This study investigates whether Gaussian Process Regression can be applied to evaluate buffer queue times in large scale data processing systems. It is additionally considered whether high-frequency data stream rates can be generalized into a small subset of the sample space. With the aim of providing basis for dynamic software optimization, a promising foundation for continued research is introduced. The study is intended to contribute to Direct Market Access financial trading systems which processes immense amounts of market data daily. Due to certain limitations, we shoulder a naïve approach and model latencies as a function of only data throughput in eight small historical intervals. The training and test sets are represented from raw market data, and we resort to pruning operations to shrink the datasets by a factor of approximately 0.0005 in order to achieve computational feasibility. We further consider four different implementations of Gaussian Process Regression. The resulting algorithms perform well on pruned datasets, with an average R2 statistic of 0.8399 over six test sets of approximately equal size as the training set. Testing on non-pruned datasets indicate shortcomings from the generalization procedure, where input vectors corresponding to low-latency target values are associated with less accuracy. We conclude that depending on application, the shortcomings may be make the model intractable. However for the purposes of this study it is found that buffer queue times can indeed be modelled by regression algorithms. We discuss several methods for improvements, both in regards to pruning procedures and Gaussian Processes, and open up for promising continued research. / Denna studie undersöker huruvida Gaussian Process Regression kan appliceras för att utvärdera buffer-kötider i storskaliga dataprocesseringssystem. Dessutom utforskas ifall dataströmsfrekvenser kan generaliseras till en liten delmängd av utfallsrymden. Medmålet att erhålla en grund för dynamisk mjukvaruoptimering introduceras en lovandestartpunkt för fortsatt forskning. Studien riktas mot Direct Market Access system för handel på finansiella marknader, somprocesserar enorma mängder marknadsdata dagligen. På grund av vissa begränsningar axlas ett naivt tillvägagångssätt och väntetider modelleras som en funktion av enbartdatagenomströmning i åtta små historiska tidsinterval. Tränings- och testdataset representeras från ren marknadsdata och pruning-tekniker används för att krympa dataseten med en ungefärlig faktor om 0.0005, för att uppnå beräkningsmässig genomförbarhet. Vidare tas fyra olika implementationer av Gaussian Process Regression i beaktning. De resulterande algorithmerna presterar bra på krympta dataset, med en medel R2 statisticpå 0.8399 över sex testdataset, alla av ungefär samma storlek som träningsdatasetet. Tester på icke krympta dataset indikerar vissa brister från pruning, där input vektorermotsvararande låga latenstider är associerade med mindre exakthet. Slutsatsen dras att beroende på applikation kan dessa brister göra modellen obrukbar. För studiens syftefinnes emellertid att latenstider kan sannerligen modelleras av regressionsalgoritmer. Slutligen diskuteras metoder för förbättrning med hänsyn till både pruning och GaussianProcess Regression, och det öppnas upp för lovande vidare forskning.

Made available in DSpace on 2016-04-26T20:48:47Z (GMT). No. of bitstreams: 1 Lucy Pamboukdjian.pdf: 616336 bytes, checksum: c470f80cf74971ad5c001dc6501d6ca4 (MD5) Previous issue date: 2006-12-20 / This paper analyses the features that led the stock exchanges in Latin America to promote the integration initiatives that are currently in progress. The evaluation takes the experiences in integration and consolidation observed in Europe and the United States as main reference, as well as the opening of capital markets, introduction of electronic trading systems and demutualization processes, along with the increasing participation of institutional investors as main drivers of the transformation seen in the recent years. Since the late 1980 s, the capital markets worldwide have seen the modernization of the stock and derivatives exchanges. This movement has been occurring simultaneously to the opening of the capital markets and to the flows of capital led by institutional investors, which seem to have stimulated the adoption of more efficient electronic trading systems for the securities trading. In this sense, stock exchanges and market intermediaries started using technology to strengthen the efficiency of its intermediation models, as well as to broaden access with smaller trading costs to investors. In order to achieve more flexibility and raise financial resources to conduct these changes, the demutualization process has emerged allowing exchanges to become for-profit and market driven companies, which segregated the trading rights and the ownership rights of the intermediaries in the exchanges / A dissertação examina os elementos que motivaram as bolsas de valores da América Latina a promover as iniciativas de integração de seus mercados de capitais em curso. A análise toma como referência as experiências de integração e consolidação promovidas pelas principais bolsas de valores da Europa e dos EUA, bem como os processos de internacionalização dos mercados, de implementação de sistemas eletrônicos de negociação e de desmutualização das bolsas, além do papel dos investidores institucionais como estimuladores das transformações em curso ao longo dos últimos anos. A partir do final dos anos 1980, o mercado de capitais mundial presenciou a modernização de bolsas de valores e de derivativos. Essa transformação coincidiu com a internacionalização dos mercados de capitais e com o fluxo internacional de capitais geridos por investidores institucionais, que parecem ter estimulado o desenvolvimento de sistemas eletrônicos de negociação mais eficientes para a intermediação de ações e outros instrumentos do mercado financeiro. Nesse sentido, bolsas de valores e seus intermediários passaram a utilizar a tecnologia para potencializar a eficiência de seus sistemas de negociação e simultaneamente oferecer acesso mais adequado e custos de intermediação reduzidos aos investidores. Para atingir maior flexibilidade na sua gestão e maior capitalização financeira para implementar essas mudanças, um processo de desmutualização tomou lugar nas bolsas, que se tornaram empresas com fins de lucro e com estratégias comerciais e dissociaram o direito de acesso à intermediação do direito à propriedade dos participantes das bolsas

Submitted by Verena Pereira (verenagoncalves@uefs.br) on 2018-09-12T21:52:11Z No. of bitstreams: 1 Vers?o Final_Disserta??o.pdf: 2988104 bytes, checksum: c27862945e0f83da183a6c591a54de39 (MD5) / Made available in DSpace on 2018-09-12T21:52:11Z (GMT). No. of bitstreams: 1 Vers?o Final_Disserta??o.pdf: 2988104 bytes, checksum: c27862945e0f83da183a6c591a54de39 (MD5) Previous issue date: 2018-06-15 / Trading systems based on trend following strategies are applied by many investors when negotiating in the variable income markets, in operations conducted in several asset classes worldwide. These systems play an important role in investor decision-making process, but still require further study. In this dissertation, four trend following trading systems are presented, whose performances have been demonstrated in order to evaluate their effectiveness in the Brazilian variable income market. Two of the four proposed systems were evaluated in the stock market and the other two were considered for the future contract market. For this purpose, a historical series of asset prices available for trade between January 1995 and December 2014 at the S?o Paulo Mercantile and Futures Exchange. Through simulations, the systems showed that if they were traded on the stock market and futures markets in Brazil, they would generate profitability, indicating the existence of several trends in the assets studied, obtaining a performance superior to strategy of buying and hold in the market Ibovespa index. This study contributes to the discussion on the effectiveness of trading systems based on the trend following investment philosophy / Sistemas de negocia??o baseados em estrat?gias fundamentadas no trend following, s?o utilizados por in?meros investidores para negociarem nos mercados de renda vari?vel, em opera??es nas mais variadas classes de ativos no mundo. Esses sistemas desempenham papel importante na tomada de decis?o por parte de um investidor na realiza??o de uma negocia??o, no entanto, ainda precisam de maiores estudos. Nesta disserta??o, apresentamos quatro trading systems seguidores de tend?ncias, os quais tiveram suas performances demonstradas na perspectiva de avaliar a efic?cia desses trading systems no mercado de renda vari?vel brasileiro. Dois dos quatro sistemas propostos, foram avaliados no mercado de a??es e os outros dois foram considerados para opera??es no mercado de contratos futuros. Para tanto, foram consideradas s?ries hist?ricas de pre?os de ativos dispon?veis para negocia??o entre janeiro de 1995 ? dezembro de 2014, na Bolsa de Valores Mercadorias e Futuros de S?o Paulo. Atrav?s de simula??es, os sistemas demonstraram que caso fossem operados no mercado de a??es e/ou de futuros do Brasil, gerariam lucros, indicando-se a exist?ncia de diversas tend?ncias nos ativos estudados, obtendo-se performance superior ? estrat?gia de comprar e manter no ?ndice Ibovespa. O presente trabalho contribui na discuss?o a respeito da efic?cia de sistemas de negocia??o baseados na filosofia de investimento do trend following

L’objectif principal de cette thèse est l’analyse des configurations du lien social naissant au sein de systèmes alternatifs d’échange local, afin d’y retrouver la trace du « don maussien ». L’enquête porte sur un échange de biens, parallèle à l’échange marchand et localement accompli dans le contexte d’un monde globalisé, perspective qui inscrit la recherche dans le champ de l’anthropologie économique des mondes contemporains. Le phénomène de la mondialisation, associé au progrès des techniques de communication, permettant d’observer des procédés analogues, engendrés par des causes communes dans différentes parties du monde, le terrain, tel que défini ci-dessus, fut réalisé sur deux sites socio-culturellement différents puisque implantés en Colombie pour l’un, et en France, pour l’autre. Ces deux sites furent traités comme un seul terrain multi-local dont le croisement des données recueillies a enrichi l’analyse. Avant de passer à la partie descriptive des ethnographies réalisées, le travail évoque des théories et des expériences antérieures qui ont permis de reconnaître la différence entre les expérimentations monétaires et les systèmes d’échange multilatéral ou dispositifs comptables centralisés employant une unité de compte pour faciliter les échanges. La production et la consommation sont stimulées par un type de monnaie qui joue un rôle complémentaire à la devise officielle et permet des transactions multilatérales. Devant la diversité des systèmes alternatifs à l’échange marchand, un choix s’imposait pour déterminer ceux qui seraient l’objet de l’enquête de terrain. Les initiatives sélectionnées pour une observation directe furent les foires de multi-troc colombiennes et les systèmes d’échange local (SEL) français. Les deux monographies décrivent le déroulement des investigations en Colombie et en France, ainsi que les constats qui s’imposèrent à leur issue. Il apparaît qu’au-delà de la raison économique d’échanger biens et services sans se soumettre à l’usage de l’argent comme fin en soi, les adhérents à ces expériences de micro-économie y trouvent un milieu propice à cultiver de nouvelles relations sociales. Les raisons de participer sont multiples mais s’alignent souvent sur des valeurs communes telles que la confiance, l’entraide, le respect de l’autre, la tolérance ou la solidarité, autant de logiques qui font de ces groupements, des espaces de création de liens sociaux favorables à l’émergence du don moderne. Tel qu’il a été développé et actualisé par Jacques T. Godbout, Alain Caillé et les exposants du Mouvement Anti-Utilitariste dans les Sciences Sociales –M.A.U.S.S.- . /ABSTRACT The main objective of this thesis is the analysis of configurations of the social link emerging within alternate systems of local exchange, in order to find traces of the “maussian gift”. The investigation covers the exchange of property which is parallel to trade exchange and is locally accomplished in the context of a global world, a perspective which integrates our research within the field of economic anthropology of contemporary worlds. The phenomenon of the globalization, coupled with advances in communication technology, allows us to observe similar processes around the world, engendered by common causes. The fieldwork, as mentioned above, was realized on two socio - culturally different sites, one in Colombia, the other one in France. These two sites were treated as a single multi-local fieldwork, and their combined information enriched our analysis. Before proceeding to the descriptive part of the conducted ethnographic research, the document evokes theories and previous experiences which allowed us to recognize the difference between monetary experiments and multilateral trading systems or devices using a centralized accounting unit to facilitate the exchanges. The production and the consumption are stimulated by a type of exchange that is complementary to the official currency and allows multilateral transactions. Considering the variety of alternative systems in the exchange market, a choice was necessary to determine, who would be the object of the fieldwork. The initiatives selected for direct observation were the Colombian multi-barter fairs and the French systems of local exchange (SEL). Both monographs describe the progress of investigations in Colombia and in France, as well as the resulting reports. It seems that, apart from the economic reason for exchanging goods and services without being subject to the use of money, which is an end in itself, those who take part in such experiences of microeconomics find a convenient environment to cultivate new social relationships. The reasons for participating are numerous, but often aligned on common values such as trust, mutual aid, respect for the others, tolerance or solidarity, which all contribute to transform these gatherings into spaces mean to create social links favourable to the emergence of the modern gift. This theory was developed and updated by Jacques T. Godbout, Alain Caillé and the members of the Anti-Utilitarian Movement in Social Science -M.A.U.S.S.-.

Après avoir présenté les prestations qui composent les foires de troc dans les Andes argentines en mobilisant les concepts de l'anthropologie économique (le don et l'échange éventuellement monétaire, marchand ou lucratif), je me tourne vers l'anthropologie religieuse, et précisément le concept de ritualisation, pour saisir les spécificités de ces transactions extraordinaires. Dans une optique comparative, j'examine les foires organisées par les institutions locales de développement à la lumière de ce même cadre d'analyse. / Doctorat en sciences sociales, Orientation anthropologie / info:eu-repo/semantics/nonPublished

The graduation thesis "Analysis of stock-exchange data using AI methods" is focused on the use of neural networks while predicating the exchange-rate movements on Change. The theoretical part is divided into three independent units. The Change matters and the related individual terms are described in the first part. In the second part, the two basic approaches to the stock-exchange data analysis are analyzed, these two approaches being the fundamental and technical analysis. The third, and the last, theoretical part forms an individual unit describing the Artificial Intelligence theory. Particularly the issue of the neuronal networks is described in detail. The practical part seeks the use for the chosen neuronal network GAME. It analyses the chosen YMZ9 market. It focuses on the prediction of the exchange-rate movements using the "sliding window" method. The last chapter summarizes the results and it proves that under certain circumstances it is possible to properly use the neuronal networks both for the prediction of the stock-exchange movements and as one of the corner-stones of the profitable trading system.

L’objectif principal de cette thèse est l’analyse des configurations du lien social naissant au sein de systèmes alternatifs d’échange local, afin d’y retrouver la trace du « don maussien ».<p>L’enquête porte sur un échange de biens, parallèle à l’échange marchand et localement accompli dans le contexte d’un monde globalisé, perspective qui inscrit la recherche dans le champ de l’anthropologie économique des mondes contemporains.<p>Le phénomène de la mondialisation, associé au progrès des techniques de communication, permettant d’observer des procédés analogues, engendrés par des causes communes dans différentes parties du monde, le terrain, tel que défini ci-dessus, fut réalisé sur deux sites socio-culturellement différents puisque implantés en Colombie pour l’un, et en France, pour l’autre. Ces deux sites furent traités comme un seul terrain multi-local dont le croisement des données recueillies a enrichi l’analyse. <p>Avant de passer à la partie descriptive des ethnographies réalisées, le travail évoque des théories et des expériences antérieures qui ont permis de reconnaître la différence entre les expérimentations monétaires et les systèmes d’échange multilatéral ou dispositifs comptables centralisés employant une unité de compte pour faciliter les échanges. La production et la consommation sont stimulées par un type de monnaie qui joue un rôle complémentaire à la devise officielle et permet des transactions multilatérales. <p>Devant la diversité des systèmes alternatifs à l’échange marchand, un choix s’imposait pour déterminer ceux qui seraient l’objet de l’enquête de terrain. Les initiatives sélectionnées pour une observation directe furent les foires de multi-troc colombiennes et les systèmes d’échange local (SEL) français. <p>Les deux monographies décrivent le déroulement des investigations en Colombie et en France, ainsi que les constats qui s’imposèrent à leur issue.<p>Il apparaît qu’au-delà de la raison économique d’échanger biens et services sans se soumettre à l’usage de l’argent comme fin en soi, les adhérents à ces expériences de micro-économie y trouvent un milieu propice à cultiver de nouvelles relations sociales. Les raisons de participer sont multiples mais s’alignent souvent sur des valeurs communes telles que la confiance, l’entraide, le respect de l’autre, la tolérance ou la solidarité, autant de logiques qui font de ces groupements, des espaces de création de liens sociaux favorables à l’émergence du don moderne. Tel qu’il a été développé et actualisé par Jacques T. Godbout, Alain Caillé et les exposants du Mouvement Anti-Utilitariste dans les Sciences Sociales –M.A.U.S.S.- ./ABSTRACT <p>The main objective of this thesis is the analysis of configurations of the social link emerging within alternate systems of local exchange, in order to find traces of the “maussian gift”.<p>The investigation covers the exchange of property which is parallel to trade exchange and is locally accomplished in the context of a global world, a perspective which integrates our research within the field of economic anthropology of contemporary worlds.<p>The phenomenon of the globalization, coupled with advances in communication technology, allows us to observe similar processes around the world, engendered by common causes. The fieldwork, as mentioned above, was realized on two socio - culturally different sites, one in Colombia, the other one in France. These two sites were treated as a single multi-local fieldwork, and their combined information enriched our analysis. <p>Before proceeding to the descriptive part of the conducted ethnographic research, the document evokes theories and previous experiences which allowed us to recognize the difference between monetary experiments and multilateral trading systems or devices using a centralized accounting unit to facilitate the exchanges. The production and the consumption are stimulated by a type of exchange that is complementary to the official currency and allows multilateral transactions. <p>Considering the variety of alternative systems in the exchange market, a choice was necessary to determine, who would be the object of the fieldwork. The initiatives selected for direct observation were the Colombian multi-barter fairs and the French systems of local exchange (SEL).<p>Both monographs describe the progress of investigations in Colombia and in France, as well as the resulting reports. <p>It seems that, apart from the economic reason for exchanging goods and services without being subject to the use of money, which is an end in itself, those who take part in such experiences of microeconomics find a convenient environment to cultivate new social relationships.<p>The reasons for participating are numerous, but often aligned on common values such as trust, mutual aid, respect for the others, tolerance or solidarity, which all contribute to transform these gatherings into spaces mean to create social links favourable to the emergence of the modern gift. This theory was developed and updated by Jacques T. Godbout, Alain Caillé and the members of the Anti-Utilitarian Movement in Social Science -M.A.U.S.S.-. <p><p> / Doctorat en sciences sociales, Orientation anthropologie / info:eu-repo/semantics/nonPublished