Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. Focusing on the carbon footprint metric of ESG factors, this thesis aims to investigate the potential existence of an ESG-specific component in liquidity commonality among equities listed on Nasdaq Stockholm, with a key assumption being that the average investor active on the Swedish equity market is cognizant of emission data and willing to forgo financial returns for positive externalities. Using a calibrated portfolio sorting technique and a set of time series regression models, the thesis uncovers novel evidence of liquidity synchronicity among ESG-unfavorable stocks. Additionally, the results indicate that liquidity dynamics of ESG frontrunners tend to be reflective of firm level characteristics. These findings remain robust even after controlling for market-wide driving forces, industry effects, and nonsynchronous liquidity co-movements etc. Investors prioritizing climate efforts may have tilted their capital away from emission laggards which give rise to a “flight to climate” effect on stock liquidity synchronicity among brown equities. Their resultant constrained investor base may lead to simultaneous liquidity oscillation as observed. Notwithstanding, the thesis does not measure explicit mechanisms through which ESG factors impact stock liquidity commonality, leaving this as a topic for future research.

We study a periodic review assemble-to-order (ATO) system introduced by Akcay and Xu (2004) which jointly optimizes the base stock levels and the component allocation with an independent base stock policy and a first-come- first-served allocation rule. The formulation is a non-smooth and thus theoretically and computationally challenging. In their computational experiments, Akcay and Xu (2004) modified the right hand side of the inventory availability constraints by substituting linear functions for piece-wise linear ones. This modification may have a significant impact on low budget levels. The optimal solutions obtained via the original formulation, i.e., the formulation without modification, include zero base stock levels for some components and thus indicate a bias against component commonality. We study the impact of component commonality on periodic review ATO systems. We show that lowering component commonality may yield a higher type-II service level. The lower degree of component commonality is achieved via separating inventories of the same component for different products. We substantiate this property via computational and theoretical approaches. We show that for low budget levels the use of separate inventories of the same component for different products can achieve a higher reward than with shared inventories. Finally, considering a simple ATO system with one component shared by two products, we characterize the budget ranges such that either separate or shared inventory component (i.e., component commonality) is beneficial. / Thesis / Doctor of Philosophy (PhD)

This study aimed to verify the existence of commonality in liquidity in the Brazilian market by delivering common factors of liquidity with an innovative technique (dynamic factor analysis). Also sought to examine the relationship between commonality and return on individual assets. Most studies of commonality are proceeded with data analysis and worked out daily in developed markets like the United States (Chord, Roll and Subrahmanyam (2000) Huberman and Halka (1999), Hasbrouck and Seppi (2001), Henker and Martens (2003 ), Lee (2005) and Brockman, Chung and Perignon (2009)), but some use intraday data on the formation of the sample and, moreover, show the commonality in emerging markets. Brockman and Chung (2002), Zheng and Zhang (2006), and Giouvris Galariotis (2008) are examples of studies in these markets, using a variety of measures and different methodological approaches. There were no Brazilian studies involving the commonality, but a study of foreign Brockman, Chung and Perignon (2009) reported weak evidence in Brazil. The procedure adopted for estimating the dynamic factor analysis (DFA) was based on a study of Frederic (2006) using the software Stata version 11. This survey was conducted with the shares belonging to the Bovespa index (Bovespa) from intraday data every five minute interval in the period from January 4 until April 30, 2010, total assets of 63 theoretical portfolio of first quarter 2010. Due to the limitation of the software, the sample was divided into three groups (group 1, 2 and 3), each composed of 21 companies with 498 5 minute intervals during periods of 83 observations for each trading day, the day 01/04/2010 until 01/11/2010 generating a total of 10,458 observations for each group. Common factors were found from the liquidity variables, which explain in part the common variation in liquidity. After analyzing the factors we proceeded to estimate the regressions by group. For each group had three regressions, only the first return of Ibovespa regressing against the return of the asset. Then we included a factor for liquidity and, after all factors were included in the model. Among the results of the regressions, the Group 1 stands out, presented the highest coefficient of determination and where the Bovespa index return and Factor 1 were significant, indicating that beyond the market beta the common factor in liquidity also produces impacts on return the company. This study showed that there is commonality in liquidity in the market and also that there is influence of liquidity in the return of individual assets, confirming the evidence found by Brockman, Chung and Perignon (2009). / O presente estudo teve como objetivo verificar a existência de comunalidade na liquidez no mercado brasileiro através da apresentação de fatores comuns de liquidez com uma técnica inovadora (análise fatorial dinâmica). Buscou ainda analisar a relação entre a comunalidade e o retorno dos ativos individuais. A maioria dos estudos de comunalidade são procedidos com análises de dados diários e trabalhados em mercados desenvolvidos como os Estados Unidos (Chordia, Roll e Subrahmanyam (2000) Huberman and Halka (1999), Hasbrouck and Seppi (2001), Henker e Martens (2003), Lee (2005) e Brockman, Chung e Pérignon (2009)), mas alguns utilizam dados intraday na formação da amostra e, além disso, evidenciam a comunalidade também nos mercados emergentes. Brockman and Chung (2002), Zheng e Zhang (2006), Giouvris e Galariotis (2008) são exemplos de estudos nesses mercados, usando uma variedade de medidas e diferentes abordagens metodológicas. Não foram encontradas pesquisas brasileiras envolvendo a comunalidade, mas um estudo estrangeiro de Brockman, Chung e Pérignon (2009) relatou evidências fracas no Brasil. O procedimento adotado para a estimação da análise fatorial dinâmica (AFD) foi baseado no estudo de Frederici (2006) utilizando o software Stata versão 11. Essa pesquisa foi realizada com as ações pertencentes ao índice Bovespa (Ibovespa) a partir de dados intraday a cada intervalo de cinco minutos no período de 04 de Janeiro até 30 de abril de 2010, totalizando 63 ativos da carteira teórica do primeiro quadrimestre de 2010. Devido à limitação do software a amostra foi dividida em três grupos (Grupo 1, 2 e 3), cada um composto por 21 empresas com 498 intervalos de 5 minutos em períodos de 83 observações para cada dia negociado, do dia 04/01/2010 até 11/01/2010 gerando um total de 10458 observações para cada um dos grupos. Foram encontrados fatores comuns a partir das variáveis de liquidez, nos quais explicam parte da variação comum da liquidez. Após a análise dos fatores procedeu-se a estimação das regressões por Grupo. Para cada Grupo foram geradas três regressões, a primeira somente do retorno do Ibovespa regredindo contra o retorno do ativo. Em seguida incluiu-se o fator 1 de liquidez e, após, todos os fatores foram incluídos no modelo. Dentre os resultados das regressões, destaca-se o Grupo 1, cujo modelo estimado apresentou o maior coeficiente de determinação e onde o retorno Ibovespa e o Fator 1 foram significativos, indicando que além do beta de mercado o fator comum da liquidez também produz impactos no retorno da empresa. Este estudo mostrou que existe comunalidade na liquidez no mercado brasileiro e, também, que há influência dos fatores de liquidez no retorno dos ativos individuais, corroborando com as evidências encontradas por Brockman, Chung e Pérignon (2009).

This Master thesis proposes a solution to manage variabilities of software product line applications. The objective of the research is to support software decision makers in handling additional software complexity introduced by product line architectures. In order to fulfill this objective an approach to analyze, visualize, and measure product line specific characteristics of the C/C++ source code are proposed. The approach is validated in an empirical experiment using an open source software system. For that purpose the approach is first implemented into ®1 M-System-NT, an existing software measurement tool developed at Fraunhofer. The target hypothesis of the Institute for Experimental Software engineering research master thesis to perform static analysis of C/C++ source code, measure traditional and product line measures to identify the correlation between measures and indicate the fault proneness. / Official Address: Researcher Zeeshan Ahmed, Mechanical Engineering Informatics and TU Virtual Product Development Division (MIVP) Vienna, Austria Permanent Address: Zeeshan Ahmed, Humdered Street Mohala Garhi Shadula Sahib Gujrat, Pakistan

A Thesis Submitted to the School of Graduate Studies in Partial Fulfilment of the Requirements for the Degree Master of Science / This thesis examines how emotion is conveyed in music from different eras, and attempts to reconcile differences between psychological and music-theoretical approaches. Chapter 1 introduces the concepts embodied by the two manuscripts within this thesis. Chapters 2 and 3 describe two separate but related complimentary research projects. Chapter 2, entitled “Breaking with Common Practice: Exploring Modernist Musical Emotion”, compares perceived emotion in prelude sets by D. Shostakovich, F. Chopin, and J.S. Bach. This work seeks to clarify the relationship between historic changes in music’s structure and conveyed emotion, particularly in the twentieth century–which remains largely unexplored. Building on previous work, we used commonality analysis to break down the unique and joint contributions of various cues to perceived emotion and provide insight into their changing roles in the twentieth century. The work described in Chapter 3, “Cleaning up our work: Applying decision hygiene to analysis of musical structure”, was inspired by previous attempts in diverse fields (e.g., medicine, judicial sentencing) to resolve unwarranted disagreement, and used a novel procedure to distinguish genuine disagreement from disagreement that is not reflective of true differences of opinion amongst music theorists. Unlike other fields involving judgement, individual theorists’ unique perspectives are valuable. Therefore, rather than forcing inauthentic agreement, our procedure clarified and enhanced individual perspectives in musical analysis. Taken together, the research described in Chapters 2 and 3 bridge the gap between epistemologically different approaches to disseminating musical knowledge–cognition and theory. / Thesis / Master of Science (MSc) / Music’s expressive capabilities has inspired scholarship from psychology, music theory, musicology, and philosophy for centuries. Although research in psychology has produced consensus about how certain musical elements contribute to its emotional meaning, musicological research shows that music’s structure evolved across history. Little research has explored emotional communication in music from the twentieth century, raising important questions about how emotion is conveyed in the music of our time. This oversight may contribute to continuing disagreement between music psychologists and music theorists on how music’s structure affects its perceived meaning. Thus, by bridging the gap between theory and cognition, this thesis aims to: (i) shed light on the role of music’s evolving structure–particularly in the twentieth century–on perceived emotion; and (ii) reduce error in music analysis while preserving valuable differences in theorists’ perspectives through applying a novel method inspired by optimized decision-making procedures.

This thesis comprises two manuscripts prepared for scholarly journals. Chapter 2 comprises an article entitled “Exploring Historic Changes in Musical Communication: Deconstructing Emotional Cues in Preludes by Bach and Chopin.”, which examines emotion perception in historic prelude sets by J.S. Bach and F. Chopin. This work connects psychological research on perceived musical emotion to musicological research describing changes in music structure. Using a technique called commonality analysis to deconstruct cues’ individual and joint roles in predicting participants’ perceived emotions, the chapter clarifies how music’s conveyed emotion can differ in compositions from different eras. Chapter 3 comprises an article entitled “Parsing Musical Patterns in Prelude Sets: Bridging Qualitative and Quantitative Epistemologies in Historical Music Research”. This chapter bridges gaps between qualitative and quantitative research on music history through an analytical approach engaging with both fields. Specifically, cluster analyses of Bach and Chopin’s preludes reveal notable differences in the composers’ expressive toolkits, consistent with work from historical and empirical music research. Through a novel analytical framework, the chapter illustrates a method for detecting groups of pieces demarcated by salient musical differences, assessing cues’ importance within these groups, and determining the most influential cue values for each group. Together, these articles provide new insight into the subtle sonic relationships influencing musical meaning and emotion perception. / Thesis / Master of Science (MSc) / Music’s capacity to express emotion has received considerable attention in psychological and musicological research. Whereas efforts from psychology clarify the musical cues for emotion through perceptual experiments, efforts from musicology track changes in compositional practice over time—finding changing relationships between music’s cues for emotion in historically diverse compositions. To date, the implications of these changing musical relationships for emotion perception remain unclear. This thesis analyzes musical scores and listeners’ emotion ratings to gain insight into music’s structural changes throughout history and their implications for perceived emotion. By applying statistical techniques to (i) detect musical patterns in prelude sets by J.S. Bach and F. Chopin and (ii) clarify how cue relationships influence emotion perception, this thesis sheds light on the relationship between music’s historic context and its emotional meaning.

This desertation shows that a unique class of network disruption exists that can be regarded in isolation of other classes of network disturbances, namely cascade disruption of generation (COG). This class of disturbance is being defined in terms of the cascading effect that it exhibits in terms of the disruption of power generating units in an interconnected power system. Through a literature survey it is shown that a lack of formal acknowledgement exists in the recognition of this class of disturbance both locally and abroad, and that therefore there is a general absence of a policy framework to manage the threat that is associated with the cascade disruption of generation. The analysis of the records of such events in the Southern African power pool are analised, and the properties and characteristics of COG events are explored. The extent of the threat to the interconnected power system that is posed by COG, as a phenomenon, is quantified in the conte·xt of industry practice and weaknesses are identified. It is shown that the occurrence of this class of event is not entirely random, and that statistical methods can be used in the development of mitigation strategies. A management framework is developed with metrics for the monitoring, evaluation and trending of the phenomenon, and to evaluate the ongoing risk. Roles and responsibilities are sugested and a outline for the systematic investigation of such events is developed. In the conclusion, the possible benefits of the an COG managenent framework are discussed and scope for future work in this regard is suggested. / Thesis (MIng (Electrical and Electronic Engineering))--North-West University, Potchefstroom Campus, 2013

This desertation shows that a unique class of network disruption exists that can be regarded in isolation of other classes of network disturbances, namely cascade disruption of generation (COG). This class of disturbance is being defined in terms of the cascading effect that it exhibits in terms of the disruption of power generating units in an interconnected power system. Through a literature survey it is shown that a lack of formal acknowledgement exists in the recognition of this class of disturbance both locally and abroad, and that therefore there is a general absence of a policy framework to manage the threat that is associated with the cascade disruption of generation. The analysis of the records of such events in the Southern African power pool are analised, and the properties and characteristics of COG events are explored. The extent of the threat to the interconnected power system that is posed by COG, as a phenomenon, is quantified in the conte·xt of industry practice and weaknesses are identified. It is shown that the occurrence of this class of event is not entirely random, and that statistical methods can be used in the development of mitigation strategies. A management framework is developed with metrics for the monitoring, evaluation and trending of the phenomenon, and to evaluate the ongoing risk. Roles and responsibilities are sugested and a outline for the systematic investigation of such events is developed. In the conclusion, the possible benefits of the an COG managenent framework are discussed and scope for future work in this regard is suggested. / Thesis (MIng (Electrical and Electronic Engineering))--North-West University, Potchefstroom Campus, 2013

The number and complexity of the systems realizing the functionality of the machines in the automotive domain are growing. In this arises the need for a systematic way to manage their development. As the technologies advance, the vehicles introduce an increasing range of capabilities. However, they have similar functions, which have the potential to be reused. One of the widely used approaches that manages the commonality and variability of the development artifacts in a systematic manner is Product Line Engineering (PLE). Consequently, PLE reduces the time to market and the development cost. The machines, realized in the automotive domain, interact with their operators and the surrounding environment. Possible malfunctions of the machines may introduce a risk of accidents with fatal consequences. Therefore, the products should be analyzed, developed and managed in a safe manner and certified according to different relevant safety standards like ISO 15998, ISO 61508 and ISO 26262. There is a diversity of functions in a Product Line (PL). Some of them are mandatory for all machines and others are optional for some models. This gives the opportunity to combine the functions in multiple configurations. However, not all combinations are possible due to dependencies among the functions. Furthermore, the configurations should be valid from a safety perspective, and the developed products should satisfy the requirements identified during the safety analysis. The above mentioned factors emphasize the need for explicit representation of the systems' characteristics, such as commonality and variability, functional dependencies and quality attributes. The purpose of the current work is to find an efficient way to satisfy this need. The scope of our research is limited to the automotive domain. In order to gain familiarity with the state of practice, we collaborated with Volvo Construction Equipment (Volvo CE) as an industrial partner. In particular, we: conducted an informal interview study with the practitioners, analyzed the requirements management tool used in Volvo CE and studied products typical for the domain in detail, examined the deliverables defined in the related domain specific safety standards. We gained knowledge on how variability is managed in an industrial context today, which safety aspects need to be considered and how functional safety artifacts are managed with regards to variability. We synthesized the characteristics that are explicitly represented during the development and safety certification of the products in a safety-critical product line. We identified the challenges that the practitioners meet today and the areas that need to be improved. As a result, we formulated evaluation criteria for search and assessment of possible solutions. Subsequently we searched in the literature for different modeling techniques, that are able to respond to the industrial needs, and found the following to be relevant in our context: Feature modeling techniques consider the different variability types and dependencies among the features. Model-based development techniques can represent different views of the system on each level of the development process. Orthogonal modeling techniques extract the variability and dependencies in a different view. Furthermore, we evaluated the methods found during the literature study, based on the proposed criteria. We concluded that the examined techniques alone cannot represent all characteristics needed to support the development of a safety-critical product line, especially the impact of the variability on the safety and vice versa. However, each of them focuses on the presentation of certain aspect of the product line, which can help in building a more complete representation. Thus we focused on the approaches that may be extended and integrated into a complete solution. As a result, we propose a model and graphical notation for variability management in safety-critical product lines, which takes the identified industrial needs into account. The concept is depicted graphically by several model-based diagrams, which represent the different aspects of the product line, on each development level. Special attention is paid to the representation of the safety and variability aspects of the systems. The method is exemplified on an industrial example, in order to show how it achieves the defined goals.

The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after controlling for oil sensitivity. My findings suggest that oil volatility effect on liquidity commonality is more substantial for high oil sensitive countries than oil price return effect except five OPEC members, where liquidity commonality is highly influenced by oil the return along with volatility. These results are robust to controlling for possible sources of liquidity commonality as found in the literature. In the second essay, I study the impact of stock liquidity on firms’ future investments. Since stock liquidity decreases the cost of equity, I expect firms’ future investments to increase with stock liquidity. Secondly, I argue that this relation is more pronounced in more financially constrained firms because of their limited access to external capital. Using a sample of more than 9800 firms, from 21 emerging markets and spanning from 2000 to 2015, I find supportive and robust evidence of a positive association between stock liquidity and firms’ future investments. Furthermore, my findings strongly suggest that the liquidity impact on corporate investments is highly influenced by the firms’ financial constraint levels, using four different definitions of financial constraints. My findings are robust due to controlling for other determinants of future investment suggested in the previous literature, and due to controlling for the country and time effects. In addition, the results seem to be consistent with the use of alternative measures of corporate investments and stock liquidity and with alternative model specifications and estimation methodologies.