Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of low, high, open and close over a given time horizon. Paper [II] measures the returns of a popular day trading strategy, the Opening Range Breakout strategy (ORB), across volatility states. We calculate the average daily returns of the ORB strategy for each volatility state of the underlying asset when applied on long time series of crude oil and S&P 500 futures contracts. We find an average difference in returns between the highest and the lowest volatility state of around 200 basis points per day for crude oil, and of around 150 basis points per day for the S&P 500. This finding suggests that the success in day trading can depend to a large extent on the volatility of the underlying asset. Paper [III] performs empirical analysis on short-term and long-term Commodity Trading Advisor (CTA) strategies regarding their exposures to unanticipated risk shocks. Previous research documents that CTA strategies offer diversification opportunities during equity market crisis situations when evaluated as a group, but do not separate between short-term and long-term CTA strategies. When separating between short-term and long-term CTA strategies, this paper finds that only short-term CTA strategies provide a significant, and consistent, exposure to unanticipated risk shocks while long-term CTA strategies do not. For the purpose of diversifying a portfolio during equity market crisis situations, this result suggests that an investor should allocate to short-term CTA strategies rather than to long-term CTA strategies.

<p dir="ltr">The proliferation of internet-connected embedded devices in contemporary computing environments has raised significant concerns regarding data security and confidentiality. Most embedded devices rely on computationally secure cryptographic algorithms to address these imperatives. However, despite the mathematical assurances, the physical implementation of these algorithms introduces vulnerabilities. Specifically, side-channel analysis (SCA) attacks exploit information leakage through various channels, including power consumption, electromagnetic (EM) radiation, timing, cache hits and misses, and other observable characteristics. </p><p dir="ltr">Previous research has introduced the concept of attenuating information-sensitive signatures using an analog cascoded current source for power delivery, coupled with an analog biased PMOS-based local negative feedback mechanism to stabilize the internal node. While this approach achieves robust signature suppression, resulting in higher minimum traces to disclosure (MTD) and enhanced security, it remains limited by its analog nature, making it less adaptable across different technology nodes. This thesis proposes a digital-friendly signature suppression technique that employs a digital cascoded current source and leverages a Ring-oscillator-based bleed path. These digital countermeasures can be further enhanced through time-domain obfuscation techniques. Our work demonstrates a state-of-the-art MTD of 1.25 billion traces for an AES-256 implementation. However, these countermeasures lack provable security guarantees, so continuous stress testing is essential for widespread deployment. Different intelligent attacks can be exploited on these physical countermeasures. Notably, this thesis also presents an intelligent attack on signature attenuation-based physical countermeasures and introduces an attack detector. Developing an intelligent attack detector is an integral part of the commercial adoption of physical countermeasures. </p><p dir="ltr">Next, generic physical countermeasures are often deployed in the $V_{DD}$ port as power side channel analysis is carried out through the $V_{DD}$ port. However, any digital circuit has two standard ports, namely $V_{DD}$ and clock port, and countermeasure through the clock port is mainly unexplored except for the system-level clock randomization technique. Even the clock-randomization technique is rendered ineffective in the presence of post-processing techniques. This thesis introduces a side channel resilience technique by introducing a larger slew at the clock, thereby improving MTD by $100\times$.</p><p dir="ltr">Next, these physical countermeasures do not come with any provable security guarantee. Hence, it is important to stress-test the countermeasures. This thesis does so and finds an exploitable point to reduce MTD by 1000$\times$. An attack detector of such an attack is also proposed.</p><p dir="ltr">Further, an attack detection strategy against side-channel analysis (SCA) or fault injection attacks (FIA) is also required. A detection and mitigation approach often gives us the option of duty-cycled countermeasures, hence reducing the energy overhead. This thesis proposes and analyzes a self-aware inductive loop-based attack detection strategy to detect SCA and FIA and enhance the signature attenuation countermeasures. </p><p dir="ltr">Finally, we explore opportunities for integrating these lightweight generic techniques into recently standardized Post-Quantum Cryptographic (PQC) cores. Specifically, we present an optimized implementation of the Saber PQC core, a NIST standardization finalist, achieving the lowest area and energy consumption. Future work could involve deploying lightweight PQC cores with synthesizable physical countermeasures to enhance security against quantum algorithms and physical side-channel attacks.</p>

En este trabajo se aborda el problema de controlar un proceso cuya salida se muestrea de forma irregular. Para ello se propone utilizar un predictor que estima las salidas del proceso en instantes regulares de tiempo más un controlador convencional que calcula la acción de control a partir de las estimaciones del predictor (técnica conocida como control inferencial). La predicción consiste en estimar las variables de salida que se desean controlar a partir de las mediciones realizadas con diversos sensores utilizando para ello un modelo matemático del proceso. El filtro de Kalman permite hacer la predicción de forma óptima si las perturbaciones tienen una distribución gaussiana de media cero, pero con el inconveniente de requerir un elevado coste computacional cuando se utilizan diferentes sensores con retardos temporales variantes. En este trabajo se propone una estrategia de predicción alternativa de bajo coste computacional cuyo diseño se basa en el conocimiento de la disponibilidad de mediciones y de los retardos (del proceso, del sistema de medición o del sistema de transmisión de datos) y de la naturaleza de las perturbaciones. Los predictores propuestos minimizan el error de predicción frente al muestreo aleatorio con retardos variantes, perturbaciones, ruido de medida, error de modelado, retardos en la acción de control e incertidumbre en los tiempos de medición. Las diferentes estrategias de diseño que se proponen se clasifican según el tipo de información que se dispone de las perturbaciones y del coste computacional requerido. Se han planteado los diseños para sistemas monovariables, multivariables, lineales y no lineales. Asimismo, también se ha elaborado una forma más eficiente de incluir mediciones escasas con retardo en el filtro de Kalman, con el objetivo de reducir el coste computacional de la predicción. En este trabajo se demuestra que los sistemas de control inferencial que utilizan los predictores propuestos cumplen con el principio de sep / Peñarrocha Alós, I. (2006). Sensores virtuales para procesos con medidas escasas y retardos temporales [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/3882

房屋貸款借款人對於其所負貸款債務的處分有兩種潛在風險行為，分別是提前清償及違約。這兩種借款人風險行為不管是對金融機構的資產管理，或是對近年在財務金融領域的不動產證券化而言，都是相當重要的探討議題，原因在於提前清償及違約帶來了利息收益與現金流量的不確定性，進而影響不動產抵押債權的價值。也就是為貸款承作機構、證券化保證機構及證券投資人帶來風險。 借款人決定提前清償及違約與否，除了與借款人自身特性及貸款條件有關外，尚受到隨時間經過而不斷變動的變數所影響，亦即許多影響因子並非維持在貸款起始點的狀態，而是會在貸款存續期間動態調整。進一步影響借款人行為，而這類變數即為時間相依變數(time –dependent variables，或time-varying variables)。因此，本研究利用便於處理時間相依變數的比例危險模型(Proportional Hazard Model)來分析借款人提前清償及違約風險行為，觀察借款人特徵、房屋型態、貸款條件及總體經濟等變數與借款人風險行為的關係。 實證結果顯示，借款人特徵部分的教育程度對提前清償及違約風險影響最為明顯，教育程度越高，越會提前清償，越低則較會違約。房屋型態則透天厝較非透天厝容易提前清償及違約。貸款條件中的貸款金額及貸款成數皆與違約為正相關，亦即利息負擔越重，借款人違約風險升高。總體經濟方面，借款人對利率變動最為敏感，反映利率代表借款人的資金成本，是驅動借款人提前清償及違約的財務動機與誘因。

L’ évolution des systèmes radar et de guerre électronique tend à concevoir desrécepteurs numériques possédant des bandes instantanées de plus en plus larges. Cette contraintese reporte sur les Convertisseurs Analogique-Numérique (CAN) qui doivent fournir une fréquenced’échantillonnage de plus en plus élevée tout en conservant une puissance dissipée réduite. Unesolution pour répondre à cette demande est le CAN à Temps Entrelacés (ET-CAN) qui paralléliseM CANs pour augmenter la fréquence d’échantillonnage d’un facteur M tout en restant dansun rapport proportionné avec la puissance dissipée. Cependant, les performances dynamiquesdes ET-CANs sont réduites par des défauts d’entrelacements liés à des différences de processusde fabrication, de leur tension d’alimentation et des variations de température. Ces défautspeuvent être modélisés comme issus des disparités d’offsets, de gains ou décalages temporels etglobalement comme issus des disparités de réponses fréquentielles. Ce sont sur ces dernièresdisparités, moins traitées dans la littérature, que portent nos travaux. L’objectif est d’étudierces disparités pour en déduire un modèle et une méthode d’estimation puis, de proposer desméthodes de compensation numérique qui peuvent être implémentées sur une cible FPGA.Pour cela, nous proposons un modèle général des disparités de réponses fréquentielles desET-CANs pour un nombre de voies M quelconques. Celui-ci mélange une description continuedes disparités et une description discrète de l’entrelacement, résultant sur une expression desdéfauts des ET-CANs comme un filtrage à temps variant périodique (LPTV) du signal analogiqueéchantillonné uniformément. Puis, nous proposons une méthode d’estimation des disparitésdes ET-CANs basée sur les propriétés de corrélation du signal en sortie du modèle, pour Mvoies quelconques. Ensuite, nous définissions une architecture de compensation des disparitésde réponses fréquentielles des ET-CANs et nous étudions ses performances en fonction de sesconfigurations et du signal en entrée. Nous décrivons une implémentation de cette architecturepour M=4 voies entrelacées sur cible FPGA et nous étudions les ressources consommées afin deproposer des pistes d’optimisation. Enfin, nous proposons une seconde méthode de compensationspécifique au cas M=2 voies entrelacées, dérivée de la première mais travaillant sur le signalanalytique en sortie d’un ET-CAN et nous la comparons à une méthode similaire de l’état del’art. / The evolution of radar and electronic warfare systems tends to develop digitalreceivers with wider bandwidths. This constraint reaches the Analog to Digital Converters(ADC) which must provide a sample rate higher and higher while maintaining a reducedpower dissipation. A solution to meet this demand is the Time-Interleaved ADC (TIADC)which parallelizes M ADCs, increasing the sampling frequency of an M factor while still ina proportionate relation to the power loss. However, the dynamic performance of TIADCsare reduced by errors related to the mismatches between the sampling channels, due to themanufacturing processes, the supply voltage and the temperature variations. These errors canbe modeled as the result of offset, gain and clock-skew mismatches and globally as from thefrequency response mismatches. It is these last mismatches, unless addressed in the literaturethat carry our work. The objective is to study these errors to derive a model and an estimationmethod then, to propose digital compensation methods that can be implemented on a FPGAtarget.First, we propose a general TIADC model using frequency response mismatches for any Mchannel number. Our model merge a continuous-time description of mismatches and a discretetimeone of the interleaving process, resulting in an expression of the TIADC errors as a linearperiodic time-varying (LPTV) system applied to the uniformly sampled analog signal. Then,we propose a method to estimate TIADC errors based on the correlation properties of theoutput signal for any M channel. Next, we define a frequency response mismatch compensationarchitecture for TIADC errors and we study its performance related to its configuration and theinput signal. We describe an FPGA implementation of this architecture for M=4 interleavedchannels and we study the resources consumption to propose optimisations. Finally, we proposea second compensation method, specific to M=2 interleaved channels and derived from the firstone, but working on the analytical signal from the TIADC output and we compare it to a similarstate-of-the-art method.

Although it has been well established that abnormal group delay is a real physical phenomenon and is not in violation of Einstein causality, there has been little investigation into whether or not such abnormal behaviour can be used to reduce signal latency in practical communication systems in the presence of noise. In this thesis, we use time-varying probability of error to determine if abnormal group delay “channels” can offer reduced signal latency. Since the detection system plays a critical role in the analysis, three important detection systems are considered: the correlation, matched filter and envelope detection systems. Our analysis shows that for both spatially negligible microelectronic systems and spatially extended microwave systems, negative group delay “channels” offer reduced signal latency as compared to conventional “channels”. The results presented in the thesis can be used to design a new generation of electronic and microwave interconnects with reduced or eliminated signal latency.

Although it has been well established that abnormal group delay is a real physical phenomenon and is not in violation of Einstein causality, there has been little investigation into whether or not such abnormal behaviour can be used to reduce signal latency in practical communication systems in the presence of noise. In this thesis, we use time-varying probability of error to determine if abnormal group delay “channels” can offer reduced signal latency. Since the detection system plays a critical role in the analysis, three important detection systems are considered: the correlation, matched filter and envelope detection systems. Our analysis shows that for both spatially negligible microelectronic systems and spatially extended microwave systems, negative group delay “channels” offer reduced signal latency as compared to conventional “channels”. The results presented in the thesis can be used to design a new generation of electronic and microwave interconnects with reduced or eliminated signal latency.

No description available.

The technique of cooperative communications is finding its way in the next generations of many wireless communication applications. Due to the distributed nature of cooperative networks, acquiring fading channels information for coherent detection is more challenging than in the traditional point-to-point communications. To bypass the requirement of channel information, differential modulation together with non-coherent detection can be deployed. This thesis is concerned with various issues related to differential modulation and non-coherent detection in cooperative networks. Specifically, the thesis examines the behavior and robustness of non-coherent detection in mobile environments (i.e., time-varying channels). The amount of channel variation is related to the normalized Doppler shift which is a function of user’s mobility. The Doppler shift is used to distinguish between slow time-varying (slow-fading) and rapid time-varying (fast-fading) channels. The performance of several important relay topologies, including single-branch and multi-branch dual-hop relaying with/without a direct link that employ amplify-and-forward relaying and two-symbol non-coherent detection, is analyzed. For this purpose, a time-series model is developed for characterizing the time-varying nature of the cascaded channel encountered in amplify-and-forward relaying. Also, for single-branch and multi-branch dual-hop relaying without a direct link, multiple-symbol differential detection is developed. First, for a single-branch dual-hop relaying without a direct link, the performance of two-symbol differential detection in time-varying Rayleigh fading channels is evaluated. It is seen that the performance degrades in rapid time-varying channels. Then, a multiple-symbol differential detection is developed and analyzed to improve the system performance in fast-fading channels. Next, a multi-branch dual-hop relaying with a direct link is considered. The performance of this relay topology using a linear combining method and two-symbol differential detection is examined in time-varying Rayleigh fading channels. New combining weights are proposed and shown to improve the system performance in fast-fading channels. The performance of the simpler selection combining at the destination is also investigated in general time-varying channels. It is illustrated that the selection combining method performs very close to that of the linear combining method. Finally, differential distributed space-time coding is studied for a multi-branch dual-hop relaying network without a direct link. The performance of this network using two-symbol differential detection in terms of diversity over time-varying channels is evaluated. It is seen that the achieved diversity is severely affected by the channel variation. Moreover, a multiple-symbol differential detection is designed to improve the performance of the differential distributed space-time coding in fast-fading channels.

Signal processing has been playing a key role in providing solutions to key problems encountered in communications, in general, and in wireless communications, in particular. Time-Frequency Signal Processing (TFSP) provides eective tools for analyzing nonstationary signals where the frequency content of signals varies in time as well as for analyzing linear time-varying systems. This research aimed at exploiting the advantages of TFSP, in dealing with nonstationary signals, into the fundamental issues of signal processing, namely the signal estimation and signal separation. In particular, it has investigated the problems of (i) the Instantaneous Frequency (IF) estimation of Linear Frequency-Modulated (LFM) signals corrupted in complex-valued zero-mean Multiplicative Noise (MN), and (ii) the Underdetermined Blind Source Separation (UBSS) of LFM signals, while focusing onto the fast-growing area of Wireless Communications (WCom). A common problem in the issue of signal estimation is the estimation of the frequency of Frequency-Modulated signals which are seen in many engineering and real-life applications. Accurate frequency estimation leads to accurate recovery of the true information. In some applications, the random amplitude modulation shows up when the medium is dispersive and/or when the assumption of point target is not valid; the original signal is considered to be corrupted by an MN process thus seriously aecting the recovery of the information-bearing frequency. The IF estimation of nonstationary signals corrupted by complex-valued zero-mean MN was investigated in this research. We have proposed a Second-Order Statistics approach, rather than a Higher-Order Statistics approach, for IF estimation using Time-Frequency Distributions (TFDs). The main assumption was that the autocorrelation function of the MN is real-valued but not necessarily positive (i.e. the spectrum of the MN is symmetric but does not necessary has the highest peak at zero frequency). The estimation performance was analyzed in terms of bias and variance, and compared between four dierent TFDs: Wigner-Ville Distribution, Spectrogram, Choi-Williams Distribution and Modified B Distribution. To further improve the estimation, we proposed to use the Multiple Signal Classification algorithm and showed its better performance. It was shown that the Modified B Distribution performance was the best for Signal-to-Noise Ratio less than 10dB. In the issue of signal separation, a new research direction called Blind Source Separation (BSS) has emerged over the last decade. BSS is a fundamental technique in array signal processing aiming at recovering unobserved signals or sources from observed mixtures exploiting only the assumption of mutual independence between the signals. The term "blind" indicates that neither the structure of the mixtures nor the source signals are known to the receivers. Applications of BSS are seen in, for example, radar and sonar, communications, speech processing, biomedical signal processing. In the case of nonstationary signals, a TF structure forcing approach was introduced by Belouchrani and Amin by defining the Spatial Time- Frequency Distribution (STFD), which combines both TF diversity and spatial diversity. The benefit of STFD in an environment of nonstationary signals is the direct exploitation of the information brought by the nonstationarity of the signals. A drawback of most BSS algorithms is that they fail to separate sources in situations where there are more sources than sensors, referred to as UBSS. The UBSS of nonstationary signals was investigated in this research. We have presented a new approach for blind separation of nonstationary sources using their TFDs. The separation algorithm is based on a vector clustering procedure that estimates the source TFDs by grouping together the TF points corresponding to "closely spaced" spatial directions. Simulations illustrate the performances of the proposed method for the underdetermined blind separation of FM signals. The method developed in this research represents a new research direction for solving the UBSS problem. The successful results obtained in the research development of the above two problems has led to a conclusion that TFSP is useful for WCom. Future research directions were also proposed.