本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。 / This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.

In the cancer research, it is important to understand protein dynamics which are involved in cell signaling. Therefore, particular protein detection and analysis of target protein behavior are indispensable for current basic cancer research. However, it usually performed by conventional biochemical approaches, which require long process time and a large amount of samples. We have been developed the new applications based on microfluidics and Raster image Correlation spectroscopy (RICS) techniques. A simple microfluidic 3D hydrodynamic flow focusing device has been developed for quantitative determinations of target protein concentrations. The analyte stream was pinched not only horizontally, but also vertically by two sheath streams by introducing step depth cross junction structure. As a result, a triangular cross-sectional flow profile was formed and the laser was focused on the top of the triangular shaped analyte stream. Through this approach, the target protein concentration was successfully determined in cell lysate samples. The RICS technique has been applied to characterize the dynamics of protein 53 (p53) in living cells before and after the treatment with DNA damaging agents. P53 tagged with Green Fluores-cent Protein (GFP) were incubated with and without DNA damaging agents, cisplatin or eptoposide. Then, the diffusion coefficient of GFP-p53 was determined by RICS and it was significantly reduced after the drug treatment while that of the one without drug treatment was not. It is suggested that the drugs induced the interaction of p53 with either other proteins or DNA. This result demonstrates that RICS is able to detect protein-protein or protein-DNA interactions in living cells and it may be useful for the drug screening. As another application of microfluidics, an integrated microfluidic platform was developed for generating collagen microspheres with encapsulation of viable cells. The platform integrated four automated functions on a microfluidic chip, (1) collagen solution cooling system, (2) cell-in-collagen microdroplet generation, (3) collagen microdroplet polymerization, and (4) incubation and extraction of the microspheres. This platform provided a high throughput and easy way to generate uniform dimensions of collagen microspheres encapsulating viable cells that were able to proliferate for more than 1 week.

Asymmetric dependence (AD) is defined as dependence that differs across opposing regions of the joint return distribution. Recent evidence of AD between equity returns suggests that dependence can be decomposed into a linear component, captured by the correlation matrix, and a higher order component. When these higher order terms are characterised by increased correlation in bear or bull markets, the effectiveness of diversification strategies is reduced. To the extent that an investor is unable to completely diversify these higher order terms of dependence, it follows that they should be reflected in asset prices and managed explicitly during the portfolio construction process. The aim of this thesis is to determine the extent of AD amongst asset returns, to investigate whether AD is priced and to develop a means of managing AD in the portfolio. I justify the existence of AD and the separation of AD from linear dependence via the bivariate Edgeworth expansion, finding that the joint return distribution may be described by an infinite number of higher order co-moments. Correlation (and hence β) describes one dimension of an infinite number of higher dimensions describing dependence. To determine the importance of AD in finance, I first develop measures that can detect AD independent of the level of linear dependence and idiosyncratic risk. These measures are used to determine the extent of AD amongst US stock returns and the market, to obtain an understanding of how AD changes through time and to re-examine the evidence of AD between equity portfolios. By measuring AD separate from linear dependence, I demonstrate several findings. First, I find evidence of non-stationary AD that can exists irrespective of the magnitude of linear dependence, measured by β. This time-varying AD consists of both significant upper tail dependence (UTD) and significant lower tail dependence (LTD), although LTD is found to occur more frequently than UTD, especially for small stocks and stocks displaying high idiosyncratic risk. Significant time-varying AD is also detected between domestic equity indices and international equity markets, implying that if a portfolio is weighted towards certain industries or countries, portfolio construction methods may need to be adjusted in order too meet risk and return targets, particularly if future AD cannot be adequately forecasted. Next, I investigate whether AD is priced in US equities using the Fama and MacBeth (1973) regression methodology in conjunction with my β invariant AD metrics. I find that AD is as important as linear dependence in explaining the variation in returns. In particular, a positive relationship between LTD and return is found. I document an AD risk premium of 2.7% pa, compared to a β risk premium of 6.18% pa. The AD risk premium increases to 6.9% pa for stocks with significant LTD. This result holds after controlling for size, book-to-market ratio, downside β and coskewness. I also find past AD is a significant variable in predicting the future returns of small firms, whilst neither AD nor linear dependence predict the future returns of large firms. I subsequently demonstrate a means of incorporating AD structures during the portfolio construction process using copula functions. I then investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic rebalancing framework. By considering the problem of tactically allocating a small set of domestic equity indices, I demonstrate several findings. First, I show that a Mean-Variance efficient frontier differs from the efficient frontier constructed under AD. Constructing paper portfolios based upon these differences, I find that real economic value lies in correctly accounting for AD structures. The primary source of this economic value stems from the ability to better protect portfolio value and reduce the size of any erosion in return relative to the normal portfolio. Finally, I document the benefits of actively managing AD during the portfolio construction process and determine a number of portfolio management principles required to successfully manage AD. I illustrate that managing asymmetry risk in a portfolio of international equity indices results in increased return, decreased risk and decreased transaction costs. I show that in order to yield these benefits, investors must actively and dynamically manage their portfolio. Furthermore, I illustrate that the ability to short-sell assets provides most of the benefits described.

Asymmetric dependence (AD) is defined as dependence that differs across opposing regions of the joint return distribution. Recent evidence of AD between equity returns suggests that dependence can be decomposed into a linear component, captured by the correlation matrix, and a higher order component. When these higher order terms are characterised by increased correlation in bear or bull markets, the effectiveness of diversification strategies is reduced. To the extent that an investor is unable to completely diversify these higher order terms of dependence, it follows that they should be reflected in asset prices and managed explicitly during the portfolio construction process. The aim of this thesis is to determine the extent of AD amongst asset returns, to investigate whether AD is priced and to develop a means of managing AD in the portfolio. I justify the existence of AD and the separation of AD from linear dependence via the bivariate Edgeworth expansion, finding that the joint return distribution may be described by an infinite number of higher order co-moments. Correlation (and hence β) describes one dimension of an infinite number of higher dimensions describing dependence. To determine the importance of AD in finance, I first develop measures that can detect AD independent of the level of linear dependence and idiosyncratic risk. These measures are used to determine the extent of AD amongst US stock returns and the market, to obtain an understanding of how AD changes through time and to re-examine the evidence of AD between equity portfolios. By measuring AD separate from linear dependence, I demonstrate several findings. First, I find evidence of non-stationary AD that can exists irrespective of the magnitude of linear dependence, measured by β. This time-varying AD consists of both significant upper tail dependence (UTD) and significant lower tail dependence (LTD), although LTD is found to occur more frequently than UTD, especially for small stocks and stocks displaying high idiosyncratic risk. Significant time-varying AD is also detected between domestic equity indices and international equity markets, implying that if a portfolio is weighted towards certain industries or countries, portfolio construction methods may need to be adjusted in order too meet risk and return targets, particularly if future AD cannot be adequately forecasted. Next, I investigate whether AD is priced in US equities using the Fama and MacBeth (1973) regression methodology in conjunction with my β invariant AD metrics. I find that AD is as important as linear dependence in explaining the variation in returns. In particular, a positive relationship between LTD and return is found. I document an AD risk premium of 2.7% pa, compared to a β risk premium of 6.18% pa. The AD risk premium increases to 6.9% pa for stocks with significant LTD. This result holds after controlling for size, book-to-market ratio, downside β and coskewness. I also find past AD is a significant variable in predicting the future returns of small firms, whilst neither AD nor linear dependence predict the future returns of large firms. I subsequently demonstrate a means of incorporating AD structures during the portfolio construction process using copula functions. I then investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic rebalancing framework. By considering the problem of tactically allocating a small set of domestic equity indices, I demonstrate several findings. First, I show that a Mean-Variance efficient frontier differs from the efficient frontier constructed under AD. Constructing paper portfolios based upon these differences, I find that real economic value lies in correctly accounting for AD structures. The primary source of this economic value stems from the ability to better protect portfolio value and reduce the size of any erosion in return relative to the normal portfolio. Finally, I document the benefits of actively managing AD during the portfolio construction process and determine a number of portfolio management principles required to successfully manage AD. I illustrate that managing asymmetry risk in a portfolio of international equity indices results in increased return, decreased risk and decreased transaction costs. I show that in order to yield these benefits, investors must actively and dynamically manage their portfolio. Furthermore, I illustrate that the ability to short-sell assets provides most of the benefits described.

Modern high-performance digital signal processing (DSP) applications face constantly increasing performance requirements and are becoming increasingly challenging to develop and work with. In DSP paradigm, many researchers see potential in achieving algorithm speed-up by employing Field Programmable Gate Arrays (FPGAs) – reconfigurable hardware with parallelism feature. However, developing applications for FPGAs incur particular challenges on the development flow. This work proposes a scalable hybrid DSP system for performing high-performance signal processing applications. The system employs hybrid CPU + FPGA architecture of commercially available, off-the-shelf (COTS) FPGAs and central processing units (CPU) of personal computers. In this work an example implementation of a multi-channel cross-correlator is investigated and delivered using a new development paradigm. The correlator is implemented on the XD1000 development system using a high-level FPGA programming tool – Impulse CoDeveloper. Analysis of DSP application development in a hybrid CPU+FPGA system employing the high-level programming tool Impulse C is presented. Potential of the selected tool to deliver algorithm speed-ups is investigated using reference multi-channel correlator software. Particular attention is devoted to input/output (I/O) implementation, which is considered one of the most challenging problems in FPGA design development. This work delivers an I/O framework based on PCI Express interface for the proposed high-performance scalable DSP system. Using Stratix II GX PCI Express Development Board from Altera Corporation, a scalable and flexible communication approach for the multi-channel correlator is delivered. This framework can be adapted to perform other high-performance streaming DSP applications. The outcomes of this work are a multi-channel correlator developed in a reconfigurable environment with new design methodology and I/O framework with software control application. The outcomes are used to demonstrate the potential of implementing DSP applications in hybrid CPU + FPGA architecture and to discuss existing challenges and suggest possible solutions.

In this thesis I study the investment climate in the four rapidly growing emerging economies Brazil, Russia, India and China (BRIC). The first study, Chapter 2, uses a bivariate EGARCH methodology with time varying conditional correlation to study the global and regional integration of the BRICs and to identify the existence of diversification opportunities for international investors. The second study, Chapter 3, employs a restricted version of the model to explore the relationship between equity market returns and volatility of equity returns in the BRIC countries and global oil prices. Chapter 4 is an extension of Chapter 3, and focuses on the sustainability of Russia???s economic growth in view of its large dependence on oil income. A qualitative analysis of the oil industry in Russia, including an overview of the operations of the largest oil producing companies, government regulations, oil production and proven oil reserves, is conducted for the purpose of this study. The last study, Chapter 5, uses a panel data methodology to explore the determinants of changes in sovereign bond spreads for the BRICs as an asset class and for each of the BRIC countries individually. I conclude that the regional and global level of integration of the BRICs is relatively low, and portfolio investors can enjoy sound diversification benefits particularly by taking investment positions in the Indian and Chinese equity markets. Despite the aggressive economic growth of the BRICs and their increased oil consumption, the volatility of stock returns from the BRICs does not have a significant impact on global oil prices; however, oil prices do impact the volatility of equity returns in India and China, and particularly the level of returns and volatility of equity returns in Russia. Based on this and the qualitative analysis in Chapter 4, it is concluded that in the short to medium term Russia???s continued economic growth will depend on increased reinvestment in the oil industry and in the longer term the government should diversify its revenue sources and focus on development of other sectors within the economy. Lastly, it is concluded that sovereign risk in the BRICs is driven by different global and country-specific factors, hence risk should be observed on an individual country basis and not for the BRICs as an asset class.

Diss. (sammanfattning) Uppsala : Sveriges lantbruksuniversitet, 2005. / Härtill 5 uppsatser.

Thesis (Ph. D.)--University of Adelaide, Dept. of Geology and Geophysics, 1988. / Typescript (Photocopy). Includes bibliographical references (leaves [181]-206).

Thesis (Ph.D.)--Michigan State University. Dept. of Statistics, 2008. / Title from PDF t.p. (viewed on Mar. 27, 2009) Includes bibliographical references (p.114-122). Also issued in print.

Thesis (Ph.D.)--University of Melbourne, Dept. of Mathematics and Statistics, 2007. / Typescript. Includes bibliographical references.