Essays on High Frequency and Behavioral Finance

The thesis consists of empirical studies on currency market as well as US equity market. A new volatility estimator using wavelets is proposed and used to analyze financial markets. Currency tick data are analyzed to determine the effects of economic releases on foreign exchange market. Behavioral finance effects are demonstrated in individual and institutional investors

Anelastic Behavior of Suspension Plasma Sprayed Ceramic Coatings

Suspension plasma spraying (SPS) is a rising coating technology producing fine nanostructured coatings with promising mechanical and physical properties while taking advantages of the well-established Atmospheric Plasma Spray (APS) process. Anelastic behavior of the coatings can be a specific identifier of their mechanical behavior which is related to the strength of coatings interlayers bonding and defect architecture. To better understand the relationship between SPS conditions and anelastic responses, post-deposition characterization technique under multiple thermal cycles using ex-situ coating property (ECP) sensor, which is based on thermal mismatch strain of coating-substrate system is applied. This technique makes it possible to determine the elastic modulus, non-linear degree and hysteresis degree of the spray coatings through the curvature-temperature response in a dependable and repeatable way. In this work, suspension plasma-sprayed YSZ ceramic coatings are produced under different spray conditions, and their anelastic characteristics are compared. The results show that the samples coated in high plasma power condition have a higher elastic modulus at low strain which is attributed to better inter-splat/inter-layer bonding due to higher particle impact velocity and temperature. However, samples produced in low raster speed condition have a relatively lower elastic modulus and higher compliance at an elevated temperature which describes the higher flexibility of these coating at higher temperature. These results make it possible to better understand the relationship between sprayed coating microstructures and mechanical properties in SPS coatings

Identification of Driving Factors for Emerging Markets Sovereign Spreads

The objective of this paper is to identify the relationship between sovereign yield spreads and macroeconomic variables in emerging markets. We find that the correlation between spreads and GDP is negative. Real effective exchange rate depreciation enlarges spreads and increasing in risk aversion influences spreads. US treasury yields impact on spreads is changing over time. More recently lower US treasuries yields have driven spreads wider. Last commodity prices are associated with a reduction in emerging market debt spreads.Bond spread, Cointegration, Emerging market CDS, Sovereign bond

Analysis of the intraday effects of economic releases on the currency market

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after the releases. Moreover, we compare our results with the results of a poll that we conducted of economists and traders. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly used in empirical studies, but also captures the market dynamics as accurately as a range estimator. Our approach has practical value in high-frequency algorithmic trading, as well as electronic market making. --Foreign exchange,volatility estimation,economic release,wavelet,high frequency