Bakgrund:CAPM räcker i flera tillfällen inte till för att estimera framtida avkastning. Vissa av prisavvikelsernafrån CAPM är väldokumenterade och har bestått över tid, vilket har lett till uppkomsten avkorrigerande faktorer. En modell som använder sig av två sådana korrigerande faktorer är Fama ochFrenchs tre-faktormodell. Den har testats flertalet gånger på den svenska marknaden där den visat gehögre förklaringsgrader än CAPM. År 2012 samt år 2014 presenterades två nya multifaktormodeller,som genom test på börsmarknaden i USA lyckats fånga upp prisavvikelser bättre än trefaktormodellen.Syfte:Denna studie ämnar undersöka om Fama och Frenchs fem-faktormodell samt Hue, Xue, Zhang´s Qfaktormodelltillför förklaringsvärde för Stockholmsbörsens avkastning i jämförelse med Fama-Frenchs trefaktormodell. Studien analyserar även modellernas konjunkturkänslighet samt faktorernasbetydelse.Metod:Forskningsprocessen är av deduktiv karaktär. Befintliga teorier i form av multifaktormodeller förprissättning av aktier testas med hjälp av empiriska observationer från den svenska marknaden.Studien tillämpar ett kvantitativt tillvägagångssätt och ekonometriska verktyg används för attsäkerställa statistisk signifikans.Resultat:Studien visar att Q-faktormodellen inte tillför förklaringsvärde jämfört med FF3M. FF5M ger resultatsom marginellt överträffar FF3M gällande dess förklaringsgrad. Anledningen till att FF5M presterarbättre bör rimligen ligga i faktorn HML. Resultaten visar också att modellerna är instabila i kortatidsperioder men tenderar ge bättre prediktioner i lågkonjunktur relativt till högkonjunktur. / Background:CAPM isn’t in some cases sufficient for explaining expected stock return. Some of CAPM´smispricing errors are well documented and time persistent which has led rise to the usage of correctivefactors. One model that make use of two such corrective factors are the Fama and French three factormodel. It´s been comprehensively tested on the Swedish market where it has shown to achieve higherexplanatory power then the CAPM. In the year of 2012 and 2014 two new Asset Pricing Models wereintroduced, which on the US stock market better captured many of the best known anomalies.Aim:The aim of the study is to test if the Fama and French five factor model as well as the Q-factor model,could contribute to increased explanatory power beyond the three factor model. The study also analyzethe models cyclical sensitivity as well as the individual factor significance.MethodologyThe knowledge building process takes a deductive approach. Existing theories in the form of assetpricing models are tested based on empirical observations in the Swedish market. The research take aquantitative approach and make use of econometric tools in order to ensure statistic accuratesignificance.Result:This research shows no contribution of explanatory power for the Q-factor model, beyond thatachieved from the Fama and French three factor model. The five factor model achieve marginallyhigher explanatory power compared to the tree factor model. The most likely reason why FF5Machieve better results than the Q-factor model is believed to lie in the usage of the factor HML. Theresults also shows that all of the tested models are very instable when used in a short time perspective.Although there are some clear indication on increasing explanatory power in recession compared to inan ongoing bull market.

Made available in DSpace on 2015-03-13T17:08:27Z (GMT). No. of bitstreams: 1 BonnieICN_DISSERT.pdf: 1401069 bytes, checksum: c3ec347e113e74a7afe614d15618f517 (MD5) Previous issue date: 2010-01-28 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior / Seismic wave dispersion and attenuation studies have become an important tool for lithology and fluid discrimination in hydrocarbon reservoirs. The processes associated to attenuation are complex and are encapsulated in a single quantitative description called quality factor (Q). The present dissertation has the objective of comparing different approaches of Q determination and is divided in two parts. Firstly, we made performance and robustness tests of three different approaches for Q determination in the frequency domain. They are: peak shift, centroid shift and spectral ratio. All these tests were performed in a three-layered model. In the suite of tests performed here, we varied the thickness, Q and inclination of the layers for propagation pulses with central frequency of 30, 40 and 60 Hz. We found that the centroid shift method is produces robust results for the entire su?te of tests. Secondly, we inverted for Q values using the peak and centroid shift methods using an sequential grid search algorithm. In this case, centroid shift method also produced more robust results than the peak shift method, despite being of slower convergence / Os estudos da dispers?o e da atenua??o das ondas s?smicas t?m se tornado uma ferramenta importante na discrimina??o das litologias e conte?do de fluidos em reservat?rios de hidrocarbonetos. Os processos associados ? atenua??o s?o complexos e sintetizados em uma ?nica descri??o quantitativa chamada fator de qualidade (Q). A presente disserta??o tem o objetivo de comparar diferentes aproxima??es para a determina??o de Q e ? dividido em duas partes. Primeiramente, fizemos um teste de performance e robustez de tr?s m?todos diferentes para a determina??o de Q no dom?nio da freq??ncia. S?o elas: deslocamento de pico, deslocamento de centr?ide e raz?o espectral. Todos os testes foram feitos em um modelo de tr?s camadas. O conjunto de testes aqui realizados consistia em variar a espessura da camada, Q e a inclina??o das camadas para a propaga??o dos pulsos com freq??ncias centrais de 30, 40 e 60 Hz. Pudemos determinar que o m?todo do deslocamento de centr?ide produz os resultados mais robustos para todo o conjunto de testes. Em segundo lugar, invertemos os valores de Q utilizando os m?todos de deslocamento de pico e de centr?ide utilizando um algoritmo de busca seq?encial. Neste caso, o m?todo de centr?ide tamb?m produziu os resultados mais robustos que o m?todo de deslocamento de picos, apesar de ter uma converg?ncia mais lenta

There are various energy dissipation mechanisms that affect the dynamic response of microstructures used in MEMS devices. A cumulative effect of such losses is captured by an important characteristic of the structure called Quality factor or Q-factor. Estimating Q-factor at the design stage is crucial in all applications that use dynamics as their principle mode of operation. A high Q-factor indicates sharp resonance that, in turn, can indicate a broad flat response region of the structure. In addition, a high Q-factor typically indicates a high sensitivity. Microstructures used in MEMS are generally required to have much higher Q-factors than their macro counterparts. However some damping mechanisms present in microstructures can reduce the Q-factor of the structure significantly. In the present work, we investigate the dependence of Q-factor on the squeeze film damping an energy dissipation mechanism that dominates by a couple of orders of magnitude over other losses when a fluid (e.g., air) is squeezed through gaps due to vibrations of a microstructure. In particular, we show the effect of nonlinear terms in the analysis of squeeze film damping on the Q-factor of a structure. We also show the effect of rarefaction, surface roughness along with their coupled effect and with different boundary conditions such as open border effect, blocked boundary effect on the squeeze film damping. Finally, we develop similitude laws for calculating squeeze film damping force in up-scaled structures. We illustrate the effects by studying various type of microstructures including parallel plates, beams, plate and beam assemblies such as MEMS microphone, vibratory gyroscope etc. We view the contributions of this work as a significant in investigating and integrating all important effects altogether on the squeeze film damping, which is a significant factor in the design and analysis of MEMS devices.

Electrochemical synthesis of straight, separable, cylindrical nanowires for use as cantilevered mechanical resonators is the main focus of this dissertation. These types of nanowires are significant for many applications, but particularly so for chip-based sensor arrays made for ultrasensitive mass detection. Directed-assembly of nanowire-based devices has enabled the development of large-area fabrication of sensor devices with new functions such as cancer detection at early stage. Chemically stable noble metals gold and rhodium are interesting materials for making nanowire resonators. Gold makes a well-known, stable and strong bond with the thiol group, which enables a range of surface functionalization chemistries. Rhodium nanowires have desirable mechanical properties for resonant mass sensing as they can retain high quality factor (Q-factor) from high vacuum to near atmospheric pressures. As a versatile and inexpensive tool, electrodeposition provides the most suitable synthesis path for gold and rhodium resonator-grade nanowires in nanoporous templates. In this work, the structural characteristics of nanoporous membranes anodized aluminium oxide and track-etched polycarbonate was explored for use as electrodeposition template. New chemistries for making gold and rhodium nanowires are introduced. Although gold cyanide-based solutions work well for the electrochemical synthesis of separable nanowires, the toxicity of cyanide solutions makes non-cyanide alternatives desirable. However, electrochemical synthesis of gold nanowires in templates from non-cyanide solutions suffers from serious drawbacks. These include growth-arresting pellet formation, poor length control and defects such as inclusions. In this dissertation, the first electrochemical synthesis of straight, cylindrical, separable gold nanowires from a sulfite-based solution is presented. This work demonstrates a scheme that suppresses electroless particle growth in the weakly-complexed gold in solution by proper use of additives. The electrochemical nucleation and growth of rhodium nanowires from a sulphate-based solution is also discussed. The effect of pH on the length uniformity as well as the effect of EDTA and polyethylenimine as additives on the development of the wire nanostructure was studied. This study has shown that the control over hydrogen co-reduction on the electrode surface and its bubble transport rate allowed for tailoring the nanostructure of the grown nanowires. The control over electrochemical nucleation and growth of noble metal films for nanowire clamping has also been investigated in this work for making reliable defect-free clamps for nanoresonator measurements. Silver was introduced as a reliable replacement for gold for nanowire clamping. Resonance measurements of rhodium nanowires clamped with silver, confirmed a reliable and repeatable clamp with very small scatter in the plot of resonance frequency variation with appropriate geometric terms. In addition, we found that the elastic modulus of a set of rhodium nanowires synthesized and measured in this work, was 14% larger than in previous studies. / Graduate / 0794 / 0548 / mascotella@gmail.com

This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. We test the models on cross-sectional Swedish stock-market data between 2003 and 2015 from the Large-, Mid- and Small Cap-lists and their respective precursors. The models are tested in their ability to explain portfolios sorted on firm beta-values, on a twelve-year period as well as a six-year period characterized by changing market directions and high market volatility.  In our study, we support the presence of changing risk-return relationship in up and down market states by estimating separate market betas with the risk-free rate as threshold. However, we do not find the isolated and volatile period to give rise to a larger difference in the up and down market betas. We consistently find the models to have a decreasing explanatory power on the portfolios of firms with lower beta values. We also find the largest difference in the up and down market betas occurring in the low beta portfolios, suggesting that this is causing measurement problems in the models. While making the models conditional, the measurement problem with the static beta seems to be reduced for the portfolios where the difference between up and down betas differ most. In the applied context, we conclude the conditional dual beta adds explanatory power in the models when the market beta differs in up and down market states.  The insights of this thesis support the method of making the market-beta conditional as suggested by Pettengill, Sundaram & Mathur (Pettengill, et al., 1995), in new multifactor models.

La maîtrise de la communication et de l'information est un atout primordial dans les stratégies de pouvoir, qu'elles soient militaires, politiques ou commerciales. Celui qui est capable de transmettre l'information plus vite prend l'avantage sur les autres. Tel est le moteur de la croissance et du progrès dans le domaine des télécommunications. L'omniprésence grandissante des dispositifs communicants témoigne de l'expansion exponentielle qu'a connu ce domaine depuis les premières communications sans fil. À l'époque du all-in-one, la multiplication des applications au sein d'un même appareil nécessite l'utilisation de composants toujours plus performants et petits . Au cœur de ces systèmes, les filtres ont une importance grandissante. Dans un environnement spatial, les contraintes de fiabilité et d'encombrement sont particulièrement drastiques. Le choix des matériaux est par ailleurs limité, ce qui réduit les possibilités d'innovation. Cependant, l'amélioration de la précision et de la fiabilité dans les technologies de fabrication ouvre de nouvelles perspectives d'innovation et d'amélioration des composants. Ces travaux ont ainsi été motivés par ce souci d'apporter toujours plus de performance et de fiabilité, pour un encombrement moindre en tirant profit du potentiel offert par l'association du concept SIW et de la technologie LTCC. Les résultats mettent à jour de sérieuses dispersions technologiques. Cependant, le potentiel de l'association SIW/LTCC est démontré, et les difficultés rencontrées sont surmontables. Les filtres SIW en technologie LTCC présentent donc des atouts pour s'imposer comme une alternative sérieuse aux solutions existantes. / Control of communication and information is a key asset in the strategies of power, whether military, political or commercial. Whoever is able to transmit information faster takes advantage of others. This is the engine of growth and progress in the field of telecommunications. The growing ubiquity of communicating devices demonstrates the exponential growth experienced by this area since the first wireless communications. At the time of all-in-one, multiple applications within a single device requires the use of ever more powerful and small components. At the heart of these systems, filters are becoming increasingly important. In a space environment, reliability constraints and space are particularly dramatic. The choice of materials is also limited, which reduces the possibilities of innovation. However, the improvement of accuracy and reliability in manufacturing technologies opens new opportunities for innovation and improved components. This work has been motivated by the desire to bring more performances and reliability, a smaller footprint by taking advantage of the potential offered by combining the concept SIW and LTCC. The results update serious technological dispersions. However, the potential association SIW / LTCC is shown, and the difficulties are surmountable. SIW filters in LTCC therefore have advantages for itself as a serious alternative to existing solutions.

Recent advances in molecular biology and nanotechnology have enabled scientists to study biological systems at molecular and atomic scales. This level of sophistication demands for new technologies to emerge for providing the necessary sensing tools and equipment. Recent studies have shown that terahertz technology can provide revolutionary sensing techniques for organic and non-organic materials with unprecedented accuracy and sensitivity. This is due to the fact that most of the macromolecules have vibrational and/or rotational resonance signatures in terahertz range. To further increase the sensitivity, terahertz radiation is generated and interacted with the bio-sample on a miniaturized test site or the so-called biochip. From the view point of generation and manipulation of terahertz radiation, the biochip is designed based on the same rules as in high frequency electronic chips or integrated circuits (IC). By increasing the frequency toward terahertz range, the conventional IC design methodologies and analysis tools fail to perform accurately. Therefore, development of new design methodologies and analysis tools is of paramount importance for future terahertz integrated circuits (TIC) in general and terahertz biochips in particular. In this thesis, several advancements are made in design methodology, analysis tool and architecture of terahertz and millimeter-wave integrated circuits when used as a biochip. A global and geometry independent approach for design and analysis of the travelling-wave terahertz photomixer sources, as the core component in a TIC, is discussed in details. Three solvers based on photonic, semiconductor and electromagnetic theories are developed and combined as a unified analysis tool. Using the developed terahertz photomixer source, a resonance-based biochip structure is proposed, and its operation principle, based on resonance perturbation method, is explained. A planar metallic resonator acting as a sample holder and transducer is designed, and its performance in terms of sensitivity and selectivity is studied through simulations. The concept of surface impedance for electromagnetic modeling of DNA self-assembled monolayer on a metal surface is proposed, and its effectiveness is discussed based on the available data in the literature. To overcome the loss challenge, Whispering Gallery Mode (WGM) dielectric resonators with high Q factor are studied as an alternative for metallic resonator. The metallic loss becomes very high at terahertz frequencies, and as a result of that planar metallic resonators do not exhibit high Q factor. Reduced Q factor results in a low sensitivity for any sensor using such resonators. Theoretical models for axially and radially layered dielectric resonators acting on WGM are presented, and the analytical results are compared with the measured data. Excitation of WGM through dielectric waveguide is proposed, and the critical coupling condition is explained through analytical formulation. The possibility of selecting one resonance among many for sensing application is also studied both theoretically and experimentally. A high sensitivity sensor based on WGM resonance in mm-wave and terahertz is proposed, and its sensitivity is studied in details. The performance of the proposed sensor is tested for sensing drug tablets and also liquid droplets through various measurements in mm-wave range. The comprehensive sensitivity analysis shows the ability of the proposed sensor to detect small changes in the order of 10−4 in the sample dielectric constant. The results of various experiments carried out on drug tablets are reported to demonstrate the potential multifunctional capabilities of the sensor in moisture sensing, counterfeit drug detection, and contamination screening. The measurement and simulation results obtained in mm-wave hold promise for WGM to be used for sensing biological solutions in terahertz range with very high sensitivity.

Recent advances in molecular biology and nanotechnology have enabled scientists to study biological systems at molecular and atomic scales. This level of sophistication demands for new technologies to emerge for providing the necessary sensing tools and equipment. Recent studies have shown that terahertz technology can provide revolutionary sensing techniques for organic and non-organic materials with unprecedented accuracy and sensitivity. This is due to the fact that most of the macromolecules have vibrational and/or rotational resonance signatures in terahertz range. To further increase the sensitivity, terahertz radiation is generated and interacted with the bio-sample on a miniaturized test site or the so-called biochip. From the view point of generation and manipulation of terahertz radiation, the biochip is designed based on the same rules as in high frequency electronic chips or integrated circuits (IC). By increasing the frequency toward terahertz range, the conventional IC design methodologies and analysis tools fail to perform accurately. Therefore, development of new design methodologies and analysis tools is of paramount importance for future terahertz integrated circuits (TIC) in general and terahertz biochips in particular. In this thesis, several advancements are made in design methodology, analysis tool and architecture of terahertz and millimeter-wave integrated circuits when used as a biochip. A global and geometry independent approach for design and analysis of the travelling-wave terahertz photomixer sources, as the core component in a TIC, is discussed in details. Three solvers based on photonic, semiconductor and electromagnetic theories are developed and combined as a unified analysis tool. Using the developed terahertz photomixer source, a resonance-based biochip structure is proposed, and its operation principle, based on resonance perturbation method, is explained. A planar metallic resonator acting as a sample holder and transducer is designed, and its performance in terms of sensitivity and selectivity is studied through simulations. The concept of surface impedance for electromagnetic modeling of DNA self-assembled monolayer on a metal surface is proposed, and its effectiveness is discussed based on the available data in the literature. To overcome the loss challenge, Whispering Gallery Mode (WGM) dielectric resonators with high Q factor are studied as an alternative for metallic resonator. The metallic loss becomes very high at terahertz frequencies, and as a result of that planar metallic resonators do not exhibit high Q factor. Reduced Q factor results in a low sensitivity for any sensor using such resonators. Theoretical models for axially and radially layered dielectric resonators acting on WGM are presented, and the analytical results are compared with the measured data. Excitation of WGM through dielectric waveguide is proposed, and the critical coupling condition is explained through analytical formulation. The possibility of selecting one resonance among many for sensing application is also studied both theoretically and experimentally. A high sensitivity sensor based on WGM resonance in mm-wave and terahertz is proposed, and its sensitivity is studied in details. The performance of the proposed sensor is tested for sensing drug tablets and also liquid droplets through various measurements in mm-wave range. The comprehensive sensitivity analysis shows the ability of the proposed sensor to detect small changes in the order of 10−4 in the sample dielectric constant. The results of various experiments carried out on drug tablets are reported to demonstrate the potential multifunctional capabilities of the sensor in moisture sensing, counterfeit drug detection, and contamination screening. The measurement and simulation results obtained in mm-wave hold promise for WGM to be used for sensing biological solutions in terahertz range with very high sensitivity.

The purpose of this project was to investigate a cylindrical cavity resonator and use microwaves to heat up a material in the cavity. This was done by measuring the Q-factor and the resonance frequency of the cavity, both with and without material inside. The chosen material was graphite, and more accurate measurements were done with that specific material. A program called QZero was used to export the Q-factor and the resonance frequency from the measurement data received from a VNA and the program also gave error estimations. Then electromagnetic simulations were done using Comsol. Both an empty cavity and a cavity where graphite has been inserted were simulated and the results were compared to the actual measurements. To measure temperatures inside the cavity, a pyrometer was to be used. The cavity resonator has small circular holes through the side, and a frame was designed and produced using a 3D-printer in order to lock the pyrometer in place in front of one of the holes. A power supply was also installed to the pyrometer. In order to send microwaves into the cavity, a signal generator was used. It was connected to an amplifier and the amplification as well as the efficiency was noted. The pyrometer could only measure temperatures above 490 $\degree$C. This was not achieved, so a handheld electrical thermometer was used. The temperature of the graphite was measured and then compared to how hot the graphite would be without heat loss. For the empty cavity, a Q-factor of 3200 for the resonance frequency of around 2.4 GHz was measured, which matched the simulated measurements in Comsol. When graphite was inserted to the cavity, the Q-factor lowered to 300 in the real experiment. A discrepancy was found between the actual measurements, and the Comsol simulations in which the graphite only lowered the Q-factor to 2570. The reason for this is believed to be either with an error to how the material was chosen in Comsol, since there were many types of graphite to select with many settings to change. Another reason could be an error with the setup itself due to the sheer complexity of the program. / Syftet med detta projekt är att undersöka en cylindrisk kavitet samt att använda mikrovågor för att värma upp ett material i kaviteten. Detta gjordes genom att mäta kavitetens Q-faktor och resonansfrekvens med och utan material. Sedan valdes grafit ut som det materialet som skulle testas och mer noggranna mätningar gjordes på just det materialet, och programmet QZero användes för att få ut mer noggrann data samt gav en felmarginal på Q-faktorn. Efter det gjordes simuleringar i programmet Comsol av kaviteten med och utan grafit och jämfördes med de faktiska värdena. För att mäta temperatur av materialet i kaviteten designades en hållare som en pyrometer skulle fästas vid och riktas mot materialet i kaviteten. Även en strömförsörjning till pyrometern installerades. För att skicka in mikrovågor i kaviteten användes en signalgenerator som var kopplad till en förstärkare. Förstärkningen mättes och förstärkarens effekt noterades. I slutändan nåddes inte de temperaturer som krävdes för pyrometern, så en elektrisk termometer användes för att mäta temperaturen på grafiten och detta jämfördes sedan mot den energin som absorberades av grafiten, då energin tillförd till grafiten och grafitens specifika värmekapacitet var känt. Prestandan av experimentuppställningen undersöktes också. For den tomma kaviteten mättes en Q-faktor på 3200 och resonansfrekvensen var 2.4 GHz. Detta stämde bra överens med simuleringarna i Comsol. När grafit fördes in i kaviteten sänktes Q-faktorn till 300. En avvikelse upptäcktes mellan de faktiska mätningarna och simuleringarna. I simuleringen sänktes Q-faktorn bara till 2570, en andledning till detta tros vara antingen vara hur materialet valdes, då det fanns olika typer av grafit med olika inställningar att välja mellan i Comsol. En annan felkälla kan vara något fel med uppställningen på grund af hur avancerat Comsol var. I värmeexperimentet hade förstärkaren en låg verkningsgrad vilket ledde till överhettning om för stor effekt användes. Experimentet begränsades därför till att använda upp till två watt. Vid exponerig under 30 sekunder värmdes grafiten upp till 100-150$\degree$C, vilket var avsevärt lägre än den teoretiska uppvärmingen till 1700$\degree$ beräknad från energin tillförd till grafiten. Antagandet är att temperaturen hamnade i ett jämnviktsläge kring 100-200$\degree$C eller att resonansfrekvensen ändrades vilket ledde till en minskning av energi tillförd till grafiten.

No / This paper presents a circuit model which is used to calibrate the performance of nonlinear RF energy conversion inside a high quality factor resonant cavity with a known nonlinear loading device. The nonlinear radiofrequency energy conversion can be detected by exciting the fundamental operating frequency and observing the second harmonic resonant frequency within a doubly resonant cavity. By implementing the proposed mathematical model, the required input power can be estimated to maximise the chance of detecting the weak second harmonic signal prior to carry out the measurement.