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Dynamique et contrôle d'un marché financier avec une approche système multi-agents / Dynamics and control of financial market with a multi-agent system approachLucas, Iris 18 July 2018 (has links)
Cette thèse propose une réflexion autour de l'étude des marchés financiers sous le prisme des systèmes complexes.Tout d'abord une description mathématique est proposée pour représenter le processus de prises de décision des agents dès lors où celui-ci bien que représentant les intérêts individuels d'un agent, est également influencé par l'émergence d'un comportement collectif. La méthode est particulièrement applicable lorsque le système étudié est caractérisé par une dynamique non-linéaire. Une application du modèle est proposée au travers de l'implémentation d'un marché artificiel boursier avec une approche système multi-agents. Dans cette application la dynamique du marché est décrite à la fois aux niveaux microscopiques (comportement des agents) et macroscopique (formation du prix). Le processus de décision des agents est défini à partir d'un ensemble de règles comportementales reposant sur des principes de logique floue. La dynamique de la formation du prix repose sur une description déterministe à partir des règles d'appariement d'un carnet d'ordres central tel que sur NYSE-Euronext-Paris. Il est montré que le marché artificiel boursier tel qu'implémenté est capable de répliquer plusieurs faits stylisés des marchés financiers : queue de distribution des rendements plus épaisse que celle d'une loi normale et existence de grappes de volatilité (ou volatility clustering).Par la suite, à partir de simulations numériques il est proposé d'étudier trois grandes propriétés du système : sa capacité d'auto-organisation, de résilience et sa robustesse. Dans un premier temps une méthode est introduite pour qualifier le niveau d'auto-organisation du marché. Nous verrons que la capacité d'auto-organisation du système est maximisée quand les comportements des agents sont diversifiés. Ensuite, il est proposé d'étudier la réponse du système quand celui-ci est stressé via la simulation de chocs de marché. Dans les deux analyses, afin de mettre en évidence comment la dynamique globale du système émerge à partir des interactions et des comportements des agents des résultats numériques sont systématiquement apportés puis discutés.Nos résultats montrent notamment qu'un comportement collectif grégaire apparait à la suite d'un choc, et, entraîne une incapacité temporaire du système à s'auto-organiser. Finalement, au travers des simulations numériques il peut être également remarqué que le marché artificiel boursier implémenté est plus sensible à de faibles répétitions répétées qu'à un choc plus important mais unique. / This thesis suggests reflection in studying financial markets through complex systems prism.First, an original mathematic description for describing agents' decision-making process in case of problems affecting by both individual and collective behavior is introduced. The proposed method is particularly applicable when studied system is characterized by non-linear, path dependent and self-organizing interactions. An application to financial markets is proposed by designing a multi¬agent system based on the proposed formalization.In this application, we propose to implement a computational agent-based financial market in which the system is described in both a microscopie and macroscopic levels are proposed. The agents' decision-making process is based on fuzzy logic rules and the price dynamic is purely deten-ninistic according to the basis matching rules of a central order book as in NYSE-Euronext-Paris. We show that, while putting most parameters under evolutionary control, the computational agent- based system is able to replicate several stylized facts of financial time series (distributions of stocks returns showing a heavy tau l with positive excess kurtosis and volatility clustering phenomenon).Thereafter, with numerical simulations we propose to study three system's properties: self-organization, resilience and robustness. First a method is introduced to quantify the degree of selforganization which ernerges in the system and shows that the capacity of self-organization is maximized when the agents' behaviors are heterogeneous. Secondly, we propose to study the system's response when market shock is simulated. in both cases, numerical results are presentedI and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.Our results notably show that the emergence of collective herding behavior when market shock occurs leads to a temporary disruption on the system self-organization. Finaily, numerical simulations highlight that our artificial financial market can be able to absorb strong mono-shock but be lead to the rupture by low but repeated perturbations.
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Power Flow Modelling of Dynamic Systems: Introduction to Modern Teaching ToolsGeitner, Gert-Helge, Komurgoz, Guven 09 July 2015 (has links)
As tools for dynamic system modelling both conventional methods such as transfer function or state space representation and modern power flow based methods are available. The latter methods do not depend on energy domain, are able to preserve physical system structures, visualize power conversion or coupling or split, identify power losses or storage, run on conventional software and emphasize the relevance of energy as basic principle of known physical domains. Nevertheless common control structures as well as analysis and design tools may still be applied. Furthermore the generalization of power flow methods as pseudo-power flow provides with a universal tool for any dynamic modelling. The phenomenon of power flow constitutes an up to date education methodology. Thus the paper summarizes fundamentals of selected power flow oriented modelling methods, presents a Bond Graph block library for teaching power oriented modelling as compact menu-driven freeware, introduces selected examples and discusses special features.:1. Introduction
2. Fundamentals
2A. Fundamentals of BG Modelling
2.B. Fundamentals of POG Modelling
2C. Fundamentals of EMR Modelling
3. Systematization
4. Block library
4A. Simulink add-on BG Block Library
4B. Menu-Driven Customization
4C. Application Hints
5. Examples
5A. Lift a Load
5B. Solenoid
5C. Filter and Chopper
6. Special features
7. Conclusions
References [1] till [25]
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Portfolio Risk Modelling in Venture Debt / Kreditriskmodellering inom Venture DebtEriksson, John, Holmberg, Jacob January 2023 (has links)
This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. The main framework revolves around driving a Monte Carlo simulation with Copluas to predict future revenue scenarios across a portfolio of early-stage technology companies. Three models for a random Gaussian walk, a Linear Dynamic System and an Autoregressive Integrated Moving Average (ARIMA) time series are implemented and evaluated in terms of their portfolio Value-at-Risk influence. The model performance confirms that modeling portfolio risk in Venture Debt is challenging, especially due to lack of sufficient data and thus a heavy reliance on assumptions. However, the empirical results for Value-at-Risk and Expected Shortfall are in line with expectations. The evaluated portfolio is still in an early stage with a majority of assets not yet in their repayment period and consequently the spread of potential losses within one year is very tight. It should further be recognized that the scope in terms of explanatory variables for sales and model complexities has been narrowed and simplified for computational benefits, transparency and communicability. The main conclusion drawn is that alternative approaches to model Venture Debt risk is fully possible, and should improve in reliability and accuracy with more data feeding the model. For future research it is recommended to incorporate macroeconomic variables as well as similar company analysis to better capture macro, funding and sector conditions. Furthermore, it is suggested to extend the set of financial and operational explanatory variables for sales through machine learning or neural networks. / Detta examensarbete är en experimentell studie för kvantitativ modellering av kreditrisk i Venture Debt-portföljer. Givet en brist på tillgänlig konkurs-data från ArK samt från offentligt tillgängliga databaser i kombination med ambitionen att inkludera företag som misslyckas med skuldförpliktelser innan konkurs per se, presenterar vi en metod för riskmodellering baserad på trender i intäkter. Ramverket för modellen kretsar kring Monte Carlo-simulering med Copluas för att estimera framtida intäktsscenarier över en portfölj med tillväxtbolag inom tekniksektorn. Tre modeller för en random walk, ett linjärt dynamiskt system och ARIMA- tidsserier implementeras och utvärderas i termer av deras inflytande på portföljens Value-at- Risk. Modellens prestationer bekräftar att modellering av portföljrisk inom Venture Debt är utmanande, särskilt på grund av bristen på tillräckliga data och därmed ett stort beroende av antaganden. Dock är de empiriska resultaten för Value-at-Risk och Expected Shortfall i linje med förväntningarna. Den utvärderade portföljen är fortfarande i ett tidigt skede där en majoritet av tillgångarna fortfarande befinner sig i en amorteringsfri period och följaktligen är spridningen av potentiella förluster inom ett år mycket snäv. Det bör vidare tillkännages att omfattningen i termer av förklarande variabler för intäkter och modellkomplexitet har förenklats för beräkningsfördelar, transparens och kommunicerbarhet. Den främsta slutsatsen som dras är att alternativa metoder för att modellera risker inom Venture Debt är fullt möjliga och bör förbättras i tillförlitlighet och precision när mer data kan matas in i modellen. För framtida arbete rekommenderas det att inkorporera makroekonomiska variabler samt analys av liknande bolag för att bättre fånga makro-, finansierings- och sektorsförhållanden. Vidare föreslås det att utöka uppsättningen av finansiella och operationella förklarande variabler för intäkter genom maskininlärning eller neurala nätverk.
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Improved Robust Stability Bounds for Sampled Data Systems with Time Delayed Feedback ControlKurudamannil, Jubal J. 15 May 2015 (has links)
No description available.
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Cognitive Dynamic System for Control and Cyber Security in Smart GridOozeer, Mohammad Irshaad January 2020 (has links)
The smart grid is forecasted to be the future of the grid by integrating the traditional grid with information and communication technology. However, the use of this technology has not only brought its benefits but also the vulnerability to cyber-attacks. False data injection (FDI) attacks are a new category of attacks targeting the smart grid that manipulates the state estimation process to trigger a chain of incorrect control decisions leading to severe impacts.
This research proposes the use of cognitive dynamic systems (CDS) to address the cyber-security issue and improve state estimation. CDS is a powerful research tool inspired by certain features of the brain that can be used to study complex systems. As two of its special features, Cognitive Control (CC) is concerned with control in the absence of uncertainty, Cognitive Risk Control (CRC) uses the concept of predictive adaptation to bring risk under control in the presence of unexpected uncertainty.
The primary research objective of this thesis is to apply the CDS for the SG with emphasis on state estimation and cyber-security. The main objective of CC is to improve the state estimation process while CRC is concerned with mitigating cyber-attacks. Simulation results show that the proposed methods have robust performance for both state estimation and cyber-attack mitigation under various challenging scenarios.
This thesis contributes to the body of knowledge by achieving the following objectives: proposes the first theoretical work that integrates the CDS with the DC model of the SG for control and cyber-attack detection; demonstrates the first experimental work that brings a new concept of CRC for cyber-attack mitigation for the DC state estimator; introduces a new CDS architecture adapted for the AC model of the SG for state estimation and cyber-attack mitigation which builds upon all the research efforts made previously. / Thesis / Doctor of Philosophy (PhD) / The smart grid is forecasted to be the future of the grid by integrating the traditional grid with information and communication technology. However, the use of this technology has not only brought its benefits but also the vulnerability to cyber-attacks. False data injection attacks is a new category of attacks targeting the smart grid that can cause serious damage by manipulating the state estimation process and starting a chain of incorrect control decisions. The cognitive dynamic system is a powerful research tool inspired by the brain that can be used to study real time cyber physical systems. The key goal of this thesis is to apply cognitive dynamic systems to the smart grid to improve the state estimation process, detect cyber-attacks and mitigate their effects. Simulation results show that the proposed methods have robust performance in both state estimation and cyber-attack mitigation under various challenging scenarios.
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The benefits of heutagogic learning : a case study to deepen the appreciation of a career counselling intern's professional developmentLabuschagne, Philippus Gerhardus Albertus 02 1900 (has links)
The professional development of a career counselling intern on a satellite campus at a distance education institution was facilitated with the use of a heutagogic learning strategy. The heutagogic learning process was recorded by reflective writing based on Kolb's experiential learning model. This research is a disquisition of the reflective dataset.
The research is an autoethnographic case study in the constructionist paradigm with a creative analysis process. During the research process features about the benefits of heutagogic learning in the professional development of the career counselling intern were critically constructed.
The findings of the research are captured in memescapes showing mindset changes and mental transformations on patterns which describe the theory-praxis gap, diversity, wellness, the macro-ethic. The recommendations include the hope that these findings will feed through to inform future career counselling internships in the IOP field. / Industrial & Organisational Psychology / MCom (Industrial and Organisational Psychology)
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The benefits of heutagogic learning : a case study to deepen the appreciation of a career counselling intern's professional developmentLabuschagne, Philippus Gerhardus Albertus 02 1900 (has links)
The professional development of a career counselling intern on a satellite campus at a distance education institution was facilitated with the use of a heutagogic learning strategy. The heutagogic learning process was recorded by reflective writing based on Kolb's experiential learning model. This research is a disquisition of the reflective dataset.
The research is an autoethnographic case study in the constructionist paradigm with a creative analysis process. During the research process features about the benefits of heutagogic learning in the professional development of the career counselling intern were critically constructed.
The findings of the research are captured in memescapes showing mindset changes and mental transformations on patterns which describe the theory-praxis gap, diversity, wellness, the macro-ethic. The recommendations include the hope that these findings will feed through to inform future career counselling internships in the IOP field. / Industrial and Organisational Psychology / M. Com. (Industrial and Organisational Psychology)
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Les théories de la complexité et la systémique en gouvernance clinique: le cas des soins intensifs chirurgicauxHellou, Gisèle 08 1900 (has links)
Deux thématiques importantes des technologies de la santé: la pratique médicale fondée sur des preuves probantes et l’évaluation des interventions en médecine sont fondées sur une approche positiviste et une conception mécaniste des organisations en santé.
Dans ce mémoire, nous soulevons l’hypothèse selon laquelle les théories de la complexité et la systémique permettent une conceptualisation différente de ces deux aspects de la gouvernance clinique d’une unité de Soins Intensifs Chirurgicaux (SIC), qui est considérée comme un système adaptatif dynamique non linéaire qui nécessite une approche systémique de la cognition.
L’étude de cas d’une unité de SIC, permet de démontrer par de nombreux exemples et des analyses de micro-situations, toutes les caractéristiques de la complexité des patients critiques et instables et de la structure organisationnelle des SIC.
Après une critique épistémologique de l’Evidence-Based Medicine nous proposons une pratique fondée sur des raisonnements cliniques alliant l’abduction, l’herméneutique et la systémique aux SIC.
En nous inspirant des travaux de Karl Weick, nous suggérons aussi de repenser l’évaluation des modes d’interventions cliniques en s’inspirant de la notion d’organisation de haute fiabilité pour mettre en place les conditions nécessaires à l’amélioration des pratiques aux SIC. / In Health Technology Assessment and Management, Evidence-Based Medicine and many tools available for clinical assessment reflect a positivistic and mechanistic approach to Health Care Organizations and scientific knowledge.
We argue that the Complexity Theories and the Systemic decision-making process give a different insight on those two aspects of Clinical Governance in a Surgical Intensive Care Unit (SICU).
In a case-study, we describe the nature of critically ill and unstable patients and the organizational structure of a SICU in a university based hospital. We demonstrate all the characteristics of complexity in that setting, through the use of many examples and micro-situational analysis.
After an epistemological critical appraisal of EBM, we suggest that if a SICU is conceptualized as a dynamic non-linear adaptative system, then clinical knowledge and scientific thought processes must include hermeneutical, systemic and abductive types of reasoning.
Finally, we draw upon Karl Weick’s work and suggest that a SICU must be considered as a High Reliability Organization in order to aim for improving patient care and create better conditions for quality and performance in this complex environment.
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Měřicí zařízení pro sportovní analýzu využívající senzory inerciálních veličin / Measurement unit for sports analysis with inertial sensorsDugas, Martin January 2018 (has links)
Master's thesis is dealing with desgin of a measuring unit incorporating inertial sensors, used for analysis in canoe sprint. Data from a three-axis accelerometer and a three-axis gyroscope were combined using an extended Kalman filter, yielding speed, roll, pitch and yaw of the boat and stroke rate. Calculated values were verified by a GPS. Furthermore, parameters describing dynamic behaviour of the system were identified, allowing an inclusion of dynamic quantities like force and power into the analysis.
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Langevinized Ensemble Kalman Filter for Large-Scale Dynamic SystemsPeiyi Zhang (11166777) 26 July 2021 (has links)
<p>The Ensemble Kalman filter (EnKF) has achieved great successes in data assimilation in atmospheric and oceanic sciences, but its failure in convergence to the right filtering distribution precludes its use for uncertainty quantification. Other existing methods, such as particle filter or sequential importance sampler, do not scale well to the dimension of the system and the sample size of the datasets. In this dissertation, we address these difficulties in a coherent way.</p><p><br></p><p> </p><p>In the first part of the dissertation, we reformulate the EnKF under the framework of Langevin dynamics, which leads to a new particle filtering algorithm, the so-called Langevinized EnKF (LEnKF). The LEnKF algorithm inherits the forecast-analysis procedure from the EnKF and the use of mini-batch data from the stochastic gradient Langevin-type algorithms, which make it scalable with respect to both the dimension and sample size. We prove that the LEnKF converges to the right filtering distribution in Wasserstein distance under the big data scenario that the dynamic system consists of a large number of stages and has a large number of samples observed at each stage, and thus it can be used for uncertainty quantification. We reformulate the Bayesian inverse problem as a dynamic state estimation problem based on the techniques of subsampling and Langevin diffusion process. We illustrate the performance of the LEnKF using a variety of examples, including the Lorenz-96 model, high-dimensional variable selection, Bayesian deep learning, and Long Short-Term Memory (LSTM) network learning with dynamic data.</p><p><br></p><p> </p><p>In the second part of the dissertation, we focus on two extensions of the LEnKF algorithm. Like the EnKF, the LEnKF algorithm was developed for Gaussian dynamic systems containing no unknown parameters. We propose the so-called stochastic approximation- LEnKF (SA-LEnKF) for simultaneously estimating the states and parameters of dynamic systems, where the parameters are estimated on the fly based on the state variables simulated by the LEnKF under the framework of stochastic approximation. Under mild conditions, we prove the consistency of resulting parameter estimator and the ergodicity of the SA-LEnKF. For non-Gaussian dynamic systems, we extend the LEnKF algorithm (Extended LEnKF) by introducing a latent Gaussian measurement variable to dynamic systems. Those two extensions inherit the scalability of the LEnKF algorithm with respect to the dimension and sample size. The numerical results indicate that they outperform other existing methods in both states/parameters estimation and uncertainty quantification.</p>
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