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.

Synthetic polypeptide with antifreeze activity

MUCH information has been gathered in recent years on the so-called 'antifreeze' proteins which lower the freezing point of the serum of certain marine fishes living in sub-zero water temperatures1−4. The proteins from the Antarctic fish Trematomus borchgrevinki are glycoproteins with a repeating alanyl-alanyl-threonyl tripeptide sequence, the threonyl residue being linked to a disaccharide1,2. In contrast, the antifreeze protein from the winter flounder Pseudopleuronectus americanus in the North American Atlantic coastal region is made up of eight ammo acids with no apparent repeating sequence of the residues and no sugar moiety (ref. 4 and unpublished work of C. L. Hew, C. C. Yip & G. Fletcher). The antifreeze activity of these proteins is not compatible with the known colligative properties of solutes in solution and the mechanism of their action is not yet fully understood. But a common feature of both types of the antifreeze proteins is the preponderance of alanine which accounts for over 60% of the total amino residues. This fact, together with the absence of the carbohydrate in the protein from the winter flounder, prompted us to attempt the synthesis of polypeptide analogues having comparable proportions of alanine in them along with suitable other amino acids. As a first step, we made use of the lack of any obvious periodicity in the distribution of the alanyl residues in the flounder's protein and attempted the synthesis of a random copolypeptide containing about 65 mol % of alanine and 35 mol % of aspartic acid. The choice of aspartic acid was made on the basis of its being the next major amino acid in the flounder's protein3,4 and on the expectation that its polar character will help the water-solubility of the alanine-rich copolypeptide, as in other studies on alanine-containing random copolymers. In addition, Duman and DeVries4 have earlier indicated the involvement of carboxyl groups on the antifreeze activity by chemical modification studies. We report here the synthesis of this polypeptide and show that it possesses antifreeze activity.

Structural and Functional Studies on Trimeric Autotransporters

Trimeric autotransporters are a family of secreted outer membrane proteins in Gram-negative bacteria. These obligate homotrimeric proteins share a conserved C-terminal region, termed the translocation unit. This domain consists of an integral membrane β-barrel anchor and associated α-helices which pass through the pore of the barrel. The α-helices link to the extracellular portion of the protein, the passenger domain. Autotransportation refers to the way in which the passenger domain is secreted into the extracellular space. It appears that the translocation unit mediates the transport of the passenger domain across the outer membrane, and no external factors, such as ATP, ion gradients nor other proteins, are required. The passenger domain of autotransporters contains the specific activities of each protein. These are usually related to virulence. In trimeric autotransporters, the main function of the proteins is to act as adhesins. One such protein is the Yersinia adhesin YadA, found in enteropathogenic species of Yersinia. The main activity of YadA from Y. enterocolitica is to bind collagen, and it also mediates adhesion to other molecules of the extracellular matrix. In addition, YadA is involved in serum resistance, phagocytosis resistance, binding to epithelial cells and autoagglutination. YadA is an essential virulence factor of Y. enterocolitica, and removal of this protein from the bacteria leads to avirulence. In this study, I investigated the YadA-collagen interaction by studying the binding of YadA to collagen-mimicking peptides by several biochemical and biophysical methods. YadA bound as tightly to the triple-helical model peptide (Pro-Hyp-Gly)10 as to native collagen type I. However, YadA failed to bind a similar peptide that does not form a collagenous triple helix. As (Pro-Hyp-Gly)10 does not contain a specific sequence, we concluded that a triple-helical conformation is necessary for YadA binding, but no specific sequence is required. To further investigate binding determinants for YadA in collagens, I examined the binding of YadA to a library of collagen-mimicking peptides that span the entire triple-helical sequences of human collagens type II and type III. YadA bound promiscuously to many but not all peptides, indicating that a triple-helical conformation alone is not sufficient for binding. The high-binding peptides did not share a clear binding motif, but these peptides were rich in hydroxyproline residues and contained a low number of charged residues. YadA thus binds collagens without sequence specificity. This strategy of promiscuous binding may be advantageous for pathogenic bacteria. The Eib proteins from Escherichia coli are immunoglobulin (Ig)-binding homologues of YadA. I showed conclusively that recombinant EibA, EibC, EibD and EibF bind to IgG Fc. I crystallised a fragment of the passenger domain of EibD, which binds IgA in addition to IgG. The structure has a YadA-like head domain and an extended coiled-coil stalk. The top half of the coiled-coil is right-handed with hendecad periodicity, whereas the lower half is a canonical left-handed coiled-coil. At the transition from right- to left-handedness, a small β-sheet protrudes from each monomer. I was able to map the binding regions for IgG and IgA using truncations and site-directed mutagenesis to the coiled-coil stalk and identified residues critical for Ig binding.

Extending temporal simulations

Direct numerical simulations (DNS) of spatially growing turbulent shear layers may be performed as temporal simulations by solving the governing equations with some additional terms while imposing streamwise periodicity. These terms are functions of the means whose spatial growth is calculated easily and accurately from statistics of the temporal DNS. Equations for such simulations are derived.

Quasi-periodic, global oscillations in sea level pressure on intraseasonal timescales

The sea level pressure (SLP) variability in 30-60 day intraseasonal timescales is investigated using 25 years of reanalysis data addressing two issues. The first concerns the non-zero zonal mean component of SLP near the equator and its meridional connections, and the second concerns the fast eastward propagation (EP) speed of SLP compared to that of zonal wind. It is shown that the entire globe resonates with high amplitude wave activity during some periods which may last for few to several months, followed by lull periods of varying duration. SLP variations in the tropical belt are highly coherent from 25A degrees S to 25A degrees N, uncorrelated with variations in mid latitudes and again significantly correlated but with opposite phase around 60A degrees S and 65A degrees N. Near the equator (8A degrees S-8A degrees N), the zonal mean contributes significantly to the total variance in SLP, and after its removal, SLP shows a dominant zonal wavenumber one structure having a periodicity of 40 days and EP speeds comparable to that of zonal winds in the Indian Ocean. SLP from many of the atmospheric and coupled general circulation models show similar behaviour in the meridional direction although their propagation characteristics in the tropical belt differ widely.

Analysis of Energy Quantization Effects on Single-Electron Transistor Circuits

In this paper, the effects of energy quantization on different single-electron transistor (SET) circuits (logic inverter, current-biased circuits, and hybrid MOS-SET circuits) are analyzed through analytical modeling and Monte Carlo simulations. It is shown that energy quantizationmainly increases the Coulomb blockade area and Coulomb blockade oscillation periodicity, and thus, affects the SET circuit performance. A new model for the noise margin of the SET inverter is proposed, which includes the energy quantization effects. Using the noise margin as a metric, the robustness of the SET inverter is studied against the effects of energy quantization. An analytical expression is developed, which explicitly defines the maximum energy quantization (termed as ``quantization threshold'') that an SET inverter can withstand before its noise margin falls below a specified tolerance level. The effects of energy quantization are further studiedfor the current-biased negative differential resistance (NDR) circuitand hybrid SETMOS circuit. A new model for the conductance of NDR characteristics is also formulated that explains the energy quantization effects.

Studies on strontium titanate/barium zirconate superlattices

Artificial superlattices of SrTiO3 and BaZrO3 were grown epitaxially with different periodicities on SrRuO3 coated (00 1) SrTiO3 substrates by pulsed excimer laser ablation. Superlattices were structurally characterized by X-Ray theta-2 theta diffraction data. Electrical characterization was done in metal-insulation-metal configuration. Capacitance-voltage measurements showed limited amount of tunability. The DC field induced tunability has been observed to be sensitive to the periodicity of the superlattices, hence the effective strain present in the layers. Hysteretic behaviour in capacitance-voltage (C-V) and polarization versus electric field (P-E) results from the superlattices also indicate the sensitivity of the interfaces. Interfacial strain is supposed to be the most probable cause for such a behaviour which is also manifested in the variation of dielectric constant with individual layer thicknesses. (c) 2007 Elsevier Ltd. All rights reserved.

Interfacial coupling and its size dependence in PbTiO3 and PbMg1/3Nb2/3O3 multilayers

Multilayers of Pb(Mg1/3Nb2/3)O-3 (PMN)-PbTiO3 (PT) were deposited through pulsed laser ablation deposition with different periodicities (d=10, 20, 30, 40, 50, 60, and 70 nm) for a constant total thickness of the film. The presence of superlattice reflections in the x-ray diffraction pattern clearly showed the superlattice behavior of the fabricated structures over a periodicity range of 20-50 nm. Polarization hysteresis and the capacitance-voltage characteristics of these films show clear size dependent ferroelectric and antiferroelectric (AFE) characteristics. Presence of long-range coupling and strain in multilayers with lower periodicity (similar to 10 nm) exhibited a clear ferroelectric behavior similar to a solid solution of PMN and PT. Multilayers with higher periodicities (20-50 nm) exhibited antiferroelectric behavior, which could be understood from the energy arguments. On further increase of periodicity, they again exhibit ferroelectric behavior. The polarization studies were carried out beyond the Curie temperature T-c of PMN to understand the interlayer interaction. The interaction is changed to a ferroelectric-paraelectric interlayer and tends to lose its antiferroelectric behavior. The behavior of remnant polarization P-r and dP(r)/dT with temperature clearly proves that the AFE coupling of these superlattices is due to the extrinsic interfacial coupling and not an intrinsic interaction as in a homogeneous conventional AFE material. The evidence of an averaged behavior at a periodicity of similar to 10 nm, and the behavior of individual materials at larger periodicities were further confirmed through dielectric phase transition studies. The presence of AFE interfacial coupling was insignificant over the dielectric phase transition of the multilayers.

Decagonal quasicrystals

Following the discovery of two dimensional quasicrystals in rapidly solidified Al-Mn alloys by us and L. Bendersky in 1985, a number of fascinating studies has been conducted to unravel the atomic configuration of quasicrystals with decagonal symmetry. A comprehensive mapping of the reciprocal space of decagonal quasicrystals is now available. The interpretation of the diffraction patterns brings out the comparative advantages of various indexing schemes. In addition, the nature of the variable periodicity can be addressed as a form of polytypism. The relation between decagonal quasicrystals and their crystalline homologues will be explored with emphasis on Al60Mn11Ni4 and 'Al3Mn'. It will also be shown that decagonal quasicrystals are closely related to icosahedral quasicrystals, icosahedral twins and vacancy ordered phases.

Accelerating Waves in Polar Coronal Holes as Seen by EIS and SUMER

We present EIS/Hinode and SUMER/SOHO observations of propagating disturbances detected in coronal lines in inter-plume and plume regions of a polar coronal hole. The observation was carried out on 2007 November 13 as part of the JOP196/HOP045 program. The SUMER spectroscopic observation gives information about fluctuations in radiance and on both resolved (Doppler shift) and unresolved (Doppler width) line-of-sight velocities, whereas EIS 40 `'wide slot images detect fluctuations only in radiance but maximize the probability of overlapping field of view between the two instruments. From distance-time radiance maps, we detect the presence of propagating waves in a polar inter-plume region with a period of 15-20 minutes and a propagation speed increasing from 130 +/- 14 km s(-1) just above the limb to 330 +/- 140 km s(-1) around 160 `' above the limb. These waves can be traced to originate from a bright region of the on-disk part of the coronal hole where the propagation speed is in the range of 25 +/- 1.3 to 38 +/- 4.5 km s(-1), with the same periodicity. These on-disk bright regions can be visualized as the base of the coronal funnels. The adjacent plume region also shows the presence of propagating disturbances with the same range of periodicity but with propagation speeds in the range of 135 +/- 18 to 165 +/- 43 km s(-1) only. A comparison between the distance-time radiance map of the two regions indicates that the waves within the plumes are not observable (may be getting dissipated) far off-limb, whereas this is not the case in the inter-plume region. A correlation analysis was also performed to find out the time delay between the oscillations at several heights in the off-limb region, finding results consistent with those from the analysis of the distance-timemaps. To our knowledge, this result provides first spectroscopic evidence of the acceleration of propagating disturbances in the polar region close to the Sun (within 1.2 R/R-circle dot), which provides clues to the understanding of the origin of these waves. We suggest that the waves are likely either Alfvenic or fast magnetoacoustic in the inter-plume region and slow magnetoacoustic in the plume region. This may lead to the conclusion that inter-plumes are a preferred channel for the acceleration of the fast solar wind.

A comparative study of superconducting LaBa2Cu3O7−δ and La3−xBa3+xCu6O14+δ

Based on X-ray diffraction and electron microscopy it is shown that oxides of the general formula La Ba2Cu3O7−δ become tetragonal when δ deviates slightly from 0. This tetragonal structure is similar to that of La3−xBa3+xCu6O14+δ, with a cubic perovskite subcell and triple periodicity. Electron micrographs of these tetragonal oxides show 90° microdomains. Orthorhombic LaBa2Cu3O7−δ with high Tc (not, vert, similar77 K) is found only when δ reverse similar, equals 0; this sample is subject to formation of twins. Fluorine substitution seems to favor superconductivity.

Impact of energy quantisation in single electron transistor island on hybrid complementary metal oxide semiconductor-single electron transistor integrated circuits

For the first time, the impact of energy quantisation in single electron transistor (SET) island on the performance of hybrid complementary metal oxide semiconductor (CMOS)-SET transistor circuits has been studied. It has been shown through simple analytical models that energy quantisation primarily increases the Coulomb Blockade area and Coulomb Blockade oscillation periodicity of the SET device and thus influences the performance of hybrid CMOS-SET circuits. A novel computer aided design (CAD) framework has been developed for hybrid CMOS-SET co-simulation, which uses Monte Carlo (MC) simulator for SET devices along with conventional SPICE for metal oxide semiconductor devices. Using this co-simulation framework, the effects of energy quantisation have been studied for some hybrid circuits, namely, SETMOS, multiband voltage filter and multiple valued logic circuits. Although energy quantisation immensely deteriorates the performance of the hybrid circuits, it has been shown that the performance degradation because of energy quantisation can be compensated by properly tuning the bias current of the current-biased SET devices within the hybrid CMOS-SET circuits. Although this study is primarily done by exhaustive MC simulation, effort has also been put to develop first-order compact model for SET that includes energy quantisation effects. Finally, it has been demonstrated that one can predict the SET behaviour under energy quantisation with reasonable accuracy by slightly modifying the existing SET compact models that are valid for metallic devices having continuous energy states.

Differences in the climatic adaptation of silver birch (Betula pendula) and downy birch (B. pubescens) in Finland based on male flowering phenology.

Male flowering was studied at the canopy level in 10 silver birch (Betula pendula Roth) stands from 8 localities and in 14 downy birch (B. pubescens Ehrh.) stands from 10 localities in Finland from 1963 to 1973. Distributions of cumulative pollen catches were compared to the normal Gaussian distribution. The basis for the timing of flowering was the 50 per cent point of the anthesis-fitted normal distribution. To eliminate effects of background pollen, only the central, normally distributed part of the cumulative distribution was used. Development up to the median point of the distribution was measured and tested in calendar days, in degree days (> 5 °C) and in period units. The count of each parameter began on and included March 19. Male flowering in silver birch occurred from late April to late June depending on latitude, and flowering in downy birch took place from early May to early July. The heat sums needed for male flowering varied in downy birch stands latitudinally but there was practically no latitudinal variation in heat sums needed for silver birch flowering. The amount of male flowering in stands of both birch species were found to have a large annual variation but without any clear periodicity. The between years pollen catch variation in stands of either birch species did not show any significant latitudinal correlation in contrast to Norway spruce stands. The period unit heat sum gave the most accurate forecast of the timing of flowering for 60 per cent of the silver birch stands and for 78.6 per cent of the for downy birch stands. Calendar days, however, gave the best forecast for silver birch in 25 per cent of the cases, while degree days gave the best forecast for downy birch in 21.4 per cent of the cases. Silver birch seems to have a local inclination for a more fixed flowering date compared to downy birch, which could mean a considerable photoperiodic influence on flowering time of silver birch. Silver birch and downy birch had different geographical correlations. Frequent hybridization of birch species occurs more often in northern Finland in than in more southern latitudes. The different timing in flowering caused increasing scatter in flowering times in the north, especially in the case of downy birch. The chance of simultaneous flowering of silver birch and downy birch so increased northwards due to a more variable climate and also higher altitudinal variations. Compared with conifers, the reproduction cycles of both birch species were found to be well protected from damage by frost.

Quasicrystalline and related crystalline phases in a rapidly solidified 2024-2Li aluminium alloy

The formation and decomposition of quasicrystalline and crystalline phases in as-rapidly solidified and annealed commercial AISI 2024 aluminum alloy containing 2 wt% Li have been investigated by detailed transmission electron microscopy, including a combination of bright field and dark field imaging, selected area diffraction pattern analysis and energy dispersive X-ray microanalysis. The microstructure of as-melt spun 2024-2Li consists of alpha-Al cells, containing small coherent delta' precipitates, and particles or a continuous network of the icosahedral phase at the cell boundaries. After annealing at 300-degrees-C, the intercellular particles of the icosahedral phase coarsen progressively and assume a more faceted shape; after annealing at 400-degrees-C, particles of the decagonal and crystalline O phases precipitate heterogeneously on preexisting particles of the icosahedral phase; and after annealling at 500-degrees-C, the icosahedral and decagonal phases dissolve completely, and small particles of the crystalline O phase remain together with newly precipitated plates of the T1 phase. The icosahedral phase in melt spun and melt spun/annealed 2024-2Li belongs to the Al6CuLi3 class of icosahedral phases, with a quasilattice constant of 0.51 nm, a stoichiometry of (Al, Si)6(Cu, Mn, Fe) (Li, Mg)3 and an average composition of Al-24.1 at.% Cu-6.4 at.% Mg-1.7 at.% Si-0.3 at.% Mn-0.5 at.% Fe as-melt spun and Al-21.9 at.% Cu-6.3 at.% Mg-1.0 at.% Si-0.5 at.% Fe as-heat-treated. The decagonal phase in melt spun/annealed 2024-2Li belongs to the Al4Mn class of decagonal phases, with a periodicity of 1.23 nm along the 10-fold symmetry axis, a stoichiometry of Al3(Cu, Mn, Fe) and an average composition of Al-10.3 at.% Cu-13.8 at.% Mn-2.3 at.% Fe. The crystalline O phase in melt spun/annealed 2024-2Li has an orthorhombic structure with lattice parameters of a = 2.24 nm, b = 2.35 nm and c = 1.23 nm, a stoichiometry of Al3(Cu, Mn, Fe) and an average composition of Al-11.0 at.% Cu-14.8 at.% Mn-3.9 at.% Fe. Detailed analysis of selected area diffraction patterns shows a close similarity between the icosahedral, decagonal and crystalline O phases in melt spun and melt spun/annealed 2024-2Li. In particular, the decagonal phase and crystalline O phases have a similar composition, and exhibit an orientation relationship which can be expressed as: [GRAPHICS] suggesting that the orthorhombic O phase is an approximant structure for the decagonal phase.

Aperiodic Variability in the Cane-Zebiak Model: A Diagnostic Study

The finite predictability of the coupled ocean-atmosphere system is determined by its aperiodic variability. To gain insight regarding the predictability of such a system, a series of diagnostic studies has been carried out to investigate the role of convergence feedback in producing the aperiodic behavior of the standard version of the Cane-Zebiak model. In this model, an increase in sea surface temperature (SST) increases atmospheric heating by enhancing local evaporation (SST anomaly feedback) and low-level convergence (convergence feedback). The convergence feedback is a nonlinear function of the background mean convergence field. For the set of standard parameters used in the model, it is shown that the convergence feedback contributes importantly to the aperiodic behaviour of the model. As the strength of the convergence feedback is increased from zero to its standard value, the model variability goes from a periodic regime to an aperiodic regime through a broadening of the frequency spectrum around the basic periodicity of about 4 years. Examination of the forcing associated with the convergence feedback reveals that it is intermittent, with relatively large amplitude only during 2 or 3 months in the early part of the calendar year. This seasonality in the efficiency of the convergence feedback is related to the strong seasonality of the mean convergence over the eastern Pacific. It is shown that if the mean convergence field is fixed at its March value, aperiodic behavior is produced even in the absence of annual cycles in the other mean fields. On the, other hand, if the mean convergence field is fixed at its September value, the coupled model evolution remains close to periodic, even in the presence of the annual cycle in the other fields. The role of convergence feedback on the aperiodic variability of the model for other parameter regimes is also examined. It is shown that a range exists in the strength of the SST anomaly feedback for which the model variability is aperiodic even without the convergence feedback. It appears that in the absence of convergence feedback, enhancement of the strength of the air-sea coupling in the model through other physical processes also results in aperiodicity in the model.