This thesis tests the ability of the Lorenz's (2005) chaotic model to simulate predictability curve of the ECMWF model calculated from data over the 1986 to 2011 period and demonstrates similarity of the predictability curves for the Lorenz's model with N = 90 variables. This thesis also tests approximations of predictability curves and their differentials, aiming to correct the ECMWF model estimated parameters and thus allow for estimation of the largest Lyapunov exponent, model error and limit value of the predictability curve. The correction is based on comparing the parameters estimated for the Lorenz's and ECMWF and on comparison with the largest Lyapunov exponent (λ=0,35 day-1 ) and limit value of the predictability curve (E∞=8,2) of the Lorenz's model. Parameters are calculated from approximations made by the Quadratic hypothesis with and without model error, as well as by Logarithmic and General hypotheses and by hyperbolic tangent employing corrections with and without model error. Average value of the largest Lyapunov exponent is estimated to be λ=0,37 day-1 for the ECMWF model, limit values of the predictability curves are estimated with lower theoretically derived values and new approach of calculation of model error based on comparison of models is presented.

Neurons are sensitive to specific aspects of natural stimuli, which are according to different statistical criteria an optimal representation of the natural sensory input. Since these representations are purely sensory, it is still an open question whether they are suited to generate meaningful behavior. Here we introduce an optimization scheme that applies a statistical criterion to an agent s sensory input while taking its motor behavior into account. We first introduce a general cognitive model, and second develop an optimization scheme that increases the predictability of the sensory outcome of the agent s motor actions and apply this to a navigational paradigm.In the cognitive model, place cells divide the environment into discrete states, similar to hippocampal place cells. The agents learned the sensory outcome of its action by the state-to-state transition probabilities and the extent to which these motor actions are caused by sensory-driven reflexive behavior (obstacle avoidance). Navigational decision making integrates both learned components to derive the actions that are most likely to lead to a navigational goal. Next we introduced an optimization process that modified the state distributions to increase the predictability of the sensory outcome of the agent s actions.The cognitive model successfully performs the navigational task, and the differentiation between transitions and reflexive processing increases both behavioral accuracy, as well as behavioral adaptation to changes in the environment. Further, the optimized sensory states are similar to place fields found in behaving animals. The spatial distribution of states depends on the agent s motor capabilities as well as on the environment. We proofed the generality of predictability as a coding principle by comparing it to the existing ones. Our results suggest that the agent s motor apparatus can play a profound role in the formation of place fields and thus in higher sensory representations.

Le premier chapitre montre que les rendements des fonds investis dans des actions illiquides (“fonds illiquides”) sont mieux que ceux des fonds investis dans des actions liquides. Cette différence provient des capacités de fonds illiquides de sélectionner les actions. Les actions détenues par les fonds illiquides ont une meilleure performance que des portefeuilles qui ont les mêmes caractéristiques. Les fonds liquides déclarent des indices de référence par rapport auxquels leurs rendements sont plus importants. Un portefeuille d’actions détenues par les fonds illiquides a une meilleure performance qu’un portefeuille d’actions détenues par les fonds liquides. Le second chapitre documente une prédictibilité des rendements. Dans ce chapitre, les périodes d’opportunités sont les périodes où les rendements des actions faisant l’objet d’une analyse régulière par les analystes (les actions suivies) s'écartent de ceux des actions qui ne sont pas suivie (les actions négligés). Les rendements ultérieurs des actions faciles à évaluer sont plus importants quand les opportunités étaient grandes, par rapport aux périodes où les opportunités étaient limitées. Ce comportement est cohérent avec un modelé où les investisseurs exigent une prime pour supporter le risque de sélection défavorable. Le troisième chapitre explore les moments où les fonds d’investissement changent leur style d’investissement (le style est défini comme exposition au risque, prenant en compte les facteurs de risque habituels). Les fonds ne prennent pas plus des risques quand il serait plus rentable de le faire. Après avoir eu des mauvais rendements, les fonds se rapprochent du style des fonds similaires, mais qui ont eu des bons rendements. Le style de jeunes fonds s’écarte du style de fonds anciens. Les nouveaux gérants des fonds s’écartent du style de fonds avec des anciens gérants. Quand un fond prend plus de risque d’une côté, il n’essaye pas d’aborder systématiquement les autres côtés du risque. / The first chapter shows that mutual funds that hold illiquid stocks (“illiquid funds”) outperform funds that hold liquid stocks (“liquid funds”). There is evidence this outperformance arises from stock selection skills of illiquid funds. The stocks held by illiquid funds outperform portfolios matched by characteristics. Liquid funds declare benchmarks that make their benchmarkadjusted returns appear larger. A portfolio of stocks held by illiquid funds subsequently outperforms a portfolio of stocks held by liquid funds. The second chapter documents a predictability pattern in returns. This chapter identifies high opportunities in stocks with difficult valuation as times when returns of neglected stocks diverge from returns of covered stocks. Subsequent returns of stocks with difficult valuation are higher when beginning of period opportunities are high, as compared to when beginning of period opportunities are low. This is consistent with an information risk theory, where investors demand a higher premium to hold stocks with higher probability of informed trading, because they fear adverse selection. The third chapter explores instances when mutual funds change their style (style is regarded as risk exposure alongside usual factors). Mutual funds do not take more risk when it is more profitable to do so. After performing badly, mutual funds move closer to the style of good performing peer funds. Young funds' styles diverge from the style of old peer funds. Recently hired managers diverge in style from veteran managers of peer funds. When the average fund takes more risk alongside a style dimension, it does not simultaneously consider other style dimensions.

The ultimate aim of this work is to contribute to the knowledge of how trust influences and relates to those practices that best support student development and growth as educated and productive citizens, prepared to share in our democratic society-which is the ultimate purpose of our schools (Dewey & Dewey, 1915). Specifically, this thesis investigates the role of trust in relationships between school principals and teachers. A comparative analysis of available literature was conducted using grounded theory methodologies to inform the development of a proposed conceptual model describing the role of trust in organizational processes within the school, specifically between the principal and the teacher. There is sufficient literature in the realm of leadership theory and organizational behavior and psychology to justify the links among motivation, action, and outcomes. The intent of this treatise is not to spend an inordinate amount of time rehashing these well-established links. What is distinctive in this model is the assertion that trust relationships are a prerequisite for motivation, and therefore the subsequent actions and outcomes of a leadership process. Therefore, a large majority of this work is devoted to developing a strong understanding of trust, the components of trust, and the underlying need for trust. Examples from the literature and personal experience are then used to suggest future study to validate the groundedness of the model and to suggest ways for educational leaders to build trust within their organizations, using the model to predict outcomes of each strategy, and to promote student achievement.

Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. In that regard, a tractable MPO framework proposed by N. Gârleanu & L. H. Pedersen has been investigated. Using the stochastic control framework, the authors provided a closed form expression of the optimal policy. Moreover, they used a specific, yet flexible return predictability model. Excess returns were expressed using a linear factor model, and the predicting factors were modeled as mean reverting processes. Finally, transactions costs and market impacts were incorporated in the problem formulation as a quadratic function. The elaborated methodology considered that the market returns dynamics are governed by fast and slow mean reverting factors, and that the market transactions costs are not necessarily quadratic. By controlling the exposure to the market returns predicting factors, the aim was to uncover the importance of the mean reversion speeds in the performance of the constructed trading strategies, under realistic market costs. Additionally, for the sake of comparison, trading strategies based on a single-period mean variance optimization were considered. The findings suggest an overall superiority in performance for the studied MPO approach even when the market costs are not quadratic. This was accompanied with evidence of better usability of the factors' mean reversion speed, especially fast reverting factors, and robustness in adapting to transactions costs. / Portföljoptimering över era perioder (MPO) har fått stort intresse inom modern portföljteori. Skälet till detta är att MPO tar hänsyn till inter-temporala handelseffekter, särskilt marknadseffekter och transaktionskostnader, plus dess tillförlitlighet på avkastningsförutsägbarhet. På grund av det stora beräkningsbehovet har dock portföljpolitiken baserad på denna metod inte undersökts mycket. I det avseendet, har en underskriven MPO ramverk som föreslagits av N.Gârleanu L. H. Pedersen undersökts. Med hjälp av stokastiska kontrollramen tillhandahöll författarna formuläret för sluten form av den optimala politiken. Dessutom använde de en specifik, men ändå flexibel returförutsägbarhetsmodell. Överskjutande avkastning uttrycktes med hjälp av en linjärfaktormodell och de förutsägande faktorerna modellerades som genomsnittligaåterföringsprocesser. Slutligen inkorporerades transaktionskostnader och marknadseffekter i problemformuleringen som en kvadratisk funktion. Den utarbetade metodiken ansåg att marknadens avkastningsdynamik styrs av snabba och långsammaåterhämtningsfaktorer, och att kostnaderna för marknadstransaktioner inte nödvändigtvis är kvadratiska. Genom att reglera exponeringen mot marknaden återspeglar förutsägande faktorer, var målet att avslöja vikten av de genomsnittliga omkastningshastigheterna i utförandet av de konstruerade handelsstrategierna, under realistiska marknadskostnader. Dessutom, för jämförelses skull, övervägdes handelsstrategier baserade på en enstaka genomsnittlig variansoptimering. Resultaten tyder på en överlägsen överlägsenhet i prestanda för det studerade MPO-tillvägagångssättet, även när marknadsutgifterna inte är kvadratiska. Detta åtföljdes av bevis för bättre användbarhet av faktorernas genomsnittliga återgångshastighet, särskilt snabba återställningsfaktorer och robusthet vid anpassning till transaktionskostnader

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Multicore systems excel at providing concurrent execution of applications, giving true parallelism where all cores can execute sequences of machine instructions at the same time. However, multicore systems come with their own sets of problems, most notably when cores in a system (or core tiles) share hardware components such as memory modules or Input/Output (IO) peripherals. This increased level of complexity makes it especially difficult to design and verify safety- critical systems that require real- time operation, such as flight controllers in airplanes and airbag controllers in the automotive industry. Verifying that that systems are predictable is therefore essential, requiring methods for measuring and finding out the Worst- Case Execution Times (WCETs) and Best- Case Execution Times (BCETs). Additionally, the designer must ensure isolation between running applications (indicating that the platform is composable). This thesis work consists of designing a predictable Multiprocessor System On- Chip (MPSoC) using Qsys and Quartus II, as well as providing methods and test benches that can support all claims made about the platform’s reported behavior. A shared- memory loosely coupled multicore design was implemented, which can be horizontally scaled from 2 to 8 core tiles. A high- level Hardware Abstraction Layer (HAL) is written for the platform to simplify its use. Using Nios II/e processors as the logical cores in the platform’s core tiles gives predictable (mostly static) latencies when the platform is tested, showing no erratic or unexplained timing variations. However, due to the Round Robin (RR) nature of the arbitration logic in the Avalon Switch Fabric (ASF), composability was not fully achieved in the platform. Groundwork for implementing Time- Division Multiplexing (TDM) arbitration logic is proposed and will ideally be fully implemented in future work. / Mångkärniga processorsystem utmärker sig när det kommer till samkörning mellan applikationer. De ger en sann parallellism, där alla kärnor kan köra processorinstruktioner samtidigt. Mångkärniga system kommer med sina egna problem, framför allt när kärnorna ska dela komponenter så som minnesmoduler och Input/Output tillbehör. Den ökade komplexiteten gör att det är extra svårt att designa och verifiera säkerhetskritiska system som kräver körning i realtid, så som flygkontrollers på flygplan och styrenheter för krockkudden i bilar. Verifiering av att systemen är förutsägbara är essentiellt, detta behöver metoder för att mäta och hitta den värsta möjliga exekveringstiden (WCET) och den bästa möjliga exekveringstiden (BCET). Utöver detta måste designern säkerställa att processerna som körs på kärnorna är isolerade ifrån varandra (komponerbara). Detta arbetet består av att designa ett förutsägbart mångkärnigt system på chip (MPSoC) med Qsys och Quartus II, samt att ge metoder och testbänkar som kan bevisa systemets hävdade beteende. Ett löst kopplat mångkärnigt system med delat minne implementerades, där systemets kärnor kan ökas horisontellt från 2 till 8 stycken. Ett Hardware Abstraction Layer (HAL) skapades för systemet för att simplifiera användningen. Användningen av Nios II/e som processorkärna gav förutsägbara exekveringstider när systemet testades och visade inga oförklarliga tids variationer. Däremot, på grund av att Avalon Switch Fabric (ASF) tilldelar access med Round Robin (RR), är systemet inte komponerbart. Basen för att implementera Time- Division Multiplexing (TDM) istället är föreslaget och kommer idealt implementeras som fortsatt arbete.

[pt] Essa tese é composta por três artigos em econometria financeira. Os dois primeiros artigos exploram a relação entre retornos intradiários do mercado de equities e a implied volatility, representada pelo Índice de Volatilidade da CBOE (VIX). Nos dois artigos, estimamos previsões um minuto à frente utilizando janelas rolantes para cada dia. No primeiro artigo, as estimativas indicam que nossos modelos de fatores de volatilidade têm uma performance superior a benchmarks tradicionais em uma análise de séries de tempo em alta frequência, mesmo aos excluirmos períodos de crise da amostra. Os resultados também indicam uma performance fora da amostra maior para dias em que não ocorrem anúncios macroeconômicos. A performance é ainda maior quando removemos períodos de crise. O segundo artigo propõe uma abordagem de aprendizado de máquinas para modelar esse exercício de previsão. Implementamos um método de estimação intradiário minuto a minuto com janelas móveis, utilizando dois tipos de modelos não lineares: redes neurais com Long-Short-Term Memory (LSTM) e Random Forests (RF). Nossas estimativas mostram que o VIX é o melhor previsor de retornos de mercado intradiários entre os candidatos na nossa análise, especialmente quando implementadas através do modelo LSTM. Esse modelo também melhora significativamente a performance quando utilizamos o retorno de mercado defasado como variável preditiva. Finalmente, o último artigo explora uma extensão multivariada do método FarmPredict, combinando modelos vetoriais autoregressivos aumentados em fatores (FAVAR) e modelos esparsos em um ambiente de alta dimensão. Utilizando um procedimento de três estágios, somos capazes de estimar e prever fatores e seus loadings, que podem ser observados, não observados ou ambos, assim como uma estrutura idiossincrática fracamente esparsa. Realizamos uma aplicação dessa metodologia em um painel de volatilidades realizadas e os resultados de performance do método em etapas indicam melhorias quando comparado a benchmarks consolidados. / [en] This thesis is composed of three papers on financial econometrics. The first two papers explore the relation between intraday equity market returns and implied volatility, represented by the CBOE Volatility Index (VIX). In both papers, we estimate one-minute-ahead forecasts using rolling windows within a day. In the first paper, the estimates indicate that our volatility factor models outperform traditional benchmarks at high frequency time-series analysis, even when excluding crisis periods. We also find that the model has a better out-of-sample performance at days without macroeconomic announcements. Interestingly, these results are amplified when we remove the crisis period. The second paper proposes a machine learning modeling approach to this forecasting exercise. We implement a minute-by-minute rolling window intraday estimation method using two nonlinear models: Long-Short-Term Memory (LSTM) neural networks and Random Forests (RF). Our estimations show that the VIX is the strongest candidate predictor for intraday market returns in our analysis, especially when implemented through the LSTM model. This model also improves significantly the performance of the lagged market return as predictive variable. Finally, the third paper explores a multivariate extension of the FarmPredict method, by combining factor-augmented vector autoregressive (FAVAR) and sparse models in a high-dimensional environment. Using a three-stage procedure, we estimate and forecast factors and its loadings, which can be observed, unobserved, or both, as well as a weakly sparse idiosyncratic structure. We provide an application of this methodology to a panel of daily realized volatilities. Finally, the accuracy of the stepwise method indicates improvements of this forecasting method when compared to consolidated benchmarks.

Das Ziel dieser Arbeit ist es Geheimnisse des Indischen Monsuns aufzudecken-ein groß-skaliges Klimaphänomen,das mehr als 1,7 Milliarden Menschen stark beeinflußt.Folglich ist das Verständnis der Mechanismen des Indischen Monsuns und seine erfolgreiche Prognose nicht nur eine Frage von größtem Interesse,sondern auch eine bedeutende wissenschaftliche Herausforderung.Der erste Teil dieser Arbeit ist den extremen Niederschlagsereignissen über dem Indischen Subkontinent gewidmet.In dieser Arbeit wurde gezeigt,dass eine Synchronizität zwischen extremen Niederschlagsereignissen in den Eastern Ghats und Nord Pakistan Regionen durch das Zusammenspiel zwischen dem indischen Monsun und einem nicht-Monsun-Niederschlagsmuster verursacht wird.Dieses Ergebnis unterstreicht die Bedeutung der Region Nord-Pakistan zur Ableitung der Wechselwirkung zwischen dem indischen Monsun-System und den West-Störungen,und verbessert daher das Verständnis der Kopplung des indischen Monsuns mit den Extratropen.Der zweite Teil der Arbeit befasst sich mit dem Problem der räumlichen und zeitlichen Organisation des abrupten Übergangs auf den indischen Monsun.Hier wird ein neuartiger Mechanismus des räumlich-zeitlichen Übergangs zur Regenperiode vorgeschlagen.Er hat mehrere Vorteile gegenüber bestehenden Erklärungen der Natur des indischen Monsuns:Es beschreibt den abrupten Übergang in einer gewählten Region des indischen Subkontinents sowie die räumliche Ausbreitung und Variabilität des indischen Monsuns beim Einsetzen entlang der Achse des Monsuns.Der dritte Teil dieser Arbeit konzentriert sich auf das Problem der Vorhersagbarkeit des indischen Monsuns.Das vorgeschlagene Verfahren ermöglicht die Vorhersage des Einsetzens und Endens über einen mehr als zwei Wochen bzw.einen Monat früheren Zeitraum im Vergleich zu bisher bekannten Methoden.Schließlich kann die vorgeschlagene Instrumentarium direkt in das bestehende lang-reichweitige Vorhersagesystem für den Monsuns implementiert werden. / The aim of this thesis is to uncover some of the mysteries surrounding the Indian Monsoon - a large-scale climatic phenomenon affecting more than 1.7 billion people. Consequently, understanding the mechanisms of the Indian monsoon and its successful forecasting is not only a question of great interest, but also a significant scientific challenge. The first part of this thesis is devoted to extreme rainfall events over the Indian subcontinent. In this thesis, I have shown that a synchronicity between extreme rainfall events in the Eastern Ghats and North Pakistan regions is caused by the interplay between the Indian Monsoon and a non-monsoonal precipitation pattern driven by the Westerlies - Western Disturbances. This result highlights the importance of the North Pakistan region for inferring the interaction between the Indian Monsoon system and Western Disturbances, and, therefore, improves the understanding of the Indian Monsoon coupling with the extratropics. The second part of this dissertation is concerned with the problem of the spatial and temporal organization of the abrupt transition to the Indian monsoon. Here, I have proposed a novel mechanism of a spatio-temporal transition to monsoon. It has several advantages in comparison to existing explanations of the Indian Monsoon nature: it describes the abrupt transition to monsoon in a chosen region of the Indian subcontinent, as well as the spatial propagation and variability of the Indian Monsoon onset along the axis of advance of monsoon. The third part of this thesis focuses on the problem of predictability of the Indian Monsoon. I have developed a novel method that predicts the onset and withdrawal dates more than two weeks and a month earlier than existing methods, respectively. Finally, the proposed scheme can be directly implemented into the existing long-range forecasting system of the monsoon''s timing.

Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.