This paper links two applications of Extreme Value Theory (EVT) to analyze Taiwanese financial markets: 1. computation of Value at Risk (VaR) and Expected Shortfall (ES) 2. estimates of cross-market dependence under extreme events. Daily data from the Taiwan Stock Exchange Capitalization Weight Stock Index (TAIEX) and the foreign exchange rate, USD/NTD, are employed to analyze the behavior of each return and the dependence structure between the foreign exchange market and the equity market. In the univariate case, when computing risk measures, EVT provides us a more accurate way to estimate VaR. In bivariate case, when measuring extremal dependence, the results of whole period data show the extremal dependence between two markets is asymptotically independent, and the analyses of subperiods illustrate that the relation is slightly dependent in specific periods. Therefore, there is no significant evidence that extreme events appeared in one market (the equity market or the foreign exchange market) will affect another in Taiwan.

Extreme Value Theory (EVT) is used to analyze the peak sidelobe level distribution for array element positions with arbitrary probability distributions. Computations are discussed in the context of linear antenna arrays using electromagnetic energy. The results also apply to planar arrays of random elements that can be transformed into linear arrays. / Engineering and Applied Sciences

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本文利用Gravelle and Li (2013)提出之系統重要性指標來衡量國內九家上市金控銀行對於系統風險之貢獻程度。此種衡量方法係將特定銀行之系統重要性定義為該銀行發生危機造成系統風險增加的幅度，並以多變量極值理論進行機率的估算。實證結果顯示：一、系統重要性最高者為第一銀行；最低者為中國信託銀行。其中除中國信託銀行之重要性顯著低於其他銀行外，其餘銀行之系統重要性均無顯著差異。二、經營期間較長之銀行其系統重要性較高；具公股色彩之銀行對於系統風險之貢獻程度平均而言高於民營銀行。三、銀行規模與其對系統風險之貢獻大致呈現正向關係，即規模越大之銀行其重要性越高。在此情況下可能會有銀行大到不能倒的問題發生。四、存放比較低之銀行系統重要性亦較低，而資本適足率與系統重要性間並無明顯關係。 / In this thesis, we apply the measure proposed by Gravelle and Li (2013) to examine the systemic importance of certain Taiwanese banks. The systemic importance is defined as the increase in the systemic risk conditioned on the crash of a particular bank, and is estimated by the multivariate extreme value theory. Our empirical evidence shows that the most systemically important bank is First Commercial Bank, and the CTBC Bank is significantly less important than other banks, while the differences among the remaining banks are not significant. Second, banks established earlier have higher systemic importance; and the contribution to systemic risk of public banks, on average, is higher than the contribution of private banks. Third, we also find out that the size of a bank and its risk contribution have positive relationship. That is, the bigger a bank is, the more important it is. Under this circumstances, the too big to fail problem may occur. Last, the bank which has lower loan-to-deposit ratio will be less systemically important than those with higher ones, while the relation between capital adequacy ratio and systemic importance is unclear.

The thesis has for objective to study new statistical methods to correct temperature predictionsthat may be implemented on the ensemble prediction system (EPS) of Meteo France so toimprove its use for the electric system management, at EDF France. The EPS of Meteo Francewe are working on contains 51 members (forecasts by time-step) and gives the temperaturepredictions for 14 days. The thesis contains three parts: in the first one we present the EPSand we implement two statistical methods improving the accuracy or the spread of the EPS andwe introduce criteria for comparing results. In the second part we introduce the extreme valuetheory and the mixture models we use to combine the model we build in the first part withmodels for fitting the distributions tails. In the third part we introduce the quantile regressionas another way of studying the tails of the distribution.

The heavy-tailed traffic from wireless users, caused by the emerging Internet and multimedia applications, induces extremely dynamic and variable network environment, which can fundamentally change the way in which wireless networks are conceived, designed, and operated. This thesis is concerned with modeling, analysis, and optimization of wireless networks in the presence of heavy tails. First, a novel traffic model is proposed, which captures the inherent relationship between the traffic dynamics and the joint effects of the mobility variability of network users and the spatial correlation in their observed physical phenomenon. Next, the asymptotic delay distribution of wireless users is analyzed under different traffic patterns and spectrum conditions, which reveals the critical conditions under which wireless users can experience heavy-tailed delay with significantly degraded QoS performance. Based on the delay analysis, the fundamental impact of heavy-tailed environment on network stability is studied. Specifically, a new network stability criterion, namely moment stability, is introduced to better characterize the QoS performance in the heavy-tailed environment. Accordingly, a throughput-optimal scheduling algorithm is proposed to maximize network throughput while guaranteeing moment stability. Furthermore, the impact of heavy-tailed spectrum on network connectivity is investigated. Towards this, the necessary conditions on the existence of delay-bounded connectivity are derived. To enhance network connectivity, the mobility-assisted data forwarding scheme is exploited, whose important design parameters, such as critical mobility radius, are derived. Moreover, the latency in wireless mobile networks is analyzed, which exhibits asymptotic linearity in the initial distance between mobile users.

Submitted by ALEX WILLIAN LEITE null (alex.willian.leite@gmail.com) on 2017-12-21T15:54:28Z No. of bitstreams: 1 Dissertação_A categoria da superexploração da força de trabalho_RMM_Alex Willian_Leite (terminada).pdf: 2105314 bytes, checksum: 3b83c0e5fe9e21f2e46f094307dc1a42 (MD5) / Approved for entry into archive by Telma Jaqueline Dias Silveira null (telmasbl@marilia.unesp.br) on 2018-01-03T13:01:37Z (GMT) No. of bitstreams: 1 leite_aw_me_mar.pdf: 2105314 bytes, checksum: 3b83c0e5fe9e21f2e46f094307dc1a42 (MD5) / Made available in DSpace on 2018-01-03T13:01:37Z (GMT). No. of bitstreams: 1 leite_aw_me_mar.pdf: 2105314 bytes, checksum: 3b83c0e5fe9e21f2e46f094307dc1a42 (MD5) Previous issue date: 2017-11-28 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / O objeto de análise de nossa pesquisa é a Teoria Marxista da Dependência (TMD) no pensamento de Ruy Mauro Marini, em especial a categoria da superexploração da força de trabalho. Partimos do resgate bibliográfico da obra do autor dos anos de 1966 a 1979 – período no qual se concentram suas principais formulações sobre a problemática da dependência – que tratam da reprodução atrofiada da força de trabalho, com sua extração de mais valia pautada na modalidade da superexploração. Adotando a teoria do valor de Marx, Marini procurou responder porque o subdesenvolvimento é o outro polo do desenvolvimento dentro do modo de produção capitalista e como a teoria do valor estabelece sua particularidade na América Latina. Partindo dessa análise, caminhamos com as seguintes indagações: I – O desenvolvimentismo (e o neodesenvolvimentismo) teriam condições de atingir um desenvolvimento econômico capaz de promover o rompimento com a dependência estrutural?; II – O neodesenvolvimentismo dos anos 2000 possibilitou a superação do subdesenvolvimento e a subordinação ao imperialismo monopolista? Frente a essas indagações defendemos a seguinte hipótese: a categoria de superexploração é explicativa da modalidade estrutural que caracteriza as economias dependentes e configura um modo de produção fundado exclusivamente na maior exploração do trabalhador em detrimento ao desenvolvimento de sua capacidade produtiva. Ou seja, essa modalidade carrega o imbricamento entre crescimento da taxa de mais valia com esgotamento prematuro da força de trabalho, comprometendo sua reprodução. / The object of analysis of our reserarch is the Marxist Dependence Theory through Ruy Mauro Marini’s toughts, specially workforce superexploration category. Starting from the bibliographic recapture of the author’s work from 1966 to 1979 – when his principal formulations about the dependency problematics concentrates – wich deals with atrophied reprodution of the workforce, with the added value extraction ruled on the superexploration. Adopting Marx’s value theory, Marini seeks to respond why underdevelopment is the other pole of development in capitalist mode of production and how the value theory establishes its particularity in Latin America. Starting with this analysis, we walk through the following questions: I – Would developmentalism (and neodevelopmentalism) have conditions of achieving an economic development capable of promoting the disruption with structural dependency?; II – Did the neodevelopmentalism from 2000’s years make possible the overcome of underdevelopment and the subordination to the monopolist imperialism? Facing these questions we develop our hypothesis: the superexploration category explains the structural modality that caracterizes the dependent economies and configurates a mode os production that is exclusively founded in greater worker exploration to the detriment of the development of their productive capacity. In other words, this modality carries the bracing bettween the added value rate with premature exhaustion of the workforce, compromising their reproduction.

Portfolio Management is the process of allocating an investor's wealth to in­ vestment opportunities over a given planning period. Not only should Portfolio Management be treated within a multi-period framework, but one should also take into consideration the stochastic nature of related parameters. After a short review of key concepts from Finance Theory, e.g. utility function, risk attitude, Value-at-rusk estimation methods, a.nd mean-variance efficiency, this work describes a framework for the formulation of the Portfolio Management problem in a Stochastic Programming setting. Classical solution techniques for the resolution of the resulting Stochastic Programs (e.g. L-shaped Decompo­ sition, Approximation of the probability function) are presented. These are discussed within both the two-stage and the multi-stage case with a special em­ phasis on the former. A description of how Importance Sampling and EVPI are used to improve the efficiency of classical methods is presented. Postoptimality Analysis, a sensitivity analysis method, is also described. / Statistics / M. Sc. (Operations Research)

Made available in DSpace on 2016-12-23T14:00:36Z (GMT). No. of bitstreams: 1 Danilo Soares Monte-Mor.pdf: 964390 bytes, checksum: 749870f88ee1c9c692cf782e397379ec (MD5) Previous issue date: 2010-12-17 / Cada vez mais tem surgido no mercado de investimento fundos de retorno absoluto (Hedge Funds) que têm como objetivo principal melhorar seus desempenhos através de estratégias de arbitragem, como é o caso das estratégias long-short. É o comportamento desproporcional e até mesmo antagônico dos preços dos ativos que permite aos players estruturar estratégias para gerar retornos adicionais, superiores aos custos de oportunidade e independentes ao movimento do mercado. Neste trabalho foi utilizada a Teoria de Valores Extremos (TVE), um importante ramo da probabilidade, para que fossem modeladas as séries da relação direta entre preços de dois pares de ativos. Os quantis obtidos a partir de tal modelagem, juntamente com os quantis fornecidos pela normal, foram superpostos aos dados para períodos subsequentes ao período analisado. A partir da comparação desses dados foi criada uma nova estratégia quantitativa long-short de arbitragem, a qual denominamos GEV Long-Short Strategy / Increasingly has appeared on the market of investment Absolute Return Funds (Hedge Funds), which have the main objective to improve their performance through arbitrage strategies, as long-short strategies. It is the disproportionate evolution and even antagonistic of active prices that allows the players to structure strategies to generate additional returns, higher than the opportunity costs and independent of the movement of the market. In this work we used Extreme Value Theory (EVT), an important segment of probability, to model the series of direct relationship between prices of two pairs of assets. The quantiles obtained from such modeling and the quantile provided by normal were superimposed on data for periods subsequent to the period analyzed. From the comparison of such data we created a new quantitative long-short arbitrage strategy, called GEV Long-Short Strategy