The Dynamic Conditional Correlation (DCC) model proposed by Engle (2002) has become one of the most popular models for the analysis of multivariate financial time series. Yet, the impact of temporal aggregation on the DCC estimates has not yet been rigorously investigated. This thesis examines the changes of DCC estimates when the intraday returns are aggregated from 5-minutes to 270-minutes returns using Taiwanese eight industry index returns from Jan. 2, 2004 to Dec. 31, 2006. Our empirical analysis finds that dynamic correlation coefficients between the 8 industry index returns are all positive and time-varying. Further, Electronic and Building indices seem to have high correlation with other industry indices whereas plastics has a lower correlation with others. What is more important, all return series have higher conditional correlation for lower frequencies. In other words, temporary aggregation will increase the conditional correlation. This thesis also seeks to categorize the loan accounts of small- and medium-scale corporations according to their respective business sectors and calculate the monthly returns and standard deviation of the bank loans according to the groups of sample of credit records from each sector, with the purpose of establishing the efficient frontier of the loan combinations of the banks and estimation the dynamic conditional correlation to discover the optimal crediting policy. It is expected that the discussion using the model presented in the thesis may provide the basis for financial institutions as they establish their respective crediting policies.

High-frequency traders (HFTs) accounted for roughly forty percent of trading volume on the NASDAQ Stock Market in 2009, but there is little evidence on the type of information these investors trade on. This study tests the hypothesis that HFTs anticipate and trade ahead of other investors' order flow. I find that HFTs' aggressive purchases predict future aggressive buying by non-HFTs, and their aggressive sales predict future aggressive selling by non-HFTs. The positive correlation between trading by HFTs and future trading by other investors is robust to the exclusion of trading around news releases, indicating the effect is not driven by HFTs reacting to news announcements faster than other investors. The effects are stronger in the morning and on high volume days. There are also persistent differences among HFTs in the tendency of their trades to predict future order flow. These findings have implications for the speed at which prices adjust to new information, incentives to acquire information, and the price impact of traditional asset managers' trades. / text

This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior. / Economics

The majority of the UWB radars available on the market today are expensive and often closed forfurther development due to proprietary rights. Therefore it is difficult to fully understand and adaptthe functionality of an available UWB system to fit one’s needs. The consulting-firm Addiva purchasedan UWB radar to be used in a safety system. However, the radar had limitations and the functionalityof it was partly unknown. This master thesis was inspired from this issue to examine the possibilitiesof developing a low-cost UWB radar, with main focus on research of human detection. The systemshould be easy to understand and modify, as well as reporting reliable data from the scanning. Theresults indicate that such a system can be developed. However, further development to the UWB radarneeds to be made in order to have a complete system.

Targeted imaging with microbubbles may resolve the molecular expression within the abnormal blood vessels of tumours. Optimal imaging requires understanding the interaction between targeted microbubbles and high-frequency ultrasound. Therefore, the subharmonic signal, and backscattering cross-section of individual bound microbubbles were examined with coaligned 30 MHz pulses and optical images. The peak subharmonic signal was generated for 1.6 µm diameter microbubbles for 20% and 11% bandwidth pulses and 1.8 µm for 45% bandwidth pulses at 200 kPa, consistent with estimations of the resonant size of microbubble's at 15 MHz. In order to measure the scattering cross-section, a new method was proposed to measure the receive transfer function of a transducer. Measurements of the backscattering cross-section scaled with the square of the radius, with signi cant size-independent variability. The results of this thesis will help optimise the parameters for targeted imaging, as well as further our understanding of the behaviour of microbubbles.

In today’s highly technologic advanced trading environment traditional investors are no longer competing at same levels as companies using automatic trading strategies. Advanced technology is of significant importance in today’s trading strategies and has forced the trading process away from humans. Instead, using programed computers packed with algorithmic formulas, these robots can spot trends before an ordinary investor can blink, changing strategies and execute orders within milliseconds. Given this technological advantage firms perhaps have crossed the line when trying to earn abnormal return by using market manipulating trading strategy without any respect to traditional investors and business ethics. My research at hand will bring clarity to what extent this problem are related to Swedish markets and discussion around upcoming market regulations and firms social ethics and responsibility will be made.

Ultrasound-based tissue characterization has been an active eld of cancer detection in the past decades. The main concept behind various techniques is that the returning ultrasound echoes carry tissue-dependent information that can be used to distinguish tissue types. Recently, a new paradigm for tissue typing has been proposed which uses ultrasound Radio Frequency (RF) echoes, recorded continuously from a xed location of the tissue, to extract tissue-dependent information. This is hereafter referred to as RF time series. The source of tissue typing information in RF time series is not a well known concept in the literature. However, there are two main hypotheses that describe the informativeness of variations in RF time series. Such information could be partly due to heat induction as a result of consistent eradiation of tissue with ultrasound beams which results in a virtual displacement in RF echoes, and partly due to the acoustic radiation force of ultrasound beams resulting in micro-vibration inside tissue. In this thesis, we further investigate RF time series signals, collected at high frequencies, by analyzing the properties of the RF displacements. It will be shown that such displacements exhibit oscillatory behavior, emphasizing on the possible micro-vibrations inside tissue, as well as linear incremental trend, indicating the e ect of heat absorbtion of tissue. i The main focus of this thesis is to study the oscillatory behavior of RF displace- ments in order to extract tissue-dependent features based on which tissue classi ca- tion is performed. Using various linear and nonlinear tools, we study the properties of such displacements in both frequency and time domain. Nonlinear analysis, based on the theory of dynamical systems, is used to study the dynamical and geometrical properties of RF displacements in the time domain. Using Support Vector Machine (SVM), di erent tissue typing experiments are performed to investigate the capability of the proposed features in tissue classi ca- tion. It will be shown that the combination of such features can distinguish between di erent tissue types almost perfectly. In addition, a feature reduction algorithm, based on principle component analysis (PCA), is performed to reduce the number of features required for a successful tissue classi cation. / Thesis (Master, Electrical & Computer Engineering) -- Queen's University, 2012-03-29 13:52:10.874

No description available.

Targeted imaging with microbubbles may resolve the molecular expression within the abnormal blood vessels of tumours. Optimal imaging requires understanding the interaction between targeted microbubbles and high-frequency ultrasound. Therefore, the subharmonic signal, and backscattering cross-section of individual bound microbubbles were examined with coaligned 30 MHz pulses and optical images. The peak subharmonic signal was generated for 1.6 µm diameter microbubbles for 20% and 11% bandwidth pulses and 1.8 µm for 45% bandwidth pulses at 200 kPa, consistent with estimations of the resonant size of microbubble's at 15 MHz. In order to measure the scattering cross-section, a new method was proposed to measure the receive transfer function of a transducer. Measurements of the backscattering cross-section scaled with the square of the radius, with signi cant size-independent variability. The results of this thesis will help optimise the parameters for targeted imaging, as well as further our understanding of the behaviour of microbubbles.

An occupational exposure to hand-arm vibration can cause a complex of neurological, vascular and musculo-skeletal disturbances, known as the 'vibration syndrome'. However, the underlying pathophysiological mechanisms are not at all clear. Early signs of an incipient vibration syndrome are often intermittent disturbances in the cutaneous sensibility of the fingers, i.e. numbness and/or tactile paresthesias. At later stages, a vasoconstrictive phenomenon appears, usually as episodes of finger blanching. When using a vibratory tool, all mechanical energy entering the body has to be transmitted through, or absorbed by, the glabrous skin in contact with the handle. Therefore, the aims of this study was to investigate: (i) mechanical responses of the skin to vibrations, (ii) the response properties of cutaneous mechanoreceptors to vibrations, and (iii) influences of vibration exposure on touch perception. It was found by measuring the mechanical point impedance (0.02-10 kHz) that the skin is easy to make vibrate within the range of 80 to 200 Hz. Within or close to this range are the dominant frequencies of many vibratory tools. Thus, strong mechanical loads, such as compressive and/or tensile strain, can appear in the skin which, in turn, may induce temporary or permanent injuries. Recordings of impulses in single mechanoreceptive afferents, while the skin as exposed to vibrations, were obtained using needle electrodes inserted into the median nerve. The 4 types of mechanoreceptive afferents (FA I, FA II, SA I, and SA II) in the glabrous skin exhibited different response characteristics to vibrations. The FA I units were most easily excited at vibratory frequencies between ca 8 and 64 Hz and the FA II units between ca 64 and 400 Hz. The SA units were most sensitive at lower frequencies. At high stimulus amplitudes, such as may occur while using vibratory tools, a considerable overlap existed between the frequency ranges at which the units were exited. Evidence was also provided, that mechanical skin stimuli produced by edges of a vibrating object, compared to flat surfaces, more vigorously excited the FA I and particularly the SA I units. Thus, a marked edge enhancement, essential for tactile gnosis and precision manipulation, seems to exist already within the peripheral nervous system. Acure impairment of tactile sensibility caused by vibrations, proved to be due to a reduced sensitivity of the mechanoreceptive afferents. A loss of manual dexterity a*vi an increased risk for accidents may therefore appear, both during and after a vibration exposure. Percussive tools, high speed drills and ultrasonic devices are known to generate mechanical energy at frequencies above 1 kHz, i.e. frequencies usually not felt. At these frequencies, it is known that most of the energy, entering the body, is absorbed by the skin. Therefore, it was investigated whether a long-term exposure to high-frequency vibration may have a detrimental effect on the cutaneous sensitivity. One group of dentists and one of therapists, professionally exposed to high-frequency vibrations, were studied with regard to vibrotactile thresholds in their hands. The study showed that deleterious effects on tactile sensibility, at local exposure to high frequency vibration, can not be excluded. / <p>Diss. (sammanfattning) Umeå : Umeå universitet, 1985, härtill 6 uppsatser</p> / digitalisering@umu