Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets

This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan\u27s (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China\u27s B share markets best fit the expectations of Statman, Thorley, and Vorkink\u27s (2006) overconfidence bias hypothesis, in which market investors are overly confident about the precision of their private information and such biased self-attribution causes the degree of confidence to increase when realized market returns are high, even when those returns are simultaneously enjoyed by the entire market. The second part of this dissertation further investigate the relations between trading volume and profitability of contrarian/momentum strategies under the empirical framework of Lee and Swaminathan\u27s (2000) Momentum Life Cycle; Daniel, Hirshleifer, and Subrahmanyam\u27s (1998) overconfidence bias on glamour stocks; and Hong and Stein\u27s (1999) public information diffusion effect. The results reconfirm that Lee and Swaminathan\u27s (2000) Momentum Life Cycle hypothesis provides the best explanation not only on the strong negative lead-lag patterns between lagged trading volume and subsequent returns, but also on the profitability of momentum/contrarian strategies for winner/loser stocks with different levels of trading volumes in China A share market. In particular, late stage momentum performers, including high (low) volume winners (losers), will experience contrarian profits, whereas early stage momentum performers, including low (high) volume winners (losers), will experience momentum profits

Semiconductor Nanoparticles Synthesized by Magnetron-Sputtering Inert Gas Condensation:for optoelectronic and phase-change applications

The thesis reports a gas-phase method for synthesizing semiconductor nanoparticles, such as germanium (Ge) and antimony(Sb), with readily size control. Based on the size distribution analysis by transmission electron microscopy (TEM), precise deposition parameters are determined to regulate the size of as-deposited nanoparticles. Because additional chemical agents can be avoided throughout the synthesis process, the as-deposited semiconductor nanoparticles can be considered as the three-dimensional model, allowing us to investigate the novel characteristics of nanoparticles due to the size effect. Specifically, by studying the optical and electrostatic properties of varied size (7 – 14 nm) Ge nanoparticles, the quantum confinement effect for semiconductor nanocrystals has been proven, such that the band gap of Ge nanocrystals can be widen by reducing the size of nanocrystals. Furthermore, due to spatial confinement in three dimensions, the amorphous phase of Sb nanoparticles can be stabilized at room temperature, as demonstrated by electron micrscope

Trust region algorithms and neural networks for financial forecasting

Master'sMASTER OF SCIENC

An Analysis of Weighted Least Squares Monte Carlo

Since Longstaff and Schwartz [2001] brought the amazing Regression-based Monte Carlo (LSMC) method in pricing American options, it has received heated discussion. Based on the research done by Fabozzi et al. [2017] that applies the heteroscedasticity correction method to LSMC, we further extend the study by introducing the methods from Park [1966] and Harvey [1976]. Our work shows that for a single stock American Call option modelled by GBM with two exercise opportunities, WLSMC or IRLSMC provides better estimates in continuation value than LSMC. However, they do not lead to better exercise decisions and hence have little to no effect on option price estimates. Our work finally indicates that in terms of real-life options pricing modelled by univariate GBM, bivariate GBM, and univariate GARCH, WLSMC or IRLSMC are not effective at producing more efficient price estimates . Key Words: [LSMC, Regression, Heteroscedasticity Correction]

The effect of ball milling on birch, pine, reed, walnut shell enzymatic hydrolysis recalcitrance and the structure of the isolated residual enzyme lignin

Methodologies for the high-yield recovery of lignin with retention of its native C[sbnd]O bonded structure is an essential prerequisite for many novel high-end lignin applications. Enzymatic residual lignin isolation is such a methodology that leaves the lignin untouched by using enzymatic desaccharification. Thus, a series of representative lignocellulose substrates (birch, pine, walnut shell and reed) were evaluated for effective native lignin isolation, with emphasis on the effect on the lignin structure and purity. The effect of enzyme loading and ball milling severity were studied by tracking residual saccharides and the structural integrity of the isolated lignin. Prolongation of ball milling time could achieve a higher carbohydrate removal and avoid the loading of extra enzyme. However, the application of two or more steps of enzymatic hydrolysis with higher enzyme loading and short ball milling time was shown as an alternative to long ball milling time to achieve similar carbohydrate removal and avoid extensive decrease of the lignin molecular weight (MW). This MW decrease was caused by breaking of some linkages, but not too a large enough extent to cause significant differences in the 2D HSQC NMR spectra. The recalcitrance towards increased enzyme hydrolysis activity by ball milling was different for the four representative biomasses and followed an order of walnut shell > reed ≈ pine > birch by comprehensive analysis the obtained data. Overall, the results showed a clear two-way synergy between enzymatic treatment and ball milling efficiency to isolate lignin with high yield, high native linkage content, purity and minimal MW reduction

The curvilinear relationship between daily time pressure and work engagement: The role of psychological capital and sleep

The present study focuses on the fluctuation in work engagement by examining the relationship between daily time pressure and daily work engagement. Based on the job demands-resources (JD-R) theory, this study also tests whether psychological capital and sleep moderate the influence of time pressure on work engagement. We conducted a diary study to gather 67 participants’ data over 10 consecutive work days (502 daily measurement points), including their daily time pressure, work engagement, and sleep quality. Our results indicate that there is a curvilinear relationship between daily time pressure and work engagement in the form of an inverted U-shape. If it was lower than the optimal level, daily time pressure as a challenging stressor positively predicted daily work engagement. Substantial time pressure impaired daily work engagement. In addition, the curvilinear relationship between daily time pressure and work engagement was attenuated as a function of increasing psychological capital or chronic sleep quality. Specifically, compared with low psychological capital or chronic sleep quality, excessive time pressure could also positively predict daily work engagement if psychological capital or chronic sleep quality was high. In addition, this study provided preliminary evidence that daily sleep quality may not be enough to buffer the curvilinear relation. Implications for research on daily work engagement and intervention programs are discussed

Selective Demethoxylation of Guaiacols to Phenols using Supported MoO 3 Catalysts

Lignin-derived monomers with methoxy substituents are abundantly present in bioliquids derived from lignocellulosic biomass. Examples are the products obtained from the reductive catalytic fractionation of lignin (RCF) and pyrolysis of lignocellulosic biomass and hydrotreated products thereof. An attractive valorization step for these liquids involves demethoxylation to obtain alkylated phenols through selective catalytic hydrodeoxygenation (HDO). Within the context of sustainable chemistry, there is a strong drive to use cheap, non-precious metal catalysts for this purpose. In this study, the HDO of guaiacol (5 wt% in toluene) was investigated in a continuous fixed-bed reactor at 380 °C, 20 bar over supported MoO3 catalysts. MoO3 (5 %) supported on TiO2 (P25) was shown to give superior performance compared with MoO3 supported on anatase TiO2, Al2O3, SiO2, Nb2O5, CeO2, and ZrO2. Additional studies involving variation of the Mo loading and process conditions were performed, and the highest selectivity to demethoxylated phenolics like phenol and methylated phenols was 82 % at 97 % conversion of guaiacol. Both 4-n-propylguaiacol and a realistic guaiacols-rich feed isolated from a representative pyrolysis oil were also successfully demethoxylated with the 5 % MoO3/TiO2 catalyst