Volatility is an important measure of stock market performance. Competing securities market makers keep abreast of the pace of volatility change by adjusting the bid-ask spreads and bid/ask quotes properly and efficiently. For intradaily high frequency transaction data, the observed volatility of stock returns can be decomposed into the sum of the two components - the realized volatility and the volatility due to microstructure noise. The quote adjustments of the market makers comprise part of the microstructure noise. In this study, we define the ratio of the realized integrated volatility to the observed squared returns as the proportion of realized integrated volatility (PIV). Time series models with generalized error distributed innovations are fitted to the PIV data based on 70-minute returns of NYSE tick-to-tick transaction data. Both retrospective and dynamic online control charts of the PIV data are established based on the fitted time series models. The McNemar test supports that the dynamic online control charts have the same power of detecting out of control events as the retrospective control charts. The Wilcoxon signedrank test is adopted to test the differences between the changes of the market maker volatility and the realized volatility for in-control and out-of-control periods, respectively. The results reveals that the points above the upper control limit are related to the situation when the market makers can not keep up with the realized integrated volatility, whereas the points below the lower control limit indicate excessive reaction of the the market makers.

The South China Sea is a marginal basin with a complex circulation influenced by the East Asian Monsoon, river discharge and intricate bathymetry. As a result, both the mesoscale eddy field and the near-inertial energy distribution display large spatial variability and they strongly influence the oceanic transport and mixing. With an ensemble of numerical integrations using a regional ocean model, this work investigates how the temporal resolution of the atmospheric forcing fields modifies the horizontal and vertical velocity patterns and impacts the transport properties in the basin. The response of the mesoscale circulation in the South China Sea is investigated under three different forcing conditions: monthly, daily and six-hourly momentum and heat fluxes. While the horizontal circulation does not display significant differences, the representation of the vertical velocity field displays high sensitivity to the frequency of the wind forcing. If the wind field contains energy at the inertial frequency or higher (daily and six-hourly cases), then Vortex Rossby waves and near inertial waves are excited as ageostrophic expression of the vigorous eddy field. Those waves dominate the vertical velocity field in the mixed layer (vortex Rossby waves) and below the first hundred meters (near inertial waves) and they are responsible for the differences in the vertical transport properties under the various forcing fields as quantified by frequency spectra, vertical velocity profiles and vertical dispersion of Lagrangian tracers.

<p>This thesis concerns the numerical simulation of creeping rays and their contribution to high frequency scattering problems.</p><p>Creeping rays are a type of diffracted rays which are generated at the shadow line of the scatterer and propagate along geodesic paths on the scatterer surface. On a perfectly conducting convex body, they attenuate along their propagation path by tangentially shedding diffracted rays and losing energy. On a concave scatterer, they propagate on the surface and importantly, in the absence of dissipation, experience no attenuation. The study of creeping rays is important in many high frequency problems, such as design of sophisticated and conformal antennas, antenna coupling problems, radar cross section (RCS) computations and control of scattering properties of metallic structures coated with dielectric materials.</p><p>First, assuming the scatterer surface can be represented by a single parameterization, we propose a new Eulerian formulation for the ray propagation problem by deriving a set of <i>escape </i>partial differential equations in a three-dimensional phase space. The equations are solved on a fixed computational grid using a version of fast marching algorithm. The solution to the equations contain information about all possible creeping rays. This information includes the phase and amplitude of the ray field, which are extracted by a fast post-processing. The advantage of this formulation over the standard Eulerian formulation is that we can compute multivalued solutions corresponding to crossing rays. Moreover, we are able to control the accuracy everywhere on the scatterer surface and suppress the problems with the traditional Lagrangian formulation. To compute all possible creeping rays corresponding to all shadow lines, the algorithm is of computational order O(<i>N</i>³ log <i>N</i>), with<i> N</i>³ being the total number of grid points in the computational phase space domain. This is expensive for computing the wave field for only one shadow line, but if the solutions are sought for many shadow lines (for many illumination angles), the phase space method is more efficient than the standard methods such as ray tracing and methods based on the eikonal equation.</p><p>Next, we present a modification of the single-patch phase space method to a multiple-patch scheme in order to handle realistic problems containing scatterers with complicated geometries. In such problems, the surface is split into multiple patches where each patch has a well-defined parameterization. The escape equations are solved in each patch, individually. The creeping rays on the scatterer are then computed by connecting all individual solutions through a fast post-processing.</p><p>We consider an application to mono-static radar cross section problems where creeping rays from all illumination angles must be computed. The numerical results of the fast phase space method are presented.</p>

Dans cette thèse, nous présentons des méthodes asymptotiques <br />mathématiquement justifiées permettant de connaître les champs <br />électromagnétiques dans des milieux à couches minces hétérogènes. <br />La motivation de ce travail est le calcul du champ électrique dans des <br />cellules biologiques composées d'un cytoplasme conducteur entouré <br />d'une fine membrane très isolante. <br />Nous remplaçons la membrane, lorsque son épaisseur est infiniment <br />petite, par des conditions de transmission ou des conditions aux <br />limites appropriées et nous estimons l'erreur commise par ces <br />approximations.<br /> Pour les basses fréquences, nous considérons l'équation quasistatique<br />donnant le potentiel dont dérive le champ. A l'aide d'un <br />calcul en géométrie circulaire nous obtenons les expressions explicites<br /> du potentiel et nous en déduisons les asymptotiques du champ <br />électrique, en fonction de l'épaisseur de la couche mince, avec des <br />estimations de l'erreur. Nous estimons ensuite la différence entre le <br />champ réel et le champ statique. Puis nous généralisons notre <br />développement asymptotique à une géométrie quelconque. <br /> La deuxième partie de cette thèse traite des moyennes fréquences : <br />nous donnons le développement asymptotique de la solution de <br />l'équation de Helmholtz lorsque l'épaisseur de la membrane tend vers <br />0. Tous ces précédents résultats sont illustrés par des calculs par <br />éléments finis.<br /> Enfin, pour les hautes fréquences, nous construisons une condition <br />d'impédance pseudodifférentielle permettant de concentrer l'effet de <br />la couche sur son bord intérieur. Nous concluons cette thèse par un <br />problème de diffraction à haute fréquence d'une onde incidente par <br />un disque de petite taille. A l'aide d'une analyse pseudodifférentielle, <br />nous bornons la norme de la trace du champ diffracté à distance fixe <br />de l'inhomogénéité en fonction de la taille de l'objet et de l'onde <br />incidente.

Syfte: Högfrekvenshandel har på senare år varit ett omdiskuterat och kontroversiellt ämne. Fenomenet har genomgått omfattande granskning och åsikterna kring dess påverkan på marknaden och dess aktörer går isär. Då tidigare forskning främst genomförts på den amerikanska marknaden är syftet med den här studien att bistå med en djupare insikt kring denna typ av handel och dess avtryck på den svenska finansmarknaden. Metod: För att behandla syftet har en kvalitativ studie av högfrekvenshandel med en deduktiv ansats genomförts. Teori: Studien utgår från Rational Choice Theory, Effektiva marknadshypotesen och tidigare forskning inom ämnet. Med hjälp av det teoretiska ramverket har studien analyserat det empiriska underlaget. Relevanta aspekter har identifierats som kan förklara varför studiens respondenter har ett specifikt förhållningssätt gentemot högfrekvenshandel. Empiri: Studien består av en dokumentstudie och fyra semistrukturerade intervjuer med intressenter på den svenska finansmarknaden. Intervjuerna ämnar identifiera de olika intressenternas förhållningssätt gentemot högfrekvenshandel och dess bakomliggande orsaker. Slutsats: Studien har kommit fram till att förhållningssättet gentemot högfrekvenshandel står i relation till vilken typ av verksamhet som intressenten bedriver. Vidare kan det konstateras att tidigare forskning till stor del går att applicera på den svenska marknaden. / Purpose: In recent years, High Frequency Trading has been a widely debated and controversial topic. The phenomenon has been subject to extensive examination and the opinions regarding its effect on the financial markets are inconsistent. Previous research has foremost been conducted on the American financial market. Thus the purpose of this thesis is to contribute with deeper insight regarding this kind of trading and its impact on the Swedish financial market. Method: To address the purpose of this thesis, a qualitative study with a deductive approach has been conducted. Theory: The thesis emanates from Rational Choice Theory, The Efficient Market Hypothesis and previous research within the field. Using the theoretical framework, the thesis has analyzed the empirical data. Relevant aspects has been identified which can explain why the thesis’ respondents has a specific approach towards High Frequency Trading. Empirics: The thesis consists of a document study and four semi structured interviews with stakeholders on the Swedish financial market. Through these interviews, the thesis aims to identify the stakeholders’ different approaches towards High Frequency Trading and what might cause this particular point of view. Conclusion: The thesis can conclude that the approach towards High Frequency Trading is correlated to the type of operation conducted by the respondent. Furthermore, it can be concluded that previous research in general is applicable on the Swedish financial market.

In this research, in order to realize such nanolaminated magnetic cores for high frequency and high power conversion, the following key tasks have been accomplished: 1) electrodeposition of metallic alloy materials such as NiFe, CoNiFe, and anisotropic CoNiFe; 2) development of new fabrication technologies to realize nanolaminated cores based on metallic alloy electrodeposition; 3) reliable characterization of the structural, magnetic, and electrical properties of the nanolaminated metallic alloy cores; 4) development of microfabricated inductor windings to integrate the nanolaminated cores; 5) demonstration of high-frequency and high-flux ultracompact DC-DC power conversion using inductors integrated with nanolaminated metallic alloy cores. By achieving these tasks, nanolaminated cores comprising tens to hundreds of layers of metallic alloy films (Ni80Fe20 and Co44Ni37Fe19) has been developed. The fabricated nanolaminated core consists of sufficiently thin nanolaminations (100 – 1000 nm) that can suppress eddy currents in the MHz range, while simultaneously achieving the overall magnetic thickness (35 – 2000 µm) such that substantial power can be handled. The nanolaminated metallic alloy cores were further integrated into microfabricated inductors using CMOS-compatible fabrication processes. Finally, an ultracompact DC-DC buck converter with the nanolaminated metallic alloy cores has been developed on PCB having footprint of 14 × 7.1 mm2. The input voltage of the converter varied from 30 to 70 V and the output voltage was fixed at 20 V. The converter operated with output power of approximately 11 W and the switching frequencies of 0.7 – 1.4 MHz, demonstrating conversion efficiency of 94.2% at 30 V input and 80.8% at 60 V input.

Three related electromagnetic scattering problems, namely, high frequency electromagnetic (EM) ray tracing, scattering feature extraction, and inverse scattering are studied in this dissertation. New approaches are presented to advance the state of the art in each of the areas. The presented study in electromagnetic ray tracing leads to an alternative ray tracing algorithm which can outperform the traditional algorithms for complex targets. The performance of the proposed techniques demonstrates their potential application to the study of high-frequency EM scattering prediction. Second, a genetic algorithm (GA)-based algorithm with an adaptive-feeding technique is developed to simultaneously extract both scattering centers and resonances. Scattering feature extraction algorithms are then developed with the consideration of the visibility of scattering centers. Inverse scattering problems with strong multiple scattering effects are also studied. A GA-based method is presented to invert the shapes with multiple scattering effects. An approach combining hybrid GA with the tabu list idea are then developed to further improve the performance of the GA-based inversion algorithms. / text

Phytoplankton mirrors changes in the environment and plays an important role in biogeochemical processes. Phytoplankton dynamics is the outcome of both autogenic succession and external disturbances. This thesis focused on the seasonal variation of water column stability and its effects on phytoplankton, particularly considering the influence of mixing events on phytoplankton development. Lake Erken is a dimictic lake with weak and often interrupted summer stratification, which represents an intermediate case between a polymictic lake and a lake with strong summer stratification. There are two diatom phases annually. The spring bloom is caused by pioneer centric diatoms, and the autumn diatom phase is dominated by meroplanktonic diatoms induced by turnover. A summer Cyanobacteria bloom – mainly Gloeotrichia echinulata, depended on the length and stability of stratification. Winter and spring air temperature is found to play an important role in the annual succession of phytoplankton by initiating changes in ice/snow-cover and lake thermal stability and setting the basic status. Instead of starting from zero, the vernal phytoplankton piles up on the overwintering community, this trans-annual ecological memory influences both the composition and diversity and taxonomic distinctness of spring phytoplankton. Water column stability during summer in Lake Erken is mainly influenced by wind-induced turbulence and internal seiches. As thermal stratification develops from early until late summer, variations in stability and gradual deepening of the thermocline depth influence phytoplankton dynamics directly by changing its distribution, and also indirectly by altering the nutrient and light availability. A new disturbance index (DI) was defined to quantify environmental stability/disturbance and tested well to indicate phytoplankton equilibrium status in two summer stratification periods. The concept of species and functional groups was generally used in this study. However, a next generation sequencing based approach was also tested and proved to provide an excellent candidate for revealing distribution patterns of phytoplankton in inland waters.

Η περιοχή της σχεδίασης ολοκληρωμένων κυκλωμάτων στις RF συχνότητες είναι ιδιαίτερα δυναμική τα τελευταία χρόνια, πράγμα που αποδεικνύεται και από τις πολύ υψηλού επιπέδου δημοσιεύσεις σε ένα από τα πλέον έγκριτα περιοδικά του χώρου, το IEEE Journal of Solid State Circuits - JSSC. Οι προκλήσεις είναι τεράστιες διότι από τη μια μεριά οι τεχνικές ολοκλήρωσης επιφέρουν σμίκρυνση σε βαθιά υπομικρονικές μέχρι νάνο διαστάσεις, ενώ από την άλλη η σχεδίαση των κυκλωμάτων είναι πολύ απαιτητική με πολλές παγίδες λόγω των παρασιτικών φαινομένων που παίζουν τεράστιο ρόλο σε όλα τα μοντέλα. Στα πλαίσια της παρούσας εργασίας επικεντρωνό μαστε στη μελέτη των VCOs (voltage controlled oscillators). Παραθέτουμε τις πλέον σύγχρονες τοπολογίες που χρησιμοποιούνται σήμερα και μελετούμε τη συμπεριφορά τους ως προς το θόρυβο με το πολύ πρόσφατο μοντέλο που βασίζεται στη μέθοδο Impulse Sensitivity function. Εξετάζουμε συν τοις άλλοις τις ιδιαιτερότητες που εμφανίζουν τα παθητικά στοιχεία (πηνίο και πυκνωτής) στις υψηλές συχνότητες. Στη συνέχεια, εφαρμόζουμε τεχνικές βελτιστοποίησης ως προς το θόρυβο φάσης για κάθε μία από τις τοπολογίες, αναδεικνύοντας τους απαιτούμενους συμβιβασμούς στις απαιτήσεις της σχεδίασης και συγκρίνουμε τα αποτελέσματα θεωρίας και εξομοίωσης, τα οποία και συγκλίνουν. Τέλος, παρουσιάζονται και μελετώνται τοπολογίες που παράγουν ορθογώνια σήματα και προτείνεται μια νέα τοπολογία για τον ταλαντωτή Colpitts. / The RF integrated circuits design is an intensively developed region of electronics lately, which is also observed by the high level of publications in the world's most specialized journal of the field. Design challenges are huge due to the sub-micron processes of integration and the increased parasitics of the devices. in this work, the focus was on the study of VCOs (voltage controlled oscillators). We mention the latest topologies that are used nowadays and we study their behavior in terms of noise using the recently developed model of Impulse Sensitivity function. Moreover we examine the particularities of passive elements (inductor and capacitor) in high frequencies. Later, we apply optimization techniques regarding the phase noise, showing the necessary design trade-offs and compare the theoretical and simulation results, which converge. Finally, quadrature signal topologies are presented and studied and a new topology is proposed for Colpitts oscillator.

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