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No description available.

In this thesis a detailed examination is carried out into the role and impact of the volume of trade in UK futures markets. While the success of a market may be judged by the number of investors that it attracts, how does the behaviour of individuals influence such key variables as price volatility and the cost of trading? The empirical work carried out here allows a unique appreciation of issues that have important implications for policy makers, investors and the practitioner. Motivated by a desire to understand whether volatility is destabilising or a reflection of fundamental factors, as well as the nature of the distribution of price returns, the relationship between volume and price movements is investigated in detail. The preliminary analysis suggests an important role for the flow of information which is confirmed by the rigorous testing of Anderson's (1996) specification of the Mixture of Distributions Hypothesis. The exploitation of this model allows an in-depth analysis of the information process including the identification of the informed and uninformed components of volume. There is also an investigation into the possibility that the volume statistic itself has an informative value. Using the Blume et al. (1994) approach the results suggest that, for a variety of futures contracts, the markets show a high degree of information dispersion. The need to attract investors has never been more acute than in today's competitive financial environment. It is therefore important to obtain a good appreciation of the relationship between volume and the cost of trading. This thesis includes a comprehensive intra-day study of the relation within a simultaneous econometric framework that exploits state-space models to investigate how markets react to unexpected levels of trading. The results question the dominance of inventory cost models and suggest that patterns of trade have become more predictable since contract inception, despite increases in volume.

L'optique adaptative (OA), qui permet de corriger en temps-réel les déformations du front d'onde induites par la turbulence atmosphérique, connaît une limitation fondamentale : l'anisoplanétisme. Pour y remédier, le concept d'OA grand champ (OAGC) a été proposé. La turbulence est mesurée dans plusieurs directions du champ de vue à l'aide d'étoiles guide naturelles et laser, et son impact corrigé sur les images par une commande basée sur une reconstruction tomographique. L'approche linéaire quadratique gaussienne (LQG) est bien adaptée à la conception de lois de commande en OAGC comme en OA classique. Elle permet d'estimer et de prédire la phase à l'aide d'un filtre de Kalman basé sur des a priori spatiaux et temporels. Les modèles d'état et commandes associées sont détaillés. On présente la première mise en oeuvre sur le ciel d'une commande LQG sur tous les modes, en OA classique et multi-objet, à l'aide du démonstrateur CANARY. Ces résultats sont obtenus avec identification du modèle de tip-tilt et filtrage des vibrations, ce qui constitue la première mise en oeuvre ciel de cette stratégie. Les a priori spatiaux de la phase en volume sont identifiés par la méthode LEARN. Des données issues du profilomètre stereoSCIDAR ont aussi été utilisées. Des comparaisons sont proposées avec une commande intégrateur en OA classique, avec un gain significatif en performances pour le LQG. Les comparaisons avec le reconstructeur statique APPLY (moindres carrés régularisés) en OA multi-objet mettent en évidence un gain du LQG dans certains cas (fort bruit en particulier). L'ensemble des résultats confirme la faisabilité et l'intérêt d'une commande LQG pour un instrument d'OA ou d'OAGC. / Adaptive Optics (AO), which enables to correct in real time wavefront deformation induced by atmospheric turbulence, faces a fundamental limitation: anisoplanatism. To counter it, the concept of Wide-Field AO (WFAO) has been proposed. Turbulence is measured in several directions of the field of view, using natural and laser guide stars, and its impact on images is mitigated by a control based on tomographic reconstruction. The Linear Quadratic Gaussian (LQG) approach is well-suited to AO control design in both WFAO and classical AO. LQG enables to estimate and predict the phase with a Kalman filter based on spatial and temporal priors. State-space models and associated controls are laid out. The first on-sky implementation of LQG control on all modes, in classical and multi-object AO, is presented on the CANARY pathfinder. These results have been obtained with identification of tip-tilt models and vibration filtering, which constitutes the first on-sky implementation of this strategy. Spatial priors on the phase in the volume are identified using the LEARN algorithm. Data from the stereoSCIDAR profilometer were also used. Comparisons are provided with integral AO control in standard AO, showing significant gain in performance with LQG. Comparisons with the static reconstructor APPLY (regularized least-squares) in multi-object AO show a gain in performance with LQG in some cases (especially in high-noise conditions). Results confirm feasibility and relevance of LQG control for AO or WFAO instruments.

The multi-scale mixed finite element method (MsMFEM) discussed in this work uses a two-scale approach, where the solutions to independent local flow problems on the fine grid capture the fine-scale variations of the reservoir model, while the coarse grid equations appropriately assimilate this information in the global solution. Temporal changes in porous media flow are relatively moderate when compared to the spatial variations in the reservoir. Hence, approximate global solutions by adaptively solving these local flow problems can be obtained with significant savings in computational time. The ensemble Kalman filter, used for real-time updating of reservoir models, can thus be coupled with the MsMFEM-streamline simulator to speed up the historymatching process considerably.

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Localization is an essential part of any autonomous vehicle. In a simple setting, the localization problem is almost trivial, and can be solved sufficiently using simple dead reckoning or an off-the-shelf GPS with differential corrections. However, as the surroundings become more complex, so does the localization problem. The urban environment is a prime example of a situation in which a vehicle's surroundings complicate the problem of position estimation. The urban setting is marked by tall structures, overpasses, and tunnels. Each of these can corrupt GPS satellite signals, or completely obscure them, making it impossible to rely on GPS alone. Dead reckoning is still a useful tool in this environment, but as is always the case, measurement and modeling errors inherent in dead reckoning systems will cause the position solution to drift as the vehicle travels eventually leading to a solution that is completely diverged from the true position of the vehicle. The most widely implemented method of combining the absolute and relative position measurements provided by GPS and dead reckoning sensors is the Extended Kalman Filter (EKF). The implementation discussed in this paper uses two Kalman Filters to track two completely separate position solutions. It uses GPS/INS and odometry to track the Absolute Position of the vehicle in the Global frame, and simultaneously uses odometry alone to compute the vehicle's position in an arbitrary Local frame. The vehicle is then able to use the Absolute position estimate to navigate on the global scale, i.e. navigate toward globally referenced checkpoints, and use the Relative position estimate to make local navigation decisions, i.e. navigating around obstacles and following lanes. This localization solution was used on team VictorTango's 2007 DARPA Urban Challenge entry, Odin. Odin successfully completed the Urban Challenge and placed third overall. / Master of Science

Small satellites are becoming increasingly appealing as technology advances and shrinks in both size and cost. The development time for a small satellite is also much less compared to a large satellite. For small satellites to be successful, the navigation systems must be accurate and very often they must be autonomous. For lunar navigation, contact with a ground station is not always available and the system needs to be robust. The extended Kalman filter is a nonlinear estimator that has been used on-board spacecraft for decades. The filter requires linear approximations of the state and measurement models. In the past few years, the unscented Kalman filter has become popular and has been shown to reduce estimation errors. Additionally, the Jacobian matrices do not need to be derived in the unscented Kalman filter implementation. The intent of this research is to explore the capabilities of the extended Kalman filter and the unscented Kalman filter for use as a navigation algorithm on small satellites. The filters are applied to a satellite orbiting the Moon equipped with an inertial measurement unit, a sun sensor, a star camera, and a GPS-like sensor. The position, velocity, and attitude of the spacecraft are estimated along with sensor biases for the IMU accelerometer, IMU gyroscope, sun sensor and star camera. The estimation errors are compared for the extended Kalman filter and the unscented Kalman filter for the position, velocity and attitude. The analysis confirms that both navigation algorithms provided accurate position, velocity and attitude. The IMU gyroscope bias was observable for both filters while only the IMU accelerometer bias was observable with the extended Kalman filter. The sun sensor biases and the star camera biases were unobservable. In general, the unscented Kalman filter performed better than the extended Kalman filter in providing position, velocity, and attitude estimates but requires more computation time. / text

An important aspect for precision guidance, navigation, and control for lunar operations is environmental modeling. In particular, consider gravity field modeling. Available gravity field models for the Moon reach degree and order 165 requiring the use and storage of approximately 26,000 spherical harmonic coefficients. Although the high degree and order provide a means by which to accurately predict trajectories within the influence of the Moon's gravitational field, the size of these models makes using them computationally expensive and restricts their use in design environments with limited computer memory and storage. It is desirable to determine reduced complexity realizations of the gravitational models to lower the computational burden while retaining the structure of the original gravitational field for use in rapid design environments. The extended Kalman filter and the unscented Kalman filter are used to create reduced order models and are compared against a simple truncation based reduction method. Both variations of the Kalman filter out perform the truncation based method as a means by which to reduce the complexity of the gravitational field. The extended Kalman filter and unscented Kalman filter were able to achieve good estimates of position while reducing the number of spherical harmonic coefficients used in gravitational acceleration calculations by approximately 5,400, greatly increasing the speed of the calculations while reducing the required computer allocation. / text