Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Development and feasibility of a smartphone, ECG and GPS based system for remotely monitoring exercise in cardiac rehabilitation

Background Despite its efficacy and cost-effectiveness, exercise-based cardiac rehabilitation is undertaken by less than one-third of clinically eligible cardiac patients in every country for which data is available. Reasons for non-participation include the unavailability of hospital-based rehabilitation programs, or excessive travel time and distance. For this reason, there have been calls for the development of more flexible alternatives. Methodology and Principal Findings We developed a system to enable walking-based cardiac rehabilitation in which the patient's single-lead ECG, heart rate, GPS-based speed and location are transmitted by a programmed smartphone to a secure server for real-time monitoring by a qualified exercise scientist. The feasibility of this approach was evaluated in 134 remotely-monitored exercise assessment and exercise sessions in cardiac patients unable to undertake hospital-based rehabilitation. Completion rates, rates of technical problems, detection of ECG changes, pre- and post-intervention six minute walk test (6 MWT), cardiac depression and Quality of Life (QOL) were key measures. The system was rated as easy and quick to use. It allowed participants to complete six weeks of exercise-based rehabilitation near their homes, worksites, or when travelling. The majority of sessions were completed without any technical problems, although periodic signal loss in areas of poor coverage was an occasional limitation. Several exercise and post-exercise ECG changes were detected. Participants showed improvements comparable to those reported for hospital-based programs, walking significantly further on the post-intervention 6 MWT, 637 m (95% CI: 565–726), than on the pre-test, 524 m (95% CI: 420–655), and reporting significantly reduced levels of cardiac depression and significantly improved physical health-related QOL. Conclusions and Significance The system provided a feasible and very flexible alternative form of supervised cardiac rehabilitation for those unable to access hospital-based programs, with the potential to address a well-recognised deficiency in health care provision in many countries. Future research should assess its longer-term efficacy, cost-effectiveness and safety in larger samples representing the spectrum of cardiac morbidity and severity.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Bayesian Analysis for a Theory of Random Consumer Demand: The Case of Indivisible Goods

McCausland (2004a) describes a new theory of random consumer demand. Theoretically consistent random demand can be represented by a \"regular\" \"L-utility\" function on the consumption set X. The present paper is about Bayesian inference for regular L-utility functions. We express prior and posterior uncertainty in terms of distributions over the indefinite-dimensional parameter set of a flexible functional form. We propose a class of proper priors on the parameter set. The priors are flexible, in the sense that they put positive probability in the neighborhood of any L-utility function that is regular on a large subset bar(X) of X; and regular, in the sense that they assign zero probability to the set of L-utility functions that are irregular on bar(X). We propose methods of Bayesian inference for an environment with indivisible goods, leaving the more difficult case of indefinitely divisible goods for another paper. We analyse individual choice data from a consumer experiment described in Harbaugh et al. (2001).

Object-centric process models and the design of flexible processes

Mainstream business process modelling techniques promote a design paradigm wherein the activities to be performed within a case, together with their usual execution order, form the backbone of a process model, on top of which other aspects are anchored. This paradigm, while eective in standardised and production-oriented domains, shows some limitations when confronted with processes where case-by-case variations and exceptions are the norm. In this thesis we develop the idea that the eective design of exible process models calls for an alternative modelling paradigm, one in which process models are modularised along key business objects, rather than along activity decompositions. The research follows a design science method, starting from the formulation of a research problem expressed in terms of requirements, and culminating in a set of artifacts that have been devised to satisfy these requirements. The main contributions of the thesis are: (i) a meta-model for object-centric process modelling incorporating constructs for capturing exible processes; (ii) a transformation from this meta-model to an existing activity-centric process modelling language, namely YAWL, showing the relation between object-centric and activity-centric process modelling approaches; and (iii) a Coloured Petri Net that captures the semantics of the proposed meta-model. The meta-model has been evaluated using a framework consisting of a set of work ow patterns. Moreover, the meta-model has been embodied in a modelling tool that has been used to capture two industrial scenarios.

Curriculum design innovation in flexible science teaching

In this paper you will be introduced to a number of principles which can be used to inform good teaching practice and rigorous curriculum design. Principles relate to: * Application of a common sequence of events for how learners learn; * Accommodating different learning styles; * Adopting a purposeful approach to teaching and learning; * Using assessment as a central driving force in the curriculum and as an organising structure leading to coherence of teaching and learning approach; and * The increasing emphasis that is being placed on the development of generic graduate competencies over and above discipline content knowledge. The principles are particularly significant in relation to adult learning. The paper will use three specific applications as illustrations to help you to learn how these principles can be applied. The illustrations are taken from a second year subject in supercomputing that uses scientific case studies. The subject has been developed (with support from Silicon Graphics Inc. and Intel) to be taught entirely via the Internet.

Hybrid light-emitting diodes based on flexible sheets of mass-produced ZnO nanowires

We report the production of free-standing thin sheets made up of mass-produced ZnO nanowires and the application of these nanowire sheets for the fabrication of ZnO/organic hybrid light-emitting diodes in the manner of assembly. Different p-type organic semiconductors are used to form heterojunctions with the ZnO nanowire film. Electroluminescence measurements of the devices show UV and visible emissions. Identical strong red emission is observed independent of the organic semiconductor materials used in this work. The visible emissions corresponding to the electron transition between defect levels within the energy bandgap of ZnO are discussed.

Flexible high voltage pulsed power supply for plasma applications

Demands for delivering high instantaneous power in a compressed form (pulse shape) have widely increased during recent decades. The flexible shapes with variable pulse specifications offered by pulsed power have made it a practical and effective supply method for an extensive range of applications. In particular, the release of basic subatomic particles (i.e. electron, proton and neutron) in an atom (ionization process) and the synthesizing of molecules to form ions or other molecules are among those reactions that necessitate large amount of instantaneous power. In addition to the decomposition process, there have recently been requests for pulsed power in other areas such as in the combination of molecules (i.e. fusion, material joining), gessoes radiations (i.e. electron beams, laser, and radar), explosions (i.e. concrete recycling), wastewater, exhausted gas, and material surface treatments. These pulses are widely employed in the silent discharge process in all types of materials (including gas, fluid and solid); in some cases, to form the plasma and consequently accelerate the associated process. Due to this fast growing demand for pulsed power in industrial and environmental applications, the exigency of having more efficient and flexible pulse modulators is now receiving greater consideration. Sensitive applications, such as plasma fusion and laser guns also require more precisely produced repetitive pulses with a higher quality. Many research studies are being conducted in different areas that need a flexible pulse modulator to vary pulse features to investigate the influence of these variations on the application. In addition, there is the need to prevent the waste of a considerable amount of energy caused by the arc phenomena that frequently occur after the plasma process. The control over power flow during the supply process is a critical skill that enables the pulse supply to halt the supply process at any stage. Different pulse modulators which utilise different accumulation techniques including Marx Generators (MG), Magnetic Pulse Compressors (MPC), Pulse Forming Networks (PFN) and Multistage Blumlein Lines (MBL) are currently employed to supply a wide range of applications. Gas/Magnetic switching technologies (such as spark gap and hydrogen thyratron) have conventionally been used as switching devices in pulse modulator structures because of their high voltage ratings and considerably low rising times. However, they also suffer from serious drawbacks such as, their low efficiency, reliability and repetition rate, and also their short life span. Being bulky, heavy and expensive are the other disadvantages associated with these devices. Recently developed solid-state switching technology is an appropriate substitution for these switching devices due to the benefits they bring to the pulse supplies. Besides being compact, efficient, reasonable and reliable, and having a long life span, their high frequency switching skill allows repetitive operation of pulsed power supply. The main concerns in using solid-state transistors are the voltage rating and the rising time of available switches that, in some cases, cannot satisfy the application’s requirements. However, there are several power electronics configurations and techniques that make solid-state utilisation feasible for high voltage pulse generation. Therefore, the design and development of novel methods and topologies with higher efficiency and flexibility for pulsed power generators have been considered as the main scope of this research work. This aim is pursued through several innovative proposals that can be classified under the following two principal objectives. • To innovate and develop novel solid-state based topologies for pulsed power generation • To improve available technologies that have the potential to accommodate solid-state technology by revising, reconfiguring and adjusting their structure and control algorithms. The quest to distinguish novel topologies for a proper pulsed power production was begun with a deep and through review of conventional pulse generators and useful power electronics topologies. As a result of this study, it appears that efficiency and flexibility are the most significant demands of plasma applications that have not been met by state-of-the-art methods. Many solid-state based configurations were considered and simulated in order to evaluate their potential to be utilised in the pulsed power area. Parts of this literature review are documented in Chapter 1 of this thesis. Current source topologies demonstrate valuable advantages in supplying the loads with capacitive characteristics such as plasma applications. To investigate the influence of switching transients associated with solid-state devices on rise time of pulses, simulation based studies have been undertaken. A variable current source is considered to pump different current levels to a capacitive load, and it was evident that dissimilar dv/dts are produced at the output. Thereby, transient effects on pulse rising time are denied regarding the evidence acquired from this examination. A detailed report of this study is given in Chapter 6 of this thesis. This study inspired the design of a solid-state based topology that take advantage of both current and voltage sources. A series of switch-resistor-capacitor units at the output splits the produced voltage to lower levels, so it can be shared by the switches. A smart but complicated switching strategy is also designed to discharge the residual energy after each supply cycle. To prevent reverse power flow and to reduce the complexity of the control algorithm in this system, the resistors in common paths of units are substituted with diode rectifiers (switch-diode-capacitor). This modification not only gives the feasibility of stopping the load supply process to the supplier at any stage (and consequently saving energy), but also enables the converter to operate in a two-stroke mode with asymmetrical capacitors. The components’ determination and exchanging energy calculations are accomplished with respect to application specifications and demands. Both topologies were simply modelled and simulation studies have been carried out with the simplified models. Experimental assessments were also executed on implemented hardware and the approaches verified the initial analysis. Reports on details of both converters are thoroughly discussed in Chapters 2 and 3 of the thesis. Conventional MGs have been recently modified to use solid-state transistors (i.e. Insulated gate bipolar transistors) instead of magnetic/gas switching devices. Resistive insulators previously used in their structures are substituted by diode rectifiers to adjust MGs for a proper voltage sharing. However, despite utilizing solid-state technology in MGs configurations, further design and control amendments can still be made to achieve an improved performance with fewer components. Considering a number of charging techniques, resonant phenomenon is adopted in a proposal to charge the capacitors. In addition to charging the capacitors at twice the input voltage, triggering switches at the moment at which the conducted current through switches is zero significantly reduces the switching losses. Another configuration is also introduced in this research for Marx topology based on commutation circuits that use a current source to charge the capacitors. According to this design, diode-capacitor units, each including two Marx stages, are connected in cascade through solid-state devices and aggregate the voltages across the capacitors to produce a high voltage pulse. The polarity of voltage across one capacitor in each unit is reversed in an intermediate mode by connecting the commutation circuit to the capacitor. The insulation of input side from load side is provided in this topology by disconnecting the load from the current source during the supply process. Furthermore, the number of required fast switching devices in both designs is reduced to half of the number used in a conventional MG; they are replaced with slower switches (such as Thyristors) that need simpler driving modules. In addition, the contributing switches in discharging paths are decreased to half; this decrease leads to a reduction in conduction losses. Associated models are simulated, and hardware tests are performed to verify the validity of proposed topologies. Chapters 4, 5 and 7 of the thesis present all relevant analysis and approaches according to these topologies.

Development of a cost-effective and flexible vibration DAQ system for long-term continuous structural health monitoring

In the structural health monitoring (SHM) field, long-term continuous vibration-based monitoring is becoming increasingly popular as this could keep track of the health status of structures during their service lives. However, implementing such a system is not always feasible due to on-going conflicts between budget constraints and the need of sophisticated systems to monitor real-world structures under their demanding in-service conditions. To address this problem, this paper presents a comprehensive development of a cost-effective and flexible vibration DAQ system for long-term continuous SHM of a newly constructed institutional complex with a special focus on the main building. First, selections of sensor type and sensor positions are scrutinized to overcome adversities such as low-frequency and low-level vibration measurements. In order to economically tackle the sparse measurement problem, a cost-optimized Ethernet-based peripheral DAQ model is first adopted to form the system skeleton. A combination of a high-resolution timing coordination method based on the TCP/IP command communication medium and a periodic system resynchronization strategy is then proposed to synchronize data from multiple distributed DAQ units. The results of both experimental evaluations and experimental–numerical verifications show that the proposed DAQ system in general and the data synchronization solution in particular work well and they can provide a promising cost-effective and flexible alternative for use in real-world SHM projects. Finally, the paper demonstrates simple but effective ways to make use of the developed monitoring system for long-term continuous structural health evaluation as well as to use the instrumented building herein as a multi-purpose benchmark structure for studying not only practical SHM problems but also synchronization related issues.

Scalable and flexible large display arrays: A novel approach to the architectural enhancement of a prototype large display array

Large Display Arrays (LDAs) use Light Emitting Diodes (LEDs) in order to inform a viewing audience. A matrix of individually driven LEDs allows the area represented to display text, images and video. LDAs have undergone rapid development over the past 10 years in both the modular and semi-flexible formats. This thesis critically analyses the communication architecture and processor functionality of current LDAs and presents an alternative method, that is, Scalable Flexible Large Display Arrays (SFLDAs). SFLDAs are more adaptable to a variety of applications because of enhancements in scalability and flexibility. Scalability is the ability to configure SFLDAs from 0.8m2 to 200m2. Flexibility is increased functionality within the processors to handle changes in configuration and the use of a communication architecture that standardises two-way communication throughout the SFLDA. While common video platforms such as Digital Video Interface (DVI), Serial Digital Interface (SDI), and High Definition Multimedia Interface (HDMI) are considered as solutions for the communication architecture of SFLDAs, so too is modulation, fibre optic, capacitive coupling and Ethernet. From an analysis of these architectures, Ethernet was identified as the best solution. The use of Ethernet as the communication architecture in SFLDAs means that both hardware and software modules are capable of interfacing to the SFLDAs. The Video to Ethernet Processor Unit (VEPU), Scoreboard, Image and Control Software (SICS) and Ethernet to LED Processor Unit (ELPU) have been developed to form the key components in designing and implementing the first SFLDA. Data throughput rate and spectrophotometer tests were used to measure the effectiveness of Ethernet within the SFLDA constructs. The result of testing and analysis of these architectures showed that Ethernet satisfactorily met the requirements of SFLDAs.

Asymptotic analysis for the coupled wavenumbers in an infinite fluid-filled flexible cylindrical shell: The beam mode

Using asymptotics, the coupled wavenumbers in an infinite fluid-filled flexible cylindrical shell vibrating in the beam mode (viz. circumferential wave order n = 1) are studied. Initially, the uncoupled wavenumbers of the acoustic fluid and the cylindrical shell structure are discussed. Simple closed form expressions for the structural wavenumbers (longitudinal, torsional and bending) are derived using asymptotic methods for low- and high-frequencies. It is found that at low frequencies the cylinder in the beam mode behaves like a Timoshenko beam. Next, the coupled dispersion equation of the system is rewritten in the form of the uncoupled dispersion equation of the structure and the acoustic fluid, with an added fluid-loading term involving a parameter mu due to the coupling. An asymptotic expansion involving mu is substituted in this equation. Analytical expressions are derived for the coupled wavenumbers (as modifications to the uncoupled wavenumbers) separately for low- and high-frequency ranges and further, within each frequency range, for large and small values of mu. Only the flexural wavenumber, the first rigid duct acoustic cut-on wavenumber and the first pressure-release acoustic cut-on wavenumber are considered. The general trend found is that for small mu, the coupled wavenumbers are close to the in vacuo structural wavenumber and the wavenumbers of the rigid-acoustic duct. With increasing mu, the perturbations increase, until the coupled wavenumbers are better identified as perturbations to the pressure-release wavenumbers. The systematic derivation for the separate cases of small and large mu gives more insight into the physics and helps to continuously track the wavenumber solutions as the fluid-loading parameter is varied from small to large values. Also, it is found that at any frequency where two wavenumbers intersect in the uncoupled analysis, there is no more an intersection in the coupled case, but a gap is created at that frequency. This method of asymptotics is simple to implement using a symbolic computation package (like Maple). (C) 2008 Elsevier Ltd. All rights reserved.

Asymptotic analysis for the coupled wavenumbers in an infinite fluid-filled flexible cylindrical shell: The axisymmetric mode

The coupled wavenumbers of a fluid-filled flexible cylindrical shell vibrating in the axisymmetric mode are studied. The coupled dispersion equation of the system is rewritten in the form of the uncoupled dispersion equation of the structure and the acoustic fluid, with an added fluid-loading term involving a parameter e due to the coupling. Using the smallness of Poisson's ratio (v), a double-asymptotic expansion involving e and v 2 is substituted in this equation. Analytical expressions are derived for the coupled wavenumbers (for large and small values of E). Different asymptotic expansions are used for different frequency ranges with continuous transitions occurring between them. The wavenumber solutions are continuously tracked as e varies from small to large values. A general trend observed is that a given wavenumber branch transits from a rigidwalled solution to a pressure-release solution with increasing E. Also, it is found that at any frequency where two wavenumbers intersect in the uncoupled analysis, there is no more an intersection in the coupled case, but a gap is created at that frequency. Only the axisymmetric mode is considered. However, the method can be extended to the higher order modes.