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.

Literacy teacher research in high poverty schools: Why it matters

Teachers who work in contexts in which their students’ lives are affected by poverty take up the challenge of learning to teach diverse students in ways that teachers in other contexts may not be required to do. And they do this work in contexts of immense change. Students’ communities change, neighborhoods change, educational policies change, literate practices and the specific effects of what it means to be poor in particular places also change. What cannot change is a commitment to high-equity, high-quality education for the students in these schools. Teachers need to analyze situations and make ongoing ethical decisions about pedagogy and curriculum. To do this, they must be able to continuously gauge the effects of their practices on different students. Hence, we argue that building teacher-researcher dispositions and repertoires is a key goal for teacher education across the teaching life-span. Drawing on a range of recent and ongoing collaborative research projects in schools situated in areas of high poverty, we draw out some principles for literacy teachers’ education.

Theory of CO2-laser induced x-ray emission from high density gaseous targets

Abstract is not available.

Low-voltage and high-current delay characteristics of a simple triggered vacuum gap

Low-voltage and high-current switching delay characteristics of a simple triggered vacuum gap (TVG) are described using lead zirconate titanate as the dielectric material in the auxiliary gap. This TVG has superior performance at high currents (up to 14 kA was studied) with regard to delay, reliable firing and extended life as compared to the one using either supramica or silicon carbide. The total delay consists of three intervals: to break down the auxiliary gap, to propagate the trigger plasma and to break down the main gap. The data on the influence of the various parameters like the trigger voltage, current, energy and the main circuit energy are given. It has been found that the delay due to the first two intervals is small compared to the third.

BRCA1 and BRCA2 germline mutation analysis among Indian women from south India: identification of four novel mutations and high-frequency occurrence of 185delAG mutation

Mutations in the BRCA1 and BRCA2 genes profoundly increase the risk of developing breast and/or ovarian cancer among women. To explore the contribution of BRCA1 and BRCA2 mutations in the development of hereditary breast cancer among Indian women, we carried out mutation analysis of the BRCA1 and BRCA2 genes in 61 breast or ovarian cancer patients from south India with a positive family history of breast and/or ovarian cancer. Mutation analysis was carried out using conformation-sensitive gel electrophoresis (CSGE) followed by sequencing. Mutations were identified in 17 patients (28.0%); 15 (24.6%) had BRCA1 mutations and two (3.28%) had BRCA2 mutations. While no specific association between BRCA1 or BRCA2 mutations with cancer type was seen, mutations were more often seen in families with ovarian cancer. While 40% (4/10) and 30.8% (4/12) of families with ovarian or breast and ovarian cancer had mutations, only 23.1% (9/39) of families with breast cancer carried mutations in the BRCA1 and BRCA2 genes. In addition, while BRCA1 mutations were found in all age groups, BRCA2 mutations were found only in the age group of <= 40 years. Of the BRCA1 mutations, there were three novel mutations (295delCA; 4213T -> A; 5267T -> G) G) and three mutations that have been reported earlier. Interestingly, 185delAG, a BRCA1 mutation which occurs at a very high frequency in Ashkenazi Jews, was found at a frequency of 16.4% (10/61). There was one novel mutation (4866insT) and one reported mutation in BRCA2. Thus, our study emphasizes the importance of mutation screening in familial breast and/or ovarian cancers, and the potential implications of these findings in genetic counselling and preventive therapy.

High Lithium Storage in Mixed Crystallographic Phase Nanotubes of Titania and Carbon-Titania

Morphology and electrochemical performance of mixed crystallographic phase titania nanotubes for prospective application as anode in rechargeable lithium ion batteries are discussed. Hydrothermally grown nanotubes of titania (TiO2) and carbon-titania (C-TiO2) comprise a mixture of both anatase and TiO2 (B) crystallographic phases. The first cycle capacity (at Current rate = 10 mAg(-1)) for bare TiO2 nanotubes was 355 mAhg(-1) (approximately 1.06 Li), which is higher than both the theoretical capacity (335 mAhg(-1)) and the reported values for pure anatase and TiO2 (B) nanotubes. Higher capacity is attributed to it combination of the presence of mixed crystallographic phases of titania and trivial size effects. The surface area of bare TiO2 nanotubes was very high at 340 m(2) g(-1). C-TiO2 nanotubes showed a slightly lower first-cycle specific capacity of 307 mAhg(-1), but the irreversible capacity loss in the first cycle decreased by half compared to bare TiO2 nanotubes. The C-TiO2 nanotubes also showed a better rate capability, that is, higher capacities compared to bare TiO2 nanotubes in the Current range 0.1-2 Ag-1. Enhanced rate capability in the case of C-TiO2 is attributed to the efficient percolation of electrons as well its to the decrease in the anatase phase.

Implications of high level pseudogene transcription in Mycobacterium leprae

Background: The Mycobacterium leprae genome has less than 50% coding capacity and 1,133 pseudogenes. Preliminary evidence suggests that some pseudogenes are expressed. Therefore, defining pseudogene transcriptional and translational potentials of this genome should increase our understanding of their impact on M. leprae physiology. Results: Gene expression analysis identified transcripts from 49% of all M. leprae genes including 57% of all ORFs and 43% of all pseudogenes in the genome. Transcribed pseudogenes were randomly distributed throughout the chromosome. Factors resulting in pseudogene transcription included: 1) co-orientation of transcribed pseudogenes with transcribed ORFs within or exclusive of operon-like structures; 2) the paucity of intrinsic stem-loop transcriptional terminators between transcribed ORFs and downstream pseudogenes; and 3) predicted pseudogene promoters. Mechanisms for translational ``silencing'' of pseudogene transcripts included the lack of both translational start codons and strong Shine-Dalgarno (SD) sequences. Transcribed pseudogenes also contained multiple ``in-frame'' stop codons and high Ka/Ks ratios, compared to that of homologs in M. tuberculosis and ORFs in M. leprae. A pseudogene transcript containing an active promoter, strong SD site, a start codon, but containing two in frame stop codons yielded a protein product when expressed in E. coli. Conclusion: Approximately half of M. leprae's transcriptome consists of inactive gene products consuming energy and resources without potential benefit to M. leprae. Presently it is unclear what additional detrimental affect(s) this large number of inactive mRNAs has on the functional capability of this organism. Translation of these pseudogenes may play an important role in overall energy consumption and resultant pathophysiological characteristics of M. leprae. However, this study also demonstrated that multiple translational ``silencing'' mechanisms are present, reducing additional energy and resource expenditure required for protein production from the vast majority of these transcripts.

Performance reliability of high-maintenance systems

The time–history of the performance of a system is treated as a stochastic corrective process, in which deterioration due to aging is counteracted at brief maintenance checks. Using a diffusion approximation for the deterioration, simple models are proposed for describing maintenance either by component replacement or by performance restoration. Equilibrium solutions of the models show that the performance has a probability distribution with exponential tails: the uncritical use of Gaussians can grossly underestimate the probability of poor performance. The proposed models are supported by recent observational evidence on aircraft track-keeping errors, which are shown to follow the modified exponential distribution derived here. The analysis also brings out the relation between the deterioration characteristics of the system and the intensity of the maintenance effort required to achieve a given performance reliability.

The high- and low-activity forms of human plasma phospholipid transfer protein (PLTP)

Plasma phospholipid transfer protein (PLTP) plays a crucial role in high-density lipoprotein (HDL) metabolism and reverse cholesterol transport (RCT). It mediates the generation of pre-beta-HDL particles, enhances the cholesterol efflux from peripheral cells to pre-beta-HDL, and metabolically maintains the plasma HDL levels by facilitating the transfer of post-lipolytic surface remnants of triglyceride-rich lipoproteins to HDL. In addition to the antiatherogenic properties, recent findings indicate that PLTP has also proatherogenic characteristics, and that these opposite characteristics of PLTP are dependent on the site of PLTP expression and action. In human plasma, PLTP exists in a high-activity (HA-PLTP) and a low-activity form (LA-PLTP), which are associated with macromolecular complexes of different size and composition. The aims of this thesis were to isolate the two PLTP forms from human plasma, to characterize the molecular complexes in which the HA- and LA-PLTP reside, and to study the interactions of the PLTP forms with apolipoproteins (apo) and the ability of apolipoproteins to regulate PLTP activity. In addition, we aimed to study the distribution of the two PLTP forms in a Finnish population sample as well as to find possible regulatory factors for PLTP by investigating the influence of lipid and glucose metabolism on the balance between the HA- and LA-PLTP. For these purposes, an enzyme-linked immunosorbent assay (ELISA) capable of determining the serum total PLTP concentration and quantitating the two PLTP forms separately was developed. In this thesis, it was demonstrated that the HA-PLTP isolated from human plasma copurified with apoE, whereas the LA-PLTP formed a complex with apoA-I. The separation of these two PLTP forms was carried out by a dextran sulfate (DxSO4)-CaCl2 precipitation of plasma samples before the mass determination. A similar immunoreactivity of the two PLTP forms in the ELISA could be reached after a partial sample denaturation by SDS. Among normolipidemic Finnish individuals, the mean PLTP mass was 6.6 +/- 1.5 mg/l and the mean PLTP activity 6.6 +/- 1.7 umol/ml/h. Of the serum PLTP concentration, almost 50% represented HA-PLTP. The results indicate that plasma HDL levels could regulate PLTP concentration, while PLTP activity could be regulated by plasma triglyceride-rich very low-density lipoprotein (VLDL) concentration. Furthermore, new evidence is presented that PLTP could also play a role in glucose metabolism. Finally, both PLTP forms were found to interact with apoA-I, apoA-IV, and apoE. In addition, both apoE and apoA-IV, but not apoA-I, were capable of activating the LA-PLTP. These findings suggest that the distribution of the HA- and LA-PLTP in human plasma is subject to dynamic regulation by apolipoproteins.

High-performance graphene-based supercapacitors made by a scalable blade-coating approach

Graphene oxide (GO) sheets can form liquid crystals (LCs) in their aqueous dispersions that are more viscous with a stronger LC feature. In this work we combine the viscous LC-GO solution with the blade-coating technique to make GO films, for constructing graphene-based supercapacitors in a scalable way. Reduced GO (rGO) films are prepared by wet chemical methods, using either hydrazine (HZ) or hydroiodic acid (HI). Solid-state supercapacitors with rGO films as electrodes and highly conductive carbon nanotube films as current collectors are fabricated and the capacitive properties of different rGO films are compared. It is found that the HZ-rGO film is superior to the HI-rGO film in achieving high capacitance, owing to the 3D structure of graphene sheets in the electrode. Compared to gelled electrolyte, the use of liquid electrolyte (H2SO4) can further increase the capacitance to 265 F per gram (corresponding to 52 mF per cm2) of the HZ-rGO film.

High pressure clamp for electrical measurements up to 8 GPa and temperature down to 77 K

A compact clamp-type high pressure cell for carrying out electrical conductivity measurements on small solid samples of size 1 mm or less at pressures upto 8 GPa (i.e., 80 kbar) and for use down to 77 K has been designed and fabricated. The pressure generated in the sample region has been calibrated at room temperature against the polymorphic phase transitions of Bismuth and Ytterbium. The pressure relaxation of the clamp at low temperatures has been estimated by monitoring the electrical conductivity behavior of lead. Review of Scientific Instruments is copyrighted by The American Institute of Physics.

Multicarrier analysis of magnetotransport data at low and high electric fields

We present some results on multicarrier analysis of magnetotransport data, Both synthetic as well as data from narrow gap Hg0.8Cd0.2Te samples are used to demonstrate applicability of various algorithms vs. nonlinear least square fitting, Quantitative Mobility Spectrum Analysis (QMSA) and Maximum Entropy Mobility Spectrum Analysis (MEMSA). Comments are made from our experience oil these algorithms, and, on the inversion procedure from experimental R/sigma-B to S-mu specifically with least square fitting as an example. Amongst the conclusions drawn are: (i) Experimentally measured resistivity (R-xx, R-xy) should also be used instead of just the inverted conductivity (sigma(xx), sigma(xy)) to fit data to semiclassical expressions for better fits especially at higher B. (ii) High magnetic field is necessary to extract low mobility carrier parameters. (iii) Provided the error in data is not large, better estimates to carrier parameters of remaining carrier species can be obtained at any stage by subtracting highest mobility carrier contribution to sigma from the experimental data and fitting with the remaining carriers. (iv)Even in presence of high electric field, an approximate multicarrier expression can be used to guess the carrier mobilities and their variations before solving the full Boltzmann equation.