Three Essays on the Foreign Exchange and Equity Returns

This dissertation contains three essays dealing with current issues in the foreign exchange and equity exchange markets. The first essay observes that both markets display behaviors akin to momentum and mean reversion. This essay implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was originally designed for equity markets, but it also generates abnormal returns when applied to uncovered interest parity deviations for five countries. I find that the pattern for the positions thus created in the foreign exchange markets is qualitatively similar to that found in the equity markets. Quantitatively, this strategy performs better in foreign exchange markets than in equity markets. Also, it outperforms traditional foreign exchange trading strategies, such as carry trades and moving average rules.;In the second essay, we further examine the strategy combining mean reversion and momentum in the FX market. Our goal is to find it the abnormal returns thus obtained are compensation for risk. We find a striking similarity between the common stock and FX market returns. We analyze different asset pricing models through a variety of econometrical procedures, such as GMM and two-pass approach. When comparing these models, we assert that the Consumption CAPMs are the only ones that can explain the FX returns.;In the third essay, I look at the zero-investment uncovered interest parity (UIP) portfolio positions as perfect factor-mimicking portfolios for currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average provide low returns, the currency risk premia must be low so that currency risk appears not to be priced in an unconditional model. However, previous research has shown that UIP returns are predictable and may be quite substantial conditionally. I use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the conditional model performs well, while the unconditional International CAPM is marginal. The paper thus argues that previous rejections of the International CAPM stem from the fact that currency risk premia are by nature low over extended periods of time and do not provide evidence against the International CAPM

Association Between Asian Equity Markets and Western Markets: Evidence from the Indexes of Equity Markets

This research examined the time series characteristics of stock price indices for Hong Kong, Tokyo, New York (NYSE) and London (FTSE) equity markets or stock exchanges during the period of 1991 to 2012. Specifically, we calculate the rate of return and the volatility of return for all the markets and estimate the serial correlation and co-movement of the four markets. We find that the average rate of return varies dramatically for the four equity markets and across time. Further, we find that stock prices are positively serially correlated in general. In the multivariate regressions, we find that there is little evidence to show that either the rate of return in certain markets universally affects the rate of return in other equity markets. It suggests that the four markets are co-integrated but not universally across time and with each other in pairwise dimensions. Lastly, we studied and made conclusions concerning the mean and variation in the volatility of the rates of return in the four equity markets studied

Communism, Culture, and Financial Development

This paper analyzes the relationship between culture and financial development in Europe, with culture defined as informal constraints on human interactions. We assert that various national characteristics such as people's trust and trustworthiness, and the level of control they feel they have over their lives can modify transaction costs, which in turn leads to different levels of financial development. Furthermore, we consider communism as an exogenous shock to the cultural values existent in Central and Eastern Europe. This exogenous component of culture is negatively related to present financial development, even after controlling for other historical variables such as religion and formal institutions at the beginning of the 20th century. Via 2SLS regression analysis, we show that communism has shaped cultural values, which in turn affect financial development. Keywords: Financial development; Culture; Transition economies; Communism; Economic growth. JEL Classifications: F43; F63; F65; P20; Z10

Alternative Solutions for Data Storage Using Magnetic Films Exchange-Coupled Through Non-Magnetic Layer

We describe an alternative solution to encode information in magnetic films that goes beyond the conventional way of digital magnetic recording. In our approach the information is stored via a continuous variable, namely the remanent coupling angle between two magnetic films that are separated by a nonmagnetic spacer layer. Using the technique of nuclear resonant scattering (NRS) [1, 2] we show with good precision, how this coupling angle can be conveniently adjusted with high degree of remanence by shortly applied external magnetic fields. Moreover this effect is explained using a micromagnetic model [3, 4]. Extremely important for future applications of this concept, we demonstrate, that the remanent coupling angles can be read out via magneto-optical or magneto-resistance effects. In principle, this approach allows to design novel memory cells for advance data storage devices, where multiple states per unit cell can be generated and recorded

Printing with tonalli: Reproducing featherwork from precolonial Mexico using structural colorants

Two of the most significant cases of extant 16th-century featherwork from Mexico are the so-called Moctezuma’s headdress and the Ahuizotl shield. While the feathers used in these artworks exhibit lightfast colors, their assembly comprises mainly organic materials, which makes them extremely fragile. Printed media, including books, catalogs, educational materials, and fine copies, offer an accessible means for audiences to document and disseminate visual aspects of delicate cultural artifacts without risking their integrity. Nevertheless, the singular brightness and iridescent colors of feathers are difficult to communicate to the viewer in printed reproductions when traditional pigments are used. This research explores the use of effect pigments (multilayered reflective structures) and improved halftoning techniques for additive printing, with the objective of enhancing the reproduction of featherwork by capturing its changing color and improving texture representation via a screen printing process. The reproduced images of featherwork exhibit significant perceptual resemblances to the originals, primarily owing to the shared presence of structural coloration. We applied structure-aware halftoning to better represent the textural qualities of feathers without compromising the performance of effect pigments in the screen printing method. Our prints show angle-dependent color, although their gamut is reduced. The novelty of this work lies in the refinement of techniques for printing full-color images by additive printing, which can enhance the 2D representation of the appearance of culturally significant artifact

Catalytic Properties of 3D Graphene-Like Microporous Carbons Synthesized in a Zeolite Template

[EN] The inherent properties of a single atomic carbon layer in graphene offer opportunities for the creation of catalytically active centers tailored on a molecular level on a support with high thermal stability and very high specific surface area. We demonstrate that organization of the two-dimensional system of the carbon layer into three-dimensional (3D) graphene-like catalytic materials with the connectivity of a pore network providing good accessibility to the active centers allows the preparation of catalytic materials that exploit the properties of graphene. In this study, 3D graphene-like microporous carbons, denoted as)6 beta-carbon and Y-carbon, were synthesized by nanocasting of beta (*BEA) and faujasite (FAU) zeolite templates. Structural analyses show that the materials are characterized by 3D-assembled and highly stable single-atom graphene an open porous system resembling the regular channel system of the zeolites with a specific surface area comparable to the surface area of graphene. The materials effectively catalyze the hydrogenation of alkenes, alkynes, and cycloalkenes into the corresponding alkanes and cycloalkanes. The materials facilitate catalytic intramolecular rearrangements, including the selective isomerization of double bonds and branching of linear chains, as well as stereoselective isomerization of unsaturated hydrocarbons. layers that formThis work was supported by the Grant Agency of the Czech Republic under project No. 15-12113S. The authors acknowledge the assistance provided by the Research Infrastructures NanoEnviCz (Project No. LM2015073) and Pro-NanoEnviCz (Project No. CZ.02.1.01/0.0/0.0/16_013/0001821), supported by the Ministry of Education, Youth and Sports of the Czech Republic.Sazama, P.; Pastvova, J.; Rizescu, C.; Tirsoaga, A.; Parvulescu, VI.; García Gómez, H.; Kobera, L.... (2018). Catalytic Properties of 3D Graphene-Like Microporous Carbons Synthesized in a Zeolite Template. ACS Catalysis. 8(3):1779-1789. https://doi.org/10.1021/acscatal.7b04086S177917898

Heterologous DNA-prime/protein-boost immunization with a monomeric SARS-CoV-2 spike antigen redundantizes the trimeric receptor-binding domain structure to induce neutralizing antibodies in old mice

A multitude of alterations in the old immune system impair its functional integrity. Closely related, older individuals show, for example, a reduced responsiveness to severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) vaccines. However, systematic strategies to specifically improve the efficacy of vaccines in the old are missing or limited to simple approaches like increasing the antigen concentration or injection frequencies. We here asked whether the intrinsic, trimeric structure of the SARS-CoV-2 spike (S) antigen and/or a DNA- or protein-based antigen delivery platform affects priming of functional antibody responses particularly in old mice. The used S-antigens were primarily defined by the presence/absence of the membrane-anchoring TM domain and the closely interlinked formation/non-formation of a trimeric structure of the receptor binding domain (S-RBD). Among others, we generated vectors expressing prefusion-stabilized, cell-associated (TM+) trimeric “S2-P” or secreted (TM−) monomeric “S6-PΔTM” antigens. These proteins were produced from vector-transfected HEK-293T cells under mild conditions by Strep-tag purification, revealing that cell-associated but not secreted S proteins tightly bound Hsp73 and Grp78 chaperones. We showed that both, TM-deficient S6-PΔTM and full-length S2-P antigens elicited very similar S-RBD-specific antibody titers and pseudovirus neutralization activities in young (2–3 months) mice through homologous DNA-prime/DNA-boost or protein-prime/protein-boost vaccination. The trimeric S2-P antigen induced high S-RBD-specific antibody responses in old (23-24 months) mice through DNA-prime/DNA-boost vaccination. Unexpectedly, the monomeric S6-PΔTM antigen induced very low S-RBD-specific antibody titers in old mice through homologous DNA-prime/DNA-boost or protein-prime/protein-boost vaccination. However, old mice efficiently elicited an S-RBD-specific antibody response after heterologous DNA-prime/protein-boost immunization with the S6-PΔTM antigen, and antibody titers even reached similar levels and neutralizing activities as in young mice and also cross-reacted with different S-variants of concern. The old immune system thus distinguished between trimeric and monomeric S protein conformations: it remained antigen responsive to the trimeric S2-P antigen, and a simple change in the vaccine delivery regimen was sufficient to unleash its reactivity to the monomeric S6-PΔTM antigen. This clearly shows that both the antigen structure and the delivery platform are crucial to efficiently prime humoral immune responses in old mice and might be relevant for designing “age-adapted” vaccine strategies

NEMO reshapes the α-Synuclein aggregate interface and acts as an autophagy adapter by co-condensation with p62

NEMO is a ubiquitin-binding protein which regulates canonical NF-kappa B pathway activation in innate immune signaling, cell death regulation and host-pathogen interactions. Here we identify an NF-kappa B-independent function of NEMO in proteostasis regulation by promoting autophagosomal clearance of protein aggregates. NEMO-deficient cells accumulate misfolded proteins upon proteotoxic stress and are vulnerable to proteostasis challenges. Moreover, a patient with a mutation in the NEMO-encoding IKBKG gene resulting in defective binding of NEMO to linear ubiquitin chains, developed a widespread mixed brain proteinopathy, including alpha-synuclein, tau and TDP-43 pathology. NEMO amplifies linear ubiquitylation at alpha-synuclein aggregates and promotes the local concentration of p62 into foci. In vitro, NEMO lowers the threshold concentrations required for ubiquitin-dependent phase transition of p62. In summary, NEMO reshapes the aggregate surface for efficient autophagosomal clearance by providing a mobile phase at the aggregate interphase favoring co-condensation with p62. Selective autophagy helps to degrade aggregated proteins accumulating in neurodegenerative diseases. Here, the authors show that NEMO, a ubiquitin binding protein previously linked to innate immune signaling, is recruited to misfolded proteins and promotes their autophagic clearance by forming condensates with the autophagy receptor p62