This study uses a random coefficient estimation procedure to test the hypothesis that much of the volatility in the U.S./Canada real exchange rate over the time period 1971 through 1999 is due to the relative price of non-traded goods to traded goods. The model specification used in this study provides estimates of the sensitivity of movements in the U.S./Canada real exchange rate to movements in both the relative price of traded goods and the relative price of non-traded goods to traded goods in each of the two countries. I test for purchasing power parity in each of the two components of the model and address the question of volatility through the examination of the time profile of the respective coefficient estimates. The empirical results support the conclusion that the average value of the coefficient on the relative price of non-traded goods to traded goods component is smaller than that on the relative price of traded goods component. However, purchasing power parity in both components can not be rejected when the period of study is limited to 1971 through 1994. Furthermore, examination of the time profile of the random coefficients on the relative price of non-traded goods to traded goods component suggests that it is much more volatile and, therefore, quite significant in capturing the volatility in U.S./Canada real exchange rate movements. With regard to purchasing power parity in both the traded goods component and the non-traded goods to traded goods component, these results are consistent with the implications of the theory of purchasing power parity. However, they are not entirely consistent with the evidence presented in recent literature. Specifically, evidence presented in recent studies can not support perfect purchasing power parity in either traded goods or non-traded goods and leads to the conclusion that non-traded goods are much less significant, if at all, in the determination of the U.S./Canada real exchange rate. This inconsistency with recent literature is most likely a result of the fact that the random coefficient modeling technique used in this study allows the coefficients to vary over time and, thereby, enables the volatility of both components to be captured in the model. Therefore, given the apparent significance of the relative price of non-traded goods to traded goods, the volatility of this component can logically be expected to significantly contribute to the volatility in the U.S./Canada real exchange rate. / Master of Arts

This paper examines the long-run relationship between exchange rates and prices in ten countries in Southwest Asia, Africa, and the Pacific Rim for the post-Bretton Woods period. It uses cointegration tests to investigate the thesis that relative purchasing power parity exists as a long-run equilibrium condition between country-pairs. It expands upon tests for relative purchasing power parity suggested by previous authors by pretesting price index time series for structural breaks, in addition to pretesting the price indices and exchange rates for compatible stochastic properties. It compares the results of conventional cointegration tests for parity with a weaker form of the relationship suggested by Pippenger (1993) and Patel (1990), and finally, examines purchasing power parity by testing real bilateral exchange rates for stationarity. / Master of Arts

Portfolio optimization is a process in which the capital is allocated among the portfolio assets such that the return on investment is maximized while the risk is minimized. Portfolio construction and optimization is a complex process and has been an active research area in finance for a long time. For the portfolios with highly correlated assets, the performance of traditional risk-based asset allocation methods such as, the mean-variance (MV) method is limited because it requires an inversion of the covariance matrix of the portfolio to distribute weight among the portfolio assets. Alternatively, a hierarchical clustering-based machine learning method can provide a possible solution to these limitations in portfolio construction because it uses hierarchical relationships between the covariance of assets in a portfolio to distribute the weight and an inversion of the covariance matrix is not required. A comparison of the performance and analyses of the difference in weight distribution of two optimization strategies, the traditional MV method and the hierarchical risk parity method (HRP), which is a machine learning method, on real price historical data has been performed. Also, a comparison of the performance of a simple non-optimization technique called the equal-weight (EW) method to the two optimization methods, the Mean-variance method and HRP method has also been performed. This research supports the idea that HRP is a feasible method to construct portfolios with correlated assets because the performance of HRP is comparable to the performances of the traditional optimization method and the non-optimization method.

付記する学位プログラム名: 京都大学卓越大学院プログラム「先端光・電子デバイス創成学」 / 京都大学 / 新制・課程博士 / 博士(理学) / 甲第25103号 / 理博第5010号 / 京都大学大学院理学研究科物理学・宇宙物理学専攻 / (主査)教授 柳瀬 陽一, 教授 石田 憲二, 准教授 北川 俊作 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DGAM

Atomic parity violation measurements provide a way to probe physics beyond the Standard Model. They can provide constraints on conjectures of a massive Z′ bosonor a light boson, or searches of dark energy. Using the two-pathway coherent control technique, our group plans to make a new measurement of the weak interaction induced parity non-conservation (PNC) transition moment (<i>E_PNC</i>) on the cesium 6S→7S transition. We will coherently interfere a 2-photon transition with the Stark and PNC transitions to amplify and extract the PNC amplitude. Previously, our lab has measured the magnetic dipole transition moment on the same 6S→7S transition to about 0.4% uncertainty using this technique. In this dissertation, I discuss improvements made to the system, and review what future upgrades are needed for a new<i> E</i>_{<i>PNC </i>}measurement. Key systematics are also described. For an accurate determination of <i>E_PNC</i>, properties of cesium such as the scalar (<i>α</i>) and vector (<i>β</i>) transition polarizabilities are needed. I present improved determinations of keyelectric dipole matrix elements, and calculate new high precision determinations of <i>α</i> and <i>β</i>. Finally, using <i>β</i> and the previously measured value of <i>E_PNC/β</i>, I calculate new values for the weak charge of the cesium nucleus Q_w.<br>

Window decoding schedules are very attractive for message passing decoding of spatially coupled LDPC codes. They take advantage of the inherent convolutional code structure and allow continuous transmission with low decoding latency and complexity. In this paper we show that the decoding complexity can be further reduced if suitable message passing schedules are applied within the decoding window. An improvement based schedule is presented that easily adapts to different ensemble structures, window sizes, and channel parameters. Its combination with a serial (on-demand) schedule is also considered. Results from a computer search based schedule are shown for comparison.

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Professors Bela Balassa and Paul Samuelson (1964) have made a significant contribution to the theories of exchange rate by bringing a new thinking to the most popular exchange rate model, Purchasing Power Parity (PPP). They have elucidated the contribution of productivity in the determination of PPP. Accordingly, the emphasis of this thesis is Balassa and Samuelson’s Productivity Bias Hypothesis (PBH) in Purchasing Power Parity (PPP) and the application thereof to South Africa and Switzerland for the period 1994Q1 -2003Q4. The productivity bias hypothesis that explains real exchange rate movements in terms of sectoral productivities rests on two components: firstly, it implies that the relative price of non-traded goods in each country should reflect the relative productivity of labour in the traded and non-traded goods sectors. Secondly, it assumes that purchasing power parity holds for traded goods. The deviation of PPP from the equilibrium exchange rate or the real exchange rate is directly related to the ratio of productivity in a counter country over that of the base country. With inter-country productivity differences believed to be smaller in the service sector than in the sectors producing goods and with the prices of traded goods equalised through arbitrage, the relative prices of non-traded goods (services) would be directly correlated with productivity levels in individual countries. The thesis employs stationarity and cointegration tests in order to determine the presence of long-term, equilibrium, relationship between PPP and productivity variables of the above-mentioned two countries. The overall finding of this thesis is supportive of the productivity bias hypothesis in purchasing power parity concerning the two countries, South Africa and Switzerland. Accordingly, it has been found out that the deviation from equilibrium exchange rate can be explained by differences in productivity. Though currently being challenged by the service sector, South Africa’s manufacturing sector is assuming an important place in the economy. Given the need for improved competitiveness in the manufacturing sector, it is imperative that policy analysis and formulation render increased emphasis on efficiency and costeffectiveness. Such an integrated approach may aid not only in raising productivity but also in managing the intertwined socio-economic challenges of unemployment, poverty and inequality. / Thesis (M.A.)-University of KwaZulu-Natal, Pietermaritzburg, 2005.

Le Modèle Standard, qui décrit les interactions entre les particules à l’échelle quantique, est une théorie imparfaite. Il possède plusieurs problèmes théoriques non-résolus et ne permet pas d’expliquer certaines observations astrophysiques comme celles de la matière noire et de l’asymétrie baryonique. Plusieurs théories, dites au-delà du Modèle Standard, ont été proposées afin de résoudre certains de ces problèmes, et une grande partie d’entre elles prévoient l’apparition de nouveaux phénomènes à haute énergie. L’objectif principal de cette thèse est de rechercher ces phénomènes dans les collisions proton-proton produites par le Large Hadron Collider à une énergie de centre de masse de 13 TeV. Une partie des travaux présentés dans cette thèse a en particulier été dédiée à la recherche de processus de production de quarks top de même signe, c’est-à-dire de même charge électrique, qui sont prédits par des modèles de supersymétrie à R-parité violée. Ces processus engendrent des évènements composés de leptons de même charge accompagnés de b-jets, lesquels ont l’avantage d’être faiblement contaminer par le bruit de fond provenant du Modèle Standard.Les travaux présentés dans cette thèse ont essentiellement porté sur deux analyses, chacune recherchant des phénomènes de nouvelle physique de nature différente dans les évènements composés de leptons de même charge dans les données enregistrées par le détecteur ATLAS. Une première analyse a porté sur la recherche de processus supersymétriques sur les données enregistrées en 2015 et en 2016 avec 36.1 fb$^{-1}$ de luminosité intégrée. Des signaux de production de quarks top de même signe ont été implémentés en se basant sur des processus supersymétriques violant la R-parité, et des régions de signal associées à ces processus ont été optimisées. Une deuxième analyse a porté sur la recherche de processus non-supersymétriques, dits exotiques, dans les données enregistrées en 2015 avec 3.2 fb$^{-1}$ de luminosité intégrée. Cette analyse a surtout été motivée par les résultats obtenus à 8 TeV, dans lesquels un modeste excès de nombre d’évènements par rapport aux prédictions du Modèle Standard a été observé dans deux régions de signal. Une partie des études relatives à cette analyse a été dédiée au développement et à la validation des méthodes d’estimation des différentes sources de bruit de fond.Aucune déviation par rapport aux prédictions du Modèle Standard n’a été observée dans chacune des régions de signal considérées dans les deux analyses. L’excès qui avait été observé dans les résultats obtenus à 8 TeV n’est donc pas confirmé. Des limites d’exclusion sur les modèles de nouvelle physique ont de plus été extraites à partir des résultats obtenus, en particulier sur les modèles de supersymétrie à R-parité violée utilisés pour produire les processus de production de quarks top de même signe. / The Standard Model, which describes the particle interactions at quantum level, is an imperfect theory. It has several theoretical problems and is unable to explain astrophysical observations like the dark matter and the baryonic asymmetry of the universe. Several beyond-standard models have been proposed to solve some of these issues, and predict new-physics phenomena at high energy. The aim of this thesis is to search for these phenomena in proton-proton collisions produced by the Large Hadron Collider at a center-of-mass energy of 13 TeV. Part of the studies presented in this thesis was dedicated to the search for production of same-sign top quarks based on R-parity violating supersymmetric models. These processes lead to a signature of same-sign leptons and b-jets, which have the advantage to be lowly contaminated by the Standard Model background.The studies presented in this thesis focused on two analyses, both searching for new-physics phenomena of different nature in same-sign leptons events in data recorded by the ATLAS detector. A first analysis focused on supersymmetric processes with data recorded in 2015 and in 2016 with 36.1 fb$^{-1}$ of integrated luminosity. Same-sign top quarks signals were implemented using R-parity violating supersymmetric processes, and signal regions associated to these processes were optimized. A second analysis focused on exotic (non-supersymmetric) processes with data recorded in 2015 with 3.2 fb$^{-1}$ of integrated luminosity. This analysis was motivated by a modest excess seen in two signal regions in the 8 TeV results. Several studies were focused on the development and the validation of background estimation methods.No deviations from the Standard Model predictions were observed the signal regions considered in both analyses. The 8 TeV excess is therefore not confirmed with the most recent data. Exclusion limits on new-physics models were extracted, in particular for the R-parity violating supersymmetric models that were used to produce the same-sign top quarks processes.

Este trabalho tem como objetivo investigar e analisar a evolução do grau de integração financeira do Brasil com os mercados de capitais internacionais a partir da década de noventa. O conceito de integração financeira fraca é adotado por meio da relação da paridade coberta de juros (PCJ) e o conceito de integração forte é usado a partir da relação de paridade descoberta de juros (PDJ). As condições de não arbitragem foram estimadas usando os modelos de parâmetros fixos e de parâmetros variando no tempo. A importância de estimar parâmetros variáveis ao longo do tempo deve-se ao fato de que várias mudanças na legislação de capitais estrangeiros ocorreram no período amostral. Além disso, os planos de estabilização, as crises monetárias e financeiras e a mudança de regime cambial devem ter mostrado algum efeito sobre o comportamento das paridades de juros. Como outra possibilidade, estudam-se os possíveis fatores pull e push relevantes na explicação dos fluxos de entrada de capitais estrangeiros. Os resultados indicaram que existe um grau de integração financeira intermediário tanto no sentido fraco como forte. Os desvios da PDJ sugerem a presença de um prêmio de risco país e de um prêmio de risco da moeda relevantes nas arbitragens de juros. A aplicação do filtro de Kalman nas equações da PCJ e da PDJ mostrou evidências de variação nos parâmetros, observando-se mudanças bruscas como graduais ao longo do tempo. A PCJ mostrou uma mudança no início de 1991 que pode estar associado ao período de abertura da conta de capital brasileira. Foi também possível observar dois momentos de quebras estruturais na evolução PDJ. Além disso, um aumento no diferencial de juros interno e externo produziu uma desvalorização excessiva na taxa de câmbio no momentos de crescimento na incerteza no mercado de divisas. Com a introdução do Plano Real, os resultados apontaram que os investimentos estrangeiros foram realizados com prêmios de risco país e da moeda mais elevado relativamente aos outros anos da década. Por fim, os resultados mostraram as influências de fatores push como de fatores pull nas decisões de investimento no Brasil. / This work aims to investigate and to analyze the evolution of the degree of financial integration between Brazilian capital market and the international capital markets throughout nineties. The concept of weak financial integration is employed in relation to the covered parity of interests (CPI) and the concept of strong financial integration is used to uncovered parity of interests (UPI). The condition of non-arbitrage has been evaluated using the models of both fixed and varying in time parameters. The importance of evaluating variable parameters during the time is due to the fact that some change in the legislation of foreign capitals has occurred in the studied period. Moreover, the plans of stabilization, the monetary and financial crises and the change of exchange regime may have had some effects on the behavior of the interest parities. As another possibility, the study analyzes the pull and push relevant factors to explain foreign capital inflows. The results indicated that there is an intermediary degree of financial integration in both concepts; weak and strong financial integration. The deviations of the CPI have indicated that there are barriers to the mobility of capital and free-risk exceeding gains to those invest in Brazilian bonds compared to North-American bonds. The deviations of the UPI have pointed out the presence of a premium of country risk and premium of currency risk on the interest arbitrage. The use of the Kalman filter in the equations of the CPI and the UPI showed evidence of varying in the parameters. Theses changes might be strong and gradual during the time. The CPI changed in the beginning of 1991 significantly which can be associated to the period of Brazilian opening capital account. It was also possible to observe two structural breakdowns in the UPI series. Moreover, an increase in differential between internal and external interests created an extreme depreciation in the exchange rate during the period that uncertainties in the exchange market raised. After implementation of Real Plan, the results indicated that the foreign investments had been carried through country risk premium and currency risk premium relatively higher than to the other years of the decade. Finally, the results have shown the influences of push and pull factors in the decisions of investment in Brazilian economy.