Financial Market Runs

Our paper offers a minimalist model of a run on a financial market. The prime ingredient is that each risk-neutral investor fears having to liquidate after a run, but before prices can recover back to fundamental values. During the urn, only the risk-averse market-making sector is willing to absorb shares. To avoid having to possibly liquidate shares at the marginal post-run price in which case the market-making sector will already hold a lot of share inventory and thus be more reluctant to absorb additional shares all investors may prefer selling their shares into the market today at the average run price, thereby causing the run itself. Consequently, stock prices are low and risk is allocated inefficiently. Liquidity runs and crises are not caused by liquidity shocks per se, but by the fear of future liquidity shocks.

On booms and busts in Latin American economies

This thesis deals with one obsession: the role of external factors in generating boombust cycles in Latin American countries. In the first chapter, I employ a Markov switching model to statistically validate the claim that the region is currently experiencing a combination of unprecedented favourable external conditions: high commodity prices and low global real interest rates. Based on this evidence, I introduce a model of a resource-rich small open economy with financial frictions in which external conditions switch stochastically between two regimes: “windfall” and “shortfall”. The model is calibrated to Argentina to study how changes in external conditions give rise to boom-bust cycles. I contribute to the current debate on the desirability of controls on capital inflows by studying, from a positive perspective, the effects of introducing a regime contingent tax rate on debt holdings. I conclude that the welfare effect, albeit always very small, is determined by the strength of the domestic financial frictions. The third chapter attempts to empirically evaluate the model by performing an event study. I assess the ability of the model to reproduce the behaviour of the economy during a five-year window period centered around the Great Recession of 2008/09. To capture the external environment following Lehman Brothers’ collapse, I introduce a regime switch in global financial conditions: normal and panic periods. I conclude that the model captures remarkably well the dynamic in this period and that its main weakness is the inability to reproduce the large swings observed in asset prices. The second chapter presents and studies a novel mechanism through which low-frequency fluctuations in foreign interest rates can generate different boom-bust patterns in an internationally borrowing constrained small open economy: intertemporal spillovers via collateral markets. When interest rates are low, the presence of a binding international borrowing constraint creates an intertemporal wedge that spills over into the intertemporal equation for capital due to its dual role as physical capital and financial collateral. As a result, in economies where the main source of collateral is reproducible capital, the spillover effect resembles an investment subsidy and fluctuations are smooth since there are no valuation effects. In contrast, when non-reproducible capital is posted as collateral, the disturbance resembles a financial service dividend and the interest rate fluctuations cause ample swings in macro aggregates due to their strong impact on asset valuations. It is my belief that in these chapters, I have contributed to our understanding of medium-run macroeconomic fluctuations in “semi-peripheral” countries

Safe and Sound: Proceedings of the 27th Annual International Conference on Auditory Display

Complete proceedings of the 27th International Conference on Auditory Display (ICAD2022), June 24-27. Online virtual conference

Bayesian Multilevel Analysis of Binary Time-Series Cross-Sectional Data in Political Economy

In this dissertation project, I propose a Bayesian generalized linear multilevel model with pth order autoregressive errors: GLMM-AR(p)) for modeling inter-temporal dependence, con-temporary correlation, and heterogeneity of unbalanced binary Time- Series Cross-Sectional data. The model includes two unnested sources of clustering in the unit- and time-dimensions for analyzing heterogeneities and contemporal corre- lation which are salient in the era of globalization. Group-level variations are further explained with unit- and time-specific characteristics. For handling dynamics in pol- itics and political economy, I apply the autoregressive error specification to analyze serial correlation which may not be fully captured by the selected covariates. Two applications on civil war and sovereign default demonstrate how the proposed model controls for multiple potential confounders. It also improves reliability of statistical inferences and helps forecasts by more efficiently using the information in data. The first application focuses on the causal relationship between ethnic minority rule and civil war onset. The GLMM-AR(p) model helps study those background factors which affect the relationship under investigation. The second applied study considers how regime duration affects sovereign default conditional on regime type by putting the national policy-making regarding repaying external debt into the international context. To model the heterogeneous vulnerability or sensitivity of the developing countries to global shocks, I extend the GLMM-AR(p) model to analyze time-specific unit-varying effects

Harmonised method to validate the impact resistance performance of composite passenger railway carbodies

PhD ThesisThe pursuit to become a better and more efficient transportation mode and the need of renovation has led the railway industry to search for new technologies. An example to such reform is the ongoing efforts to implement new lightweight materials into the railway vehicles as primary load bearing structures, which can help to reduce energy consumption, maintenance costs, and to increase passenger and line capacity. Composite materials are promising candidates in this respect and this thesis addresses a railway specific risk namely flying object strike, which requires attention when composites are in use especially in high speed rail operation, consequently providing detailed analysis on impact behaviour of composite materials for rail specific applications. This thesis shows for the first time an approach to harmonise and unify different railway standards into a single method for small object strike against composite rail vehicles. The original and essential contribution of this study is a cost effective and practical method for the rail industry that removes the necessity of high velocity impact experiments. Quasi-static punch tests (QSPT) were carried out with glass fibre reinforced laminates and foam core sandwich materials incorporating such laminates. It has been shown that the failure modes experienced in a high velocity impact can be mimicked via QSPT method. A numerical model was developed and was validated with QSPT experiments. Following, the numerical model was used to perform high-velocity impact simulations in a velocity range that is relevant with rail service while considering the strain rate effects. Lastly, various standards for impact risks against railway vehicles were investigated from proposed methodology perspective, and discussed whether they can be harmonized into the presented assessment method. The results showed that the proposed methodology has considerable potential to be preferred over costly high velocity impact experiments. The analysis of the energy transfer characteristics, contact forces, impact velocity change of the projectile, and structural damage showed that the proposed method can be used alone instead of various existing standards, providing a significant reduction in sample size as well as avoiding the costly high-velocity impact experiments, hence resulting in substantial cost savings.Anadolu University of Turkey and Council of Higher Education of Turke

Evolutionary Dynamics on Complex Networks

Many complex systems such as the Internet can be represented as networks, with vertices denoting the constituent components of the systems and edges denoting the patterns of interactions among the components. In this thesis, we are interested in how the structural properties of a network, such as its average degree, degree distribution, clustering, and homophily affect the processes that take place on it. In the first part of the thesis we focus on evolutionary game theory models for studying the evolution of cooperation in a population of predominantly selfish individuals. In the second part we turn our attention to an evolutionary model of disease dynamics and the impact of vaccination on the spread of infection. Throughout the thesis we use a network as an abstraction for a population, with vertices representing individuals in the population and edges specifying who can interact with whom. We analyze our models for a well-mixed population, i.e., an infinite population with random mixing, and compare the theoretical results with those obtained from computer simulations on model and empirical networks

2023- The Twenty-seventh Annual Symposium of Student Scholars

The full program book from the Twenty-seventh Annual Symposium of Student Scholars, held on April 18-21, 2023. Includes abstracts from the presentations and posters.https://digitalcommons.kennesaw.edu/sssprograms/1027/thumbnail.jp

Kinematics and Robot Design IV, KaRD2021

This volume collects the papers published on the special issue “Kinematics and Robot Design IV, KaRD2021” (https://www.mdpi.com/journal/robotics/special_issues/KaRD2021), which is the forth edition of the KaRD special-issue series, hosted by the open-access journal “MDPI Robotics”. KaRD series is an open environment where researchers can present their works and discuss all the topics focused on the many aspects that involve kinematics in the design of robotic/automatic systems. Kinematics is so intimately related to the design of robotic/automatic systems that the admitted topics of the KaRD series practically cover all the subjects normally present in well-established international conferences on “mechanisms and robotics”. KaRD2021, after the peer-review process, accepted 12 papers. The accepted papers cover some theoretical and many design/applicative aspects