L’érosion hydrique est un processus majeur de dégradation des sols dans le monde avec des conséquences multiples : perte de terres agricoles, envasement des cours d’eau, coulées boueuses. En France, la région Hauts-de-France est la zone la plus touchée par ces pertes en terres qui peuvent dépasser les 10 t ha-1 an-1. Si les processus à l’origine de ces transferts sédimentaires ont été largement étudiés par la communauté scientifique ces dernières années, il reste néanmoins des verrous liés aux variabilités spatio-temporelles. De plus, l’efficacité des politiques récentes de lutte contre l’érosion n’est pas quantifiée. Cette étude propose une analyse de la variabilité spatio-temporelle des transferts sédimentaires selon plusieurs échelles (1-1000 km²), et une première évaluation de l’efficacité des politiques d’aménagement au sein d’un bassin du Nord de la France (la Canche ; 1274 km²). Une station de mesure haute-fréquence, a été implémentée à l’exutoire d’un sous-bassin versant de la Canche (la Pommeroye ; 0,54 km²) pour quantifier les transferts hydro-sédimentaires sur deux années hydrologiques contrastées. Selon nos résultats, les transferts varient de 29,4 à 70 t km-2 an-1. 40% du flux est exporté au cours de 3 épisodes érosifs majeurs (sur 48 enregistrés) et les paramètres forçants sont liés à la durée d’un épisode pluvieux et la quantité de précipitations. Sur ce même bassin, la prédiction spatiale à l’échelle centimétrique des transferts hydro-sédimentaires a pu être effectuée via le nouveau modèle d’érosion des sols WATERSED (BRGM) et l’efficacité d’un plan d’aménagement de lutte contre l’érosion a été quantifiée. Nos résultats permettent de valider l’opérabilité du modèle sur ce territoire. Les transferts sédimentaires à l’échelle du parcellaire agricole peuvent atteindre les 76 t km-2 pour un évènement donné et sont influencés par l’état de surface du parcellaire agricole. Une réduction significative (jusqu’à 84%) des transferts par les aménagements d’hydraulique douce est également observée. A l’échelle du bassin de la Canche, l’utilisation de traceurs chimiques et spectrocolorimétriques dans un modèle de mélange (Sed_Sat ; USGS) a permis d’évaluer d’une part les contributions des affluents de la Canche et d’autre part les contributions des sols et des berges (respectivement 30-70%). Des variations spatio-temporelles significatives ont pu être observées et les résultats tendent à montrer un potentiel impact positif des politiques récentes d’aménagement du territoire. Cette étude montre également que de nouveaux traceurs liés à la signature spécifique des particules magnétiques sont particulièrement prometteurs dans ce contexte pour tracer un signal d’érosion des sols. A terme, ces données pourraient être incluses dans des approches sediment fingerprinting. L’analyse selon plusieurs modalités spatio-temporelles et le couplage expérimentation/modélisation améliore donc notre compréhension de la dynamique des transferts sédimentaires sur le bassin versant de la Canche. Cela fournit des résultats essentiels pour orienter les futures politiques de lutte contre l’érosion des sols. / Water erosion is a serious concern in global land degradation leading to multiple consequences: loss of arable lands, siltation of streams, mudflows. In France, the Hauts-de-France region is the most affected area, and soil loss can exceed 10 t ha-1 yr-1. Although hydro-sedimentary processes have been widely studied by the scientific community, there is still a lack of knowledge in the understanding of the spatio-temporal variabilities. Additionally, the effectiveness of recent erosion control policies so far cannot be quantified. This study proposes an analysis of the spatio-temporal variability of sedimentary transfer at different scaling (1-1000 km²), and an initial assessment of the effectiveness of management policies within a northern France catchment (the Canche river, 1274 km²). A high-frequency monitoring station was implemented at the outlet of a Canche sub-catchment (the Pommeroye, 0.54 km²) to quantify the hydro-sedimentary transfer over two contrasted hydrologic years. According to our results, sediment yield varies from 29.4 to 70 t km-2 yr-1. 40% of the flux is exported during 3 major erosive events (out of 48 recorded) and the forcing parameters are related to the duration and the amount of rainfall. In this sub-catchment, the centimeter-scale spatial prediction of the hydro-sedimentary transfer was carried out using the new soil erosion model WATERSED (BRGM) and the effectiveness of an anti-erosion management plan was quantified. Our results validate the operability of the model in this context. For a given event, sediment transfer can reach 76 t km-2 yr-1 in agricultural plots and are strongly depending on the soil surface state. A significant reduction (up to 84%) of sedimentary transfer by the anti-erosion plan was also observed. At the scale of the Canche catchment, the use of chemical and spectrocolorimetric tracers in a mixing model (Sed_Sat tool; USGS) evaluated the contributions of the Canche tributaries and sediment sources contributions (i.e. channel banks and soils; 30-70% respectively). Significant spatio-temporal variations have been observed and the results show a potential positive impact of the recent management policies. This study also shows that new tracers related to the specific signature of magnetic particles are promising in the context to trace soil erosion. For further analyses, this data could be included in sediment fingerprinting approaches. Thus, this study based on several spatio-temporal modalities and the coupling of experimentation and modelling improves our understanding of the Canche hydro-sedimentary dynamics. It provides essential results to guide the future erosion control policies.

L’exploration du tissu cutané est aujourd’hui limitée par le peu de méthodes dites quantitatives permettant de décrire objectivement les propriétés mécaniques du tissu cutané. L’élastographie permet une exploration locale d’un milieu et offre la possibilité pour certaines méthodes d’estimer quantitativement le module d’élasticité (module d’Young). Nous avons mis au point une technique d’élastographie ultrasonore impulsionnelle haute fréquence 1D (HF-TE) et haute résolution permettant une description micrométrique des propriétés mécaniques du tissu cutané pour des applications en cosmétique et en dermatologie. / Nowadays, exploration of cutaneous tissue is limited by the few number of available approaches, known as quantitative methods, allowing an objective description of the mechanical properties of skin tissue. Elastography allows a local exploration of a medium and offers the possibility for some strategies to quantitatively estimate the modulus of elasticity (Young’s modulus). A 1-D high-frequency ultrasonic transient elastography method (HF-TE) allowing a micrometric description of the mechanical properties of skin tissue has been designed for cosmetic and dermatological applications. An experimental system of high-frequency transient elastography has been developed : software, hardware and measurement methodology. The HF-TE technique has been validated using simulation and measurements in monolayer and bilayer calibrated phantoms developed in the laboratory. The Young’s modulus values measured in monolayer media were then compared with those measured by two others dynamic techniques.

Brake squeal is an old and well-known problem in the vehicle industry and is a frequent source for customer complain. Although, brake squeal is not usually affecting the performance of the brakes, it is still important to address the problem and to predict the brakes tendency to squeal on an early stage in the design process. Brake squeal is usually defined as a sustained, high-frequency vibration of the brake components, due to the braking action. By using simulation in finite element (FE) method it should be possible to predict at what frequencies the brakes tend to emit sound. The method chosen for the analysis was the complex eigenvalues analysis (CEA) method, since it is a well-known tool to predict unstable modes in FE analysis. The results from the CEA were evaluated against measured data from an earlier study. Even though there are four main mechanism formulated in order to explain the up come of squeal, the main focus in this project was modal coupling, since it is the main mechanism in the CEA. A validation of the key components in model was performed before the analysis, in order to achieve better correlation between the FE model and reality. A parametric study was conducted with the CEA, to investigate how material properties and operating parameters effected the brakes tendency to squeal. The following parameters was included in the analysis; coefficient of friction, brake force, damping, rotational velocity, and Young’s modulus for different components. The result from the CEA did not exactly reproduce the noise frequencies captured in experimental tests. The discrepancy is believed to mainly be due to problems in the calibration process of the components in the model. The result did however show that the most effective way to reduce the brakes tendency for squeal was to lower the coefficient of friction. The effect of varying the Young’s modulus different components showed inconsistent results on the tendency to squeal. By adding damping one of the main disadvantages for the CEA, which the over-prediction of the number of unstable modes, where minimized.

Submitted by Marília Gabriela Elias da Silva (marilia.gabriela.es@gmail.com) on 2014-09-18T19:07:04Z No. of bitstreams: 1 Marilia_Gabriela_tese.pdf: 512980 bytes, checksum: 8ab7fc0b5b89fa1bd8f99a705ae51920 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-09-18T19:43:45Z (GMT) No. of bitstreams: 1 Marilia_Gabriela_tese.pdf: 512980 bytes, checksum: 8ab7fc0b5b89fa1bd8f99a705ae51920 (MD5) / Made available in DSpace on 2014-09-18T19:51:23Z (GMT). No. of bitstreams: 1 Marilia_Gabriela_tese.pdf: 512980 bytes, checksum: 8ab7fc0b5b89fa1bd8f99a705ae51920 (MD5) Previous issue date: 2014-08-27 / This study uses data provided by BM&FBovespa to analyze Petrobras' stock for the months between July and August 2010 and October 2008. First, we present a detailed discussion about handling data, we show the impossibility of using the mid-price quote due to the high number of buy / sell orders that present very high / low prices. We checked some of the empirical stylized facts pointed out by Cont (2001), among others enshrined in the microstructure literature. In general, the stylized facts were replicated by the data. We apply the filter, proposed by Brownlees and Gallo (2006), to Petrobras' stock and we analyze the sensitivity of the number of possible outliers found by the filter with respect to the filter's parameters variation. We propose using the Akaike criterion to sort and select conditional duration models whose samples have different length sizes. The selected models are not always those in which the data has been filtered. For the ACD (1,1) setting, when we consider only well-adjusted models, the Akaike criterion indicates as better model as one in which the data were not filtered. / O presente trabalho utiliza os dados disponibilizados pela BM&FBovespa para analisar as ações da Petrobrás para os meses compreendidos entre julho e agosto de 2010 e outubro de 2008. Primeiramente, apresentamos uma discussão detalhada sobre a manipulação desses dados, na qual explicitamos a impossibilidade de se usar o mid-price quote devido ao número elevado de ofertas de compra/venda com preços muito elevados/baixos. Verificamos alguns dos fatos estilizados empíricos apontados por Cont (2001), entre outros consagrados na literatura de microestrutura. Em geral, os dados replicaram os fatos estilizados. Aplicamos o filtro proposto por Brownlees e Gallo (2006) às ações da Petrobrás e analisamos a sensibilidade do número de possíveis outliers encontrados pelo filtro a variação dos parâmetros desse filtro. Propomos utilizar o critério de Akaike para ordenar e selecionar modelos de duração condicional cujas amostras de duração possuem tamanhos distintos. Os modelos selecionados, nem sempre são aqueles em que os dados foram filtrados. Para o ajuste ACD (1,1), quando considerados apenas os modelos bem ajustados (resíduos não autocorrelacionados), o critério de Akaike indica como melhor modelo aquele em que os dados não foram filtrados.

Submitted by PAULO SÉRGIO COELHO VIEIRA (coelhovieira.paulo@gmail.com) on 2015-04-15T23:04:53Z No. of bitstreams: 1 Paulo Vieira-HFT Industry_final_v1.pdf: 1540808 bytes, checksum: 1a0ee5cd10f415e74d56beb3e4b6f6c9 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Prezado Paulo, Todas as informações da contra capa e folha de aprovação devem ser em português pois a instituição é no Brasil. falta o agradecimento em português e inglês que deve ser depois da dedicatória a dedicatória deve ser em uma única folha em português e inglês e deve ser antes do agradecimento e depois da folha de aprovação e no fim da pagina a direita. no sumário não se coloca por exemplo a pagina da dedicatória, só deve aparecer a partir da introdução. as paginas só são numeradas a partir da introdução mas conta a partir da capa, exemplo introdução e a pagina 10, só aparecerá no trabalho em introdução a pagina 10 não pode ser numeral romano, deve ser numero exemplo 10. Ana Luiza Holme 3799-7760 on 2015-04-16T13:07:33Z (GMT) / Submitted by PAULO SÉRGIO COELHO VIEIRA (coelhovieira.paulo@gmail.com) on 2015-04-17T00:12:53Z No. of bitstreams: 1 Paulo Vieira-HFT Industry_final_v2.pdf: 1539919 bytes, checksum: e6fff3edaed078ed606a551c2ea0bf50 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-04-17T12:19:38Z (GMT) No. of bitstreams: 1 Paulo Vieira-HFT Industry_final_v2.pdf: 1539919 bytes, checksum: e6fff3edaed078ed606a551c2ea0bf50 (MD5) / Made available in DSpace on 2015-04-17T12:37:49Z (GMT). No. of bitstreams: 1 Paulo Vieira-HFT Industry_final_v2.pdf: 1539919 bytes, checksum: e6fff3edaed078ed606a551c2ea0bf50 (MD5) Previous issue date: 2015 / U. S. Equity Trading Industry has evolved quickly over the last decade. The U.S. equity market became an open architecture in which entrants with innovative technology can compete effectively. Several regulatory changes and technological innovations have enabled profound changes in market structure. These changes, along with improving high-speed technology, have acted as a catalyst, giving rise to a new approach to trading, named High Frequency Trading, hereafter referred as HFT. HFT Firms emerged and took over in large extent the market making business in providing liquidity. Although HFT has been growing massively, over the past four years, HFT firms have been far less profitable, since more firms entered the industry eroding the margins. Within this context, therefore, this thesis sought to provide a brief review of HFT business, followed by the analysis of its industry boundaries and the characteristics of the HFT environment. To this end, the thesis conducted an extensive literature review of previous research, qualitative public documents, such as, newspapers, meeting minutes and official reports. The thesis employed a series of frameworks, Entry Barriers and Mobility Barriers (Porter, 1980); Models of Industry Evolution (McGahan, 2004); Information-Intensive Industry Structure (Sampler, 1998), to analyze the boundaries of the HFT industry. Additionally, it employed Models of Industry Evolution (McGahan, 2004) and PESTEL (JOHNSON, SCHOLES, and WHITTINGTON, 2011) frameworks to analyze the industry and the environment surrounding HFT business. The analysis concluded that the firms employing HFT to compete in the Securities Trading industry compose an independent industry. / O Mercado Acionário Americano evoluiu rapidamente na última década. Este tornou-se uma arquitetura aberta em que participantes com tecnologia inovadora podem competir de forma eficaz. Várias mudanças regulatórias e inovações tecnológicas permitiram mudanças profundas na estrutura do mercado. Essas mudanças, junto com o desenvolvimento tecnológico de redes de alta velocidade, agiu como um catalisador, dando origem a uma nova forma de negociação, denominada Negociação em Alta Frequência (HFT). As empresas de HFT surgiram e se apropriaram em larga escala do negócio de formação de mercado, no fornecimento de liquidez. Embora HFT tem crescido massivamente, ao longo dos últimos quatro anos, HFT perdeu rentabilidade significativamente, uma vez que mais empresas aderiram ao setor reduzindo as margens. Portanto, diante deste contexto, esta tese buscou apresentar uma breve revisão sobre a atividade de HFT, seguida de uma análise dos limites deste setor, bem como, das características do macroambiente do HFT. Para tanto, a tese realizou uma extensa revisão do histórico literário, documentos públicos qualitativos, tais como, jornais, atas de reunião e relatórios oficiais. A tese empregou um ferramental de análise, Barreiras de Entrada e Mobilidade (Porter, 1980); Modelos de Evolução Setorial (McGahan, 2004); Estrutura do Setor de Informação Intensiva (Sampler, 1998), para analisar os limites do setor de HFT. Adicionalmente, empregou as ferramentas de análise, Modelos de Evolução Setorial (McGahan, 2004) e PESTEL (JOHNSON, SCHOLES, and WHITTINGTON, 2011), para analisar o setor e o contexto que envolve o negócio de HFT. A análise concluiu que as empresas que empregam HFT para atuar e competir no mercado acionário, compoem um setor independente.

Submitted by Yurie Yassunaga Suzuki (yurieyassunaga@gmail.com) on 2015-09-03T02:42:33Z No. of bitstreams: 1 Dissertação - YYS.pdf: 638348 bytes, checksum: 7a31f5f0e578eed37d240d302f503e27 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-03T16:04:18Z (GMT) No. of bitstreams: 1 Dissertação - YYS.pdf: 638348 bytes, checksum: 7a31f5f0e578eed37d240d302f503e27 (MD5) / Made available in DSpace on 2015-09-03T16:44:56Z (GMT). No. of bitstreams: 1 Dissertação - YYS.pdf: 638348 bytes, checksum: 7a31f5f0e578eed37d240d302f503e27 (MD5) Previous issue date: 2015 / This work aims to study market behavior involving Petrobras’ stock and options markets applying price discovery methodology. Using high-frequency data, provided by BM&FBOVESPA, econometric models used in this methodology were estimated and measures of Information Share (IS) and Component Share (CS) were calculated. The results of the analyzes indicated dominance of the spot market in the process of price discovery, since, for this market, were observed values over 66% for IS and above 74% for CS. Graphical analysis of the impulse response function indicated that the spot market is more efficient than the option market. / Este trabalho tem como objetivo estudar o comportamento do mercado de ações e opções de Petrobrás utilizando a metodologia de price discovery (descoberta de preços). A partir de dados de alta frequência de ambos os mercados, fornecidos pela BM&FBOVESPA, os modelos econométricos utilizados nessa metodologia foram estimados e as medidas de Information Share (IS) e Component Share (CS) foram calculadas. Os resultados das análises indicaram dominância do mercado à vista no processo de descoberta de preços, dado que, para este mercado, foram observados valores acima de 66% para a medida IS e acima de 74% para a medida CS. Análises gráficas da função resposta ao impulso indicaram, também, que o mercado à vista é o mais eficiente.

Submitted by Isac Costa (isac.costa@gmail.com) on 2018-03-29T03:00:24Z No. of bitstreams: 1 COSTA, Isac. HFT - Compreender para Regular (2018).pdf: 2204316 bytes, checksum: 34d586d9b8bca337d4f2631f417e7c8d (MD5) / Rejected by Katia Menezes de Souza (katia.menezes@fgv.br), reason: Prezado Isac, Para que possamos aprovar seu trabalho são necessários alguns ajustes conforme norma ABNT/APA. ESTRUTURA: Capa (obrigatório) – No final da página a informação “2018” deverá constar abaixo da frase “São Paulo” e não ao lado como consta atualmente. Ficha catalográfica – Excluir a informação “presente trabalho foi realizado com apoio da Fundação Getúlio Vargas, Por meio da bolsa Mário Henrique Simonsen de Ensino e Pesquisa” Folha de aprovação- Não deverá conter a ata e sim um modelo anexo. Outra situação que detectamos é que no espaço de uma página para outra a algumas folhas em branco, favor exclui-las. Após os ajustes excluir o pdf já postado e submete-lo novamente para analise e aprovação. Qualquer dúvida estamos à disposição, Att. on 2018-04-02T20:20:05Z (GMT) / Submitted by Isac Costa (isac.costa@gmail.com) on 2018-04-03T11:41:00Z No. of bitstreams: 1 COSTA, Isac. HFT - Compreender para Regular (2018).pdf: 1858992 bytes, checksum: 4c53e5c7b819d28a0f2d41fdf22fdd62 (MD5) / Approved for entry into archive by Katia Menezes de Souza (katia.menezes@fgv.br) on 2018-04-03T12:03:00Z (GMT) No. of bitstreams: 1 COSTA, Isac. HFT - Compreender para Regular (2018).pdf: 1858992 bytes, checksum: 4c53e5c7b819d28a0f2d41fdf22fdd62 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-04-03T12:21:35Z (GMT) No. of bitstreams: 1 COSTA, Isac. HFT - Compreender para Regular (2018).pdf: 1858992 bytes, checksum: 4c53e5c7b819d28a0f2d41fdf22fdd62 (MD5) / Made available in DSpace on 2018-04-03T12:21:35Z (GMT). No. of bitstreams: 1 COSTA, Isac. HFT - Compreender para Regular (2018).pdf: 1858992 bytes, checksum: 4c53e5c7b819d28a0f2d41fdf22fdd62 (MD5) Previous issue date: 2018-03-05 / High frequency trading (HFT) é uma técnica de negociação baseada em algoritmos que pode implementar estratégias variadas, das quais resultam um elevado número intradiário de mensagens enviadas aos sistemas de negociação das bolsas. High frequency traders (HFTs) são protagonistas no mercado secundário em termos de número de ofertas e negócios. Neste texto, procuramos definir os contornos deste já não tão novo fenômeno e os riscos a ele associados. Investigamos os objetivos pretendidos pela regulação, as regras aplicáveis e as dificuldades associadas a cada um delas. Assim, podemos avaliar se, no direito brasileiro, é necessário editar uma nova norma ou atualizar normas existentes e discutir qual poderia ser o seu conteúdo. A formulação de respostas regulatórias toma como ponto de partida os pressupostos teóricos do funcionamento do mercado de capitais, suas funções econômicas e o modo pelo qual o direito pode contribuir para que estas funções sejam desempenhadas adequadamente. Um estudo crítico dos HFTs nos permite examinar os riscos associados à sua atividade e à negociação algorítmica de um modo geral, bem como repensar o funcionamento do mercado, os objetivos da sua regulação e como estes podem ser alcançados. É imprescindível que seja realizado um esforço para a compreensão adequada de novas tecnologias que chegam ao mercado, avaliando seus riscos antes que seja disseminado um discurso de alarde ou medo. Este estudo também procura oferecer uma descrição atualizada do funcionamento do mercado secundário de capitais e como as tecnologias mais recentes influenciaram a dinâmica das negociações. / High frequency trading (HFT) is a kind of algorithmic trading which implements several strategies that result in a high number of intraday messages that are sent to exchanges and other trading venues. High frequency traders (HFTs) are key players in secondary markets given the number of orders and trades they generate. In this text, we explore the boundaries of this phenomenon and the associated risks. We investigate the regulation goals, the mechanisms to achieve such goals and the obstacles ahead. Then we evaluate whether it is necessary to create new rules or update the existing ones in Brazilian law – and what these new rules could be. The formulation of regulatory responses start with the analysis of a theoretical framework for the dynamics of capital markets, its economic functions and how Law can play a key part in this scenario. A critical study of HFTs enables us to assess its risks along with the risks of algorithmic trading in general, and, in addition, it is an invitation to rethinking how the market works, the goals that regulation can pursue and how they can be achieved. Understanding new technologies that emerge in capital markets is paramount before any risk assessment discussions in order to prevent hype and panic. This work also aims to provide an up to date description of the secondary market dynamics and how state-of-art trading technologies reshaped it.

Este trabalho fundamenta-se no desenvolvimento e aprimoramento de metodologias para a melhor representação do aterramento elétrico sob uma análise transiente. O estudo concentrase no estabelecimento de contribuições ao estado da arte associadas à análise e modelagem de aterramento impulsivo e em altas frequências. O estudo vincula-se também à avaliação da suportabilidade de seres humanos submetidos a potenciais produzidos na superfície do solo, provenientes da corrente elétrica gerada por um surto atmosférico. A concepção das metodologias propostas baseou-se no uso do Método da Modelagem por Linhas de Transmissão em uma dimensão (TLM-1D). Destacam-se três grandes tópicos da pesquisa. O primeiro concentra-se no desenvolvimento de formulação para a inclusão do fenômeno de ionização do solo ao Método TLM-1D clássico. A formulação desenvolvida tem como característica ser uma técnica generalista, independente das propriedades do meio, dimensões do eletrodo e do surto atmosférico. O segundo foco concentra-se no aprimoramento e desenvolvimento de equacionamento analítico para a estimação de potenciais gerados na superfície do solo, originados pela corrente elétrica estabelecida sobre eletrodo de aterramento. Tal equacionamento tem grande aplicabilidade em conjunto com metodologias numéricas unidimensionais, as quais não são capazes de determinar diretamente os referidos potenciais. Por fim, a realização de estudo de suportabilidade e segurança de seres humanos em contato com eletrodos de aterramento submetidos a surto atmosférico, considerando modelo representativo baseado em circuitos elétricos, consolida o trabalho desenvolvido. / This work is based on the development and improvement of methodologies for the best representation of the electrical grounding under a transient analysis. The study concentrated on establishing contributions to the state of the art related to the analysis and modeling of impulsive and high frequencies grounding systems. The study is also associated to the evaluation of the supportability of human beings submitted to the potentials produced on the soil surface from the electric current generated by a lightning. The conception of the proposed methodology was based on the Transmission Line Modeling Method in one dimension (TLM- 1D). Three major research topics can be highlighted. The first involves the development of a formulation to include the soil ionization phenomenon in the classic TLM-1D algorithm. The developed formulation is a generalist technique, independent of the medium properties, characteristic of the electrode and lightning surge. The second aims at the improvement and development of analytical equations for estimating the generated potential on the soil surface, originated by the electric current calculated in the grounding electrode. Such equationing has great applicability in conjunction with one-dimensional numerical methods which are not able to determine such potential directly. Finally, the achievement of a supportability study and personal safety of humans in contact with the grounding electrodes subjected to a lightning, considering a representative model based on electrical circuits, consolidates the developed work.

Les cMUT sont des microsystèmes principalement utilisés pour de l’imagerie médicale. Afin de développer de nouvelles architectures de sondes, intégrer l’électronique de commande devient impératif. Pour y parvenir, la température du procédé de réalisation ne doit pas excéder 400°C. Cela nécessite donc de revoir les procédés et matériaux utilisés. Pour répondre à cette problématique, nous avons utilisé une électrode originale en siliciure de nickel obtenu à 400°C, une couche sacrificielle en nickel et une membrane en nitrure de silicium déposée à 200°C. Des cMUT ont été fabriqués sur un substrat silicium. Ils présentent les caractéristiques souhaitées à savoir une forte fréquence de résonance (16,4MHz), une tension de collapse maitrisée (65V) et un coefficient de couplage électromécanique satisfaisant (0,6). De plus, le procédé développé peut être étendu à d’autres types de substrats. / CMUTs are innovating microsystems for ultrasonic medical imaging. To develop new array architectures, monolithic integration of integrated circuits is required. In this context, microsystems must be achieved using process temperature limited to 400°C. The main objective of this PhD thesis is the development of alternative processes and materials to replace usual ones done at high temperature. We have developed a nickel silicide bottom electrode at 400°C, a metallic sacrificial layer and a silicon nitride membrane deposited at 200°C. The devices, fabricated on silicon substrates, are functional with a high resonance frequency (16.4MHz), a mastered collapse voltage (65V) and an efficient electromechanical coupling coefficient (0.6). Moreover, this low temperature process was successfully applied on other substrates such as glass.

Nesta tese discutimos abordagens que utilizam cópulas para descrever dependências entre instrumentos nanceiros e avaliamos a performance destes métodos. Muitas crises nanceiras aconteceram desde o nal da década de 90, incluindo a crise asiática (1997), a crise da dívida da Rússia (1998), a crise da bolha da internet (2000), as crises após o 9/11 (2001) e a guerra do Iraque (2003), a crise do subprime or crise nanceira global (2007-08), e a crise da dívida soberana europeia (2009). Todas estas crises levaram a uma perda maciça de riqueza nanceira e a um aumento da volatilidade observada, e enfatizaram a importância de uma política macroprudencial mais robusta. Em outras palavras, perturbações nanceiras tornam os processos econômicos altamente não-lineares, levando os principais bancos centrais a tomarem medidas contrárias para conter a angústia - nanceira. Devido aos complexos padrões de dependência dos mercados nanceiros, uma abordagem multivariada em grandes dimensões para a análise da dependência caudal é seguramente mais perspicaz do que assumir retornos com distribuição normal multivariada. Dada a sua exibilidade, as cópulas são capazes de modelar melhor as regularidades empiricamente veri cadas que são normalmente atribuídas a retornos nanceiros multivariados: (1) volatilidade condicional assimétrica com maior volatilidade para grandes retornos negativos e menor volatilidade para retornos positivos (HAFNER, 1998); (2) assimetria condicional (AIT-SAHALIA; BRANDT, 2001; CHEN; HONG; STEIN, 2001; PATTON, 2001); (3) excesso de curtose (TAUCHEN, 2001; ANDREOU; PITTIS; SPANOS, 2001); e (4) dependência temporal não linear (CONT, 2001; CAMPBELL; LO; MACKINLAY, 1997). A principal contribuição dos ensaios é avaliar se abordagens mais so sticadas do que o método da distância e o tradicional modelo de Markowitz podem tirar proveito de quaisquer anomalias/fricções de mercado. Os ensaios são uma tentativa de fornecer uma análise adequada destas questões usando conjuntos de dados abrangentes e de longo prazo. Empiricamente, demonstramos que as abordagens baseadas em cópulas são úteis em todos os ensaios, mostrando-se bené cas para modelar dependências em diferentes cenários, avaliando as medidas de risco caudais mais adequadamente e gerando rentabilidade superior a dos benchmarks utilizados. / In this thesis we discuss copula-based approaches to describe statistical dependencies within nancial instruments and evaluate its performance. Many nancial crises have occurred since the late 1990s, including the Asian crisis (1997), the Russian national debt crisis (1998), the dot-com bubble crisis (2000), the crises after 9-11 (2001) and Iraq war (2003), the subprime mortgage crisis or global nancial crisis (2007-08), and the European sovereign debt crisis (2009). All of these crises lead to a massive loss of nancial wealth and an upward in observed volatility and have emphasized the importance of a more robust macro-prudential policy. In other words, nancial disruptions make the economic processes highly nonlinear making the major central banks to take counter-measures in order to contain nancial distress. The methods for modeling uncertainty and evaluating the market risk on nancial markets are now under more scrutiny after the global nancial crisis. Due to the complex dependence patterns of nancial markets, a high-dimensional multivariate approach to tail dependence analysis is surely more insightful than assuming multivariate normal returns. Given its exibility, copulas are able to model better the empirically veri ed regularities normally attributed to multivariate nancial returns: (1) asymmetric conditional volatility with higher volatility for large negative returns and smaller volatility for positive returns (HAFNER, 1998); (2) conditional skewness (AITSAHALIA; BRANDT, 2001; CHEN; HONG; STEIN, 2001; PATTON, 2001); (3) excess kurtosis (TAUCHEN, 2001; ANDREOU; PITTIS; SPANOS, 2001); and (4) nonlinear temporal dependence (CONT, 2001; CAMPBELL; LO; MACKINLAY, 1997). The principal contribution of the essays is to assess if more sophisticated approaches than the distance method and plain Markowitz model can take advantage of any market anomalies/ fricctions. The essays are one attempt to provide a proper analysis in these issues using a long-term and comprehensive datasets. We empirically show that copula-based approaches are useful in all essays, proving bene cial to model dependencies in di erent scenarios, assessing the downside risk measures more adequately and yielding higher profitability than the benchmarks.