Uma correta especificação das funções densidade de probabilidade (fdp’s) de retornos de ativos é um tópico dos mais relevantes na literatura de modelagem econométrica de dados financeiros. A presente dissertação propõe-se a oferecer, neste âmbito, uma abordagem distinta, através de uma aplicação da metodologia desenvolvida em Bathia et al. (2010) a dados intradiários do índice bovespa. Esta abordagem consiste em focar a análise diretamente sobre a estrutura dinâmica das fdp’s dos retornos, enxergando-as como uma sequência de variáveis aleatórias que tomam valores em um espaço de funções. A dependência serial existente entre essas curvas permite que se obtenham estimativas filtradas das fdp’s, e mesmo que se façam previsões sobre densidades de períodos subsequentes à amostra. No artigo que integra esta dissertação, onde é feita a mencionada aplicação, encontrou-se evidência de que o comportamento dinâmico das fdp’s dos retornos do índice bovespa se reduz a um processo bidimensional, o qual é bem representado por um modelo var(1) e cuja dinâmica afeta a dispersão e a assimetria das distribuições no suceder dos dias. Ademais, utilizando-se de subamostras, construíram-se previsões um passo à frente para essas fdp’s, e avaliaram-se essas previsões de acordo com métricas apropriadas. / Adequate specification of the probability density functions (pdf’s) of asset returns is a most relevant topic in econometric modelling of financial data. This dissertation aims to provide a distinct approach on that matter, through applying the methodology developed in Bathia et al. (2010) to intraday bovespa index data. This approach consists in focusing the analysis directly on the dynamic structure of returns fdp’s, seeing them as a sequence of function-valued random variables. The serial dependence of these curves allows one to obtain filtered estimates of the pdf’s, and even to forecast upcoming densities. In the paper contained into this dissertation, evidence is found that the dynamic structure of the bovespa index returns pdf’s reduces to a R2-valued process, which is well represented by a var(1) model, and whose dynamics affect the dispersion and symmetry of the distributions at each day. Moreover, one-step-ahead forecasts of upcoming pdf’s were constructed through subsamples and evaluated according to appropriate metrics.

Os mercados financeiros são de extrema relevância para as diversas economias do mundo. Sua efetividade na atração de capitais e investimentos é notória. Atualmente, o fluxo financeiro entre os diversos países é muito intenso, devido ao fenômeno da globalização. Tal situação provoca transmissão de crises financeiras entre diferentes países. Neste contexto, a avaliação de contágio financeiro torna-se um tema bastante relevante. A presente dissertação almejou verificar se houve contágio financeiro da crise americana de 2008 sobre os países do BRIC (Brasil, Rússia, Índia e China). Para tanto, foram utilizadas duas metodologias distintas. Uma delas, devido a Fermanian et al. (2002), foi empregada para estimação não paramétrica das cópulas via kernel. Assim, pode-se averiguar se houve aumento significativo nas medidas de dependência. A outra, desenvolvida por Remillard e Scaillet (2009), é um teste de comparação entre duas cópulas empíricas que investiga se houve mudança na estrutura de dependência no período de crise. Os dois procedimentos metodológicos indicaram a ocorrência de contágio da crise americana de 2008 sobre todos os países do BRIC. / Financial markets are extremely relevant to the world's diverse economies. Its effectiveness in attracting capital and investments is notorious. Currently, the financial flow between the various countries is very intense, due to the phenomenon of globalization. This situation leads to the transmission of financial crises between different countries. In this context, the evaluation of financial contagion becomes a very relevant issue. The present dissertation aimed to verify if there was financial contagion of the 2008 US crisis on the BRIC countries (Brazil, Russia, India and China). For that, two different methodologies were used. One of them, due to Fermanian et al. (2002), was used for non-parametric estimation of copula via kernel. Thus, it can be verified if there was a significant increase in the measures of dependence. The other, developed by Remillard and Scaillet (2009), is a test of comparison between two empirical copulas that investigates if there was a change in the dependency structure in the crisis period. The two methodological procedures indicated the occurrence of contagion of the American crisis of 2008 on all BRIC countries.

Cette thèse étudie certains évènements particuliers des carnets d’ordre - les ”trades traversants”. Dans le premier chapitre, on définit les trades traversants comme étant ceux qui consomment la liquidité présente dans le carnet d’ordres sur plusieurs limites, sans laisser le temps à la meilleure limite de se remplir par l’arrivée de nouveaux ordres limites. On étudie leurs propriétés empiriques en fournissant des statistiques de liquidité, de volume, de distribution de leurs temps d’arrivées, de clustering et de relaxation du spread. Leur impact de marché est supérieur à celui des trades classiques, et ce même à volume comparable : les trades traversants présentent donc un contenu informationnel plus grand. On propose deux applications au problème du lead-lag entre actifs/marchés, d’abord pour répondre à la question de savoir quel actif bouge en premier, et ensuite pour mesurer la force du signal des trades traversants dans le cadre d’une stratégie d’investissement basée sur le lead-lag entre actifs. Le chapitre suivant approfondit l’étude empirique du clustering de l’arrivée des trades traversants. On y modélise leur arrivée par des processus stochastiques auto-excités (les processus de Hawkes). Une étude statistique de la calibration obtenue avec des modèles à noyaux exponentiels pour la décroissance temporelle de l’impact est menée et assure une modélisation satisfaisante avec deux processus indépendants, un pour le bid et un pour l’ask. La classe de modèles proposée à la calibration est bien adaptée puisqu’il n’existe pas d’effet inhibiteur après l’arrivée d’un trade traversant. On utilise ces résultats pour calculer un indicateur d’intensité basé sur l’arrivée des trades traversants, et améliorer ainsi une stratégie d’investissement de type ”momentum”. Enfin, une calibration non-paramétrique du noyau de décroissance temporel d’impact fournit une décroissance empirique encore plus forte qu’une loi exponentielle, et davantage proche d’une loi-puissance. Le dernier chapitre rappelle une méthode générale de détection statistique de sauts dans des séries temporelles de prix/rendements qui soit robuste au bruit de microstructure. On généralise les résultats empiriques connus à de nouveaux indices financiers. On adapte cette méthode de détection statistique de sauts à des trajectoires intraday afin d’obtenir la distribution de la proportion de sauts détectés au cours de la journée. Les valeurs extrémales et les plus grandes variations de cette proportion se déroulent à des heures précises de la journée (14 :30, 15 :00 et 16 :30, heure de Paris), déjà rencontrées dans l’étude des trades traversants. Grâce à eux, on propose une explication des caractéristiques principales du profil intraday de la proportion de sauts détectés par le test, qui s’appuie sur une modification de la part relative de chacune des composantes de sauts dans la trajectoire des actifs considérés (la composante des mouvements continus et celle liée aux mouvements de sauts purs). / This thesis aims at studying particular events occurring in the limit order books - the ’tradesthrough’. In the first chapter, we define trades-through as those who consume the liquidity available on several limits of the limit order book, without waiting for the best limit to be filled with new incoming limit orders. We study their empirical properties and present statistics about their liquidity, their volume, their arrival time distribution, their clustering and the spread relaxation that follows their arrival. Their market-impact is higher than the one of the other trades, even with a comparable trading volume : trades-through have a higher informational content. We present two applications linked to the lead-lag between assets/markets : to find which asset moves first, and also to measure the trades-through intensity signal in a simple trading strategy based on lead-lag. The next chapter goes into more detail about the trades-through arrival time clustering. We model their arrival time with self-excited stochastic processes (Hawkes processes). A statistical study of the calibration obtained with models based on exponential-decay kernels for the temporal impact ensures a satisfactory modelling with two independent processes, one for the bid and one for the ask. The model class under scrutiny for the calibration is well-adapted as no inhibitory effects are measured after trades-through arrival. We use those results to compute an intensity indicator based on trades-through arrival, and thus we enhance a simple trading strategy that relies on them. Finally, a non-parametric calibration of the empirical decay kernel for the temporal impact of trades-through indicates a decrease faster than exponential, and closer to a power-law. The last chapter recalls a general statistical method robust to market microstructure noise to find jumps in prices/returns time series. We generalize the empirical results already known in the literature to new financial indices and we adapt this statistical jump detection method to intraday trajectories in order to obtain the intraday proportion of detected jumps. Extreme values and biggest intraday variations of this jump proportion occurs at very specific hours of the day (14:30, 15:00 and 16:30, Paris time reference), already linked with trades-through. Using trades-through, we explain the main characteristics of the intraday proportion of detected jumps with the test using a modification in the relative importance of each jump component in the assets trajectories (the continuous moves component and the pure-jumps component).

Uma correta especificação das funções densidade de probabilidade (fdp’s) de retornos de ativos é um tópico dos mais relevantes na literatura de modelagem econométrica de dados financeiros. A presente dissertação propõe-se a oferecer, neste âmbito, uma abordagem distinta, através de uma aplicação da metodologia desenvolvida em Bathia et al. (2010) a dados intradiários do índice bovespa. Esta abordagem consiste em focar a análise diretamente sobre a estrutura dinâmica das fdp’s dos retornos, enxergando-as como uma sequência de variáveis aleatórias que tomam valores em um espaço de funções. A dependência serial existente entre essas curvas permite que se obtenham estimativas filtradas das fdp’s, e mesmo que se façam previsões sobre densidades de períodos subsequentes à amostra. No artigo que integra esta dissertação, onde é feita a mencionada aplicação, encontrou-se evidência de que o comportamento dinâmico das fdp’s dos retornos do índice bovespa se reduz a um processo bidimensional, o qual é bem representado por um modelo var(1) e cuja dinâmica afeta a dispersão e a assimetria das distribuições no suceder dos dias. Ademais, utilizando-se de subamostras, construíram-se previsões um passo à frente para essas fdp’s, e avaliaram-se essas previsões de acordo com métricas apropriadas. / Adequate specification of the probability density functions (pdf’s) of asset returns is a most relevant topic in econometric modelling of financial data. This dissertation aims to provide a distinct approach on that matter, through applying the methodology developed in Bathia et al. (2010) to intraday bovespa index data. This approach consists in focusing the analysis directly on the dynamic structure of returns fdp’s, seeing them as a sequence of function-valued random variables. The serial dependence of these curves allows one to obtain filtered estimates of the pdf’s, and even to forecast upcoming densities. In the paper contained into this dissertation, evidence is found that the dynamic structure of the bovespa index returns pdf’s reduces to a R2-valued process, which is well represented by a var(1) model, and whose dynamics affect the dispersion and symmetry of the distributions at each day. Moreover, one-step-ahead forecasts of upcoming pdf’s were constructed through subsamples and evaluated according to appropriate metrics.

Le sujet de cette thèse est l'inférence statistique de processus d'Ornstein-Uhlenbeck multi-dimensionnels. Dans une première partie, nous introduisons un modèle de graphes stochastiques définis comme observations binaires de trajectoires. Nous montrons alors qu'il est possible de déduire la dynamique de la trajectoire sous-jacente à partir des observations binaires. Pour ceci, nous construisons des statistiques à partir du graphe et montrons de nouvelles propriétés de convergence dans le cadre d'une observation en temps long et en haute fréquence. Nous analysons aussi les propriétés des graphes stochastiques du point de vue des réseaux évolutifs. Dans une deuxième partie, nous travaillons sous l'hypothèse d'information complète et en temps continu et ajoutons une hypothèse de sparsité concernant le paramètre de textit{drift} du processus d'Ornstein-Uhlenbeck. Nous montrons alors des propriétés d'oracle pointues de l'estimateur Lasso, prouvons une borne inférieure sur l'erreur d'estimation au sens minimax et démontrons des propriétés d'optimalité asymptotique de l'estimateur Lasso Adaptatif. Nous appliquons ensuite ces méthodes pour estimer la vitesse de retour à la moyenne des retours journaliers d'actions américaines ainsi que des prix de futures de dividendes pour l'indice EURO STOXX 50. / The subject if this thesis is the statistical inference of multi-dimensional Ornstein-Uhlenbeck processes. In a first part, we introduce a model of stochastic graphs, defined as binary observations of a trajectory. We show then that it is possible to retrieve the dynamic of the underlying trajectory from the binary observations. For this, we build statistics of the stochastic graph and prove new results on their convergence in the long-time, high-frequency setting. We also analyse the properties of the stochastic graph from the point of view of evolving networks. In a second part, we work in the setting of complete information and continuous time. We add then a sparsity assumption applied to the drift matrix coefficient of the Ornstein-Uhlenbeck process. We prove sharp oracle inequalities for the Lasso estimator, construct a lower bound on the estimation error for sparse estimators and show optimality properties of the Adaptive Lasso estimator. Then, we apply the methods to estimate mean-return properties of real-world financial datasets: daily returns of SP500 components and EURO STOXX 50 Dividend Future prices.

Diese Dissertation entwickelt neue lokal adaptive Methoden zur Schaetzung und Vorhersage von Zeitreihendaten. Diese Methoden sind fuer die Volatilitaetsschaetzung von Finanzmarktrenditen und fuer Regressions- und Autoregressionsprobleme konstruiert worden. Die vorgeschlagenen Ansaetze werden als lokal adaptiv bezeichnet, denn, anstatt einen globalen datenerzeugenden Prozess aufzuzwingen, welcher durch eine endliche Anzahl von Parametern beschrieben werden kann, nehmen sie nur an, dass Beobachtungen, welche chronologisch nah bei einander liegen, durch einen konstanten Prozess gut approximiert werden koennen. Diese Prozeduren sind adaptiv, weil sie fuer jede Beobachtung in einer datengesteuerten Art und Weise das Intervall der Zeithomogenitaet,d.h. die Anzahl der chronologisch benachbarten und homogen vergangenen Daten, aussuchen, fuer welchen die Hypothese einer konstanten Struktur nicht verworfen werden kann. Nichtasymptotische theoretische Ergebnisse werden hergeleitet, welche die Optimalitaet der betrachteten Algorithmen zeigen. Vergleiche mit Standardansaetzen verdeutlichen, dass die neuen Prozeduren sich kompetitiv verhalten und eine nuetzliche Alternative bieten, ausserdem liefern intensive Simulationsstudien und Anwendungen an reellen Daten gute Ergebnisse und bezeugen dabei ihre Effektivitaet und praktische Relevanz. / This thesis develops new locally adaptive methods for estimation and forecasting of financial time series data. These methods are mainly tailored for volatility estimation of financial returns and for regression and autoregression problems. The proposed approaches are defined locally adaptive because instead of imposing a stationary data generating process which can be globally described by a finite number of parameters, they only assume that observations which are chronologically close to each other can be well approximated by a constant process. These procedures are adaptive in the sense that for each observation they choose in a data driven way the interval of time homogeneity, i.e. the number of chronologically close and homogeneous past data where the hypothesis of a constant structure can not be rejected. Nonasymptotic theoretical results are derived, which show the optimality of the suggested algorithms. Comparisons with standard approaches demonstrate that the new procedures behave competitively and offer a valuable alternative, furthermore, intensive simulation studies and applications to real data provide good results, confirming their effectiveness and practical relevance.

This work collected four years of financial data from an employee-owned firm and a traditionally-owned firm from the same industry. The data were then organized to provide measures of three dimensions of corporate performance: (1) employee turnover, (2) productivity, and (3) profitability. Based upon a review of the literature, employee stock ownership plans (ESOP) are reported to enhance corporate performance after their adoption. Additionally, ESOPs are purported to perform better than traditionally-owned companies. This dissertation developed hypotheses to ascertain whether or not the particular ESOP used in this study conformed to these expectations. The first set of three hypotheses was tested using multiple regression techniques to determine if the ESOP experienced a reduction in turnover, an improvement in productivity, and an increase in profitability following its conversion to employee-ownership. The results of the regressions found that there was no incremental significance. There was no improvement noted in the performance of the ESOP firm. Another component of this investigation was to determine whether improvements in corporate performance were temporary or permanent phenomena. This portion of the research was rendered superfluous when no improvements were available for analysis. The final question that was examined was whether the ESOP would demonstrate better performance than a traditionally-owned control firm during the post-intrusion period. There was no significant difference discovered in productivity and profitability. A marked difference was identified in terms of turnover. However, it was the traditionally-owned firm which performed better than the employee-owned firm—the opposite of what was predicted. These findings, although interesting, had to be evaluated as inconclusive because of innate differences between the treatment and control firms. The variance between the two companies may be attributed to such factors as company size and marked differences in their respective labor markets. The ESOP used in this study did not demonstrate any of the changes in performance that had been predicted.

Heteroscedasticity (or time-dependent volatility) in economic and financial time series has been recognized for decades. Still, heteroscedasticity is surprisingly often neglected by practitioners and researchers. This may lead to inefficient procedures. Much of the work in this thesis is about finding more effective ways to deal with heteroscedasticity in economic and financial data. Paper I suggest a filter that, unlike the Box-Cox transformation, does not assume that the heteroscedasticity is a power of the expected level of the series. This is achieved by dividing the time series by a moving average of its standard deviations smoothed by a Hodrick-Prescott filter. It is shown that the filter does not colour white noise. An appropriate removal of heteroscedasticity allows more effective analyses of heteroscedastic time series. A few examples are presented in Paper II, III and IV of this thesis. Removing the heteroscedasticity using the proposed filter enables efficient estimation of the underlying probability distribution of economic growth. It is shown that the mixed Normal - Asymmetric Laplace (NAL) distributional fit is superior to the alternatives. This distribution represents a Schumpeterian model of growth, the driving mechanism of which is Poisson (Aghion and Howitt, 1992) distributed innovations. This distribution is flexible and has not been used before in this context. Another way of circumventing strong heteroscedasticity in the Dow Jones stock index is to divide the data into volatility groups using the procedure described in Paper III. For each such group, the most accurate probability distribution is searched for and is used in density forecasting. Interestingly, the NAL distribution fits best also here. This could hint at a new analogy between the financial sphere and the real economy, further investigated in Paper IV. These series are typically heteroscedastic, making standard detrending procedures, such as Hodrick-Prescott or Baxter-King, inadequate. Prior to this comovement study, the univariate and bivariate frequency domain results from these filters are compared to the filter proposed in Paper I. The effect of often neglected heteroscedasticity may thus be studied.

This dissertation is seen as a contribution to the field of enterprise resource planning systems (ERP) and their application in regional science. The main objective is to demonstrate the possibility of using accounting data of enterprise information systems for regional evaluation, for example, regional statistics, identifying agglomeration and economic analysis of some spatial dependency of economic activities, through a set of accounting data obtained from business entities. The dissertation is divided into two parts - theoretical framework and practical part. The theoretical framework provides a theoretical basis for the definition of information society, ERP, their structure and deployment of ERP in the EU regions, including the use of accounting data from the ERP for the regional evaluation. It also contains a definition of the region and regional relations as part of a regional policy. Regional statistics and the comparison of regional indicators, definitions of economic clusters, enterprise networking and methodology of identification of economic agglomerations are explained in another part dissertation. Interpretation of statistical methods are then used in the practical part of the dissertation. In the practical part is then performed identification of economic agglomerations, derived from accounting data of enterprise resource planning systems, 27 randomly selected enterprises with nationwide coverage in ČR, regardless of the branch structure, followed by an analysis of the spatial dependence of sales and purchases to the distance.

Confrontées à des environnements d’affaires toujours plus turbulents, les firmes doiventredoubler d’efforts pour se doter de moyens leur permettant de se saisir pleinement de ces évolutions.L’intelligence technologique, en tant que vecteur de connaissances sur les dynamiques d’innovation,constitue un instrument au service des firmes afin d’orienter leurs activités économiques.L’enjeu de cette thèse, financée par le Groupe PSA, est de participer au renforcement des pratiquesd’intelligence technologique d’un grand groupe industriel.La première partie de cette thèse vise à rendre l’intelligence technologique plus intelligible afind’asseoir la légitimité de son intégration effective dans les processus des firmes. Pour cela, nousmobilisons les éléments théoriques du référentiel des ressources et compétences de la firme afind’apporter des éléments de réponse à trois problématiques. Pourquoi la compréhension del’environnement externe relève d’une nécessité pour la firme ? Quel statut au sein de la firme octroyerà cette aptitude de compréhension ? Et enfin, quels sont les apports concrets de l’intelligencetechnologique pour le management stratégique et opérationnel de l’innovation ?L’opérationnalisation de l’intelligence technologique est au coeur de la seconde partie de cette thèsequi s’attache à améliorer les pratiques de collecte de matériaux informationnels sur l’environnementexterne. Plus précisément, elle ambitionne non seulement de déterminer l’apport informationnel desdonnées brevet et de données actuellement peu exploitées, à savoir les données financières, maiségalement de formuler des recommandations opérationnelles pour leur exploitation / Challenged by turbulent environment, firms are driven to make extra efforts in order tothrive. Technology intelligence, as a vector of knowledge of innovation dynamics, constitutes aninstrument at the firms’ disposal to help steer their economic activities.The aim of this thesis, funded by Groupe PSA, is to participate in the enhancement of theimplementation of technology intelligence within large industrial groups.The first part of this Ph.D. thesis aims at making technology intelligence more comprehensible inorder to reinforce its purposes in the innovation process of firms.To this end, we will call upon theoretical elements from the resources and competencies based view ofthe firm in order to answer three questions: Why is the understanding of the external environment ofthe firm a necessity? What is its place within the organization of the firm? What is the significance oftechnological intelligence for strategic and operational management of innovation?By putting technology intelligence into practice, the second part of this thesis focuses on improvingcollection methods of data required for the analysis of the external environment of the firm. Moreprecisely, the intent is not only to determine the informational benefits of patent data and the seldomused financial data, but also to make practical recommendations for their exploitation.