Abstract The neutral B mesons B0 and B0s can under go flavor changing oscillations due to interactions by the weak force. Experiments which measure the frequency of these state transitions produce extremely noisy results that are difficult to analyse. A method for extracting the frequency of B mesons oscillations using the continuous wavelet transform is developed here. In this paper the physics of B meson mixing is related, leading to the derivation of a function describing the expected amount of mixing present in B0 and B0s meson decays. This result is then used to develop a new method for analysing the underlying frequency of oscillation in B mixing. An introduction to wavelet theory is provided in addition to details on interpreting daughter wavelet coefficient diagrams. Finally, the effectiveness of the analysis technique produced, referred to as the Template Fitting Method, is investigated through an application to data generated using Monte Carlo methods.

Submitted by Adriano Faria (afaria@fgvmail.br) on 2017-12-13T19:49:29Z No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-12-21T11:41:13Z (GMT) No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) / Made available in DSpace on 2017-12-27T12:18:22Z (GMT). No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) Previous issue date: 2017-03-16 / This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure the performance of such methods in pricing, Value at Risk and forecasting exercises. In its turn, the last chapter brings a discussion about the effects of different metrics of the optimal portfolio on the estimation of a CCAPM model.In the first chapter, we propose a segmented model to deal with the seasonalities appearing in real yield curves. In different markets, the short end of the real yield curve is influenced by seasonalities of the price index that imply a lack of smoothness in this segment. Borrowing from the flexibility of spline models, a B-spline function is used to fit the short end of the yield curve, while the medium and the long end are captured by a parsimonious parametric four-factor exponential model. We illustrate the benefits of the proposed term structure model by estimating real yield curves in one of the biggest government index-linked bond markets in the world. Our model is simultaneously able to fit the yield curve and to provide unbiased Value at Risk estimates for different portfolios of bonds negotiated in this market.Chapter 2 introduces a novel framework for the estimation of corporate bond spreads based on mixture models. The modeling methodology allows us to enhance the informational content used to estimate the firm level term structure by clustering firms together using observable firm characteristics. Our model builds on the previous literature linking firm level characteristics to credit spreads. Specifically, we show that by clustering firms using their observable variables, instead of the traditional matrix pricing (cluster by rating/sector), it is possible to achieve gains of several orders of magnitude in terms of bond pricing. Empirically, we construct a large panel of firm level explanatory variables based on results from a handful of previous research and evaluate their performance in explaining credit spread differences. Relying on panel data regressions we identify the most significant factors driving the credit spreads to include in our term structure model. Using this selected sample, we show that our methodology significantly improves in sample fitting as well as produces reliable out of sample price estimations when compared to the traditional models.Chapter 3 brings the paper “Forecasting the Brazilian Term Structure Using Macroeconomic Factors”, published in Brazilian Review of Econometrics (BRE). This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed by Moench (2008) is implemented, in which the dynamic of the short term interest rate is modeled using a Factor Augmented VAR and the term structure is derived using the restrictions implied by no-arbitrage. Similarly to the original study, this model resulted in better predictive performance when compared to the usual benchmarks, but presented deterioration of the results with increased maturity. To avoid this problem, we proposed that the dynamic of each rate be modeled in conjunction with the macroeconomic factors, thus eliminating the no-arbitrage restrictions. This attempt produced superior forecasting results. Finally, the macro factors were inserted in a parsimonious parametric three-factor exponential model.The last chapter presents the paper “Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters”, also published in BRE. This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This dissertation proposes two methodologies for the phasor estimation on protective relays in Electrical Power Systems. Firstly, a theoretical introduction of signal processing, the structure of a protective relay and phasor estimation algorithms is presented, including some of the algorithms used on the electrical system, as well as the two proposed methodologies. The first one makes use of the concept of curve-fitting, while the other uses Artificial Neural Networks, both with the goal of performing the real-time estimation of the signal amplitude and phase angle. Secondly, it is made a comparative analysis of the two proposed methods with four well-known and currently used algorithms. This comparison is made through the creation of several test signals with different simulation parameters. From these simulations, six performance indexes are used for the quantitative evaluation of each algorithm, from where the most effective method can be determined through the arithmetic mean of these indexes. Lastly, after all the simulation cases have been presented, a summary of the characteristics of each algorithm is made, based in their numerical results. Then, based on the values obtained on each performance index, the strong and weak points are highlighted, as well as the general classification of each method. / Essa dissertação propõe duas metodologias para a estimação fasorial em relés de proteção em Sistemas Elétricos de Potência. Primeiramente é apresentada uma introdução teórica ao processamento de sinais, à estrutura do relé de proteção, e aos algoritmos de estimação fasorial propriamente ditos, incluindo alguns dos algoritmos utilizados no sistema elétrico, assim como as duas metodologias propostas. A primeira delas faz uso do conceito de ajuste de curvas, enquanto que a segunda utiliza Redes Neurais Artificiais, ambas com o objetivo de realizar a estimação da amplitude e ângulo de fase de um sinal em tempo real. Em um segundo momento, é feita a análise comparativa dos dois métodos propostos com quatro algoritmos bastante conhecidos e utilizados nos relés numéricos. A comparação é feita através da criação de diversos sinais de teste com diferentes parâmetros de simulação. A partir dessas simulações, são usados seis índices de desempenho para a avaliação quantitativa de cada algoritmo, de onde, a partir da média aritmética destes índices, pode-se determinar o método mais eficaz para cada caso. Por fim, após todos os testes terem sido realizados, com base em seus resultados numéricos, é realizada uma condensação das características de cada algoritmo. Com base nos valores obtidos em cada índice de desempenho, são destacados os pontos fortes e fracos, bem como a classificação geral de cada método.

Submitted by Luciana Ferreira (lucgeral@gmail.com) on 2018-08-01T12:06:20Z No. of bitstreams: 2 Dissertação - Theófilo Machado de Sousa Neto - 2018.pdf: 5352330 bytes, checksum: 633a1463e2e997810ceffbed30fe9665 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2018-08-01T13:38:17Z (GMT) No. of bitstreams: 2 Dissertação - Theófilo Machado de Sousa Neto - 2018.pdf: 5352330 bytes, checksum: 633a1463e2e997810ceffbed30fe9665 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2018-08-01T13:38:17Z (GMT). No. of bitstreams: 2 Dissertação - Theófilo Machado de Sousa Neto - 2018.pdf: 5352330 bytes, checksum: 633a1463e2e997810ceffbed30fe9665 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2018-06-28 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Given the need to discuss mathematical methods capable of adjusting curves that represent experimental data. This work presents seven methods of curves adjustment, three of these, methods that use least squares regression techniques and the other four, using interpolation techniques. Initially, it brings some definitions that present to the reader all the mathematical foundation that rules the equations. In parallel, it seeks to discuss, through examples, the area of attribution of the described methods, realizing whenever possible a comparation between the several techniques presented and their errors in the estimates. In order to demonstrate that the techniques discussed here are feasible for use in basic education, it exposes an experience of applying one of these methods in solving a basic problem of the discipline of Physics. After presenting the step-by-step method of obtaining soil resistivity, a variable that is of the utmost importance for the elaboration of projects for grounding meshes that supply energy substations, We finish this work by solving the problem with the aid of adjustment techniques curves studied, proposing the inclusion of the methods addressed in one of the steps of the procedure to obtain soil resistivity. / Diante da necessidade de se discutir sobre métodos matemáticos capazes de ajustar curvas que representem dados experimentais. Este trabalho apresenta como escopo sete métodos de ajustes de curvas, sendo que três destes, utilizam as técnicas de regressão por mínimos quadrados e os outros quatro, usando técnicas de interpolação. Inicialmente, traremos algumas definições que apresentam ao leitor todo o embasamento matemático que rege os equacionamentos. Em paralelo, procuramos discutir, através de exemplos, a área de atribuição dos métodos descritos, realizando sempre que possível um comparativo entre as variadas técnicas apresentadas e seus erros nas estimativas.Com o intuito de demonstrar que as técnicas aqui discutidas são viáveis para utilização na educação básica, apresentaremos uma experiência de aplicação de um desses métodos na resolução de um problema básico da disciplina de Física. Após relatar os procedimentos do método de obtenção da resistividade do solo, que é uma variável de suma importância para a elaboração de projetos de malhas de aterramento que atendem subestações de energia. Finaliza-se este trabalho resolvendo o problema com auxílio das técnicas de ajustes de curva estudados, propondo a inclusão dos métodos abordados em uma das etapas do procedimento de obtenção da resistividade do solo.

Maintenance of apico-basal polarity is essential for epithelial integrity and requires particular reinforcement during tissue morphogenesis, when cells are reorganised, undergo shape changes and remodel their junctions. It is well established that epithelial integrity during morphogenetic processes depends on the dynamic exchange of adherens junction components, but our knowledge on the dynamics of other proteins and their dynamics during these processes is still limited. The early Drosophila embryo is an ideal system to study membrane dynamics during morphogenesis. Here, morphogenetic activities differ along the anterior-posterior axis, with the extending germband showing a high degree of epithelial remodelling. We developed a Fluorescence Recovery After Photobleaching (FRAP) assay with a higher temporal resolution, which allowed the distinction between a fast and a slow component of recovery of membrane proteins during the germband extension stage. We show for the first time that the recovery kinetics of a general membrane marker, SpiderGFP, differs in the anterior and posterior parts of the embryo, which correlates well with the different morphogenetic activities of the respective embryonic regions. Interestingly, absence of crumbs, a polarity regulator essential for epithelial integrity in the Drosophila embryo, decreases the fast component of SpiderGFP and of the apical marker Stranded at Second-Venus specifically in the anterior region. We suggest that the defects in kinetics observed in crumbs mutant embryos are the first signs of tissue instability in this region, explaining the earlier breakdown of the head epidermis in comparison to that of the trunk, and that diffusion in the plasma membrane is affected by the absence of Crumbs.

Das Systemverhalten eines Einsteckvorganges und anschließenden Haltevorganges soll bestimmt werden. Bei den zu untersuchenden Komponenten sollen die Einpresskraft und die Haltekraft einem gewünschten Systemverhalten entsprechen. Zur Einstellung des gewünschten Systemverhaltens werden die Geometrieparameter variiert. Zuvor wird das Werkstoffverhalten der Komponenten kalibriert. Die vorliegende Spannungs-Dehnungs-Kurve aus einem Zugversuch wird benötigt zur Beschreibung eines Werkstoffverhaltens. Bei dieser Fragestellung geht es um die Parameteridentifikation für ein nichtlineares Materialmodell aus Ansys Workbench. Die Ergebnisse der Zugversuche werden als Referenzsignale in das Signal Processing eingelesen. Die in diesem Materialmodell vorhandenen Materialparameter sind so anzupassen, dass die numerischen Ergebnisse möglichst gut mit den experimentell gewonnenen Daten aus den Versuchen übereinstimmen.

This paper presents a stability analysis of the sensor data which is collected by QTAGG from alarge ocean going ship and using the stability results, introduces some information about howthe measurements that come from the sensors can be improved and how reliable they are. In thetheoretical part, some background information is given mainly based on British Standard(BS)ISO 19030 which was published in November, 2016. This source basically includes someinformation about the measurement of changes in hull and propeller performance of a vessel.Using the theoretical information, in the implementation part, the necessary methods areimplemented in python programming language on a real life data set of a vessel which is givenfrom QTAGG company. To measure the stability of the parameters in the data, we loosenthe filters of the parameters and observe how they respond to the technical changes. In orderto understand how loosen the filters can be made, a reference speed-power curve is createdby using a curve fitting method, and after creating a performance indicator by utilizing thereference curve, Anderson-Darling and Shapiro-Wilk tests are used to measure the stability ofthe performance indicator. Besides these numerical tests, some visual methods such as Q-Qplot and histogram plot are also used in this process. Finally, we could provide stability resultsby using both our theoretical knowledge and the practical implementation.

Permanent magnet (PM) machines offer several advantages in traction applications such as high efficiencyand high torque per volume ratio. The iron losses in these machines are estimated mostly with empiricallaws taken from other types of machines or with finite element simulations (FEM). In the first part of thisthesis the objective is to define an accurate analytical model for the stator yoke, teeth and rotor of a PMmotor which should work well enough for all operating point (different loads and frequency).This analytical model is found using an iterative process. After building a loss matrix and flux matrix basedon FEM simulations, it is possible to curve fit each of the lines or the rows of the matrix in order to achievethe best fitting for every operating point. This is a very new approach; it was shown that it gives thepossibility, even with a very limited number of FEM simulations, to achieve an accurate estimation of thelosses.The second part of this report focuses on optimizing this analytical method, comparing it with otherpossibilities, analyzing limits and advantages. Special attention is also given to the effects of the losses onthe temperatures in different parts of the machine. In the last part of the thesis, the analytical model isused to test a new control strategy. Its goal is to reduce the total losses of the motor and optimize the ratiobetween torque and total losses for a given driving cycle.

[ES] Un aumento de la generación de energía a partir de fuentes renovables (solar, eólica) requiere una alta flexibilidad de las redes eléctricas. En este sentido, las baterías de flujo redox de vanadio (BFRV) han demostrado una excelente capacidad para proporcionar dicha flexibilidad, mediante el almacenamiento eficiente de energía eléctrica en el rango de los kWh a los MWh. Sin embargo, sus elevados costes son en la actualidad unos de los mayores inconvenientes que dificultan una amplia penetración en el mercado. En la presente Tesis Doctoral se presenta el desarrollo y evaluación de una celda tubular especialmente diseñada con una membrana de 5.0mm. Las células tubulares así diseñadas deberían alcanzar una mayor densidad de potencia (kWm^(-3)). Del mismo modo, la sustitución de uno de los electrodos por un electrodo bifuncional de aire debería de incrementar la energía específica de dicha celda (Whkg^(-1)) y reducir, por tanto, los costes energéticos asociados (€/kWh). El diseño de la celda desarrollado en la presente Tesis Doctoral facilita la fabricación de los colectores y membranas actuales con el empleo de procesos de extrusión y marca un paso importante hacia la fabricación rentable de semiceldas y celdas completas en el futuro. Para evaluar el comportamiento de la nueva celda diseñada se han llevado a cabo estudios de polarización, de espectroscopia de impedancia, y medidas de ciclos de carga/descarga. Las celdas desarrolladas presentan una corriente de descarga máxima de 89.7mAcm^(-2) y una densidad de potencia de 179.2kW/m^3. Además, los bajos sobrepotenciales residuales obtenidos en los electrodos de la celda resultan prometedores. No obstante, la resistencia del área específica de celda de 3.2 ohm*cm² impone limitaciones significativas en la densidad de corriente. Eficiencias Coulomb del 95 % han sido obtenidas, comparables a los valores alcanzados en celdas planas de referencia. Sin embargo, las pérdidas óhmicas resultan elevadas, reduciendo la eficiencia energética del sistema al 56 %. Las celdas tubulares fabricadas con un electrodo de difusión de gas de una sola capa con Pt/IrO2 como catalizador permiten alcanzar densidades de corriente máximas de 32mAcm^(-2) (Ecell =2.1 V/0.56V Ch/Dch). Los elevados sobrepotenciales de activación y el reducido voltaje en circuito abierto (debido a potenciales mixtos) conducen a una densidad de potencia comparativamente baja de 15.4mW/ cm². El paso de iones de vanadio a través de la membrana se considera uno de los grandes inconvenientes en este tipo de celdas tubulares, lo que lleva a que la densidad de energía real de 23.2Wh l^(-1) caiga por debajo del valor nominal de 63.9Wh l^(-1). / [CA] Un augment de la generació d'energia a partir de fonts renovables (solar, eòlica) requereix una alta flexibilitat de les xarxes elèctriques. En aquest sentit, les bateries de flux redox de vanadi (VRFB) han demostrat una excel·lent capacitat per a proporcionar aquesta flexibilitat, mitjançant l'emmagatzematge eficient d'energia elèctrica en el rang dels kWh als MWh. En la present Tesi Doctoral es presenta el desenvolupament i avaluació d'una cel·la tubular especialment dissenyada amb una membrana de 5.0mm. Les cèl·lules tubulars així dissenyades haurien assolir una major densitat de potència (kWm^(-3)). De la mateixa manera, la substitució d'un dels elèctrodes per un elèctrode bifuncional d'aire hauria d'incrementar l'energia específica d'aquesta cel·la (Whkg^(-1)) i reduir, per tant, els costos energètics associats (€/kWh). El disseny de la cel·la desenvolupat en la present tesi doctoral facilita la fabricació dels col·lectors i membranes actuals amb l'ocupació de processos d'extrusió i marca un pas important cap a la fabricació rendible de semiceldas i cel·les completes en el futur. Per avaluar el comportament de la nova cel·la dissenyada s'han dut a terme estudis de polarització, d'espectroscòpia d'impedància, i mesures de cicles de càrrega/ descàrrega. Les cel·les desenvolupades presenten un corrent de descàrrega màxima de 89.7mAcm^(-2) i una densitat de potència de 179.2kW/m^3. A més, els baixos sobrepotencials residuals obtinguts en els elèctrodes de la cel·la resulten prometedors. No obstant això, la resistència de l'àrea específica de cel·la de 3.2 ohm*cm² imposa limitacions significatives en la densitat de corrent. Eficiències Coulomb del 95 % han estat obtingudes, comparables als valors assolits en cel·les planes de referència. No obstant això, les pèrdues òhmiques resulten elevades, reduint l'eficiència energètica del sistema al 56 %. Les cel·les tubulars fabricades amb un elèctrode de difusió de gas d'una sola capa amb Pt/IrO2 com a catalitzador permeten assolir densitats de corrent màximes de 32mAcm^(-2) (Ecell =2.1 V/0.56V Ch/Dch). Els elevats sobrepotencials d'activació i el reduït voltatge en circuit obert (a causa de potencials mixtes) condueixen a una densitat de potència comparativament baixa de 15.4mW/ cm². El pas de ions de vanadi a través de la membrana es considera un dels grans inconvenients en aquest tipus de cel·les tubulars, el que porta al fet que la densitat d'energia real de23.2Wh l^(-1) caigui per sota del valor nominal de 63.9Wh l^(-1). / [EN] An increase of the power generation from volatile renewable sources (solar, wind) requires a high flexibility in power grids. All Vanadium Redox Flow Batteries (VRFBs) have demonstrated their ability to provide flexibility by storing electrical energy on a kWh to MWh scale. High power and energy specific costs do, however prevent a wide market penetration. In this dissertation a tubular cell design with a membrane diameter of 5.0mm is developed and evaluated. Tubular VRFB cells shall lead to an enhanced power den- sity (kWm^(-3)). Replacement of an electrode with a bifunctional air electrode (Vanadium/ Air Redox Flow Battery) shall allow to increase the specific energy (Whkg^(-1)) and reduce energy specific costs (€/kWh). The developed design facilitates a fabrication of the current collectors and membrane by an extrusion process and marks an important step towards the cost-efficient ex- trusion of entire half cells and cells in the future. To evaluate the cell performance and investigate loss mechanisms, polarization curve, electrochemical impedance spectroscopy and charge/discharge cycling measurements are conducted. Tubular VRFB cells with flow-by electrodes reveal a maximum dis- charge current and power density of 89.7mAcm^(-2) and 179.2kW/m^3, respectively. Low residual overpotentials at the cell's electrodes are encouraging, but the area spe- cific cell resistance of 3.2 ohm*cm² imposes limitations on the current density. Coulomb efficiencies of 95% are comparable to values of planar reference cells, but high ohmic losses reduce the system energy efficiency to 56 %. Tubular VARFB cells with a mono-layered gas diffusion electrode and a Pt/IrO2 catalyst allow for a maximum current density of 32mAcm^(-2) (Ecell =2.1 V/0.56V Ch/Dch). High activation overpotentials and a reduced open-circuit voltage (due to mixed potentials) lead to a comparably low power density of 15.4mW/ cm². Cross- over of vanadium ions through the membrane are considered as a major drawback for tubular VARFB cells and the actual energy density of 23.2Wh l^(-1) falls below the nominal value of Wh l^(-1). / Financial support of my research activities was provided by the BMBF through the common research project tubulAir±. / Ressel, SP. (2019). Tubular All Vanadium and Vanadium/Air Redox Flow Cells [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/131203

I study, develop and implement selected interest rate models. I begin with a simple categorization of interest rate models and with an explanation why interest rate models are useful. I explain and discuss the notion of arbitrage. I use Oldrich Vasicek's seminal model (Vasicek; 1977) to develop the idea of no-arbitrage term structure modeling. I introduce both the partial di erential equation and the risk-neutral approach to zero-coupon bond pricing. I briefly comment on affine term structure models, a general equilibrium term structure model, and HJM framework. I present the Czech Treasury yield curve estimates at a daily frequency from 1999 to the present. I use the parsimonious Nelson-Siegel model (Nelson and Siegel; 1987), for which I suggest a parameter restriction that avoids abrupt changes in parameter estimates and thus allows for the economic interpretation of the model to hold. The Nelson-Siegel model is shown to fit the Czech bond price data well without being over-parameterized. Thus, the model provides an accurate and consistent picture of the Czech Treasury yield curve evolution. The estimated parameters can be used to calculate spot rates and hence par rates, forward rates or discount function for practically any maturity. To my knowledge, consistent time series of spot rates are not available for the Czech economy. I introduce two estimation techniques of the short-rate process. I begin with the maximum likelihood estimator of a square root diff usion. A square root di usion serves as the short rate process in the famous CIR model (Cox, Ingersoll and Ross; 1985b). I develop and analyze two Matlab implementations of the estimation routine and test them on a three-month PRIBOR time series. A square root diff usion is a restricted version of, so called, CKLS di ffusion (Chan, Karolyi, Longsta and Sanders; 1992). I use the CKLS short-rate process to introduce the General Method of Moments as the second estimation technique. I discuss the numerical implementation of this method. I show the importance of the estimator of the GMM weighting matrix and question the famous empirical result about the volatility speci cation of the short-rate process. Finally, I develop a novel yield curve model, which is based on principal component analysis and nonlinear stochastic di erential equations. The model, which is not a no-arbitrage model, can be used in areas, where quantification of interest rate dynamics is needed. Examples, of such areas, are interest rate risk management, or the pro tability and risk evaluation of interest rate contingent claims, or di erent investment strategies. The model is validated by Monte Carlo simulations.