Submitted by Irene Nascimento (irene.kessia@ufpe.br) on 2016-09-27T18:39:30Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) RicardoDeAndradeAraujo.pdf: 2136922 bytes, checksum: 3bf9d638152b4cc1870ed7c533772fae (MD5) / Made available in DSpace on 2016-09-27T18:39:30Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) RicardoDeAndradeAraujo.pdf: 2136922 bytes, checksum: 3bf9d638152b4cc1870ed7c533772fae (MD5) Previous issue date: 2016-01-01 / CNPQ / Este trabalho apresenta um estudo sobre séries temporais financeiras, em alta-frequência, na tentativa de identificar as características do seu fenômeno gerador e, baseado neste estudo, propor um modelo, composto por uma combinação balanceada entre operadores lineares e operadores não-lineares crescentes e decrescentes, capaz de prever este tipo particular de série temporal. Para o processo de aprendizagem, é proposto um método baseado em gradiente descendente, utilizando ideias do algoritmo de retropropagação do erro (back propagation, BP) e uma abordagem alternativa para superar o problema da não-diferenciabilidade dos operadores não-lineares. Uma análise experimental é conduzida com o modelo proposto, utilizando um conjunto de séries temporais financeiras, em alta-frequência, do mercado de ações Brasileiro: Banco do Brasil SA, Banco Bradesco SA, Brasil Foods SA, BR Malls Participações SA e Companhia Energética Minas Gerais. Nestes experimentos, um conjunto relevante de medidas é utilizado para avaliar o desempenho preditivo do modelo proposto, e os resultados alcançados superam aqueles obtidos utilizando técnicas estatísticas, neurais e híbridas apresentadas na literatura. Também, são realizadas simulações com um sistema de apoio à decisão, baseado em previsão, para compra e venda de ações, tendo em vista demonstrar o desempenho econômico expressivo do modelo proposto no mercado de ações, em alta-frequência. / This work presents a study about high-frequency financial time series to identify the characteristics of their generator phenomenon and, based on such study, to propose a model, composed of a balanced combination of linear operators and increasing and decreasing nonlinear operators, able to predict this kind of time series. For the learning process, it is proposed a descent gradient-based method, using ideas from the back propagation (BP) algorithm and a systematic approach to overcome the problem of nondifferentiability of nonlinear operators. An experimental analysis is conducted with the proposed model, using a set of highfrequency financial time series of the Brazilian stock market: Banco do Brasil SA, Banco Bradesco SA, Brasil Foods SA, BR Malls Participações SA and Companhia Energética Minas Gerais. In these experiments, a relevant set of measures are used to assess the prediction performance of the proposed model, and the achieved results overcome those obtained by statistical, neural and hybrid techniques presented in the literature. Also, it is performed simulations with a prediction-based decision support system, for buy and sale of stocks, to demonstrate the significant economic performance of the proposed model in real high-frequency stock market

Made available in DSpace on 2014-07-29T15:07:55Z (GMT). No. of bitstreams: 1 Dissertacao_Marlon.pdf: 1426156 bytes, checksum: 17813879cecb040cf30a2594c81b2185 (MD5) Previous issue date: 2009-11-16 / The monitoring and well care during the pregnancy is related to health born products. Considering that in canine reproduction the mate day is not a confident mark for fecundation because the sperm can be available during the estrus and the bitch can ovulate for seven to ten days and this can substimate the parturition day and the fetal growth. The knowledge of canine physiology and embryology during pregnancy and the pos partum associated of the correct application of diagnostic techniques help veterinarian to request for the best way to diagnose and chase the pregnancy. Physics examination, laboratory survey and imaging diagnostic are the principal tools for diagnose and prognoses of pregnancy. The image diagnostic is the most excellent technique to evaluate canine pregnancy. Radiographs and ultrasounds are accessible and can provide vital informations of the mother health and fetal development. This study s aim is to evaluate the morphological development of the bitch and fetus during pregnancy using high frequency transducer (12 MHz) and also compare the ability of the frequencies 7.5 MHz, 10 MHz and 12 MHz in measurements of fetal and extra fetal structures. To achieve this objectives it was scanned 25 bitch, two French bulldogs, one English bulldog, one American cocker spaniel, one lhasa-apso, two German sptiz, one Maltese, one pug, one schnauzer, two sheltland shepherd, ten shi-tzu and two Yorkshire terriers, weighting between three and 19 kilograms and age among two to six years from a commercial kennel, the animals were scanned by a unique examinator every seven days, the date day was used for mark the beginning of reproduction time, and the most near day of the date was the Zero week of scanning. The animals was follows by serial scanning and the events of the mother and the puppies were registered. The purpose of this study was to chase the pregnancy using high frequency transducer of 12MHz to determinate the period of appearance of fetal and extra fetal structures, which provides data s for parturition time and fetal maturity. The high frequency shows to be efficient for early diagnose of pregnancy, since was possible to identified the ovary and uterus with 2,7±2,1 days, gestational sac in 9,7±2,2 days of gestation, the embryos and heart beating were noticed with 16,7±2,2 days, the members arrows and bipolar shape appears in 23,7±2,2 days of pregnancy, fetal movement and de identification of the stomach were possible with 30,7±2,2 days, the bladder, skeleton, lungs and liver were visualized with 37,7±2,2 days, the kidney appears with 44,7±2,2 and pos partum uterus was identified with 65,7± 2,3days .Additionally contributing for seeking the fetal and extra fetal structures that provides security for estimation of parturiation date. Also was to propose a protocol of scanning to follow the preganancy period and pursue gestational diagnoses, fetal development and disorder during pregnancy comparing the ability of transducer of 7.5 MHz, 10 MHz and 12 MHz in the measurements and acoustic resolution. The gestation time was better avaluated in the second, fourth and seventh week, which shows the best protocol for track the pregnancy in the canine, additionally the high frequency demonstrate to improve the resolution and accuracy of measurements of fetal and extra fetal paramanters, but it not shows to be different from low frequency. / O acompanhamento da gestação e os cuidados pré-natais estão intimamente relacionados com o nascimento de filhotes sadios. Na espécie canina a data em que ocorre a fecundação é muito imprecisa, tendo em vista que as fêmeas podem ovular durante sete a dez dias e o espermatozóide pode permanecer viável e armazenado por todo o estro, com isso a cópula não representa o melhor indicador do dia da fecundação. O conhecimento detalhado dos eventos que ocorrem durante a fecundação, desenvolvimento e maturação fetal, bem como aqueles que permitem que o clínico veterinário possa indicar o meio de diagnóstico mais adequado, seguro e preciso sobre a evolução da gestação. O exame clínico, os exames laboratoriais e de imagem constituem-se em métodos auxiliares fundamentais para o diagnóstico e prognóstico da prenhez. Os meios de diagnóstico por imagem são excelências para avaliação da gestação na espécie canina, principalmente os exames radiográficos e ultrassonográficos, pois são acessíveis e fornecem informações importantes sobre a fêmea e sobre o desenvolvimento fetal. Com o objetivo de acompanhar, por meio de ultrassonografia, a gestação em cadelas de pequeno porte, utilizando transdutor de 12MHz este estudo teve como propósito determinar o período de surgimento das estruturas fetais e extra-fetais visando fornecer dados que contribuam para a estimativa da idade gestacional. O experimento foi realizado em um canil comercial, em 25 cadelas; dois bullldogs franceses, um bulldog inglês, um cocker spaniel americano, um lhasa apso, dois lulus da pomerânia, um maltês, um pug, um poodle, um schnauzer, dois pastores de sheltland, dez shi-tzu e dois yorkshire terrier, com peso corporal variando entre três e 19 quilogramas, e idade entre dois a seis anos. Todas as fêmeas eram pluríparas e a fecundação foi alcançada por meio de monta natural ou inseminação artificial A cada sete dias um único examinador procedeu os ultrassonogramas, sendo considerada como semana zero a semana do cruzamento natural ou inseminação até a décima semana . Os exames foram realizados nas freqüências 7,5 MHz, 10 MHz e 12 MHz para avaliar acurácia das medidas e a resolução acústica das imagens. A utilização da freqüência de 12 MHz permitiu a visibilização dos ovários e do útero pré- gestacional com 2,7±2,1 dias, vesículas gestacionais aos 9,7±2,2 dias, embrião e batimento cardíaco aos 16,7±2,2 dias, forma bipolar e o aparecimento da placenta e dos brotos dos membros aos 23,7±2,2 dias, movimento fetal e a visibilização do estomago dos fetos foi possível aos 30,7±2,2 dias, a bexiga urinaria, o esqueleto, os pulmões e o fígado foram visibilizados aos 37,7±2,2 dias, o rim aos 44,8±2,2 dias e o útero pós gestacional aos 65,7±2,3 dias, contribuindo para o diagnóstico precoce da prenhez, adicionalmente demonstrou ser eficaz na identificação das estruturas fetais e extra-fetais permitindo a estimativa do dia do parto. Durante as dez semanas de exames foram diagnosticadas duas piometras (entre a segunda e a sétima semanas), três cadelas não foram fecundadas (entre a segunda e quarta semanas) e duas cadelas onde constatou-se absorção de fetos (entre a terceira e quarta semanas) os resultados obtidos neste estudo permitem concluir que: o diagnóstico gestacional não deve ser feito em apenas um momento, sendo necessário uma seqüência de exames de acompanhamento gestacional; a segunda, quarta e sétima semanas são os melhores momentos para o pré-natal na espécie canina pois permitem avaliar os eventos de desenvolvimento e maturação fetal durante a gestação. O aumento da freqüência, quando comparada a frequências menores, imprime precocidade no diagnóstico e melhora a resolução da imagem, mas não o suficiente para promover diferenças no estabelecimento do diagnóstico da gestaçao e na acúracia das medidas de parâmetros extra-fetais e fetais.

A presença de antibióticos no meio ambiente aquático tem causado crescente preocupação mundial. Além dos relatos de resistência de bactérias a antibióticos, essa classe de fármacos também pode causar efeitos tóxicos e atuar como perturbadores endócrinos em diversos organismos vivos e, possivelmente, em humanos. Dentre os antibióticos comumente usados destacam-se as sulfonamidas, detectadas em águas subterrâneas e superficiais. Os processos avançados de oxidação (POA) têm sido apontados como tecnologias eficientes para tratamento de poluentes recalcitrantes em diferentes matrizes aquosas. Dentre os POA, o processo foto-Fenton é uma alternativa para a degradação de compostos não biodegradáveis, incluindo fármacos. Uma vez que a principal limitação do processo é o intervalo de pH (2,5- 4,0), a reação pode ser vantajosamente conduzida empregando-se substâncias bio-orgânicas solúveis (BOS) como agentes complexantes de Fe3+ em condições ligeiramente ácidas (pH 5). Por sua vez, o emprego da energia ultrassônica tem sido menos estudado. Nesse contexto, o objetivo deste trabalho é estudar a degradação do antibiótico sulfadiazina (SDZ) por meio do processo foto-Fenton na presença de substâncias bio-orgânicas solúveis (UVvis/ Fe3+/H2O2/BOS) e do processo de cavitação por meio de ultrassom (US). Os resultados obtidos mostram que a sulfadiazina é eficientemente degradada por ultrassom de alta frequência. As maiores porcentagens e taxas de remoção são obtidas usando menor frequência de operação (580 kHz), maior potência dissipada e em pH ligeiramente ácido (melhor condição: pH 5,5). Além disso, a reação de Fenton, combinada com o tratamento US, melhorou notavelmente a degradação da SDZ, particularmente quando quantidades extras de H2O2 foram adicionadas ao sistema. Por sua vez, o uso de BOS como aditivos no processo foto-Fenton apresenta influência marcante na fotodegradação da SDZ em condições ligeiramente ácidas (pH 5). Os BOS podem estabilizar espécies de ferro em solução aquosa em pH próximos ao neutro, o que constitui uma propriedade de grande interesse. Sob as condições estudadas, o BOS CVT230 foi mais eficiente do que FORSUD, provavelmente devido às diferenças nos grupos funcionais presentes na composição destas substâncias. Finalmente, foram calculados os indicadores de consumo de energia elétrica por ordem de grandeza (EEO) para o processo de ultrassom (1572 kW h m-3 ordem-1) e área do coletor por ordem de grandeza (ACO) para o processo foto-Fenton (8,07 m2 m-3 ordem-1). / The potential impacts of antibiotic residues in the environment have become an emerging concern during recent years due to their relation with the development of resistant bacteria, and in some cases to their ability to cause toxic and endocrine disrupting effects in humans and other living organisms. Highlighted among the commonly used antibiotics are the sulfonamides, detected in groundwater and surface water. Advanced oxidation processes (AOP) might constitute an important alternative to deal with pharmaceuticals degradation. Among them, the photo-Fenton process has been widely used. One of its major drawbacks is the highly acidic pH needed (2,5-4,0) to avoid the formation of photochemically inactive iron oxides and hydroxides. The ability of soluble bio-organic substances (SBO) to complex metal cations such as iron is useful for the development of photo-Fenton at mild acidic conditions (pH 5). In turn, the use of ultrasonic energy has been less studied. In this context, the aim of this work is to study the degradation of the antibiotic sulfadiazine (SDZ) by the photo-Fenton process in the presence of soluble bio-organic substances (UV-vis/Fe3+/H2O2/SBO) and by ultrasonic cavitation (US). The results confirm that SDZ is effectively degraded by highfrequency ultrasound. Higher SDZ percent removals and removal rates were observed for the lowest operating frequency (580 kHz), higher dissipated power, and in slightly acidic solution (pH 5.5). On the other hand, SDZ degradation is highly improved in the case of the US/ Fe(II)/H2O2 system. The use of the SBO as Fenton additives in turn has a remarkable influence in SDZ photodegradation at slightly acid conditions (pH 5). This could be ascertained to the complexation of iron by the SBO, hence maintained in the reaction medium as a photoactive species. Under the studied conditions, the BOS CVT230 was more efficient than FORSUD, probably due to differences in the functional groups present in the composition of these substances. Finally, the figures-of merit electrical energy per order (EEO) and collector area per order (ACO) were calculated for the ultrasound (1572 kW h m-3 ordem-1) and photo-Fenton (8,07 m2 m-3 ordem-1) processes respectively.

Neste trabalho, apresentamos um conjunto de fatos empíricos e propriedades estatística de negociações em alta frequência, e discutimos algumas questões gerais comuns a dados de alta frequência tais: como discretização, espaçamento temporal irregular, durações correlacionadas, periodicidade diária, correlações temporais e as propriedades estatísticas dos fluxos de ordens. Logo apresentamos dois modelos da literatura,estilizados para a dinâmica do limit order book. No primeiro modelo os fluxo de ordens é descrito por processos de Poisson independentes, propomos para ele uma forma alternativa da prova de ergodicidade basejada em funções de Lyapunov. O segundo modelo é um modelo reduzido que toma em consideração dinâmicas tipo difusão para os tamanhos do bid e ask, e se foca só nas ordens como melhores preços, e modela explicitamente as cotações do bid e ask na presença de liquidez oculta. E por ultimo, propomos um modelo alternativo para a dinâmica do preço e do spread no limit order book, estudamos o comportamento assintótico do modelo e estabelecemos condições de ergodicidade e transitoridade. Além disso, consideramos a uma família de cadeias de Markov definidos nas sequências de caracteres (strings, ou palavras) com infinito alfabeto e para alguns exemplos inspirados nos modelos de negociações em alta frequência, obtemos condições para ergodicidade, transitoriedade e recorrência nula, para a qual usamos as técnicas de construção de funções Lyapunov. / In this work, we present a set of empirical facts and statistical properties of negotiations at high frequency and discuss some general issues common to high-frequency data such: as discretization, irregular spacing, correlated durations, daily periodicity, temporal correlations and the statistical properties of flows orders. Soon we present two models stylized in the literature for the dynamic limit order book. In the first model the order flow described by separate Poisson processes and we propose it to an alternative form of test ergodicity based on Lyapunov function. The second model is a reduced model that takes into consideration diffusion-type dynamics for the sizes of the bid and ask, and focus only on orders as best price and model explicitly quotes the bid and ask in the presence of hidden liquidity. And finally, we propose an alternative model for the price dynamics and spread in the limit order book, we study the asymptotic behavior of the model and established conditions of ergodicity. Furthermore, we consider the a family of Markov chains defined on the sequences of characters (strings, or words) with infinite alphabet. For some examples inspired by the models of high frequency trading we obtain a conditions for ergodicity, transience and null-recurrence. In order to prove this we use the construction of Lyapunov functions techniques.

[pt] A hipótese de normalidade é comumente utilizada na área de análise de risco para descrever as distribuições dos retornos padronizados pelas volatilidades. No entanto, utilizando cinco dos ativos mais líquidos na Bovespa, este trabalho mostra que tal hipótese não é compatível com medidas de volatilidades estimadas pela metodologia EWMA ou modelos GARCH. Em contraposição, ao extrair a informação contida em cotações intradiárias, a metodologia de volatilidade realizada origina retornos padronizados normais, potencializando ganhos no cálculo de medidas de Valor em Risco. Além disso, são caracterizadas as distribuições de volatilidades e correlações de ativos brasileiros e, em especial, mostra-se que as distribuições das volatilidades são aproximadamente lognormais, enquanto as distribuições das correlações são aproximadamente normais. A análise é feita tanto de um ponto de vista univariado quanto multivariado e fornece subsídio para a melhor modelagem de variâncias e correlações em um contexto de grande dimensionalidade. / [en] The normality assumption is commonly used in the risk management area to describe the distributions of returns standardized by volatilities. However, using five of the most actively traded stocks in Bovespa, this paper shows that this assumption is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when we use the information contained in high frequency data to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities and correlations of the brazilian stocks, showing that the distributions of volatilities are nearly lognormal and the distribuitions of correlations are nearly Gaussian. All analysis is traced both in a univariate and a multivariate framework and provides background for improved high-dimensional volatility and correlation modelling in the brazilian stock market.

Ce travail est le produit d’une collaboration entre le LMFA (Laboratoire de Mécanique des Fluides et d’Acoustique, École Centrale de Lyon – France), Snecma et le Cerfacs. Il vise à étudier l’écoulement se développant dans le compresseur haute-vitesse axial de 3.5 étages CREATE (Compresseur de Recherche pour l’Etude des effets Aérodynamique et TEchnologique – vitesse de rotation : 11543 tr/min, vitesse en tête de rotor 1 : 313 m/s), conçu et construit par Snecma et étudié au LMFA sur un banc d’essai de 2 MW. Pour étudier l’écoulement, des mesures stationnaires de pression et température, de la vélocimétrie laser et des mesures rapides de pression statique et totale ont été utilisées. L’analyse se concentre sur deux aspects principaux : l’étude de l’écoulement aux points de fonctionnement stables, avec un intérêt tout particulier pour les interactions rotor-stator, et l’étude des instabilités apparaissant dans la machine à faibles débits.La description de l’écoulement instationnaire aux points stables est faite par le biais de mesures de pression statique en parois, de pression totale et de vitesse, mais également de température totale, entropie et angle d’incidence du fluide. Il est montré que la complexité et l’instationnarité de l’écoulement dans un compresseur multiétagé augmente fortement à l’arrière de la machine à cause des interactions entre les roues fixes et mobiles. Ainsi, une méthode d’analyse modale basée sur la décomposition de Tyler et Sofrin a été développée pour analyser ces interactions. Elle est d’abord appliquée aux mesures de pression afin d’extraire les contributions de chaque roue. Il est ainsi montré que les interactions complexes de pression dans CREATE peuvent être réduites à trois principaux types d’interactions. La méthode de décomposition est enfin appliquée au champ d’entropie dans toute la machine extrait de calculs CFD URANS réalisés par le Cerfacs, afin d’évaluer l’impact des interactions sur les performances de CREATE en terme de génération de pertes.La dernière partie de ce travail est dédié à l’analyse des instabilités apparaissant dans CREATE à faible débit. Il est montré que des ondes de pression tournantes apparaissent aux points stables et augmentent en amplitude à mesure qu’on se rapproche de la ligne de pompage, jusqu’à atteindre une taille critique induisant l’apparition d’une cellule de décollement tournant sur toute la hauteur de veine. Cette cellule entraîne la machine en pompage en seulement quelques tours. L’étude de ces ondes de pression, et la compréhension de leur véritable nature sont réalisées grâce à l’application d’un modèle analytique aux mesures expérimentales. Une description précise du déclenchement et du cycle du pompage est également faite grâce aux mesures de pression statique au dessus des rotors. Un système de contrôle anti-pompage développé au laboratoire et basé sur la détection de l’amplitude des ondes de pression est finalement décrit. / The present work is a result of collaboration between the LMFA (Laboratoire de Mécanique des Fluides et d’Acoustique, Ecole Centrale de Lyon – France), Snecma and the Cerfacs. It aims at studying the flow in the 3.5-stages high-speed axial compressor CREATE (Compresseur de Recherche pour l’Etude des effets Aérodynamique et TEchnologique - rotation speed: 11543 RPM, Rotor 1 tip speed: 313 m/s), designed and built by Snecma and investigated at LMFA on a 2-MW test rig. Steady measurements, as well as laser velocimetry, fast-response wall static and total pressure measurements have been used to experimentally investigate the flow. The analysis focuses on two main aspects: the study of the flow at stable operating points, with a special interest on the rotor-stator interactions, and the study of the instabilities arising in the machine at low mass flow rates.The description of the unsteady flow field at stable operating points is done through measurements of wall-static pressure, total pressure and velocity, but also total temperature, entropy and angle of the fluid. It is shown that the complexity and unsteadiness of the flow in a multistage compressor strongly increases in the rear part of the machine, because of the interactions between steady and rotating rows. Therefore, a modal analysis method developed at LMFA and based on the decomposition of Tyler and Sofrin is presented to analyze these interactions. It is first applied to the pressure measurements, in order to extract the contributions of each row. It shows that all the complex pressure interactions in CREATE can be reduced to three main types of interactions. The decomposition method is then applied to the entropy field extracted from URANS CFD calculations performed by the Cerfacs, in order to evaluate the impact of the interactions on the performance of the machine in term of production of losses.The last part of this work is devoted to the analysis of the instabilities arising in CREATE at low mass flows. It shows that rotating pressure waves appear at stable operating points, and increase in amplitude when going towards the surge line, until reaching a critical size provoking the onset a full span stall cell bringing the machine to surge within a few rotor revolutions. The study of these pressure waves, and the understanding of their true nature is achieved through the experimental results and the use of some analytical models. A precise description of the surge transient through wall-static pressure measurements above the rotors is also provided, as well as a description of a complete surge cycle. An anti-surge control system based on the detection of the amplitude of the pressure waves is finally proposed.

La thèse se concentre sur l’étude des impacts de la directive européenne concernant les Marchés d’Instruments Financiers (MIF) et de sa révision (MIF II et MiFIR) sur le processus de découverte des prix. Selon Schreiber et Schwartz (1986), celui-ci est défini comme l´incorporation de l´information nouvelle dans le prix des actifs et la recherche de l´équilibre par le marché. Cette directive clé a pour objectif d´augmenter la concurrence et l´efficience au niveau des marchés européens tout en assurant la protection des investisseurs, ceci via une augmentation de la transparence et une exigence de politique de meilleure exécution des ordres de la part des firmes d´investissement. Plus particulièrement, l´étude se focalise sur les actions françaises du CAC40 qui peuvent désormais être échangées en dehors du marché national réglementé, Euronext Paris. Les plateformes multilatérales de trading, les internalisateurs systématiques et les dark pools sont des alternatives qui ont été introduites par la directive. En l´absence de consolidation du marché européen dans son ensemble et en présence d’une fragmentation spatiale des ordres de bourse, le risque est que certaines places d´échanges reçoivent plus d´ordres d´achat et d´autres, plus d´ordres de vente. Certains pensent que la technologie devrait lier des marchés spatialement fragmentés. Cependant, si suffisamment de flux d´ordres est retiré du marché réglementé et transparent, ce dernier pourrait ne plus assurer la découverte des prix car les prix et les quantités d´équilibre n´auraient pas été découverts par le marché dans son ensemble. De plus, même en présence d´un marché consolidé au niveau spatial, une fragmentation temporelle peut subsister. Elle correspond à la fracturation du flux d’ordres dans le temps, rendant la rencontre des ordres d´achat et de vente plus compliquée. […] La thèse apporte tout d’abord un éclairage sur les enjeux et les implications de la directive sur l’efficience des marchés européens. Dans le premier chapitre, nous proposons un cadre d´évaluation de la directive. Une sélection des principaux travaux académiques est réalisée dans le domaine de la microstructure des marchés afin d´identifier les problématiques restant sans réponse et les enjeux pour sa révision en cours (MIF II). Ensuite, une revue de la littérature sur le processus de découverte des prix du marché est opérée par la mise en lumière des principaux travaux théoriques, méthodologiques et empiriques. Les deux principales fonctions d´un marché sont de fournir de la liquidité et de permettre la découverte des prix. Cependant, la fonction de découverte des prix a souvent été un objectif de régulation négligé par rapport aux objectifs de transparence et de concurrence. […] / The thesis focusses on the impacts of the European Markets in Financial Instruments Directive (MiFID) and its revisions (the MiFID II and the MiFIR) on the price discovery process. According to Schreiber and Schwartz (1986), the price discovery process is defined as the incorporation of new information into the prices of assets and the search for an equilibrium by the market participants. This key directive aims to increase competition and efficiency at the European level without neglecting investor protection by increasing transparency and by requiring a best execution policy for the execution of client orders from investment firms.The study specifically highlights the CAC40 stocks, which, with the implementation of the MiFID, can be exchanged outside the regulated domestic market (Euronext Paris). The directive has introduced Multilateral Trading Facilities (MTFs), Systematic Internalisers (SI) and Dark Pools as alternative trading venues.In absence of an overall consolidation of the European market and in presence of a spatial fragmentation of orders, there is a risk that some exchange places may receive more buy orders and others more sell orders. Technology should bind spatially fragmented markets; however, if enough of the order flow were removed from the regulated and transparent market, it would be unable to ensure the price discovery because the equilibrium prices and quantities would not befound by the overall market. In addition, even in the presence of a consolidated market at the spatial level, temporal fragmentation may still exist. […]The first chapter studies the challenges and the implications of the MiFID on the efficiency of the European financial markets. This research proposes a regulatory framework to assess the directive. A selection of the principal academic work in the microstructure research area has been carried out in order to identify the remaining unanswered issues and challenges for the current revision of the MIF. The second chapter proposes a literature review of the concept of price discovery by highlighting the principal theoretical, methodological and empirical academic research. The two main functions of a market are to provide liquidity and to allow price discovery. However, the price discovery function has often been a neglected regulatory objective in comparison to transparency and competition objectives. It is important to assess the impacts of fragmentation on the quality of the market after the implementation of the MiFID. The object of study is the price discovery accuracy in the post-crisis context of more high-frequency and algorithmic trading. At this level, the thesis first offers a quantification of the degree of spatial and temporal fragmentation of CAC40 shares in the post-MiFID context. This study shows an increase in fragmentation. Furthermore, the quality of the market is evaluated from a price discovery perspective through the study of an indicator developed by Ozenbas et al. (2002, 2011) called the normalised volatility ratio. The study confirms the existence of a price discovery risk at the opening of the market before and after the implementation of MiFID. The potential causes of price discovery accuracy have been studied using three types of variables that characterise each transaction. The number of ransactions and the proportion of high-frequency traders on the buy side for the first half-hour of the day are significant variables for price discovery accuracy. In the post-MiFID scenario, spatial fragmentation does not significantly affect the market quality of CAC40 shares. At this level, temporal fragmentation seems to be a greater determinant. […]

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This Master Thesis presents a new analysis, modeling and design guideline for an Insulated Power Factor Corrected Single-Stage Converter. First, the operating principle is presented which provides a better understanding of the converter. So, based on this new analysis, the two operation modes description and the new steady-state gain of the converter are provided. A new control strategy for the input current control-loop is also proposed which provides an improvement of the total harmonic distortion (THD). The conditions to reset the magnetic flux for the high frequency transformer (HFT) into a switching period and the mitigation of the reactive energy are provided. At the sequence, the transfer functions that describe the dynamic behavior of the output voltage and the input current due to perturbations on duty-cycle and input voltage are derived. These dynamic models are derived based on the averaged equivalent circuit (AEC) obtained by modeling an equivalent DC-DC converter. Finally, the design guideline and experimental results for validation of the mathematical analysis and numerical simulation confirmation are provided. / Esta Dissertação de Mestrado apresenta uma nova análise, modelagem e metodologia de projeto de um conversor CA-CC isolado com um único estágio e correção do fator de potência. Inicialmente, é apresentado o princípio de operação do conversor em estudo propiciando um melhor entendimento do funcionamento do mesmo. Assim, baseada na nova análise, são apresentados os dois modos de operação do conversor e o novo ganho estático resultante. Também é proposta uma nova estratégia de controle para a corrente de entrada do conversor proporcionando uma redução na distorção harmônica total (DHT). Também serão estabelecidas as condições necessárias para a desmagnetização do núcleo do transformador de alta freqüência (TAF) em um período de chaveamento e a minimização de reativos circulantes. Posteriormente, são obtidas as funções de transferências que descrevem o comportamento dinâmico da tensão de saída e da corrente de entrada para perturbações na variável de controle ou na tensão de entrada. Esses modelos dinâmicos serão derivados do circuito médio equivalente (CME) obtido através da modelagem do conversor em estudo operando como um conversor CC-CC equivalente. Por fim, são apresentadas uma metodologia de projeto e os resultados experimentais para a validação da análise matemática e confirmação dos resultados obtidos através de simulações numéricas.

This work is focused on modelling of atmospheric pressure high frequency (HF) discharges operated at relatively low power densities. Two types of devices are considered – the radio frequency capacitively coupled atmospheric pressure plasma jet and the microwave discharge sustained by surface electromagnetic waves. They are addresses as the plasma shower and the surface-wave discharge (SWD). Both of the considered devices operate in argon at atmospheric pressure (p = 1 bar). However, the difference in the frequency of the power coupling mechanism induces a big difference in plasma properties. This implies also that different modelling approaches have to be employed. / Doctorat en Sciences de l'ingénieur / info:eu-repo/semantics/nonPublished

Le saumon atlantique (Salmo salar) est une espèce tant emblématique que menacée à l’échelle internationale, au même titre que la plupart des espèces de poissons diadromes. La présence de barrages, en entraînant une rupture de la continuité écologique des cours d’eau, participe à ce déclin. Le remplacement du barrage en porte à flot sur l’estuaire du Couesnon (Normandie, France) par un barrage procédant à des lâchers d’eau à l’étale de basse mer, est susceptible d’impacter l’abondance et la dynamique migratoire des saumons. Pour étudier les remontées de saumons adultes sur ce fleuve, un échosondeur à faisceau partagé a été installé en amont du barrage et a enregistré en continu tous les passages de saumons lors des périodes estivales de 2010 à 2014. L’hydroacoustique, méthode non intrusive et indépendante des conditions de turbidité de l’eau, permet l’acquisition d’informations difficilement accessibles par d’autres techniques. Pour évaluer la réelle influence du barrage sur les migraticours d’eau voisin dont l’estuaire est libre, à l’aide d’un outil hydroacoustique bénéficiant de larges innovations technologiques, une caméra acoustique DIDSON. Les méthodologies développées soulignent les avantages et les limites des deux outils, mettant en lumière le gain d’information apporté par les caméras acoustiques. L’interprétation des résultats met en évidence que si le fonctionnement du barrage n’impacte pas le maintien de la population sur ce fleuve, la dynamique migratoire des saumons y est modifiée. Cette étude souligne les grandes capacités d’adaptation des saumons atlantique / The Atlantic salmon (Salmo salar) is as emblematic as in a global decline, as most of the diadromous fish species. Dams have direct consequences on the river ecological continuity and indirect effects, such as the modification of the hydrological and hydrosedimentary dynamics which affects these populations. In Normandy (France), the Couesnon River’s estuary flood-gate dam has recently been replaced by a new dam proceeding to water releases at low tide stall. This functioning may decrease the salmon abundance or disturb their migration dynamic on this river. To study the dam influence, a split-beam echosounder has been settled upstream the dam and has recorded Philippe BOëTpermanently the salmon migrations during the summer period from 2010 to 2014. The hydroacoustic methods, non-intrusive and independent from the turbidity conditions, provide useful information, neither available nor quantifiable with other existing monitoring technics. To evaluate the disturbance of the estuarine damthe migration dynamic of the same species has also been monitored on a nearby river, the Sélune River, whose estuary is free-flowing. The hydroacoustic tool settled on this river, a DIDSON, belongs to the acoustic camera generation and benefits from recent technological improvements. The defined methodologies highlight the advantages and limits of both tools, revealing the information gain brought by the acoustic cameras. A dam functioning influence on the Atlantic salmon migration has been revealed, but no negative impact has been described on the salmon annual recruitment level. This study