Performance characteristic of moving average trading rules in the Finnish stock market

The thesis examines the profitability of DMAC trading rules in the Finnish stock market over the 1996-2012 period. It contributes to the existing technical analysis literature by comparing for the first time the performance of DMAC strategies based on individual stock trading portfolios to the performance of index trading strategies based on the trading on the index (OMX Helsinki 25) that consists of the same stocks. Besides, the market frictions including transaction costs and taxes are taken into account, and the results are reported from both institutional and individual investor’s perspective. Performance characteristic of DMAC rules are evaluated by simulating 19,900 different trading strategies in total for two non- overlapping 8-year sub-periods, and decomposing the full-sample-period performance of DMAC trading strategies into distinct bullish- and bearish-period performances. The results show that the best DMAC rules have predictive power on future price trends, and these rules are able to outperform buy-and-hold strategy. Although the performance of the DMAC strategies is highly dependent on the combination of moving average lengths, the best DMAC rules of the first sub-period have also performed well during the latter sub-period in the case of individual stock trading strategies. According to the results, the outperformance of DMAC trading rules over buy-and-hold strategy is mostly attributed to their superiority during the bearish periods, and particularly, during stock market crashes.

Eimeria spp. from Japanese quails (Coturnix japonica): new characteristic features and diagnostic tools

The Japanese quail Coturnix japonica originated from North Africa, Europe and Asia, is used worldwide as an experimental animal and model for aviculture. The current paper characterizes Eimeria bateri, Eimeria tsunodai and Eimeria uzura recovered from C. japonica. Based on the fact that quails have a global distribution, as are their coccidia, the findings of this study should provide the means for diagnosis of those Eimeria spp. in other regions and continents. Eimeria bateri showed the greatest intensity of infection and shed oocysts from the fourth day after infection; in contrast, E. tsunodai and E. uzura shed oocysts from the fifth day after infection. The three species shared a high degree of similarity and were all polymorphic. Yet, the application of line regressions, histograms and ANOVA provided means for the identification of these species. Finally, the algorithm was very efficient since verified that resultant values were not superimposed.

Effect of plant density and seed position on mother plant on physiological characteristic of cocklebur (Xanthium strumarium) seeds

Experiments were conducted in 2010 to determine the influence of plant density and seed position on the mother plant on seed physiological characteristics of cocklebur (Xanthium strumarium). Cocklebur burs were collected in fall of 2010 from Research Farm of University of Agricultural Sciences and Natural Resources of Gorgan, Iran. The experiment was established as factorial arrangement using a completely randomized design with three replications. The factors included different densities of cocklebur (0, 2, 4, 6 and 8 plant m-2) and the top and bottom parts of the canopy. Non dormant seeds were used for determining cardinal temperatures and tolerance to salinity and drought stresses. Base, optimum and ceiling germination temperatures were estimated between 7.09 to 12.33, 32 to 35 and 44 to 45 respectively in different treatments. Salinity stress up to 300 Mm and osmotic potential 8 bar inhibited the germination completely. Comparison of base temperatures and sigmoid equation coefficients showed that seeds produced in the top had higher germination than those that produced at the bottom of the mother plant. It seems plant densities through seed position on the mother plant affect seed quality. Likewise changes of light quality and quantity in shade environment increased seed dormancy in matured seeds. Shade environment affect seed germination on mother plant that increased dormancy of seeds maturing under shade be an adaptive response that reduces the probability of germination of offspring under unfavorable (shade, competitive) conditions.

Adaptive control of Hydraulic Drive

Adaptive control systems are one of the most significant research directions of modern control theory. It is well known that every mechanical appliance’s behavior noticeably depends on environmental changes, functioning-mode parameter changes and changes in technical characteristics of internal functional devices. An adaptive controller involved in control process allows reducing an influence of such changes. In spite of this such type of control methods is applied seldom due to specifics of a controller designing. The work presented in this paper shows the design process of the adaptive controller built by Lyapunov’s function method for the Hydraulic Drive. The calculation needed and the modeling were conducting with MATLAB® software including Simulink® and Symbolic Math Toolbox™ etc. In the work there was applied the Jacobi matrix linearization of the object’s mathematical model and derivation of the suitable reference models based on Newton’s characteristic polynomial. The intelligent adaptive to nonlinearities algorithm for solving Lyapunov’s equation was developed. Developed algorithm works properly but considered plant is not met requirement of functioning with. The results showed confirmation that adaptive systems application significantly increases possibilities in use devices and might be used for correction a system’s behavior dynamics.

Lebesgue and Sobolev spaces with variable exponents

Kirjallisuusarvostelu

Characteristic Approach to Predicting Analysts’ Forecast Errors in the Finnish Market

Extensive literature shows that analysts’ forecasts and recommendations are often biased. Thus, it is important for the financial market to be able to recognize this bias to be able to correctly valuate public companies. This thesis uses characteristic approach, which was introduced by So (2013, pp. 615-640), to forecast analysts’ forecast errors and tests if predictable forecast error is fully incorporated into share prices. Data is collected of listed Finnish companies. Thesis’ timeframe spans over ten years from 2004 to 2013 consisting of 788 firm-years. Although there is earlier evidence that the characteristic approach is able to predict analysts’ forecast errors, no support for this is found in the Finnish market. This thesis contributes to the current knowledge by showing that the characteristic approach does not work universally as such but requires development to work especially in the smaller markets.

Efficient estimation using the characteristic function : theory and applications with high frequency data

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Studies on Rubber Composition as Passive Acoustic Materials in Underwater Electro Acoustic Tranducer Technology and Their aging Characteristic

The research work has been in the area of compounding and characterization of rubbers for use in under water electro acoustic transducers. The study also covers specific material system such as encapsulation materials, baffle material, seal material, etc. Life prediction techniques of under water rubbers in general have been established with reference to more than one functional property. Ranges of passive materials, besides the active sensing material go into the construction of underwater electro acoustic transducers. Reliability of the transducer is critically dependent on these passive materials. Rubbers are a major class of passive materials. The present work concentrates on these materials. Conventional rubbers are inadequate to meet many of the stringent function specific requirements. There exists a large gap of information in the rubber technology of underwater rubbers, particularly relating to underwater electro acoustic transducers. This study is towards filling up the gaps of information in this crucial area. Water intake into rubber is considered as the single most important issue for the long-term performance of rubbers, especially Neoprene. In this study, the cause and effects of a range of parameters affecting the water absorption by diffusion and permeation have been investigated.

STUDIES ON THE STRESS FLUCTUATIONS IN SHEARED STOKESIAN SUSPENSIONS USING CHAOS THEORY AND NONLINEAR DYNAMICS

The thesis report results obtained from a detailed analysis of the fluctuations of the rheological parameters viz. shear and normal stresses, simulated by means of the Stokesian Dynamics method, of a macroscopically homogeneous sheared suspension of neutrally buoyant non-Brownian suspension of identical spheres in the Couette gap between two parallel walls in the limit of vanishingly small Reynolds numbers using the tools of non-linear dynamics and chaos theory for a range of particle concentration and Couette gaps. The thesis used the tools of nonlinear dynamics and chaos theory viz. average mutual information, space-time separation plots, visual recurrence analysis, principal component analysis, false nearest-neighbor technique, correlation integrals, computation of Lyapunov exponents for a range of area fraction of particles and for different Couette gaps. The thesis observed that one stress component can be predicted using another stress component at the same area fraction. This implies a type of synchronization of one stress component with another stress component. This finding suggests us to further analysis of the synchronization of stress components with another stress component at the same or different area fraction of particles. The different model equations of stress components for different area fraction of particles hints at the possible existence a general formula for stress fluctuations with area fraction of particle as a parameter

The Steady-State and Transient Characteristic Analysis of Thermal Fixing a Photorefractive Hologram Grating in Lithium Niobate

The transient interaction between a refraction index grating and light beams during simultaneous writing and thermal fixing of a photorefractive hologram is investigated. With a diffusion- and photovoltaic-dominated carrier transport mechanism and carrier thermal activation (temperature dependent) considered in Fe:LiNbO3 crystal, from the standpoint of field-material coupling, the theoretical thermal fixing time and the space-charge field buildup, spatial distribution, and temperature dependence are given numerically by combining the band transport model with mobile ions with the coupled-wave equation

Unusual autofluorescence characteristic of cultured red-rain cells

The red cells found in the red rain in Kerala, India are now considered as a possible case of extraterrestrial life form. These cells can undergo rapid replication even at an extreme high temperature of 300 deg C. They can also be cultured in diverse unconventional chemical substrates. The molecular composition of these cells is yet to be identified. This paper reports the unusual autofluorescence characteristic of the cultured red rain cells. A spectrofluorimetric study has been performed to investigate this, which shows a systematic shift of the fluorescence emission peak wavelength as the excitation wavelength is increased. Conventional biomolecules are not known to have this property. Details of this investigation and the results are discussed.

Nonlinear Dynamics of Multiple Quantum Well Lasers: Chaos and Multistability

This thesis presents analytical and numerical results from studies based on the multiple quantum well laser rate equation model. We address the problem of controlling chaos produced by direct modulation of laser diodes. We consider the delay feedback control methods for this purpose and study their performance using numerical simulation. Besides the control of chaos, control of other nonlinear effects such as quasiperiodicity and bistability using delay feedback methods are also investigated.A number of secure communication schemes based on synchronization of chaos semiconductor lasers have been successfully demonstrated theoretically and experimentally. The current investigations in these field include the study of practical issues on the implementations of such encryption schemes. We theoretically study the issues such as channel delay, phase mismatch and frequency detuning on the synchronization of chaos in directly modulated laser diodes. It would be helpful for designing and implementing chaotic encryption schemes using synchronization of chaos in modulated semiconductor lasers.

Performance characteristics of positive and negative delayed feedback on chaotic dynamics of directly modulated InGaAsP semiconductor lasers

The chaotic dynamics of directly modulated semiconductor lasers with delayed optoelectronic feedback is studied numerically. The effects of positive and negative delayed optoelectronic feedback in producing chaotic outputs from such lasers with nonlinear gain reduction in its optimum value range is investigated using bifurcation diagrams. The results are confirmed by calculating the Lyapunov exponents. A negative delayed optoelectronic feedback configuration is found to be more effective in inducing chaotic dynamics to such systems with nonlinear gain reduction factor in the practical value range.

Suppression of chaos through reverse period doubling in coupled directly modulated semiconductor lasers

The effect of coupling on two high frequency modulated semiconductor lasers is numerically studied. The phase diagrams and bifurcatio.n diagrams are drawn. As the coupling constant is increased the system goes from chaotic to periodic behavior through a reverse period doubling sequence. The Lyapunov exponent is calculated to characterize chaotic and periodic regions.

Existence of multiple attractors and the nature of bifurcations in a discontinuous logistic map

We present the analytical investigations on a logistic map with a discontinuity at the centre. An explanation for the bifurcation phenomenon in discontinuous systems is presented. We establish that whenever the elements of an n-cycle (n > 1) approach the discontinuities of the nth iterate of the map, a bifurcation other than the usual period-doubling one takes place. The periods of the cycles decrease in an arithmetic progression, as the control parameter is varied. The system also shows the presence of multiple attractors. Our results are verified by numerical experiments as well.