure was overestimated by at least 35% when calculated by mathematical equations. In summary, we observed that backward movements are not high-intensity activities as has been commonly reported, and when calculated using equations available in the literature, energy expenditure was overestimated compared to the values obtained by indirect calorimetry.

Health, Education and Employment in a Forward-Backward Dichotomy Based on Standard of Living Index for the Tribes in Kerala

The Paper unfolds the paradox that exists in the tribal community with respect to the development indicators and hence tries to cull out the difference in the standard of living of the tribes in a dichotomous framework, forward and backward. Four variables have been considered for ascertaining the standard of living and socio-economic conditions of the tribes. The data for the study is obtained from a primary survey in the three tribal predominant districts of Wayanad, Idukki and Palakkad. Wayanad was selected for studying six tribal communities (Paniya, Adiya, Kuruma, Kurichya, Urali and Kattunaika), Idukki for two communities (Malayarayan and Muthuvan) and Palakkad for one community (Irula). 500 samples from 9 prominent tribal communities of Kerala have been collected according to multistage proportionate random sample framework. The analysis highlights the disproportionate nature of socio-economic indicators within the tribes in Kerala owing to the failure of governmental schemes and assistances meant for their empowerment. The socio-economic variables, such as education, health, and livelihood have been augmented with SLI based on correlation analysis gives interesting inference for policy options as high educated tribal communities are positively correlated with high SLI and livelihood. Further, each of the SLI variable is decomposed using Correlation and Correspondence analysis for understanding the relative standing of the nine tribal sub communities in the three dimensional framework of high, medium and low SLI levels. Tribes with good education and employment (Malayarayan, Kuruma and Kurichya) have a better living standard and hence they can generally be termed as forward tribes whereas those with a low or poor education, employment and living standard indicators (Paniya, Adiya, Urali, Kattunaika, Muthuvans and Irula) are categorized as backward tribes

"Genome-Wide Linkage in a Highly Consanguineous Pedigree Reveals Two Novel Loci on Chromosome 7 for Non-Syndromic Familial Premature Ovarian Failure"

Background: The human condition known as Premature Ovarian Failure (POF) is characterized by loss of ovarian function before the age of 40. A majority of POF cases are sporadic, but 10–15% are familial, suggesting a genetic origin of the disease. Although several causal mutations have been identified, the etiology of POF is still unknown for about 90% of the patients. Methodology/Principal Findings: We report a genome-wide linkage and homozygosity analysis in one large consanguineous Middle-Eastern POF-affected family presenting an autosomal recessive pattern of inheritance. We identified two regions with a LODmax of 3.26 on chromosome 7p21.1-15.3 and 7q21.3-22.2, which are supported as candidate regions by homozygosity mapping. Sequencing of the coding exons and known regulatory sequences of three candidate genes (DLX5, DLX6 and DSS1) included within the largest region did not reveal any causal mutations. Conclusions/Significance: We detect two novel POF-associated loci on human chromosome 7, opening the way to the identification of new genes involved in the control of ovarian development and function.

Research in Architecture: Looking Backward and Forward: Forty-Year Experience in Architectural Research at the Faculty of Architecture STU

The introduction of my contribution contains a brief information on the Faculty of Architecture of the Slovak University of Technology in Bratislava (FA STU) and the architectural research performed at this institution. Schemes and priorities of our research in architecture have changed several times since the very beginning in early 50’s. The most significant change occurred after “the velvet revolution” in 1989. Since 1990 there have been several sources to support research at universities. The significant part of my contribution is rooted in my own research experience since the time I had joined FA STU in 1975 as a young architect and researcher. The period of the 80’s is characterized by the first unintentional attempts to do “research by design” and my “scientific” achievements as by-products of my design work. Some of them resulted in the following issues: conception of mezzo-space, theory of the complex perception of architectural space and definition of basic principles of ecologically conscious architecture. Nowadays I continue my research by design within the application of so called solar envelope in urban scale with my students.

Constrained models of evolution lead to improved prediction of functional linkage from correlated gain and loss of genes

Motivation: We compare phylogenetic approaches for inferring functional gene links. The approaches detect independent instances of the correlated gain and loss of pairs of genes from species' genomes. We investigate the effect on results of basing evidence of correlations on two phylogenetic approaches, Dollo parsminony and maximum likelihood (ML). We further examine the effect of constraining the ML model by fixing the rate of gene gain at a low value, rather than estimating it from the data. Results: We detect correlated evolution among a test set of pairs of yeast (Saccharomyces cerevisiae) genes, with a case study of 21 eukaryotic genomes and test data derived from known yeast protein complexes. If the rate at which genes are gained is constrained to be low, ML achieves by far the best results at detecting known functional links. The model then has fewer parameters but it is more realistic by preventing genes from being gained more than once. Availability: BayesTraits by M. Pagel and A. Meade, and a script to configure and repeatedly launch it by D. Barker and M. Pagel, are available at http://www.evolution.reading.ac.uk .

A genetic linkage map of microsatellite, gene-specific and morphological markers in diploid Fragaria

Diploid Fragaria provide a potential model for genomic studies in the Rosaceae. To develop a genetic linkage map of diploid Fragaria, we scored 78 markers (68 microsatellites, one sequence-characterised amplified region, six gene-specific markers and three morphological traits) in an interspecific F2 population of 94 plants generated from a cross of F.vesca f. semperflorens × F. nubicola. Co-segregation analysis arranged 76 markers into seven discrete linkage groups covering 448 cM, with linkage group sizes ranging from 100.3 cM to 22.9 cM. Marker coverage was generally good; however some clustering of markers was observed on six of the seven linkage groups. Segregation distortion was observed at a high proportion of loci (54%), which could reflect the interspecific nature of the progeny and, in some cases, the self-incompatibility of F. nubicola. Such distortion may also account for some of the marker clustering observed in the map. One of the morphological markers, pale-green leaf (pg) has not previously been mapped in Fragaria and was located to the mid-point of linkage group VI. The transferable nature of the markers used in this study means that the map will be ideal for use as a framework for additional marker incorporation aimed at enhancing and resolving map coverage of the diploid Fragaria genome. The map also provides a sound basis for linkage map transfer to the cultivated octoploid strawberry.