Non-preferential trading clubs

This paper examines the welfare implications of non-discriminatory tariff reforms by a subset of countries, which we term a non-preferential trading club. We show that there exist coordinated tariff reforms, accompanied by appropriate income transfers between the member countries, that unambiguously increase the welfare of these countries while leaving the welfare of non-members unaltered. In terms of economic policy implications, our results show that there exist regional, MFN-consistent arrangements that lead to Pareto improvements in world welfare.

Ion pairs in non-redundant protein structures

Ion pairs contribute to several functions including the activity of catalytic triads, fusion of viral membranes, stability in thermophilic proteins and solvent-protein interactions. Furthermore, they have the ability to affect the stability of protein structures and are also a part of the forces that act to hold monomers together. This paper deals with the possible ion pair combinations and networks in 25% and 90% non-redundant protein chains. Different types of ion pairs present in various secondary structural elements are analysed. The ion pairs existing between different subunits of multisubunit protein structures are also computed and the results of various analyses are presented in detail. The protein structures used in the analysis are solved using X-ray crystallography, whose resolution is better than or equal to 1.5 angstrom and R-factor better than or equal to 20%. This study can, therefore, be useful for analyses of many protein functions. It also provides insights into the better understanding of the architecture of protein structure.

Affected sibling pairs with juvenile idiopathic arthritis : An immunogenetic study of the disease in multicase families

Genetic susceptibility to juvenile idiopathic arthritis (JIA) was studied in the genetically homogeneous Finnish population by collecting families with two or three patients affected by this disease from cases seen in the Rheumatism Foundation Hospital. The number of families ranged in different studies from 37 to 45 and the total number of patients with JIA, from among whom these cases were derived, was 2 000 to 2 300. Characteristics of the disease in affected siblings in Finland were compared with a population-based series and with a sibling series from the United States. A thorough clinical and ophthalmological examination was made of all affected patients belonging to sibpair series. Information on the occurrence of chronic rheumatic diseases in parents was collected by questionnaire and diagnoses were confirmed from hospital records. All patients, their parents and most of the healthy sibs were typed for human leukocyte antigen (HLA) alleles in loci A, C, B, DR and DQ. The HLA allele distribution of the cases was compared with corresponding data from Finnish bone marrow donors. The genetic component in JIA was found to be more significant than previously believed. A concordance rate of 25% for a disease with a population prevalence of 1 per 1000 implied a relative risk of 250 for a monozygotic (MZ) twin. An estimate for the sibling risk of an affected individual was about 15- to 20-fold. The disease was basically similar in familial and sporadic cases; the mean age at disease onset was however lower in familial cases, (4.8 years vs 7.4 years). Three sibpairs (3.4 expected) were concordant for the presence of asymptomatic uveitis. Uveitis would thus not appear to have any genetic component of its own, separate from the genetic basis of JIA. Four of the parents had JIA (0.2 cases expected), four had a type of rheumatoid factor-negative arthritis similar to that seen in juvenile patients but commencing in adulthood, and one had spondyloarthropathy (SPA). These findings provide additional support for the conception of a genetic predisposition to JIA and suggest the existence of a new disease entity, JIA of adult onset. Both the linkage analysis of the affected sibpairs and the association analysis of nuclear families provided overwhelming evidence of a major contribution of HLA to the genetic susceptibility to JIA. The association analysis in the Finnish population confirmed that the most significant associations prevailed for DRB1*0801, DQB1*0402, as expected from previous observations, and indicated the independent role of Cw*0401.

Measurement of $d\sigma/dy$ of Drell-Yan $e^+e^-$ pairs in the $Z$ Mass Region from $p\bar{p}$ Collisions at $\sqrt{s}=1.96$ TeV

We report on a CDF measurement of the total cross section and rapidity distribution, $d\sigma/dy$, for $q\bar{q}\to \gamma^{*}/Z\to e^{+}e^{-}$ events in the $Z$ boson mass region ($66M_{ee}

Search for Higgs bosons predicted in two-Higgs-doublet models via decays to tau lepton pairs in 1.96 TeV proton-antiproton collisions

We present the results of a search for Higgs bosons predicted in two-Higgs-doublet models, in the case where the Higgs bosons decay to tau lepton pairs, using 1.8 inverse fb of integrated luminosity of proton-antiproton collisions recorded by the CDF II experiment at the Fermilab Tevatron. Studying the observed mass distribution in events where one or both tau leptons decay leptonically, no evidence for a Higgs boson signal is observed. The result is used to infer exclusion limits in the two-dimensional parameter space of tan beta versus m(A).

Search for Higgs bosons predicted in two-Higgs-doublet models via decays to tau lepton pairs in 1.96 TeV proton-antiproton collisions

We present the results of a search for Higgs bosons predicted in two-Higgs-doublet models, in the case where the Higgs bosons decay to tau lepton pairs, using 1.8 inverse fb of integrated luminosity of proton-antiproton collisions recorded by the CDF II experiment at the Fermilab Tevatron. Studying the observed mass distribution in events where one or both tau leptons decay leptonically, no evidence for a Higgs boson signal is observed. The result is used to infer exclusion limits in the two-dimensional parameter space of tan beta versus m(A).

Search for Maximal Flavor Violating Scalars in Same-Charge Lepton Pairs in pp̅ Collisions at √s=1.96 TeV

Models of Maximal Flavor Violation (MxFV) in elementary particle physics may contain at least one new scalar SU$(2)$ doublet field $\Phi_{FV} = (\eta^0,\eta^+)$ that couples the first and third generation quarks ($q_1,q_3$) via a Lagrangian term $\mathcal{L}_{FV} = \xi_{13} \Phi_{FV} q_1 q_3$. These models have a distinctive signature of same-charge top-quark pairs and evade flavor-changing limits from meson mixing measurements. Data corresponding to 2 fb$^{-1}$ collected by the CDF II detector in $p\bar{p}$ collisions at $\sqrt{s} = 1.96$ TeV are analyzed for evidence of the MxFV signature. For a neutral scalar $\eta^0$ with $m_{\eta^0} = 200$ GeV/$c^2$ and coupling $\xi_{13}=1$, $\sim$ 11 signal events are expected over a background of $2.1 \pm 1.8$ events. Three events are observed in the data, consistent with background expectations, and limits are set on the coupling $\xi_{13}$ for $m_{\eta^0} = 180-300$ GeV/$c^2$.

Search for R-Parity Violating Decays of Sneutrinos to eμ, μτ, and eτ Pairs in pp̅ Collisions at √s=1.96 TeV

We present a search for tau sneutrino production using the Tevatron ppbar collision data collected with the CDF II detector and corresponding to an integrated luminosity of 1 fb^-1. We focus on the scenarios predicted by the R-parity violating (RPV) supersymmetric models in which tau sneutrinos decay to two charged leptons of different flavor. With the data consistent with the standard model expectations, we set the upper limits on sigma(ppbar -> tau sneutrino)*BR(tau sneutrino ->emu,mutau,etau) and use these results to constrain the RPV couplings as a function of tau sneutrino mass.

First Observation of Vector Boson Pairs in a Hadronic Final State at the Tevatron Collider

We present the first observation in hadronic collisions of the electroweak production of vector boson pairs (VV, V=W, Z) where one boson decays to a dijet final state. The data correspond to 3.5  fb-1 of integrated luminosity of pp̅ collisions at √s=1.96  TeV collected by the CDF II detector at the Fermilab Tevatron. We observe 1516±239(stat)±144(syst) diboson candidate events and measure a cross section σ(pp̅ →VV+X) of 18.0±2.8(stat)±2.4(syst)±1.1(lumi)  pb, in agreement with the expectations of the standard model.

First Observation of Vector Boson Pairs in a Hadronic Final State at the Tevatron Collider

We present the first observation in hadronic collisions of the electroweak production of vector boson pairs (VV, V=W,Z) where one boson decays to a dijet final state . The data correspond to 3.5 inverse femtobarns of integrated luminosity of ppbar collisions at sqrt(s)=1.96 TeV collected by the CDFII detector at the Fermilab Tevatron. We observe 1516+/-239(stat)+/-144(syst) diboson candidate events and measure a cross section sigma(ppbar->VV+X) of 18.0+/-2.8(stat)+/-2.4(syst)+/-1.1(lumi) pb, in agreement with the expectations of the standard model.

From trading to eCommunity management

"The increasing pressure for enterprises to join into agile business networks is changing the requirements on the enterprise computing systems. The supporting infrastructure is increasingly required to provide common facilities and societal infrastructure services to support the lifecycle of loosely-coupled, eContract-governed business networks. The required facilities include selection of those autonomously administered business services that the enterprises are prepared to provide and use, contract negotiations, and furthermore, monitoring of the contracted behaviour with potential for breach management. The essential change is in the requirement of a clear mapping between business-level concepts and the automation support for them. Our work has focused on developing B2B middleware to address the above challenges; however, the architecture is not feasible without management facilities for trust-aware decisions for entering business networks and interacting within them. This paper discusses how trust-based decisions are supported and positioned in the B2B middleware."

Undamped Cooper pairs in a non-degenerate electron system

Following the reaction matrix technique and the Kanamori approximation. a condition is obtained for the occurence of undamped Cooper pairs in a non-degenerate electron system. Its relevance to induced superconductivity in systems with artificially populated (optically pumped) bands is pointed out.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

The Relationship Between Liquidity, Trading Activity and Return - Studies of the Finnish and Swedish Stock Markets

Liquidity, or how easy an investment is to buy or sell, is becoming increasingly important for financial market participants. The objective of this dissertation is to contribute to the understanding of how liquidity affects financial markets. The first essays analyze the actions taken by underwriters immediately after listing to improve liquidity of IPO stock. To estimate the impact of underwriter activity on the pricing of the IPOs, the order book during the first weeks of trading in the IPO stock is studied. Evidence of stabilization and liquidity enhancing activities by underwriters is found. The second half of the dissertation is concerned with the daily trading of stocks where liquidity may be impacted by policy issues such as changes in taxes or exchange fees and by opening the access to the markets for foreign investors. The desirability of a transaction tax on securities trading is addressed. An increase in transaction tax is found to cause lower prices and higher volatility. In the last essay the objective is to determine if the liquidity of a security has an impact on the return investors require. The results support the notion that returns are negatively correlated to liquidity.