Thesis (M. Phil.)--University of Hong Kong, 2000. / Includes bibliographical references (leaves 151-156).

Thesis (M.Phil.)--University of Hong Kong, 2000. / Includes bibliographical references (leaves 151-156) Also available in print.

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Logical time management is used to synchronize the executions of distributed simulation elements. In existing time management systems, such as High Level Architecture (HLA), logical times of the simulation elements are synchronized. However, in some cases synchronization can unnecessarily decrease the performance of the system. In the proposed HLA based time management mechanism, federates are clustered into logically related groups. The relevance of federates is taken to be a function of proximity which is defined as the distance between them in the virtual space. Thus, each federate cluster is composed of relatively close federates according to calculated distances. When federate clusters are sufficiently far from each other, there is no need to synchronize them, as they do not relate each other. So in PATiM mechanism, inter-cluster logical times are not synchronized when clusters are sufficiently distant. However, if the distant federate clusters get close to each other, they will need to resynchronize their logical times. This temporal partitioning is aimed at reducing network traffic and time management calculations and also increasing the concurrency between federates. The results obtained based on case applications have verified that clustering improves local performance as soon as federates become unrelated.

L’utilisation des charges de manière active et intelligente et leur gestion optimale sont parmiles préoccupations majeures des gestionnaires, des fournisseurs, des commercialisateurs et desconsommateurs d’énergie, et constitue l’un de axes privilégies du projet smart-grid.L’objectif de cette thèse est de développer et réaliser un système de pilotage des charges desbâtiments résidentiels ou tertiaires en temps réel en utilisant des réseaux de capteurs sans fil. Lesméthodes de gestion de charge ont été développées afin de minimiser les pics de consommation,maintenir le confort thermique et minimiser le coût global de consommation. Une conception dusystème de gestion des charges en temps réel sans fil a été proposée avec la communicationstandardisée ZigBee. Des démonstrateurs basés sur la régulation adaptative des chauffages et desclimatisations d’une part et sur une méthode de délestage doux pour des cuisinières d’autre part ontété développés. Le prototype du système proposé a été réalisé et testé lors de campagnes demesures sur un appartement expérimental afin de montrer l’intérêt et les performances des méthodesproposées. Le système développé permet d’éviter l’utilisation des modèles prédictifs qui sont trèsdifficiles à identifier et à reconfigurer en cas d’ajout de nouveaux appareils électriques dans lesbâtiments contrôlés. / Load management in an active and intelligent way is one of the major concerns of distributionsystems operators, suppliers and consumers of energy, particularly in the context of the smart-gridproject.The aim of this thesis is to develop and implement a real-time energy management systembased on wireless sensor networks in buildings (residential and tertiary sector). The methods of loadmanagement have been developed to minimize peak demand, maintain thermal comfort, andminimize the cost of consumption. A concept of real-time load management using a wireless sensornetwork has been proposed, based on the ZigBee communication standard. Demonstrators ofadaptive control of heating and air conditioning and of intelligent load shedding for electrical cookershave been developed. The prototypes of the proposed systems have been built and tested on anexperimental apartment to demonstrate the usefulness and effectiveness of these methods. Thedeveloped system allows to avoid the use of predictive models that are very difficult to identify andself-reconfigure when new electrical devices are added in a building.

This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock returns, or non-monotonic stochastic discount factors in option prices. More robust model specifications are therefore likely to contribute to risk management and return predictability, and lend credibility to economists’ assertions. Each of the chapters in this thesis relaxes certain functional form assumptions that seem most important for understanding certain asset price data. Chapter 1 focuses on the state-price density in option prices, which confounds the nonlinearity in both the preferences and the beliefs of investors. To understand both sources of nonlinearity in equity prices, Chapter 2 introduces a semiparametric generalization of the standard representative agent consumption-based asset pricing model. Chapter 3 returns to option prices to understand the relative importance of changes in the distribution of returns and in the shape of the pricing kernel. More specifically, Chapter 1 studies the use of noisy high-frequency data to estimate the time-varying state-price density implicit in European option prices. A dynamic kernel estimator of the conditional pricing function and its derivatives is proposed that can be used for model-free risk measurement. Infill asymptotic theory is derived that applies when the pricing function is either smoothly varying or driven by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 E-mini European option quotes finds significant time-variation at intraday frequencies. An application towards delta- and minimum variance-hedging further illustrates the use of the estimator. Chapter 2 proposes a semiparametric asset pricing model to measure how consumption and dividend policies depend on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from the pricing functions. The model leads to closed-form price-dividend ratios under polynomial approximations of the unknown functions and affine state variable dynamics. In the empirical application uncertainty and risk aversion are separately identified from size-sorted stock portfolios exploiting the heterogeneous impact of uncertainty on dividend policy across small and large firms. I find an asymmetric and convex response in consumption (-) and dividend growth (+) towards uncertainty shocks, which together with moderate uncertainty aversion, can generate large leverage effects and divergence between macroeconomic and stock market volatility. Chapter 3 studies the nonparametric identification and estimation of projected pricing kernels implicit in the pricing of options, the underlying asset, and a riskfree bond. The sieve minimum-distance estimator based on conditional moment restrictions avoids the need to compute ratios of estimated risk-neutral and physical densities, and leads to stable estimates even in regions with low probability mass. The conditional empirical likelihood (CEL) variant of the estimator is used to extract implied densities that satisfy the pricing restrictions while incorporating the forwardlooking information from option prices. Moreover, I introduce density combinations in the CEL framework to measure the relative importance of changes in the physical return distribution and in the pricing kernel. The nonlinear dynamic pricing kernels can be used to understand return predictability, and provide model-free quantities that can be compared against those implied by structural asset pricing models.

La notion de qualité des services et de l’organisation du travail dans les banques libanaises est placée depuis plusieurs années au cœur des préoccupations et de l’organisation du système bancaire. Cependant, dans leur démarche actuelle, elles sont confrontées à plusieurs risques et déceptions car les coûts de leurs démarches sont élevés. Pour faire développer la proactivité, un changement par un management innovant est alors nécessaire. À partir de recherche-intervention réalisée dans quatre succursales bancaires sur le territoire libanais, nous nous sommes intéressé à analyser les convergences et les spécificités de ces organisations afin de proposer un modèle de management commun qui servirait de base à la croissance et au développement de ces établissements tout en conciliant qualité et coûts. La recherche propose une méthodologie permettant de développer les pratiques professionnelles de ces organisations. Un modèle de management socio-économique est proposé pour pérenniser les démarches de changement, en utilisant des outils afin d’améliorer l’organisation du travail et la qualité des services dans ces organisations tout en réduisant les coûts. / The concept of services quality and work organization in the Lebanese banks is placed since several years in the banking system main concerns and its organization. However, in their current approach, they are facing many risks and disappointments because the high costs of their actions.To have a proactivity contribution, a change using an innovative management will be necessary. From the research-intervention in four Lebanese bank branches, we were interested to analyze these organizations similarities and specificities in order to develop a common management model as a basis for these establishments’ growth and development, balancing quality and costs. The research proposes a methodology to develop professional practices of these organizations.A socio-economic management model is proposed to sustain the efforts of change, using tools in order to improve work organization and services quality in these organizations while reducing costs.

This term project deals with knowledge areas of project management, specifically areas of time, cost and communication. This is a theoretical basis for the next implementation of tool for monitoring and reporting on project progress.