In this study, we consider high frequency transaction data of NYSE, and apply statistical methods to characterize each trade into two classes, influential and ordinary liquidity trades. First, a median based approach is used to establish a high R-square price-volume model for high frequency data. Next, transactions are classified into four states based on the trade price, trade volume, quotes, and quoted depth. Volume weighted transition probability of the four states are investigated and shown to be distinct for informed trades and ordinary liquidity trades. Furthermore, four market reaction factors are introduced and studied. Logistic regression models of the influential trades are established based on the four factors and odds ratios are used to select the cutoff points.

We have been actively involved in the research and management activities of European Co-Operation in the Field of Scientific and Technical Research (EU COST) actions such as COST 238 Prediction and Retrospective Ionospheric Modeling over Europe (PRIME), COST 251 Improved Quality of Service in Ionospheric Telecommunication System Planning and Operation, COST 271 Effects of the Upper Atmosphere on Terrestrial and Earth-Space Communications, COST 296 Mitigation of Ionospheric Effects on Radio Systems (MIERS) and COST 724 Developing the Scientific Basis for Monitoring, Modeling and Predicting Space Weather. In this thesis High Frequency (3-30 MHz) (HF) radar system under ionospheric disturbances has been identified globally and some operational suggestions have been presented. The use of HF radar system is considered from the identification of ionospheric propagation medium point of view. Doppler velocity is considered as the characteristic parameter of the propagation medium. ap index is chosen as the parameter for disturbance characterization due to geomagnetic storms in the ionosphere. The main difficulty is the scarcity of data, which is rare and confidential. Therefore semi-synthetic data are generated. Dependence of Doppler velocity and group range of the echo signal on ap index is examined and some details of dependence are studied and demonstrated. Thus, effects of space weather on the ionosphere and as a result on HF radar wave propagation are displayed. These results are examples of system identification. This can be used in communication system planning and operation.

In recent years, especially in the crowded city-centers where land prizes have become extremely high, tall buildings with more than 30 floors have started to be designed and constructed in Turkey. On the other hand, the technical improvements have provided the opportunity of design and construction of more slender structures which are influenced by the wind actions more. If the building is flexible, wind can interact with it so the wind induced oscillations can be significantly magnified. In order to analyze the response of such buildings under wind effects, wind tunnel tests are accepted to be the most powerful tool all over the world. In this study, a series of tests were performed in Ankara Wind Tunnel on a model building in the shape of a rectangular prism. For the similitude of flow conditions, passive devices were designed. The response of the model building was measured through a high frequency base balance which was designed specifically for this case study. Through the tests, the effects of turbulence intensity, vortex shedding and wind angle of attack on the response of the building were questioned. Finally, the results were compared with the results of various technical specifications about wind.

In this paper, we investigate the problem of estimating the autocorrelation of squared returns modeled by diffusion processes with data observed at non-equi-spaced discrete times. Throughout, we will suppose that the stock price processes evolve in continuous time as the Heston-type stochastic volatility processes and the transactions arrive randomly according to a Poisson process. In order to estimate the autocorrelation at a fixed delay, the original non-equispaced data will be synchronized. When imputing missing data, we adopt the previous-tick interpolation scheme. Asymptotic property of the sample autocorrelation of squared returns based on the previous-tick synchronized data will be investigated. Simulation studies are performed and applications to real examples are illustrated.

Micromachined gyroscopes are attractive replacements to conventional macro-mechanical and optical gyroscopes due to their small size, low power and low cost. The application domain of these devices is quickly expanding from automotive to aerospace and consumer electronics industries. As potential high volume consumer applications for micromachined gyroscopes continue to emerge, design and manufacturing techniques that improve their performance, shock survivability and reliability without driving up the cost and size become important. Today, state-of-the-art micromachined gyroscopes can achieve high performance with low frequency operation (3-30kHz) but at the cost of large form factor, large operating voltages and high vacuum packaging. At the same time, most consumer applications require gyroscopes with fast response time and high shock survivability, which are generally unavailable in low frequency gyroscopes. As a result, innovative designs and fabrication technologies that will offer more practical gyroscopes are desired. In this dissertation, capacitive bulk acoustic wave (BAW) silicon disk gyroscopes are introduced as a new class of micromachined gyroscope to investigate the operation of Coriolis-based vibratory gyroscopes at high frequency and further meet consumer electronics market demands. Capacitive BAW gyroscopes, operating in the frequency range of 1-10MHz are stationary devices with vibration amplitudes less than 20nm, resulting in high device bandwidth and high shock tolerance. They require low operating voltages, which simplifies the interface circuit design and implementation in standard CMOS technologies. They also demonstrate appropriate thermally stable performance in air, which eliminates the need both for vacuum packaging and for temperature control. A revised high aspect ratio poly- and single crystal silicon (HARPSS) process was utilized to implement these devices in thick SOI substrates with very small capacitive gap sizes (~200 nm). The prototype devices show ultra-high quality factors (Q>200,000) and large bandwidth of 15-30Hz. In addition, the design and implementation of BAW disk gyroscopes are optimized for self-matched mode operation. Operating a vibratory gyroscope in matched mode is a straightforward way to improve performance parameters but, is challenging to achieve without applying large voltages. In this work, self-matched mode operation was provided by enhanced design of the perforations of the disk structure. Furthermore, a multi-axis BAW gyroscope, an extension of the z-axis, is developed. This novel approach avoids the issues associated with integrating multiple proof masses, permitting a very small form factor. The multi-axis gyroscopes operate in out-of plane and in-plane modes to measure the rotation rate around the x- and z-axes. These gyroscopes were also optimized to achieve self-matched mode operation in their both modes.

Selective stimulation and conduction block of specific nerve fibers has been a major area of research in neuroscience. The potential clinical and neurophysiological applications have warranted reliable techniques for transiently blocking conduction through nerves. High Frequency Alternating Current (HFAC) waveforms have been found to induce a reversible and repeatable block in peripheral nerves; however the effect of these waveforms on the neural activity of individual fiber types is currently unknown. Understanding this effect is critical if clinical applications are to be pursued. This dissertation work utilized extracellular electrophysiological techniques to characterize the activity of different fiber type populations in peripheral nerves during application of HFAC waveforms. First, we investigated the phenomenon in the homogeneous unmyelinated nerves of the sea-slug, Aplysia californica. Although complete reversible block was demonstrated in these nerves, a non-monotonic relationship of block threshold to frequency was found which differed from previously published work in the field. We then investigated the effect of HFAC waveforms on amphibian mixed nerves and studied the response of specific fiber types by isolating different components of the compound action potential. We validated our results from the Aplysia nerves by determining the block thresholds of the larger diameter, myelinated A-fibers and comparing them with those of the smaller diameter, unmyelinated C-fibers. We also showed that block threshold behavior during application of the HFAC waveform depends on the nerve fiber type, and this property can be used to selectively block specific fiber types. Finally, we examined the recovery time after block induction in unmyelinated nerves and found that recovery from block was dependent on the duration of application of the HFAC waveform. The time-dependent distribution of the recovery time and the non-monotonic threshold behavior in the smaller diameter unmyelinated nerves indicate that multiple mechanisms are involved in block induction using HFAC waveforms, and these mechanisms are dependent not only on the blocking stimulus but also on the characteristics of the nerve fiber. Overall, this work demonstrates that HFAC waveforms may enable inherent peripheral nerve properties to be exploited for potential clinical applications related to the treatment of unwanted neural activity.

Computer simulation of wave propagation is an active research area as wave phenomena are prevalent in many applications. Examples include wireless communication, radar cross section, underwater acoustics, and seismology. For high frequency waves, this is a challenging multiscale problem, where the small scale is given by the wavelength while the large scale corresponds to the overall size of the computational domain. Research into wave equation modeling can be divided into two regimes: time domain and frequency domain. In each regime, there are two further popular research directions for the numerical simulation of the scattered wave. One relies on direct discretization of the wave equation as a hyperbolic partial differential equation in the full physical domain. The other direction aims at solving an equivalent integral equation on the surface of the scatterer. In this dissertation, we present three new techniques for the frequency domain, boundary integral equations. / text

Spin torque oscillators (STOs) are microwave oscillators with an attractive blend of features, including a more-than-octave tunability, GHz operating frequencies, nanoscale size, nanosecond switching speed and full compatibility with CMOS technology. Over the past decade, STOs' physical phenomena have been explored to a greater extent, their performance has been further improved, and STOs have already shown great potential for a wide range of applications, from microwave sources and detectors to neuromorphic computing. This thesis is devoted to promoting the STO technology towards its applications, by means of implementing the STO's electrical model, dedicated CMOS integrated circuits (ICs), and STO-CMOS IC integration. An electrical model, which can capture magnetic tunnel junction (MTJ) STO's characteristics, while enabling system- and circuit-level designs and performance evaluations, is of great importance for the development of MTJ STO-based applications. A comprehensive and compact analytical model, which is based on macrospin approximations and can fulfill the aforementioned requirements, is proposed. This model is fully implemented in Verilog-A, and can be used for efficient simulations of various MTJ STOs. Moreover, an accurate phase noise generation approach, which ensures a reliable model, is proposed and successfully used in the Verilog-A model implementation. The model is experimentally validated by three different MTJ STOs under different bias conditions. CMOS circuits, which can enhance the limited output power of MTJ STOs to levels that are required in different applications, are proposed, implemented and tested. A novel balun-low noise amplifier (LNA), which can offer sufficient gain, bandwidth and linearity for MTJ STO-based magnetic field sensing applications, is proposed. Additionally, a wideband amplifier, which can be connected to an MTJ STO to form a highly-tunable microwave oscillator in a phase-locked loop (PLL), is also proposed. The measurement results demonstrate that the proposed circuits can be used to develop MTJ STO-based magnetic field sensing and microwave source applications. The investigation of possible STO-CMOS IC integration approaches demonstrates that the wire-bonding-based integration is the most suitable approach. Therefore, a giant magnetoresistance (GMR) STO is integrated with its dedicated CMOS IC, which provides the necessary functions, using the wire-bonding-based approach. The RF characterization of the integrated GMR STO-CMOS IC system under different magnetic fields and DC currents shows that such an integration can eliminate wave reflections. These findings open the possibility of using GMR STOs in magnetic field sensing and microwave source applications. / <p>QC 20151112</p>

Στην παρούσα εργασία γίνεται μελέτη της χρήσης διηλεκτρικών υλικών για τη βελτίωση των απεικονιστικών ιδιοτήτων της εστιασμένης μικροκυματικής ραδιομετρίας, όπωςείναι η χωρική διακριτική ικανότητα και το βάθος διείσδυσης της ακτινοβολίας. Με τη βοήθεια του λογισμικού HFSS (High Frequency Structure Simulation) το οποίο βασίζεται στη μέθοδο των πεπερασμένων στοιχείων, μελετώνται διάφορες υλοποιήσεις με τη χρήση των διηλεκτρικών. Τοποθετούνται διηλεκτρικά στρώματα βηματικού δείκτη διάθλασης γύρω από το κεφάλι και διηλεκτρικά στρώματα γύρω από την κεραία. Επίσης σε μια άλλη προσέγγιση του προβλήματος, το κεφάλι τοποθετείται σε ομοιογενή σφαίρα διηλεκτρικού ώστε να επιτευχθεί ευκολότερη και πιο αξιόπιστη εστίαση. Τέλος εξετάζεται η περίπτωση λειτουργίας του MiRaIS με τη χρήση κατευθυντήριας κεραίας τεχνολογίας microstrip, αντί για παγκατευθυντικό δίπολο. Σε κάθε προσέγγιση αξιολογούνται και συγκρίνονται τα αριθμητικά αποτελέσματα όλων των συχνοτήτων που δοκιμάζονται (500MHz-2GHz). / -

Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model defined as the maximum future loss due to likely changes in the value of financial assets portfolio during a certain period with a certain probability. A new definition of the aggregated VaR is given and the empirical study about different currencies position VaR estimates’ dependence on data aggregation functions (pointwise, maximum value, minimum value and average value) is provided. Functional ρ−GARCH(1,1) model is introduced and theorems of the stationary solution existence and maximum likelihood estimators of model parameters consistency are proved. Additionally, some examples of the model taking known density function of aggregated observations are given. Next, the general Hilbert space valued time series is presented and GARCH(1,1) model with univariate volatility is investigated. Theorems of the stationary solution existence, maximum likelihood estimators of model parameters consistency and asymptotic normality are proved; the analysis of residuals is provided. In the last chapter of the thesis the empirical study about Hurst index intraday value dependence on data aggregation taking different foreign currencies’ absolute returns is presented. / Disertacijoje nagrinėjamas vertės pokyčio rizikos modelis. Tai toks statistinis modelis, kurį taikant su tam tikra tikimybe įvertinamas didžiausias galimas nustatyto laikotarpio nuostolis, kredito įstaigos patiriamas dėl neigiamų taikomos finansinės priemonės vertės pokyčių. Apibrėžiamas agreguotų duomenų vertės pokyčio rizikos modelis ir pateikiamas praktinis tyrimas apie valiutų pozicijos vertės pokyčio rizikos modelio įvertinių priklausomybę nuo duomenų agregavimo taisyklės (pataškio, didžiausios vertės, mažiausios vertės ir vidutinės vertės). Kitame disertacijos skyriuje pristatomas naujas funkcinis ρ−GARCH(1,1) modelis, įrodomos stacionaraus sprendinio egzistavimo ir didžiausio tikėtinumo metodu įvertintų parametrų suderinamumo teoremos. Taip pat pateikiama keletas apibrėžtojo modelio pavyzdžių, kai žinoma agreguotų grąžų tankio funkcija. Disertacijoje apibrėžiamas Hilberto erdvės GARCH(1,1) modelis su vienmačiu kintamumu. Nagrinėjamos modelio savybės ir įrodomos stacionaraus sprendinio egzistavimo, didžiausio tikėtinumo metodu vertinamų parametrų suderinamumo ir asimptotinio normalumo teoremos, atliekama liekanų analizė. Paskutiniame disertacijos skyriuje aprašomas atliktas empirinis tyrimas apie Hursto indekso, kaip ilgos atminties parametro, priklausomybę nuo agregavimo taisyklės dienos metu, pasitelkiant absoliučias valiutų kursų grąžas.