$EVWUDFW²7KLV SDSHU SUHVHQWV QRQOLQHDU SXOVH SURSDJDWLRQ
FKDUDFWHULVWLFV IRU GLIIHUHQW LQSXW RSWLFDO SXOVH VKDSHV ZLWK YDULRXV LQSXW SXOVH HQHUJ\ OHYHOV LQ VHPLFRQGXFWRU RSWLFDO DPSOLILHUV )RU VLPXODWLRQ RI QRQOLQHDU SXOVH SURSDJDWLRQ ILQLWHGLIIHUHQFH EHDP SURSDJDWLRQ PHWKRG LV XVHG WR VROYH WKH QRQOLQHDU 6FKU|GLQJHU HTXDWLRQ ,Q WKLV HTXDWLRQ JDLQ VSHFWUXP G\QDPLFV JDLQ VDWXUDWLRQ DUH WDNHQ LQWR DFFRXQW ZKLFK GHSHQGV RQ FDUULHU GHSOHWLRQ FDUULHU KHDWLQJ VSHFWUDOKROH EXUQLQJ JURXS YHORFLW\ GLVSHUVLRQ VHOISKDVH PRGXODWLRQ DQG WZR SKRWRQ DEVRUSWLRQ )URP WKLV DQDO\VLV ZH REWDLQHGWKHRXWSXWZDYHIRUPVDQGVSHFWUDIRUGLIIHUHQWLQSXWSXOVH VKDSHVDVZHOODVIRUGLIIHUHQWLQSXWHQHUJLHV,WVKRZVFOHDUO\WKDWWKH SHDNSRVLWLRQRIWKHRXWSXWZDYHIRUPVDUHVKLIWHGWRZDUGWKHOHDGLQJ HGJH ZKLFK GXH WR WKH JDLQ VDWXUDWLRQ RI WKH 62$ IRU KLJKHU LQSXW SXOVH HQHUJLHV :H DOVR DQDO\]HG DQG FRPSDUHG WKH QRUPDOL]HG GLIIHUHQFH RI IXOOZLGWK DW KDOI PD[LPXP IRU GLIIHUHQW LQSXW SXOVH VKDSHVLQWKH62$
.H\ZRUGV²)LQLWHGLIIHUHQFH EHDP SURSDJDWLRQ PHWKRG SXOVH
VKDSHSXOVHSURSDJDWLRQVHPLFRQGXFWRURSWLFDODPSOLILHU ,,1752'8&7,21
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
$FWLYH 62$V DUH HVVHQWLDO FRPSRQHQWV LQ PDQ\ UHFHQWO\ SURSRVHGV\VWHPVIRUKLJKVSHHGRSWLFDOFRPPXQLFDWLRQVDQG VLJQDO SURFHVVLQJ +HQFH D GHWDLO FKDUDFWHUL]DWLRQ DQG WKHRUHWLFDO PRGHOLQJ RI WKH VKRUWSXOVHV JDLQ VDWXUDWLRQ LV LPSRUWDQW LQ RUGHU WR XQGHUVWDQG WKH IXQGDPHQWDO OLPLWDWLRQV RI WKHVH GHYLFHV DQG LPSURYH WKHLU SHUIRUPDQFHV LQ RSWLFDO
6XFKL%DUXDDQG6YHQ1RUGKROPDUHZLWKWKH'HSDUWPHQWRI(OHFWULFDODQG &RPSXWHU (QJLQHHULQJ &XUWLQ 8QLYHUVLW\ 3HUWK $XVWUDOLD HPDLO VXFKLEDUXD#VWXGHQWFXUWLQHGXDXVQRUGKROP#FXUWLQHGXDX
1DURWWDP'DVLVZLWKWKH6FKRRORI0HFKDQLFDODQG(OHFWULFDO(QJLQHHULQJ 7KH8QLYHUVLW\RI6RXWKHUQ4XHHQVODQG7RRZRRPED4XHHQVODQG$XVWUDOLD HPDLO1DURWWDP'DV#XVTHGXDX'HSDUWPHQWRI(OHFWULFDODQG&RPSXWHU (QJLQHHULQJ &XUWLQ 8QLYHUVLW\ 6DUDZDN 0LUL 0DOD\VLD HPDLO QDURWWDP#FXUWLQHGXP\
0RKDPPDG 5D]DJKL LV ZLWK WKH 'HSDUWPHQW RI (OHFWULFDO DQG &RPSXWHU (QJLQHHULQJ8QLYHUVLW\RI.XUGLVWDQ,UDQHPDLOPUD]DJKL#XRNDFLU
FRPPXQLFDWLRQ DQG VLJQDO SURFHVVLQJ 7KH SXUSRVH RI PRGHOOLQJ DQ 62$ LV WR UHODWH WKH LQWHUQDO YDULDEOHV RI WKH DPSOLILHU ZLWK H[WHUQDO FKDUDFWHULVWLFV VXFK DV RXWSXW VLJQDO SRZHU RXWSXW VDWXUDWLRQ SRZHU >@ 7KH PRGLILHG QRQOLQHDU 6FKU|GLQJHU HTXDWLRQ 01/6( LV FRPPRQO\ XVHG LQ PRVW SXOVH SURSDJDWLRQ PRGHOV WKDW LQFOXGHG WKH 62$ QRQ OLQHDULWLHV >@ 7KH SXOVH SURSDJDWLRQ WKURXJK DQ 62$ LV VWURQJO\GHSHQGHQWRQWKH62$LQSXWSXOVHVKDSHV>@
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
,Q WKLV SDSHU ZH DQDO\]HG DQG FRPSDUHG WKH VLQJOH SXOVH SURSDJDWLRQ FKDUDFWHULVWLFV :H DOVR LQYHVWLJDWHG WKH QRUPDOL]HGGLIIHUHQFHRIIXOOZLGWKDWKDOIPD[LPXP):+0 DIWHU SURSDJDWLRQ RI SXOVHV IRU GLIIHUHQW W\SHV RI LQSXW SXOVH VKDSHV 7KLV SDSHU LV RUJDQL]HG DV IROORZV 6HFWLRQ ,, GHVFULEHVWKHWKHRUHWLFDOPRGHORIQRQOLQHDUSXOVHSURSDJDWLRQ LQ62$V7KHVLPXODWLRQUHVXOWVDQGGLVFXVVLRQDUHSUHVHQWHG LQVHFWLRQ,,,)LQDOO\WKHFRQFOXVLRQLVLQ6HFWLRQ,9
,,7+(25(7,&$/02'(/2)62$6
7KH IROORZLQJ 01/6( LV XVHG IRU WKH VLPXODWLRQ RI QRQOLQHDU SXOVH SURSDJDWLRQ LQ 62$V ZLWK GLIIHUHQW LQSXW SXOVHVKDSHV>@>@>@
S
L LE 9 ] 9 ]
]
J J
E W W
W
ªw w § · º
«w w ¨¨ ¸¸ »
« © ¹ »
¬ ¼
J1 W I W LD1 J7W LD7
ª º
° '
® « »
° ¬ ¼
¯
_ _
J J
L W ZZ Z W W Z Z 9W ]
Z W
½
w w w w °
w w w ¾
w °¿
$QDO\VLVRI1RQOLQHDU3XOVH3URSDJDWLRQ&KDUDFWHULVWLFV
LQ6HPLFRQGXFWRU2SWLFDO$PSOLILHUIRU'LIIHUHQW,QSXW
3XOVH6KDSHV
6XFKL%DUXD1DURWWDP'DV6YHQ1RUGKROP0RKDPPDG5D]DJKL
1
ZKHUH
H[S V V
1
V
J J H 9 V GV
: W W
W
f
§ ·
¨ ¸
©
³
¹
V VKE
VKE VKE
I X V H 9 V GV
3 W
W W
W
f
f
³
V FK V VKE
7
J W K fX V H W H W 9 W V GV
f
'
³
V FK V VKE
K fX V H W H W 9 W V GV
f
³
J $ % J J
Z
W Z W Z
Z
w
ª º
¬ ¼
w
J $ % J J
Z
W Z W Z
Z
w ª º
¬ ¼
w
1 7
JW Z J W Z I W 'J W Z
+HUH ZH LQWURGXFH WKH IUDPH RI WKH ORFDO WLPHW W ] Y J
ZKLFK SURSDJDWHV ZLWK WKH JURXS YHORFLW\ YJDW WKH FHQWUH IUHTXHQF\ RI DQ RSWLFDO SXOVH 7KH VORZO\ YDU\LQJ HQYHORSH DSSUR[LPDWLRQ LV XVHG LQ ZKHUH WKH WHPSRUDO YDULDWLRQ FKDQJH RI WKH FRPSOH[ HQYHORSH IXQFWLRQ LV YHU\ VORZ FRPSDUHGZLWKWKHF\FOHRIDQRSWLFDOILHOG,Q9 W ] LV WKH WLPH GRPDLQ FRPSOH[ HQYHORSH IXQFWLRQ RI DQ RSWLFDO SXOVH_ _9 W] FRUUHVSRQGVWRWKHRSWLFDOSRZHUDQG
E
LVWKH *9'J
LV WKH OLQHDU ORVV JS LV WKH 73$ FRHIILFLHQW
E Z Q F$ LV WKH LQVWDQWDQHRXV 630 WHUP GXH WR WKH
LQVWDQWDQHRXV QRQOLQHDU UHIUDFWLYH LQGH[ Q .HUU HIIHFW I
Z S LVWKHFHQWUHDQJXODUIUHTXHQF\RIWKHSXOVHFLV WKH YHORFLW\ RI OLJKW LQ YDFXXP $ ZG * LV WKH HIIHFWLYH DUHDGDQGZDUHWKHWKLFNQHVVDQGZLGWKRIWKHDFWLYHUHJLRQ UHVSHFWLYHO\ DQG*LV WKH FRQILQHPHQW IDFWRU J1W LV WKH VDWXUDWHG JDLQ GXH WR &' JLV WKH OLQHDU JDLQ:VLV WKH VDWXUDWLRQ HQHUJ\WVLV WKH FDUULHU OLIHWLPH IW LV WKH 6+%
IXQFWLRQ 3VKE LV WKH 6+% VDWXUDWLRQ SRZHUWVKELV WKH 6+% UHOD[DWLRQ WLPH DQGD1DQG D7WKH OLQH ZLGWK HQKDQFHPHQW IDFWRUDVVRFLDWHGZLWKWKHJDLQFKDQJHVGXHWRWKH&'DQG&+
W
7
J
' LVWKHUHVXOWLQJJDLQFKDQJHGXHWRWKH&+DQG73$
X V LVWKHXQLWVWHSIXQFWLRQWFKWKH&+UHOD[DWLRQWLPHKLV WKH FRQWULEXWLRQ RI VWLPXODWHG HPLVVLRQ DQG IUHHFDUULHU DEVRUSWLRQWRWKH&+JDLQUHGXFWLRQDQGKLVWKHFRQWULEXWLRQ RI 73$ )LQDOO\$DQG$DUH WKH VORSH DQG WKH FXUYDWXUH RI WKHOLQHDUJDLQDWZUHVSHFWLYHO\ZKLOH%DQG%DUHFRQVWDQWV GHVFULELQJ FKDQJHV LQ WKHVH TXDQWLWLHV ZLWK VDWXUDWLRQ ,Q WKLV VLPXODWLRQWKHJDLQVSHFWUXPRIDQ62$LVDSSUR[LPDWHG E\ WKHIROORZLQJVHFRQGRUGHU7D\ORUH[SDQVLRQLQ'
Z
J J
J J
Z Z
W Z Z W Z
W Z W Z Z
Z Z
w ' w
'
w w
7KH FRHIILFLHQWV
WZ wZZ
wJ DQG
Z
Z Z
W w
w J DUH
UHODWHGWR$$%DQG%DVJLYHQE\DQG:HDVVXPHG
WKH VDPH YDOXHV RI$$%DQG% DV IRU DQ $O*D$V*D$V
EXON62$
*HQHUDOO\WKHIDVW)RXULHUWUDQVIRUPDWLRQ%30))7%30 LVXVHGIRUDQDO\VLVRIWKHRSWLFDOSXOVHSURSDJDWLRQLQRSWLFDO ILEHUV E\ VXFFHVVLYH LWHUDWLRQV RI WKH )RXULHU WUDQVIRUPDWLRQ DQGWKHLQYHUVH)RXULHUWUDQVIRUPDWLRQ,QWKH))7%30WKH OLQHDUSURSDJDWLRQWHUP*9'WHUPDQGSKDVHFRPSHQVDWLRQ WHUPVRWKHUWKDQ*9'ILUVWDQGVHFRQGRUGHUJDLQVSHFWUXP WHUPVZLOOEHVHSDUDWHGLQWKHQRQOLQHDU6FKU|GLQJHUHTXDWLRQ IRU WKH LQGLYLGXDO FRQVLGHUDWLRQ RI WKH WLPH DQG IUHTXHQF\ GRPDLQ IRU WKH RSWLFDO SXOVH SURSDJDWLRQ +RZHYHU LQ RXU PRGHO LQFOXGHV WKH G\QDPLF JDLQ FKDQJH WHUPV LH WKH ILUVWDQGVHFRQGRUGHUJDLQVSHFWUXPWHUPVZKLFKDUHWKHODVW WZRWHUPVRIWKHULJKWVLGHLQ7KHUHIRUHLWLVQRWSRVVLEOH WR VHSDUDWH LQWR WKH OLQHDU SURSDJDWLRQ WHUP DQG SKDVH FRPSHQVDWLRQWHUPDQGLWLVGLIILFXOWWRFDOFXODWHXVLQJWKH ))7%30 )RU WKLV UHDVRQ ZH KDYH XVHG WKH )'%30 WR VROYHWKLV01/6(>@>@
,,, 6,08/$7,215(68/76$1'',6&866,21
,QWKLVVHFWLRQVLPXODWLRQUHVXOWVRIVLQJOHQRQOLQHDURSWLFDO SXOVH SURSDJDWLRQ DQG QRUPDOL]HG GLIIHUHQFH RI ):+0 DUH GLVFXVVHGIRUGLIIHUHQWLQSXWSXOVHVKDSHV)RUWKHVLPXODWLRQ WKH SDUDPHWHUV RI D EXON 62$ $O*D$V*D$V GRXEOH KHWHURVWUXFWXUH LV XVHG 7KHSDUDPHWHUV DUH OLVWHG LQ 7DEOH , >@>@
7$%/(,
/,672)7+(3$5$0(7(5686(',16,08/$7,21>@>@ 3DUDPHWHUV 6\PEROV 9DOXHV 8QLWV
/HQJWKRI62$ / P
(IIHFWLYHDUHD $ P
&HQWUHIUHTXHQF\RIWKHSXOVH I 7+]
/LQHDUJDLQ J FP
*URXSYHORFLW\GLVSHUVLRQ ȕ SVFP
6DWXUDWLRQHQHUJ\ :V
S-/LQHZLGWKHQKDQFHPHQWIDFWRUGXHWRWKH
FDUULHUGHSOHWLRQ Į1
/LQHZLGWKHQKDQFHPHQWIDFWRUGXHWRWKH
FDUULHUKHDWLQJ Į7
7KHFRQWULEXWLRQRIVWLPXODWHGHPLVVLRQ DQGIUHHFDUULHUDEVRUSWLRQWRWKHFDUULHU KHDWLQJJDLQUHGXFWLRQ
K FPS-
7KHFRQWULEXWLRQRIWZRSKRWRQDEVRUSWLRQ K IVFPS-
&DUULHUOLIHWLPH IJV 3V
&DUULHUKHDWLQJUHOD[DWLRQWLPH IJFK )V 6SHFWUDOKROHEXUQLQJUHOD[DWLRQWLPH IJVKE )V 6SHFWUDOKROHEXUQLQJVDWXUDWLRQSRZHU 3VKE :
/LQHDUORVV J FP
,QVWDQWDQHRXVQRQOLQHDU.HUUHIIHFW Q FP7: 7ZRSKRWRQDEVRUSWLRQFRHIILFLHQW JS FP: 3DUDPHWHUGHVFULELQJVHFRQGRUGHU7D\ORU
H[SDQVLRQRIWKHG\QDPLFDOO\JDLQ VSHFWUXP
$ % $ %
IVP IV IVP IV
$1RQOLQHDU2SWLFDO3XOVH3URSDJDWLRQ&KDUDFWHULVWLFV
)RUWKHVLPXODWLRQRIQRQOLQHDUSXOVHSURSDJDWLRQLQ62$ WKH OHQJWK RI WKH 62$ LV FRQVLGHUHG PP DQG ZH KDYH
REWDLQHG DOO WKH UHVXOWV ZLWK D SURSDJDWLRQ VWHS']RI PP 'LIIHUHQWW\SHVRILQSXWSXOVHVKDSHVDUHFRQVLGHUHGVXFKDV L 6HFDQW K\SHUEROLF SXOVH LL *DXVVLDQ SXOVH DQG LLL /RUHQW]LDQVKDSHGSXOVH
)LJLOOXVWUDWHVDVLPXODWLRQPRGHOIRUWKHSURSDJDWLRQRI QRQOLQHDU RSWLFDO SXOVHV LQ DQ 62$ $Q RSWLFDO SXOVH LV LQMHFWHGLQWRWKHLQSXWIDFHWRIWKH62$ZKHUHWKHLQSXWSXOVH SRVLWLRQLVDW] 7KHSXOVHSURSDJDWHGRYHUWKHOHQJWK
PP RI WKH 62$ +HUHW LV WKH ORFDO WLPH _ _9W LV WKH LQWHQVLW\ SRZHU RI LQSXW SXOVH ] DQG_ _9W] LV WKH LQWHQVLW\ SRZHU RI WKH RXWSXW SXOVH DIWHU SURSDJDWLQJ D GLVWDQFH] PPDWWKHRXWSXWVLGHRI62$>@
)LJ6FKHPDWLFGLDJUDPIRUWKHVLPXODWLRQRIQRQOLQHDUSURSDJDWLRQ
SXOVHVLQ62$+HUH_9IJ_DQG_9IJ]_DUHWKHLQSXWDQG
RXWSXWDIWHUSURSDJDWLQJDGLVWDQFH]SXOVHVRIWKH62$
)LJ VKRZV WKH VLPXODWLRQ UHVXOWV RI QRQOLQHDU RSWLFDO SXOVH SURSDJDWLRQ FKDUDFWHULVWLFV LQ DQ 62$ ZKHQ WKH LQSXW SXOVH ZLGWK LV SV 7KH RXWSXW ZDYHIRUPV IRU 6HFDQW K\SHUEROLFSXOVHVKDSH*DXVVLDQSXOVHVKDSHDQG/RUHQW]LDQ SXOVH VKDSH DUH VKRZQ LQ )LJ L ZKHQ WKH LQSXW SXOVH HQHUJLHVDUHDS-ES-DQGFI-UHVSHFWLYHO\7KH VDPSOLQJWLPHVWHS¨WLVFRQVLGHUHGDVSV,WLVFOHDUO\ REVHUYHG WKDW KLJKHU RXWSXW SXOVH HQHUJ\ LV DFKLHYHG E\ *DXVVLDQ SXOVH DQG ORZHU RXWSXW HQHUJ\ LV DFKLHYHG E\ /RUHQW]LDQSXOVHIRUDOOWKHOHYHORILQSXWSXOVHHQHUJLHVKLJK WR ORZ 7KH FDOFXODWHG SHDN RXWSXW SRZHUV DUH : :DQG:IRU6HFDQWK\SHUEROLF*DXVVLDQDQG /RUHQW]LDQSXOVHVUHVSHFWLYHO\ZKHQLQSXWHQHUJ\LVS-)RU WKHLQSXWHQHUJ\S-WKHFDOFXODWHGSHDNRXWSXWSRZHUVDUH ::DQG:IRU6HFDQWK\SHUEROLF*DXVVLDQ DQG/RUHQW]LDQSXOVHVUHVSHFWLYHO\+RZHYHUZKHQWKHLQSXW HQHUJ\LVORZLHI-WKHFDOFXODWHGSHDNRXWSXWSRZHUV DUH : : DQG : IRU 6HFDQW K\SHUEROLF *DXVVLDQ DQG /RUHQW]LDQ SXOVHV UHVSHFWLYHO\ )URP WKHVH UHVXOWVLWFDQEHFRQILUPHGWKDWWKHKLJKHURXWSXWSXOVHHQHUJ\ FDQ EH DFKLHYHG IRU KLJKHU LQSXW HQHUJ\ IRU DOO WKRVH WKUHH SXOVHVKDSHVDQGYLFHYHUVD$VWKHLQSXWSXOVHZLGWKLVYHU\ VKRUWHUWKDQWKHFRQVLGHUHGFDUULHUOLIHWLPHWKHOHDGLQJHGJHRI WKH SXOVH VDWXUDWHV WKH DPSOL¿HU DQG WKH WUDLOLQJ HGJH H[SHULHQFHVDORZHUJDLQVRWKHRXWSXWSXOVHVKDSHEHFRPHV DV\PPHWULF &RPSDULQJ DOO WKUHH SXOVH VKDSHV ZLWK GLIIHUHQW LQSXW SXOVH HQHUJ\ OHYHOV LW FDQ EH REVHUYHG WKDW WKH RXWSXW SXOVHVKDSHVEHFRPHPRUHDV\PPHWULFIRUKLJKHULQSXWHQHUJ\ DQGOHVVDV\PPHWULFIRUWKHORZHULQSXWHQHUJ\OHYHOV
D
E
F
)LJL2XWSXWZDYHIRUPIRU6HFDQWK\SHUEROLFSXOVH*DXVVLDQ
SXOVHDQG/RUHQW]LDQSXOVHZKHQLQSXWHQHUJLHVDUHDS-ES-
62$
_9W_
W
,QSXW3XOVH
_9W]_
W
2XWSXW3XOVH
(((((((
2XWSXW
3R
Z
HU
:
7LPHSV
6HFDQWK\SHUEROLF *DXVVLDQ /RUHQW]LDQ ,QSXWHQHUJ\
(((((((
2XWSXW
3R
Z
HU
:
7LPHSV
6HFDQWK\SHUEROLF *DXVVLDQ /RUHQW]LDQ ,QSXWHQHUJ\
(((((((
2XWSXW
3R
Z
HU
:
7LPHSV
6HFDQWK\SHUEROLF *DXVVLDQ /RUHQW]LDQ ,QSXWHQHUJ\
D
E
F
)LJLL2XWSXWVSHFWUDIRU6HFDQWK\SHUEROLFSXOVH*DXVVLDQSXOVH DQG/RUHQW]LDQSXOVHVZKHQLQSXWHQHUJLHVDUHDS-ES-DQG
)LJLLVKRZVWKHIUHTXHQF\VSHFWUDRISURSDJDWHGRXWSXW SXOVHV IRU 6HFDQW K\SHUEROLF SXOVH VKDSH *DXVVLDQ SXOVH VKDSH DQG /RUHQW]LDQ SXOVH VKDSHV ZKHQ WKH LQSXW SXOVH HQHUJLHVDUHDS-ES-DQGFI-7KHIUHTXHQF\
VSHFWUDZHUHREWDLQHGE\SHUIRUPLQJWKH))7RQWKHWHPSRUDO SXOVHVKDSHVDVVKRZQLQ)LJL7KHRXWSXWVSHFWUDOVKDSH VKLIWLQJLVREVHUYHGWRZDUGWKHORZHUIUHTXHQF\VLGHZKLFKLV GXHWRWKHJDLQVDWXUDWLRQRIWKH62$DQGWKH630HIIHFWV)RU ZHDN LQSXW SXOVH HQHUJLHV LH I- QRQH RI WKH RXWSXW IUHTXHQF\VSHFWUDKDVEHHQVKLIWHGWRZDUGWKHORZHUIUHTXHQF\ VLGH,WFDQEHFOHDUO\VHHQIURPWKHVHILJXUHVWKDWWKHRXWSXW VSHFWUDLVUHGVKLIWHGDQGWKHDPRXQWRIIUHTXHQF\VKLIWLVa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
LHI-aS-$1RUPDOL]HG'LIIHUHQFHRI):+0
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
2XWSXW
3R
Z
HU
G%
)UHTXHQF\7+]
,QSXWSXOVHHQHUJ\ S-6HFDQWK\SHUEROLF *DXVVLDQ /RUHQW]LDQ
2XWSXW
3R
Z
HU
G%
)UHTXHQF\7+]
,QSXWSXOVHHQHUJ\ S-6HFDQWK\SHUEROLF *DXVVLDQ /RUHQW]LDQ
2XWSXW
3R
Z
HU
G%
)UHTXHQF\7+]
,QSXWSXOVHHQHUJ\ I-6HFDQWK\SHUEROLF *DXVVLDQ /RUHQW]LDQ
D
E
F
)LJ1RUPDOL]HGGLIIHUHQFHRI):+0YHUVXVLQSXW):+0IRU GLIIHUHQWLQSXWSXOVHHQHUJ\OHYHOVIRUD6HFDQWK\SHUEROLFSXOVHE
*DXVVLDQSXOVHDQGF/RUHQW]LDQSXOVH
,9 &21&/86,21
,Q WKLV SDSHU QRQOLQHDU RSWLFDO SXOVH SURSDJDWLRQ FKDUDFWHULVWLFV KDYH EHHQ DQDO\]HG IRU GLIIHUHQW LQSXW SXOVH
VKDSHVZLWKGLIIHUHQWLQSXWSXOVHHQHUJ\OHYHOVLQ62$V7KH KLJKHU RXWSXW SXOVH HQHUJ\ LV DFKLHYHG IRU *DXVVLDQ SXOVH VKDSH DQG WKH ORZHU RXWSXW SXOVH HQHUJ\ LV DFKLHYHG IRU /RUHQW]LDQ SXOVH VKDSH IRU DOO WKH FRQVLGHUHG LQSXW SXOVH HQHUJ\OHYHOV)URPWKHRXWSXWIUHTXHQF\VSHFWUDLWKDVFOHDUO\ REVHUYHGWKDWUHGVKLIWLQJGRHVQRWRFFXUIRU/RUHQW]LDQSXOVH IRU WKH FRQVLGHUHG LQSXW SXOVH HQHUJLHV LH I- a S-7KHGLIIHUHQFHEHWZHHQWKHRXWSXWDQGLQSXW):+0RISXOVHV DOVRKDVEHHQFDOFXODWHGIRUGLIIHUHQWLQSXWSXOVHVKDSHVZLWK WKH LQFUHDVH RI LQSXW ):+0 DIWHU QRUPDOL]LQJ WKH RXWSXW SXOVHSRZHU)URPWKHVLPXODWHGUHVXOWVLWFDQEHFRQFOXGHG WKDWWKHSHUFHQWDJHRI):+0LQFUHDVHVZLWKWKHGHFUHDVHRI LQSXW ):+0 DQG GHFUHDVHV ZLWK WKH LQFUHDVH RI LQSXW ):+07KHVLPXODWLRQUHVXOWVDUHXVHIXOIRUQH[WJHQHUDWLRQ KLJKVSHHG RSWLFDO QHWZRUN FRPPXQLFDWLRQ V\VWHPV DV WKH GHYLFHKDVQRQOLQHDULWLHV
5()(5(1&(6
>@ 3 3 %DYHMD $ 0 .DSODQ ' 1 0D\ZDU * 3 $JUDZDO ³3XOVH DPSOLILFDWLRQ LQ VHPLFRQGXFWRU RSWLFDO DPSOLILHUV ZLWK XOWUDIDVW JDLQ UHFRYHU\ WLPHV´ LQ SURF RI 63,( 2SWLFDO &RPSRQHQWV DQG 0DWHULDOV9,,YROSS)HEUXDU\
>@ $$($]L]:31J=*KDVVHPORR\0+$O\DQG0)&KLDQJ ³2SWLPLVDWLRQ RI WKH NH\ 62$ SDUDPHWHUV IRU DPSOLILFDWLRQ DQG VZLWFKLQJ´LQSURFRIWKHWK$QQXDO3RVWJUDGXDWH6\PSRVLXPRQWKH &RQYHUJHQFH RI 7HOHFRPPXQLFDWLRQV 1HWZRUNLQJ %URDGFDVWLQJ 3*1(7/LYHUSRROSS
>@ $$6KDODE\³&KDUDFWHULVDWLRQDQGRSWLPLVDWLRQRIWKHVHPLFRQGXFWRU RSWLFDO DPSOLILHU IRU XOWUDKLJK VSHHG SHUIRUPDQFH´ 'RFWRUDO 'LVVHUWDWLRQ1RUWKXPEULD8QLYHUVLW\1HZFDVWOH8.
>@ 0<+RQJ<+&KDQJ$'LHQHV-3+HULWDJHDQG3-'HOI\HWW ³6XESLFRVHFRQGSXOVHDPSOLILFDWLRQLQVHPLFRQGXFWRUODVHUDPSOLILHUV 7KHRU\DQGH[SHULPHQW´,(((-4XDQWXP(OHFWURQYROSS±
>@ 0 - &RQQHOO\ / 3 %DUU\ % ) .HQQHG\ ' $ 5HLG ³1XPHULFDO DQDO\VLV RI SLFRVHFRQGV SXOVH SURSDJDWLRQ LQ D WHQVLOHVWUDLQHG VHPLFRQGXFWRU RSWLFDO DPSOLILHU ZLWK SDUDPHWHU H[WUDFWLRQ XVLQJ IUHTXHQF\ UHVROYHG RSWLFDO JDWLQJ´ 2SWLFDO DQG TXDQWXP HOHFWURQLFV YRO,VVXHSS$SULO
>@ 1.'DV<<DPD\RVKLDQG+.DZDJXFKL³$QDO\VLVRIEDVLFIRXU ZDYHPL[LQJFKDUDFWHULVWLFVLQDVHPLFRQGXFWRURSWLFDODPSOLILHUE\WKH ILQLWHGLIIHUHQFHEHDPSURSDJDWLRQPHWKRG´,(((-RXUQDORI4XDQWXP (OHFWURQLFVYRO1RSS±2FWREHU
>@ 1 . 'DV DQG 1 & .DUPDNDU ³1RQOLQHDU SURSDJDWLRQ DQG ZDYH PL[LQJ FKDUDFWHULVWLFV RI SXOVHV LQ 6HPLFRQGXFWRU RSWLFDO DPSOLILHUV´ 0LFURZDYH DQG 2SWLFDO 7HFK OHWWHUV YRO 1R SS 0D\
>@ 6 5 +RVVHLQL 0 5D]DJKL DQG 1 . 'DV ³$QDO\VLV RI XOWUDIDVW QRQOLQHDU SKHQRPHQD¶V LQIOXHQFHV RQ RXWSXW RSWLFDO SXOVHV DQG IRXU ZDYH PL[LQJ FKDUDFWHULVWLFV LQ VHPLFRQGXFWRU RSWLFDO DPSOLILHUV´ 2SW 4XDQWXP(OHFWURQYRO±SS±$SULO
>@ 6 5 +RVVHLQL 0 5D]DJKL DQG 1 . 'DV ³$QDO\VLV RI QRQOLQHDU UHIUDFWLYH LQGH[ LQIOXHQFHV RQ IRXUZDYH PL[LQJ FRQYHUVLRQ HIILFLHQF\ LQ VHPLFRQGXFWRU RSWLFDO DPSOLILHUV´ 2SW /DVHU 7HFK YROSS ±$SULO
>@0 5D]DJKL $ $KPDGL DQG 0 - &RQQHOO\ ³&RPSUHKHQVLYH ILQLWH GLIIHUHQFH WLPHGHSHQGHQW EHDP SURSDJDWLRQ PRGHO RI FRXQWHU SURSDJDWLQJ SLFRVHFRQG SXOVHV LQ D VHPLFRQGXFWRU RSWLFDO DPSOLILHU´ ,(((26$-RXUQDORI/LJKWZDYH7HFKYRO1RSS $XJXVW
>@1 . 'DV 0 5D]DJKL6 5 +RVVHLQL ³)RXUZDYH PL[LQJ LQ VHPLFRQGXFWRU RSWLFDO DPSOLILHUV IRU KLJK VSHHG FRPPXQLFDWLRQ´ WK ,QWHUQDWLRQDOFRQIHUHQFHRQ&RPSXWHUVDQG'HYLFHVIRU&RPPXQLFDWLRQ &2'(&SS'HFHPEHU
1
RUP
DOL]HG
G
LII
HUHQ
FH
R
I):
+
0
,QSXW):+0
,QSXWHQHUJ\ ,QSXWHQHUJ\ ,QSXWHQHUJ\ S-,QSXWHQHUJ\ I-6HFDQWK\SHUEROLF
1
RUP
DOL]HG
G
LII
HUHQ
FH
R
I):
+
0
,QSXW):+0
,QSXWHQHUJ\
,QSXWHQHUJ\
,QSXWHQHUJ\
S-,QSXWHQHUJ\ I-*DXVVLDQ
1
RUP
DOL]HG
G
LII
HUHQ
FH
R
I):
+
0
,QSXW):+0
,QSXWHQHUJ\
,QSXWHQHUJ\
,QSXWHQHUJ\
S-,QSXWHQHUJ\ I-/RUHQW]LDQ
