The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach the upper dynamic limit than when they reach the upper static limit. Furthermore, we compare the conditional idiosyncratic volatility and stock returns on the limit hit days to the day before and after the limit hit events and find that the conditional idiosyncratic volatility and stock returns are more volatile on the limits hit days. To test the volatility spill-over hypothesis, we set a range of a two-day window after limit hit events and find no evidence for volatility spill-over one or two days after the limit hit event, indicating that the static and dynamic volatility interruption rule is effective in curbing the volatility. Finally, we sort stocks by their size and find that small market cap stocks gain higher returns than larger market cap stocks upon reaching the upper limits, both static and dynamic.

Instruction scheduling and Software pipelining are important compilation techniques which reorder instructions in a program to exploit instruction level parallelism. They are essential for enhancing instruction level parallelism in architectures such as very Long Instruction Word and tiled processors. This thesis addresses two important problems in the context of these instruction reordering techniques. The first problem is for general purpose applications and architectures, while the second is for media and graphics applications for tiled and multi-core architectures. The first problem deals with software pipelining which is an instruction scheduling technique that overlaps instructions from multiple iterations. Software pipelining increases the register pressure and hence it may be required to introduce spill instructions. In this thesis, we model the problem of register allocation with optimal spill code generation and scheduling in software pipelined loops as a 0-1 integer linear program. By minimizing the amount of spill code produced, the formulation ensures that the initiation interval (II) between successive iterations of the loop is not increased unnecessarily. Experimental results show that our formulation performs better than the existing heuristics by preventing an increase in the II and also generating less spill code on average among loops extracted from Perfect Club and SPEC benchmarks. The second major contribution of the thesis deals with the code size aware scheduling of stream programs. Large scale synchronous dataflow graphs (SDF’s) and StreamIt have emerged as powerful programming models for high performance streaming applications. In these models, a program is represented as a dataflow graph where each node represents an autonomous filter and the edges represent the channels through which the nodes communicate. In constructing static schedules for programs in these models, it is important to optimize the execution time buffer requirements of the data channel and the space required to store the encoded schedule. Earlier approaches have either given priority to one of the requirements or proposed ad-hoc methods for generating schedules with good trade-offs. In this thesis, we propose a genetic algorithm framework based on non-dominated sorting for generating serial schedules which have good trade-off between code size and buffer requirement. We extend the framework to generate software pipelined schedules for tiled architectures. From our experiments, we observe that the genetic algorithm framework generates schedules with good trade-off and performs better than the earlier approaches.

The main resources for computation are time, space and energy. Reducing them is the main challenge in the field of processor performance.In this thesis, we are interested in a fourth factor which is information. Information has an important and direct impact on these three resources. We show how it contributes to performance optimization. Landauer has suggested that independently on the hardware where computation is run information erasure generates dissipated energy. This is a fundamental result of thermodynamics in physics. Therefore, under this hypothesis, only reversible computations where no information is ever lost, are likely to be thermodynamically adiabatic and do not dissipate power. Reversibility means that data can always be retrieved from any point of the program. Information may be carried not only by the data but also by the process and input data that generate it. When a computation is reversible, information can also be retrieved from other already computed data and reverse computation. Hence reversible computing improves information locality.This thesis develops these ideas in two directions. In the first part, we address the issue of making a computation DAG (directed acyclic graph) reversible in terms of spatial complexity. We define energetic garbage as the additional number of registers needed for the reversible computation with respect to the original computation. We propose a reversible register allocator and we show empirically that the garbage size is never more than 50% of the DAG size. In the second part, we apply this approach to the trade-off between recomputing (direct or reverse) and storage in the context of supercomputers such as the recent vector and parallel coprocessors, graphical processing units (GPUs), IBM Cell processor, etc., where the gap between processor cycle time and memory access time is increasing. We show that recomputing in general and reverse computing in particular helps reduce register requirements and memory pressure. This approach of reverse rematerialization also contributes to the increase of instruction-level parallelism (Cell) and thread-level parallelism in multicore processors with shared register/memory file (GPU). On the latter architecture, the number of registers required by the kernel limits the number of running threads and affects performance. Reverse rematerialization generates additional instructions but their cost can be hidden by the parallelism gain. Experiments on the highly memory demanding Lattice QCD simulation code on Nvidia GPU show a performance gain up to 11%.

Sulfate- and Fe(III)-reducing, and methanogenic prokaryotes (SRP, FRP, MGP) are key players in metabolic pathways involved in anaerobic biodegradation processes. Understanding the metabolic activity of these microbes in environments can enhance microbe-mediated processes such as oil spill bioremediation and methane biogas production. In this study, anaerobic microbial activities in Deepwater Horizon oil spill-impacted salt marsh sediments, and in methanogenic coal bed production water enrichment cultures amended with trace elements (TE), were elucidated by employing an approach combining methods in molecular biology and geochemistry. In situ metabolic activity of SRP, FRP and MGP were monitored seasonally and metabolically-active communities were identified in oil-impacted sediments using quantitative real time Reverse Transcription -PCR and clone library analysis of key functional genes: Dissimilatory (bi)sulfite reductase (dsrAB), Geobactereceae-specific citrate synthase (gltA), methyl coenzyme M reductase (mcrA), and benzyl succinate synthase (bssA). In situ application of montmorillonite clay was assessed for its potential at accelerating PHC degradation by stimulating microbial activities. Levels of dsrA, gltA and bssA transcripts suggested that PHC-oxidizing SRP are more active in summer while FRP are more active in winter, indicating their activities linked to the seasonal changes of redox potential and vegetation. BssA gene expression peaked in winter, and was highest at more highly oil-impacted sites. Expression of all genes was higher in clay-amended sites. bssA transcript level and Fe(II) production were highest in clay-amended microcosm. Total petroleum hydrocarbon (TPH) levels were lower in oil and clay-amended microcosm incubation than one with oil only amendment, suggesting enhanced TPH degradation by clay amendment. Pyrosequencing analysis 16S rRNA gene in clay-amended microcosms demonstrated the highest percentage abundance of groups closely related to known anaerobic aromatic degraders. Levels of mcrA transcripts correlated with methane production rates in TE-amended coal bed production water enrichments. The findings of the present study clearly support the advantage of gene expression analyses for estimating microbial activity. To the best of our knowledge, this is the first in situ study which employs key functional gene markers as molecular proxies for metabolic activity and diversity assessments in anaerobic oil-contaminated salt marsh sediment and also elucidates clay-enhanced in situ TPH degradation.

It is widely believed among South African agricultural market participants that the United States' corn price, as represented by the Chicago Board of Trade-listed corn contract, is causal to the price of white and yellow maize traded on the South African Futures Exchange. Although a strong correlation exists between these markets, the corn contract is far from causal to the South African maize price, as indicated by Auret and Schmitt (2008). Similarly, South African market participants believe that volatility generated in the United States corn market spills over to the South African market. Given the perceived volatility spill-over from the corn market to the maize market, market participants might inadvertently include a higher volatility component in an option price in the South African maize market than is necessary. This study sought to quantify the amount of volatility spill-over to the South African white and yellow maize market from the United States corn contract. This task was accomplished by applying an Exponential Generalised Auto Regressive Conditional Heteroscedasticity model, within an aggregate shock framework, to the data. The findings indicated that the volatility spill-over from the United States corn market to the South African maize market is not statistically significant. This result suggests that volatility in the South African market is locally driven; hence, it should not be necessary for a South African listed option contract to carry an international volatility component in its price. It was also found that the returns data of the South African maize market is asymmetrically skewed, indicating that bad news will have a greater effect on the price of maize compared with good news. / Thesis (MCom (Risk Management))--North-West University, Potchefstroom Campus, 2013.

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

It is widely believed among South African agricultural market participants that the United States' corn price, as represented by the Chicago Board of Trade-listed corn contract, is causal to the price of white and yellow maize traded on the South African Futures Exchange. Although a strong correlation exists between these markets, the corn contract is far from causal to the South African maize price, as indicated by Auret and Schmitt (2008). Similarly, South African market participants believe that volatility generated in the United States corn market spills over to the South African market. Given the perceived volatility spill-over from the corn market to the maize market, market participants might inadvertently include a higher volatility component in an option price in the South African maize market than is necessary. This study sought to quantify the amount of volatility spill-over to the South African white and yellow maize market from the United States corn contract. This task was accomplished by applying an Exponential Generalised Auto Regressive Conditional Heteroscedasticity model, within an aggregate shock framework, to the data. The findings indicated that the volatility spill-over from the United States corn market to the South African maize market is not statistically significant. This result suggests that volatility in the South African market is locally driven; hence, it should not be necessary for a South African listed option contract to carry an international volatility component in its price. It was also found that the returns data of the South African maize market is asymmetrically skewed, indicating that bad news will have a greater effect on the price of maize compared with good news. / Thesis (MCom (Risk Management))--North-West University, Potchefstroom Campus, 2013.

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

University, Diss--Köln, 2005.

Made available in DSpace on 2014-12-17T14:08:45Z (GMT). No. of bitstreams: 1 LucianaSF_DISSERT.pdf: 4631139 bytes, checksum: 00137f0bba4f12c4fb23f7fee30c065d (MD5) Previous issue date: 2011-06-30 / The State of Para?ba is one of the most dynamic states of Brazil, strategically located in the northeast, is notable for the excellent potential for integration of different transportation modes forming the states of Rio Grande do Norte, Pernambuco and Alagoas. The dynamic that occurs with port activity causes changes in the space where it is installed. And the elements of this space are always more than suffering direct or indirect influences as the flow in the port is expanded. Therefore, this region became subject to the accidental spillage of oil, because it presents a heavy traffic of ships of various sizes that can run aground or collide with oil causing accidental events. The study of geomorphological and sedimentological compositions of seafloor becomes important as more is known about the relationships between these parameters and associated fauna, and can identify their preferred habitats. The database background, acoustically collected along the proposed study area, is a wealth of information, which were duly examined, cataloged and made available. Such information can serve as an important tool, providing a geomorphological survey of the sedimentary area studied, and come to subsidize, in a flexible, future decision making. With the study area Port of Cabedelo, Para?ba - Brazil, this research aimed to evaluate the influence of the tidal surface and background in modeling the seabed, including the acquisition of information about the location of submerged rocky bodies and the depth of these bodies may turn out to be natural traps for the trapping of oil in case of leaks, and obtain the relationship between types of bed and the hydrodynamic conditions present in the region. In this context, for this study were collected bathymetric data (depth) and physical oceanographic (height of water column, water temperature, intensity and direction of currents, waves and turbidity), meteorological (rainfall, air temperature, humidity, winds and barometric pressure) of the access channel to the Port of Cabedelo / PB and its basin evolution (where the cruise ships dock), and includes tools of remote sensing (Landsat 7 ETM +, 2001), so that images and the results are integrated into Geographic Information Systems and used in the elaboration of measures aimed at environmental protection areas under the influence of this scale facilities, serving as a grant to prepare a contingency plan in case of oil spills in the region. The main findings highlight the techniques of using hydroacoustic data acquisition together bathymetric surveys of high and low frequency. From there, five were prepared in bathymetric pattern of Directorate of Hydrography and Navigation - DHN, with the depth in meters, on a scale of 1:2500 (Channel and Basin Evolution of Access to Port of Cabedelo), where there is a large extent possible beachrocks that hinder the movement of vessels in the port area, which can cause collisions, running aground and leaking oil. From the scatter diagram of the vectors of currents, it can be seen as the tidal stream and undergoes a channeling effect caused by the bidirectional effect of the tide (ebb and flood) in the basin of the Port of Cabedelo evolution in NW-direction SE and the highest speed of the currents occurs at low tide. The characterization weather for the period from 28/02 to 04/07/2010 values was within the expected average for the region of study. The multidisciplinary integration of products (digital maps and remote sensing images), proved to be efficient for the characterization of underwater geomorphological study area, reaching the aim to discriminate and enhance submerged structures, previously not visible in the images / O Estado da Para?ba ? um dos estados mais din?micos do Brasil, estrategicamente localizado na regi?o nordeste, se destaca pelo excelente potencial para integra??o dos diversos modais de transporte formado com os Estados do Rio Grande do Norte, Pernambuco e Alagoas e por abrigar o Porto de Cabedelo. A din?mica que ocorre com a atividade portu?ria provoca mudan?as no espa?o onde ele ? instalado. E os elementos que comp?em esse espa?o passam ent?o a sofrer sempre mais influ?ncias diretas ou indiretas ? medida que o fluxo no porto ? ampliado. Logo, essa regi?o tornou-se pass?vel ao derramamento acidental de ?leo, por apresentar um intenso tr?fego de navios de diversos portes que podem encalhar ou colidir ocasionando eventos acidentais com ?leo. O estudo das composi??es geomorfol?gicas e sedimentol?gicas do fundo oce?nico tornam-se importantes ? medida que se conhece mais a respeito de rela??es entre estes par?metros e a fauna associada, sendo poss?vel identificar seus habitats preferenciais. O banco de dados de fundo, acusticamente coletados ao longo da ?rea do estudo proposto, constitui um grande acervo de informa??es, que foram devidamente analisadas, catalogadas e disponibilizadas. Tais informa??es podem servir como uma importante ferramenta, proporcionando um levantamento geomorfol?gico da ?rea estudada, e vir a subsidiar, de forma ?gil, futuras tomadas de decis?o. Tendo como ?rea de estudo Porto de Cabedelo, Para?ba - Brasil, esta pesquisa objetivou avaliar a influ?ncia das correntes de mar?s superficiais e de fundo na modelagem do leito marinho, incluindo a aquisi??o de informa??es sobre a localiza??o de corpos rochosos submersos e a profundidade desses corpos que podem vir a se tornar armadilhas naturais para o aprisionamento de ?leo em casos de vazamentos, al?m de obter a rela??o entre tipos de leito e as condi??es hidrodin?micas atuais na regi?o. Nesse contexto, para este trabalho, foram coletados dados batim?tricos (profundidade) e f?sico-oceanogr?ficos (altura de coluna d ?gua, temperatura da ?gua, intensidade e dire??o das correntes, ondas e turbidez), meteorol?gicos (precipita??o pluviom?trica, temperatura do ar, umidade do ar, ventos e press?o barom?trica) do canal de acesso ao Porto de Cabedelo/PB e sua bacia de evolu??o (local onde os navios atracam), incluindo ainda ferramentas do Sensoriamento Remoto (imagens Landsat 7 ETM+, 2001), para que as imagens e os resultados obtidos sejam integrados em Sistemas de Informa??o Geogr?fica e utilizados na elabora??o de medidas que visem ? prote??o ambiental de ?reas sob influ?ncia de instala??es desse porte, servindo como subs?dio para elabora??o de um plano de conting?ncia em casos de derrames de ?leo na regi?o. Como principais resultados destacam-se as t?cnicas de aquisi??o de dados hidroac?sticos utilizando em conjunto levantamentos batim?tricos de alta e baixa frequ?ncia. A partir disso, foram elaboradas cinco cartas batim?tricas no padr?o da Diretoria de Hidrografia e Navega??o - DHN, apresentando a profundidade em metros, na escala de 1:2.500 (Bacia de Evolu??o e Canal de Acesso ao Porto de Cabedelo), onde observa-se em grande extens?o poss?veis arenitos praiais que dificultam a movimenta??o das embarca??es na ?rea do porto, podendo provocar colis?es, encalhe e vazamentos de ?leo. A partir do digrama de dispers?o dos vetores de correntes, pode-se observar como a corrente de mar? sofre uma canaliza??o e com sentido bidirecional provocado pelo efeito da mar? (vazante e enchente) na bacia de evolu??o do Porto de Cabedelo, no sentido NW-SE e que a maior velocidade das correntes ocorre na baixa-mar. A caracteriza??o meteorol?gica referente ao per?odo de 28/02 a 04/07/2010 apresentou valores dentro das m?dias esperadas para a regi?o de estudo. A integra??o de produtos multidados (mapas digitais e imagens de sensores remotos), mostrou-se eficiente para a caracteriza??o geomorfol?gica submersa da ?rea estudada, alcan?ando o intuito de discriminar e real?ar estruturas submersas, antes n?o percept?veis nas imagens