由於近年來店頭市場的發展迅速，規模不斷擴大，資金大量流入，重要性大為增加，加上資訊科技的進步，使資金在各市場間甚至是國際間的流動非常迅速，因此本研究試圖在高頻(high-frequency)的資料型態下，將價量因果關係的概念應用在探討集中市場與店頭市場之間的關係。首先是利用一般的Granger檢定討探其線性因果關係，接著利用Baek and Brock(1992)的非線性檢定模型檢定其是否存在著非線性因果關係。 研究結果顯示，在高頻的資料型態下，台灣股票市場的集中市場與店頭市場其各別市場的價量之間存在有雙向的線性因果關係，而集中市場與店頭市場之間亦存在有雙向的線性因果關係。當然最重要的在非線性因果關係方面，集中市場與店頭市場其各別市場的價量之間，以及集中市場與店頭市場兩市場之間亦存在有雙向的非線性因果關係。

This thesis is composed of three chapters which propose some novel approaches to model and forecast financial time series. The first chapter focuses on high frequency financial returns and proposes a quantile regression approach to model their intraday seasonality and dynamics. The second chapter deals with the problem of forecasting the yield curve including large datasets of macroeconomics information. While the last chapter addresses the issue of modelling the term structure of interest rates. The first chapter investigates the distribution of high frequency financial returns, with special emphasis on the intraday seasonality. Using quantile regression, I show the expansions and shrinks of the probability law through the day for three years of 15 minutes sampled stock returns. Returns are more dispersed and less concentrated around the median at the hours near the opening and closing. I provide intraday value at risk assessments and I show how it adapts to changes of dispersion over the day. The tests performed on the out-of-sample forecasts of the value at risk show that the model is able to provide good risk assessments and to outperform standard Gaussian and Student’s t GARCH models. The second chapter shows that macroeconomic indicators are helpful in forecasting the yield curve. I incorporate a large number of macroeconomic predictors within the Nelson and Siegel (1987) model for the yield curve, which can be cast in a common factor model representation. Rather than including macroeconomic variables as additional factors, I use them to extract the Nelson and Siegel factors. Estimation is performed by EM algorithm and Kalman filter using a data set composed by 17 yields and 118 macro variables. Results show that incorporating large macroeconomic information improves the accuracy of out-of-sample yield forecasts at medium and long horizons. The third chapter statistically tests whether the Nelson and Siegel (1987) yield curve model is arbitrage-free. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities. Still, central banks and public wealth managers rely heavily on it. Using a non-parametric resampling technique and zero-coupon yield curve data from the US market, I find that the no-arbitrage parameters are not statistically different from those obtained from the Nelson and Siegel model, at a 95 percent confidence level. I therefore conclude that the Nelson and Siegel yield curve model is compatible with arbitrage-freeness.

No description available.

No description available.

Heterojunction bipolar transistors (HBT) based on SiGeC havebeen investigated. Two high-frequency architectures have beendesigned, fabricated and characterized. Different collectordesigns were applied either by using selective epitaxial growthdoped with phosphorous or by non-selective epitaxial growthdoped with arsenic. Both designs have a non-selectivelydeposited SiGeC base doped with boron and a poly-crystallineemitter doped with phosphorous. Selective epitaxial growth of the collector layer has beendeveloped by using a reduced pressure chemical vapor deposition(RPCVD) technique. The incorporation of phosphorous and defectformation during selective deposition of these layers has beenstudied. A major problem of phosphorous-doping during selectiveepitaxy is segregation. Different methods, e.g. chemical orthermal oxidation, are shown to efficiently remove thesegregated dopants. Chemical-mechanical polishing (CMP) hasalso been used as an alternative to solve this problem. The CMPstep was successfully integrated in the HBT process flow. Epitaxial growth of Si1-x-yGexCy layers for base layerapplications in bipolar transistors has been investigated indetail. The optimization of the growth parameters has beenperformed in order to incorporate carbon substitutionally inthe SiGe matrix without increasing the defect density in theepitaxial layers. The thermal stability of npn SiGe-based heterojunctionstructures has been investigated. The influence of thediffusion of dopants in SiGe or in adjacent layers on thethermal stability of the structure has also been discussed. SiGeC-based transistors with both non-selectively depositedcollector and selectively grown collector have been fabricatedand electrically characterized. The fabricated transistorsexhibit electrostatic current gain values in the range of 1000-2000. The cut-off frequency and maximum oscillation frequencyvary from 40-80 GHz and 15-30 GHz, respectively, depending onthe lateral design. The leakage current was investigated usinga selectively deposited collector design and possible causesfor leakage has been discussed. Solutions for decreasing thejunction leakage are proposed. <b>Key words:</b>Silicon-Germanium-Carbon (SiGeC),Heterojunction bipolar transistor (HBT), chemical vapordeposition (CVD), selective epitaxy, non-selective epitaxy,collector design, high-frequency measurement, dopantsegregation, thermal stability.

Purpose: Our main purpose is to explore, describe and analyze the organizational conduct when implementing automated trading systems (ATS) in companies, investigate the organizational challenges arising from this, and the effects these have on a successful diffusion. As the extent of implementing ATS in the Swedish financial industry has not been explored to any greater extent, it is therefore also imperative to explore this; which will be seen as a secondary purpose to this article. Background: The study is based on innovation and diffusion theories, as well as those of power structures and organization. Further, an explanation of ATS and its dynamics is provided and discussed to facilitate a definition of the term. Method: The research has been carried out as an exploratory, descriptive and analytical qualitative study. We have conducted case studies of 7 companies that are implementing, or evaluating the implementation, of ATS. The data was collected through interviews. Conclusion: The majority of the case companies are in the clarifying and routinizing stages of the innovation process. What is found unique with ATS is that it can be implemented partly. The dimensions found central to a smooth diffusion in the companies are the required level of competence-sharing and complexity of implementation.

The hearing and understanding problems of the people with high frequency hearing loss are covered within the scope of this thesis. For overcoming these problems, two main studies, developing hearing loss simulation (HLS) and applying new frequency lowering methods (FLMs) were carried out. HLS was developed with the suprathreshold effects and new FLMs were applied with different combinations of the FLMs. For evaluating the studies, modified rhyme test (MRT) and speech intelligibility index (SII) were used as subjective and objective measures, respectively. Before both of the studies, offline studies were carried out for specifying the significant parameters and values for using in MRT. For the HLS study, twelve hearing impaired subjects listened to unprocessed sounds and thirty six normal hearing subjects listened to simulated sounds. In the evaluation of the HLS, both measures gave similar and consistent results for both unprocessed and simulated sounds. In FLMs study, hearing impaired subjects were simulated and normal hearing subjects listened to frequency lowered sounds with the specified methods, parameters and values. All FLMs were compared with the standard method of hearing aids (amplification) for five different noisy environments. FLMs satisfied 83% success of higher speech intelligibility improvement than amplification in all cases. As a conclusion, the necessity of using subject-specific FLMs was shown to achieve higher intelligibility than with amplification only. Accordingly, a methodology for selection of the values of parameters for different noisy environments and for different audiograms was developed.

The aim of the research work presented here, is to contribute to the adaptation of electronic packaging towards the needs of high frequency applications. As the field of electronic packaging stretches over several very different professional areas, it takes an interdisciplinary approach to optimize the technology of electronic packaging. Besides this, an extensive knowledge of industrial engineering should be an essential part of this undertaking to improve electronic packaging. Customary advances in technology are driven by new findings and a continuous development of processes in clearly defined fields. However, in the field of the higher levels of the interconnection hierarchy, that is external to the chip level interconnections and chip packaging, it is supposed that a wide combination of disciplines and technical creativity, instead of advanced technology in a special area should produce most added value. The thesis is divided into five areas, interlinked by the overall aim of there advantages to the common goal. These areas are the Printed Wiring Board (PWB) technology, PWB connections using flexible printed circuit boards, multiconductor cable connections, shielded enclosures and the related EMC issues, and finally the cooling of electronics. A central issue was to improve the shielded enclosures to be effective also at very high frequencies; it will be shown that shielded enclosures without apertures can cope with frequencies up to and above 15 GHz. Due to this enclosure without apertures, it was necessary to develop a novel cooling structure. This cooling structure consists of a heat sink where the PCB’s are inserted in close contact to the cooling fins on one side, whereas the other side of the heat sink is cooled by forced ventilation. The heat transfer between these parts is completely inside the same body. Tests carried out on a prototype have shown that the performance of the cooling structure is satisfactory for electronic cooling. Another problem area that is addressed are the interconnect problems in high frequency applications. Interconnections between parts of a local electronic system, or as within the telecom and datacom field between subscribers, are commonly accomplished by cable connections. In this research work multiconductor cables are examined and a patented novel cable-connector for high frequency use is presented. Further, an experimental complex soldering method between flexible printed circuits boards and rigid printed circuits boards, as part of connections between PCBs, is shown. Finally, different sectors of the PCB technology for high frequency applications are scrutinized and measurements on microstrip structures are presented. / QC 20101006

Introduction: The use of high frequency oscillatory ventilation is increasing in treatment ofacute respiratory distress syndrome over the past decade. The technique of HFOV of ventilatingthe lungs at volumes less than the anatomical dead space calms the clinical concerns surroundingventilating stiff ARDS lungs with high pressures and volumes. This largely reduces theprobability of barotraumas and/or atelectrauma. Purpose: The study was on an in vitro bench model that answered the following researchquestions: 1. The effect of three inline closed suction adapters on delivered tidal volume duringHFOV with varying lung compliance 2. The effect of varying compliance on the amplitudedelivered by HFOV; and 3. The effect of compliance on tidal volume delivered by HFOV. Method: An in vitro bench model using high fidelity breathing simulator (ASL 5000, IngMarMedical) simulating an adult patient with ARDS was set up with 3100B SensorMedic highfrequency ventilator. The simulation included varying the compliance for each lung at 50, 40, 30and 20cmH2O while maintaining fixed resistance of 15 cmH2O/L/sec. The ventilator was set tothe following parameters: power of 6, frequency (f) of 5, inspiratory time (Ti) of 33%, bias flow(BF) of 30 LPM and oxygen concentration of 50%. The breathing simulator was connected withthe high frequency ventilator using a standard HFOV circuit and a size 8.0mm of endotrachealtube. Fourteen French Kimberly Clark suction catheters (with T and Elbow adapters) and Air-Life suction catheters (Y adapter) were placed in-line with the circuit successively to carry outthe study. Each run lasted for 1 minute after achieving stable state conditions. Thisapproximated to 300 breaths. The data was collected from the stimulator and stored by the hostcomputer. Data Analysis: The data was analyzed using SPSS v.11 to determine the statistical significance.A probability value (P value) of ≤ 0.001 was considered to be statistically significant. Results: The data analysis showed that Air-Life Y-adapter suction catheters caused the least lostin tidal volume when placed in line with HFOV and hence proved to be the most efficient. Thestudy also showed a direct relationship between amplitude and lung compliance i.e. an increasein lung compliance caused an associated increase in amplitude (power setting remainingunaltered). Lastly, the study did not show a statistically significant change in tidal volume withchanges in lung compliance. Future studies may be required to further evaluate the clinicalsignificance of the same. Conclusion:1. Many factors affect delivery of tidal volume during high frequency ventilation and thus it isnot constant. Choice of in-line suction system to be placed in line is one of the determinants ofthe same.2. Lung compliance changes lead to associated changes in amplitude delivery by HFOV. Thisshould be adjusted as patient condition improves by altering the power settings to ensure optimalventilation and to avoid trauma to the lungs.

Taiwan Security Market is a typical order-driven market. The electronic trading system of Taiwan Security Market launched in 1998 significantly reduces the trade matching time (the current matching time is around 20 seconds) and promptly provides updated online trading information to traders. In this study, we establish an online transaction simulation system which can be applied to predict trade prices and study market efficiency. Models are established for the times and volumes of the newly added bid/ask orders on the match list. Exponentially weighted moving average (EWMA) method is adopted to update the model parameters. Match prices are predicted dynamically based on the EWMA updated models. Further, high frequency bid/ask order data are used to find the supply and demand curves as well as the equilibrium prices. Differences between the transaction prices and the equilibrium prices are used to investigate the efficiency of Taiwan Security Market. Finally, EWMA and cusum control charts are used to monitor the market efficiency. In empirical study, we analyze the intra-daily (April, 2005) high frequency match data of Uni-president Enterprises Corporation and Formosa Plastics Corporation.