Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Railway junction traffic control by heuristic methods

Traffic conflicts at railway junctions are very conmon, particularly on congested rail lines. While safe passage through the junction is well maintained by the signalling and interlocking systems, minimising the delays imposed on the trains by assigning the right-of-way sequence sensibly is a bonus to the quality of service. A deterministic method has been adopted to resolve the conflict, with the objective of minimising the total weighted delay. However, the computational demand remains significant. The applications of different heuristic methods to tackle this problem are reviewed and explored, elaborating their feasibility in various aspects and comparing their relative merits for further studies. As most heuristic methods do not guarantee a global optimum, this study focuses on the trade-off between computation time and optimality of the resolution.

Weighted fairness with MCR guarantee and a general-purpose explicit rate allocation algorithm for ATM ABR service

In this paper, weighted fair rate allocation for ATM available bit rate (ABR) service is discussed with the concern of the minimum cell rate (MCR). Weighted fairness with MCR guarantee has been discussed recently in the literature. In those studies, each ABR virtual connection (VC) is first allocated its MCR, then the remaining available bandwidth is further shared among ABR VCs according to their weights. For the weighted fairness defined in this paper, the bandwidth is first allocated according to each VC's weight; if a VC's weighted share is less than its MCR, it should be allocated its MCR instead of the weighted share. This weighted fairness with MCR guarantee is referred to as extended weighted (EXW) fairness. Certain theoretical issues related to EXW, such as its global solution and bottleneck structure, are first discussed in the paper. A distributed explicit rate allocation algorithm is then proposed to achieve EXW fairness in ATM networks. The algorithm is a general-purpose explicit rate algorithm in the sense that it can realise almost all the fairness principles proposed for ABR so far whilst only minor modifications may be needed.

Vibration of L-shaped plates under a deterministic force or moment excitation : a case of statistical energy analysis application

Analytical and closed form solutions are presented in this paper for the vibration response of an L-shaped plate under a point force or a moment excitation. Inter-relationships between wave components of the source and the receiving plates are clearly defined. Explicit expressions are given for the quadratic quantities such as input power, energy flow and kinetic energy distributions of the L-shaped plate. Applications of statistical energy analysis (SEA) formulation in the prediction of the vibration response of finite coupled plate structures under a single deterministic forcing are examined and quantified. It is found that the SEA method can be employed to predict the frequency averaged vibration response and energy flow of coupled plate structures under a deterministic force or moment excitation when the structural system satisfies the following conditions: (1) the coupling loss factors of the coupled subsystems are known; (2) the source location is more than a quarter of the plate bending wavelength away from the source plate edges in the point force excitation case, or is more than a quarter wavelength away from the pair of source plate edges perpendicular to the moment axis in the moment excitation case due to the directional characteristic of moment excitations. SEA overestimates the response of the L-shaped plate when the source location is less than a quarter bending wavelength away from the respective plate edges owing to wave coherence effect at the plate boundary

Deterministic diffraction loss modelling for novel broadband communication in rural environments

This paper presents a deterministic modelling approach to predict diffraction loss for an innovative Multi-User-Single-Antenna (MUSA) MIMO technology, proposed for rural Australian environments. In order to calculate diffraction loss, six receivers have been considered around an access point in a selected rural environment. Generated terrain profiles for six receivers are presented in this paper. Simulation results using classical diffraction models and diffraction theory are also presented by accounting the rural Australian terrain data. Results show that in an area of 900 m by 900 m surrounding the receivers, path loss due to diffraction can range between 5 dB and 35 dB. Diffraction loss maps can contribute to determine the optimal location for receivers of MUSA-MIMO systems in rural areas.

A transport protocol for real-time applications in wireless networked control systems

A Networked Control System (NCS) is a feedback-driven control system wherein the control loops are closed through a real-time network. Control and feedback signals in an NCS are exchanged among the system’s components in the form of information packets via the network. Nowadays, wireless technologies such as IEEE802.11 are being introduced to modern NCSs as they offer better scalability, larger bandwidth and lower costs. However, this type of network is not designed for NCSs because it introduces a large amount of dropped data, and unpredictable and long transmission latencies due to the characteristics of wireless channels, which are not acceptable for real-time control systems. Real-time control is a class of time-critical application which requires lossless data transmission, small and deterministic delays and jitter. For a real-time control system, network-introduced problems may degrade the system’s performance significantly or even cause system instability. It is therefore important to develop solutions to satisfy real-time requirements in terms of delays, jitter and data losses, and guarantee high levels of performance for time-critical communications in Wireless Networked Control Systems (WNCSs). To improve or even guarantee real-time performance in wireless control systems, this thesis presents several network layout strategies and a new transport layer protocol. Firstly, real-time performances in regard to data transmission delays and reliability of IEEE 802.11b-based UDP/IP NCSs are evaluated through simulations. After analysis of the simulation results, some network layout strategies are presented to achieve relatively small and deterministic network-introduced latencies and reduce data loss rates. These are effective in providing better network performance without performance degradation of other services. After the investigation into the layout strategies, the thesis presents a new transport protocol which is more effcient than UDP and TCP for guaranteeing reliable and time-critical communications in WNCSs. From the networking perspective, introducing appropriate communication schemes, modifying existing network protocols and devising new protocols, have been the most effective and popular ways to improve or even guarantee real-time performance to a certain extent. Most previously proposed schemes and protocols were designed for real-time multimedia communication and they are not suitable for real-time control systems. Therefore, devising a new network protocol that is able to satisfy real-time requirements in WNCSs is the main objective of this research project. The Conditional Retransmission Enabled Transport Protocol (CRETP) is a new network protocol presented in this thesis. Retransmitting unacknowledged data packets is effective in compensating for data losses. However, every data packet in realtime control systems has a deadline and data is assumed invalid or even harmful when its deadline expires. CRETP performs data retransmission only in the case that data is still valid, which guarantees data timeliness and saves memory and network resources. A trade-off between delivery reliability, transmission latency and network resources can be achieved by the conditional retransmission mechanism. Evaluation of protocol performance was conducted through extensive simulations. Comparative studies between CRETP, UDP and TCP were also performed. These results showed that CRETP significantly: 1). improved reliability of communication, 2). guaranteed validity of received data, 3). reduced transmission latency to an acceptable value, and 4). made delays relatively deterministic and predictable. Furthermore, CRETP achieved the best overall performance in comparative studies which makes it the most suitable transport protocol among the three for real-time communications in a WNCS.

Bailing out the FEG : is the Fair Entitlements Guarantee (formerly GEERS) approaching its own fiscal cliff?

This article discusses what recent statistics and public reports reveal about the funding of GEERS (now the FEG) and its bottom line. The article examines (1) whether there has been a “blowout” in the scheme which guarantees the recovery of employee entitlements in liquidations and (2) what might be done to put the scheme on a firmer fiscal footing.

How to guarantee compliance between workflows and product lifecycles?

Product Lifecycle Management (PLM) systems are widely used in the manufacturing industry. A core feature of such systems is to provide support for versioning of product data. As workflow functionality is increasingly used in PLM systems, the possibility emerges that the versioning transitions for product objects as encapsulated in process models do not comply with the valid version control policies mandated in the objects’ actual lifecycles. In this paper we propose a solution to tackle the (non-)compliance issues between processes and object version control policies. We formally define the notion of compliance between these two artifacts in product lifecycle management and then develop a compliance checking method which employs a well-established workflow analysis technique. This forms the basis of a tool which offers automated support to the proposed approach. By applying the approach to a collection of real-life specifications in a main PLM system, we demonstrate the practical applicability of our solution to the field.

Deterministic control of structural and optical properties of plasma-grown vertical graphene nanosheet networks via nitrogen gas variation

The effect of nitrogen on the growth of vertically oriented graphene nanosheets on catalyst-free silicon and glass substrates in a plasma-assisted process is studied. Different concentrations of nitrogen were found to act as versatile control knobs that could be used to tailor the length, number density and structural properties of the nanosheets. Nanosheets with different structural characteristics exhibit markedly different optical properties. The nanosheet samples were treated with a bovine serum albumin protein solution to investigate the effects of this variation on the optical properties for biosensing through confocal micro-Raman spectroscopy and UV-Vis spectrophotometry. © 2012 Optical Society of America.

Made-to-order nanocarbons through deterministic plasma nanotechnology

Through a combinatorial approach involving experimental measurement and plasma modelling, it is shown that a high degree of control over diamond-like nanocarbon film sp3/sp2 ratio (and hence film properties) may be exercised, starting at the level of electrons (through modification of the plasma electron energy distribution function). Hydrogenated amorphous carbon nanoparticle films with high percentages of diamond-like bonds are grown using a middle-frequency (2 MHz) inductively coupled Ar + CH4 plasma. The sp3 fractions measured by X-ray photoelectron spectroscopy (XPS) and Raman spectroscopy in the thin films are explained qualitatively using sp3/sp2 ratios 1) derived from calculated sp3 and sp2 hybridized precursor species densities in a global plasma discharge model and 2) measured experimentally. It is shown that at high discharge power and lower CH4 concentrations, the sp3/sp2 fraction is higher. Our results suggest that a combination of predictive modeling and experimental studies is instrumental to achieve deterministically grown made-to-order diamond-like nanocarbons suitable for a variety of applications spanning from nano-magnetic resonance imaging to spin-flip quantum information devices. This deterministic approach can be extended to graphene, carbon nanotips, nanodiamond and other nanocarbon materials for a variety of applications

Deterministic plasma-aided synthesis of high-quality nanoislanded nc-SiC films

Despite major advances in the fabrication and characterization of SiC and related materials, there has been no convincing evidence of the synthesis of nanodevice-quality nanoislanded SiC films at low, ultralarge scale integration technology-compatible process temperatures. The authors report on a low-temperature (400 °C) plasma-assisted rf magnetron sputtering deposition of high-quality nanocrystalline SiC films made of uniform-size nanoislands that almost completely cover the Si(100) surface. These nanoislands are chemically pure, highly stoichiometric, have a typical size of 20-35 nm, and contain small (∼5 nm) nanocrystalline inclusions. The properties of nanocrystalline SiC films can be effectively controlled by the plasma parameters.

Deterministic nanoassembly : Neutral or plasma route?

It is shown that, owing to selective delivery of ionic and neutral building blocks directly from the ionized gas phase and via surface migration, plasma environments offer a better deal of deterministic synthesis of ordered nanoassemblies compared to thermal chemical vapor deposition. The results of hybrid Monte Carlo (gas phase) and adatom self-organization (surface) simulation suggest that higher aspect ratios and better size and pattern uniformity of carbon nanotip microemitters can be achieved via the plasma route. © 2006 American Institute of Physics.

Controlled-bandgap silicon nitride nanomaterials : deterministic nitrogenation in high-density plasmas

To overcome major problems associated with insufficient incorporation of nitrogen in hydrogenated amorphous silicon nitride (a-SiNx:H) nanomaterials, which in turn impedes the development of controlled-bandgap nanodevices, here we demonstrate the possibility to achieve effective bandgap control in a broad range by using high-density inductively coupled plasmas. This achievement is related to the outstanding dissociation ability of such plasmas. It is shown that the compositional, structural, optical, and morphological properties of the synthesized a-SiNx:H nanomaterials can be effectively tailored through the manipulation of the flow rate ratio of the silane to nitrogen gases X. In particular, a wide bandgap of 5.21 eV can be uniquely achieved at a low flow rate ratio of the nitrogen to silane gas of 1.0, whereas typically used values often exceed 20.0. These results are highly-relevant to the development of the next-generation nanodevices that rely on the effective control of the functional nano-layer bandgap energies.