Essays in High Frequency Trading, Portfolio Selection and Oil Futures Markets

High frequency trading (HFT) requires a detailed analysis of the quote structure of the continuous limit order book in order to correctly de- rive viable arbitrage strategies. Traders can manipulate order books by submitting and retracting ‘spoof’ orders at various levels of the order book by introducing, quote volume at or above (below) the best ask(bid). However, the limit order book data for heavily traded finan- cial instruments presents an almost unique problem to the econome- trician interested in constructing high frequency measures of liquidity impact over and above the inside spread. A single month of data for an individual maturity of an activity traded futures contract, in our example light crude, can easily exceed 10 Billion bytes of data, even when stored using the single precision floating point format. In this thesis we conduct a large scale analysis of the West Texas Inter- mediate (WTI) futures contract across the 120 simultaneously traded maturities for five levels of the order book from 2008 to 2016 sample at the continuous limit. Using this very-large data-set we estimate a new form of realized vector autoregression and derive the impulse re- sponse functions useful in building a HFT strategy. we show that for WTI futures a speed of execution of the order of 100s of milliseconds is needed to fully exploit a false quoting strategy designed to system- atically unbalance the order flow. Furthermore, we demonstrate that viable strategies can be built by spoofing up to three levels above the inside spread. A second part of the thesis involves creating new bootstrap routines to extract meaningful composition data to generate factor pricing mod- els from high frequency data. The key element of this analysis is in understanding the eigendecomposition and subsequent principal com- ponent analysis to extract factors from the data. our bootstrap is new and we provide an analysis of power and consistency in correct- ing bias in the estimation of the eigenstructure and hence evaluating the optimal number of principal components within the data

Optimization of a Bioreactor

The primary objective of this assignimentis to learn to work effectively as a team, and to design an experiment where optimization is essential

Optimising television programming and scheduling

Recent changes in the broadcasting industry and emerging digital media technologies have “disturbed” the traditional economic models supporting the media industry over the last decade, with viewers migrating from traditional media outlets to digital ones causing a severe drop in revenues. Consequently, the competition for viewers’ ratings has intensified dramatically over recent years, with new economic models being introduced and others still under development. In this context, the research presented in this thesis describes in detail an innovative computer model for optimising television programming and scheduling to maximise revenues under given constraints. The research methodology combines academic work along with practitioners’ experiences to build an integer programming model that helps expert programme schedulers to place television programmes in time slots where they achieve optimum ratings within the limitations of the resources available. In building the model, an extensive literature review and media industry experts’ interviews and focus groups discussions were conducted. The value of the model was demonstrated by applying it to a real case as well as hypothetical scenarios for a television station and showing that the model increased potential viewership, on average, between 38% and 63%. The software package used to solve the model should enable the media industry to solve large scale optimisation models using thousands of variables and constraints. This should help media planners and decision makers to plan for months, if not years, ahead

Tooth Morphology Overview

This chapter provides an overview of tooth morphology, including a review of tooth anatomy, tooth development, and associated nomenclature and numbering systems. First, basic tooth morphology nomenclature is presented. Next, various tooth numbering systems are described and discussed, and the Federation Dentaire Internationale (FDI) system is detailed. Third, tooth surfaces and ridges are explained along with terminology, followed by an explanation of tooth crown and root anatomy. Fourth, the stages of tooth formation are described, starting with the bud stage, and followed by the cap stage, bell stage, and maturation. Annotated diagrams are presented for clarity. Finally, two currently accepted hypotheses explaining tooth formation are presented

A VAR Based Study on Energy Consumption and Economic Growth

Economic growth and energy consumption are interrelated for an economy and these variables are expected to indicate a positive correlation. This relationship has been probed in the study in the context of the United Arab Emirates for the time period 1996-2020. The study uses basic regression and Vector Auto Regression techniques for analysis. The study found that energy consumption and non-renewable energy consumption are positively correlated, are dependent on the country’s economic growth and this relationship is optimum at a lag of 7 years

The Impact of Innovation in Jordanian Chemical and Pharmaceutical Industries on Export Performance

Innovation has long been considered an important factor for creating and maintaining the competitiveness of the firms. Common knowledge stands that innovation is the cause of the increase of exports. However, contradicting empirical evidences are reported in the literature on the relationship between innovation and export performance. In this research we examine whether innovation performed by Jordanian chemical and pharmaceutical industries enhances their export performance. Based on research objectives, a structured questionnaire was developed to collect the needed data to test the developed hypotheses. Data were collected from twenty two companies, representing a sixty-five percent response rate. Data were analyzed and hypotheses were tested using various analytical methods. Research findings indicate that there is a statistical significant relationship between innovation and export performance for the sample under study; mainly for research and development, marketing data base, management (atmosphere conductive to innovation), promotion and product (quality). Based on the results, several recommendations are suggested