<p>In this thesis we study the Birnbaum-Saunders autoregressive conditional du- ration (BS-ACD) model. As opposed to the standard ACD model, formulated in terms of the conditional mean duration, the BS-ACD model specifies the time-varying model dynamics in terms of the conditional median duration. By means of Monte Carlo simulations, we examine the asymptotic behaviour of the maximum likelihood estimators. We then present a study of numerical efficacy of some optimization algorithms in relation to the BS-ACD model. On a practical side, we fit the BS-ACD model to samples for six securities listed on the New York Stock Exchange.</p> / Master of Science (MSc)

<p>In this thesis, we apply the Ordinary Least Squares (OLS) and the Generalized Least Squares (GLS) methods for the estimation of Autoregressive Conditional Duration (ACD) models, as opposed to the typical approach of using the Quasi Maximum Likelihood Estimation (QMLE).</p> <p>The advantages of OLS and GLS as the underlying methods of estimation lie in their theoretical ease and computational convenience. The latter property is crucial for high frequency trading, where a transaction decision needs to be made within a minute. We show that both OLS and GLS estimates are asymptotically consistent and normally distributed. The normal approximation does not seem to be satisfactory in small samples. We also apply Residual Bootstrap to construct the confidence intervals based on the OLS and GLS estimates. The properties of the proposed methods are illustrated with intensive numerical simulations as well as by a case study on the IBM transaction data.</p> / Master of Science (MSc)

No / The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM-ACD) model is better than the Asymmetric Autoregressive Conditional Duration (AACD) model. However, the ACM-ACD model is more complex in terms of the computational setting and is more sensitive to starting values. The second purpose is to examine the effects of market microstructure on the forecasting performance of the two models. The results indicate that the forecast performance of the models generally decreases as the liquidity of the stock increases, with the exception of the most liquid stocks. Furthermore, a simple filter of the raw data improves the performance of both models. Finally, the results suggest that both models capture the characteristics of the micro data very well with a minimum sample length of 20 days.

Submitted by Carlos Barros (cfbarros@americastg.com) on 2015-09-01T13:02:06Z No. of bitstreams: 1 Dissertação - Carlos Felipe Barros.docx: 511698 bytes, checksum: 15dad3f7330f64c20af5761c41ea0ef2 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-09-01T15:48:20Z (GMT) No. of bitstreams: 1 Dissertação - Carlos Felipe Barros.docx: 511698 bytes, checksum: 15dad3f7330f64c20af5761c41ea0ef2 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-09-02T13:37:45Z (GMT) No. of bitstreams: 1 Dissertação - Carlos Felipe Barros.docx: 511698 bytes, checksum: 15dad3f7330f64c20af5761c41ea0ef2 (MD5) / Made available in DSpace on 2015-09-02T13:37:58Z (GMT). No. of bitstreams: 1 Dissertação - Carlos Felipe Barros.docx: 511698 bytes, checksum: 15dad3f7330f64c20af5761c41ea0ef2 (MD5) Previous issue date: 2013-05-29 / The objective of this paper is to estimate a dynamic market depth measure, called VNET, for Brazilian stocks using transactions data. VNET gauges the difference between the numbers of buyer- and seller-initiated trades within the time it takes for the stock price to change by at least a certain amount. It is a realized measure of liquidity for a given price deterioration, which one may track throughout the trading day to capture liquidity’s short-term dynamics. More specifically, we model the price duration using an autoregressive conditional duration (ACD) model. The predetermined nature of the ACD process is convenient because it makes it possible to forecast future changes in the liquidity of a stock. By identifying the best moment to buy or sell, the VNET is an excellent starting point for any optimal execution strategy. Our empirical findings indicate that the VNET measure of market depth depends on the bid-ask spread, volume traded, number of trades, and both expected and unexpected price durations. Finally, we also estimate the price impact of a trade by varying the increment in the definition of price duration. / O objetivo desse trabalho é encontrar uma medida dinâmica de liquidez de ações brasileiras, chamada VNET. Foram utilizados dados de alta frequência para criar um modelo capaz de medir o excesso de compras e vendas associadas a um movimento de preços. Ao variar no tempo, o VNET pode ser entendido como a variação da proporção de agentes informados em um modelo de informação assimétrica. Uma vez estimado, ele pode ser utilizado para prever mudanças na liquidez de uma ação. O VNET tem implicações práticas importantes, podendo ser utilizado por operadores como uma medida estocástica para identificar quais seriam os melhores momentos para operar. Gerentes de risco também podem estimar a deterioração de preço esperada ao se liquidar uma posição, sendo possível analisar suas diversas opções, servindo de base para otimização da execução. Na construção do trabalho encontramos as durações de preço de cada ação e as diversas medidas associadas a elas. Com base nos dados observa-se que a profundidade varia com ágio de compra e venda, com o volume negociado, com o numero de negócios, com a duração de preços condicional e com o seu erro de previsão. Os resíduos da regressão de VNET se mostraram bem comportados o que corrobora a hipótese de que o modelo foi bem especificado. Para estimar a curva de reação do mercado, variamos os intervalos de preço usados na definição das durações.

Phenotypic heterogeneity in terms of cell size, morphology, and metabolic status, which are believed to help the population survive under stress conditions, is known in mycobacterial populations. Such population heterogeneity had been observed in in vitro cultures, TB patients, and in animal models. Our laboratory had earlier shown that about 20-30% of the 15% septating cells of Mycobacterium smegmatis, Mycobacterium tuberculosis and Mycobacterium xenopi mid-log phase cultures divide by highly deviated asymmetric cell division (ACD), generating subpopulations of short cells and normal-sized/long cells. The remaining 70-80% of the septating cells divide by symmetric cell division (SCD) with 5-10% deviation of the division site constriction from the median. The proportion of short cells amounted to about 3-5% of the total population, while the remaining 97-98% of the population was constituted by normal-sized/long cells. This proportion of short cells has been found to be consistent and reproducible irrespective of culture media. Comparable proportion of short cells of tubercle bacilli has been found in the freshly diagnosed pulmonary tuberculosis patients’ sputum also. It indicated that such processes must be occurring in the tubercle bacillary population in the TB patients too and that the presence of short cells has some physiological relevance. Thus, ACD has been found to be one of the mechanisms that mycobacteria use to generate cell size heterogeneity in the population. However, there has not been any study on the mechanism that generate such subpopulation of short cells through ACD. Therefore, in the present study, we investigated the mechanism behind the ACD that generates short cells in the Mycobacterium smegmatis and Mycobacterium tuberculosis populations. The Chapter 1, which forms the Introduction to the thesis, gives an extensive literature survey on all the different areas of research in bacterial physiology that are linked by the present study. These areas of research include bacterial cell division process per se, the proteins involved in bacterial cell division, cell division in general in mycobacteria, different modes of cell division in mycobacteria, generation of cell size heterogeneity through symmetric and asymmetric cell division in mycobacteria, cell-cell communication in bacterial systems, and the characteristics and physiological significance of diadenosine polyphosphates from bacteria to humans. The complete account of the research in these areas that are linked in the present study thus justifies the introduction to the results that are given in the ensuing chapters. The Chapter 2 forms the Materials and Methods used in the present study. Here a detailed description of the methods used for the cell division bioassay used to score for the proportion of cells undergoing symmetric and asymmetric divisions, the biochemical assays performed to find out the biochemical identity of the molecule, the isolation and fractionation methods for the ACD-IM from the concentrated culture supernatants (CS), and finally the mass spectrometric methods used for the elucidation of the structure of the molecule are given The Chapter 3 forms the first data chapter that presents results on the detection of the presence of the asymmetric cell division inducing molecule (ACD-IM) from the concentrated culture supernatant (CS) of Mycobacterium smegmatis and Mycobacterium tuberculosis, as inducing ACD in higher proportions of cells. Further, it shows that the levels of ACD-IM increase at late growth phases of 0.8 and 1.0 OD600 nm. The chapter is concluded with a discussion of the results. The Chapter 4 describes the biochemical analyses of the CS to find out the chemical nature of the ACD-IM. DNase I, snake venom phosphodiesterase (SVP), RNase A, lipase, and proteinase K were used to find whether exposure of CS of M. smegmatis and M. tuberculosis cells to these enzymes could abolish the ACD inducing activity of the molecule in the CS on the respective cells. These experiments showed that the ACD-IM was susceptible to DNase I and SVP, but not to RNase A, lipase, or proteinase K. However, proteinase K showed direct effect on the cells by decreasing the proportion of cells dividing by ACD, indicating the probable presence of the receptor to the molecule on the external cell surface. The data also shows the conservation of the molecule in M. smegmatis and M. tuberculosis by demonstrating that the CS of M. smegmatis could induce ACD in higher proportions of M. tuberculosis cells and vice versa. The structural identification of ACD-IM present in the concentrated CS of M. smegmatis and M. tuberculosis using LC-ESI-MS and MS-MS analyses as diadenosine hexaphosphate (Ap6A). The structure of the natural Ap6A molecule was confirmed using synthetic Ap6A molecule subjected to LC-ESI-MS and MS-MS analyses. Further, the ACD inducing activity of the synthetic Ap6A molecule, its susceptibility to DNase I and SVP, but not to RNase A, lipase and proteinase K were verified to establish that the structural, biochemical, and functional properties of the naturally occurring Ap6A in the CS of M. smegmatis and M. tuberculosis were identical to those of synthetic Ap6A. The chapter is concluded with a discussion of the results. The Chapter 5 presents the data on the genes involved in the degradation and synthesis of Ap6A in M. smegmatis and M. tuberculosis. The knockout of MSMEG_2936 gene of M. smegmatis resulted with significant increase in the ACD proportion. The quantitation of Ap6A in the CS obtained from this strain found significantly higher concentration than wild type. These results showed that MSMEG_2936 protein might catalyse the degradation of Ap6A in mycobacteria. The knockout of MSMEG_2932 gene of M. smegmatis resulted with significant reduction in the ACD proportion. The quantitation of Ap6A in the CS obtained from this strain found comparable to wild type. These results showed that MSMEG_2932 protein might not involve in the synthesis of Ap6A in mycobacteria. The chapter is concluded with a discussion of the results. Thus, the present study, for the first time, establishes the identity, structure, and function of Ap6A as the molecule that induces asymmetric cell division in mycobacteria.

The present thesis deals with the analysis of Environmental Control System (ECS) as a part of the aircraft conceptual design. The research focuses on developing methods for modelling, simulation and optimization of current and future cooling technologies suitable for aircraft applications. The work started with a pre-study in order to establish the suitability of different cooling technologies for ECS application. Therefore, five technologies namely, Bootstrap (BS), Reverse-Bootstrap (RBS), vapour cycle system (VCS), magnetic cooling (MC) and thermo-electric cooling (EC), were assessed from a theoretical point of view by the method of benchmarking. This resulted into the selection of three most suitable technologies that were further modelled and simulated in Dymola. In order to compare the optimum designs for each technology, the models were optimized using the modeFRONTIER software. The comparison was performed based on the optimum ratio of maximum power of cooling and minimum fuel penalty. The results showed that VCS has the “best” performances compared to BS and RBS. In addition to the active technologies, passive cooling methods such as liquid cooling by means of jet-fuel and poly-alpha-olefin were considered to address high heat transfer rates. In order to apply the cooling technologies in the ECS, concept system architectures were formulated using the functional analysis. This led to the identification of basic functions, components and sub-systems interaction. Based on the comparison carried out previously and the functional analysis, two ECS architectures were developed. Design optimization procedure was applied further in order to assess each concept and also to study the differences between the two concept architectures. The results depict the complex interaction of different key parameters of the architectures and their influence on the outcome. The study culminated with a proposed methodology for formulation of systems architecture using information from the optimization results and a robust functional analysis method. To sum up, the thesis proposes a simulation-based optimization method that allows inclusion of ECS system in aircraft conceptual design phase. The study also proves the complexity of the conceptual design stage for ECS architectures which highly influences the design of the combat aircraft.

La présente recherche vise à explorer des formes multiples de silence représentées dans un film et à étudier la façon dont le silence a été perçu et conçu par des cinéastes femmes selon la perspective de l’analyse critique de discours (ACD). Dans ce contexte, nous avons choisi quatre longs métrages produits durant le XXIe siècle par quatre femmes cinéastes originaires de deux milieux culturels différents — à savoir les États-Unis et la Tunisie, à travers lesquels nous avons abordé notre problématique. Nous avons adopté l’approche développée par Fairclough (1989) qui consiste en trois étapes analytiques : description, interprétation et explication, combinant pragmatisme et analyse sémiotique. Cette recherche introduit également le concept de ‘voicing’ en référence aux signes sémiotiques et aux techniques cinématographiques qui sous-tendent la signification du silence et sa dimension pragmatique. Les résultats de l'étude démontrent que l'utilisation de ‘voicing’ s’avère un moyen efficace pour créer une méthode systématique d'analyse du silence au cinéma. Ils montrent également qu’en dépit des différences, des thèmes abordés et du contexte socio-culturel des cinéastes, il existe un dénominateur commun entre les quatre films, à savoir leur positionnement féministe ou pro-féministe.En outre, il ressort de notre analyse que les films en question constituent des barrières de résistance à l'hégémonie patriarcale du cinéma grand public qui sont fortement influencées par les perceptions individuelles des cinéastes, leurs expériences personnelles et le contexte culturel auquel elles appartiennent. / The current research aims to explore several of the manifold states of silence represented in film and to investigate how silence and silencing have been perceived and conceived by female filmmakers from a Critical Discourse Analysis (CDA) perspective.This is achieved by examining the case studies of four feature films produced in the twenty-first century by four female filmmakers from two different cultural backgrounds–namely the USA and Tunisia. Research questions are qualitatively applied to a corpus of four films, following Fairclough’s (1989) three analytic stages: description, interpretation and explanation, using pragmatics combined with semiotic analysis. The thesis also introduces the concept of ‘voicing’ with reference to the semiotic signs and film techniques that underpin the meaning of silence and its pragmatic dimension.The findings of the study show that using ‘voicing’ has proved to be effective in creating a systematic method of analyzing silence in films. They also show that even though the cinematographic practices, the themes dealt with and the socio-cultural background of the filmmakers may be different, there is a common denominator between the four films: their feminist or pro-feminist agenda.Further, it argues that the films under discussion may be considered as barriers of resistance to the hegemonic patriarchal mainstream cinema and that these barriers are strongly influenced by the filmmakers’ own individual perceptions, personal experiences and cultural background.

This study examined the lived experiences of adult children of mid-later life parental divorce. It was designed and conducted to address the gap in the current literature regarding this phenomenon. The experiences of 5 Adult Children of Divorce (ACD) ages 25 to 45, who experienced mid-later life parental divorce, were examined using in-depth semi-structured interviews. The researcher employed an interpretive phenomenological analysis (IPA) of which the findings illustrated various outcomes for adults experiencing their parents’ mid-later life divorce. The results of this study showed that parents’ waiting until the children are “grown” does not mitigate potentially detrimental outcomes for these “adult children.” Some of these concerns shared by the ACDs interviewed included: dealing with the shock of the divorce, the acrimonious parental relationships post divorce, feeling the need to choose sides, effects of the divorce on the ACDs' children, among others. Future studies and implications for the field of marriage and family therapy were offered.

Made available in DSpace on 2016-04-28T19:33:37Z (GMT). No. of bitstreams: 1 Nadia Cristina Varjao.pdf: 1491839 bytes, checksum: c1b4d8685e0ab64af73645f6220d1ef3 (MD5) Previous issue date: 2012-10-22 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This work aims study the social reality portrayed in the regionalist novel Vidas Secas, by Graciliano Ramos, marked in the regional history of the backland, and pointing to the marks of oppression against backland people present in the discursive production of the novel. The focus on the social reality, presented by the report of the history of droughts in the Northeast, is fundamentally brought by Villa s studies (2001), followed by notes of historiographical basis that consider Literature as likely to be historical source. Then we elucidate the social commitment present in this generation of writers in the end of nineteenth and the beginning of twentieth centuries, highlighting the political positioning of Graciliano Ramos. Based on the theoretical Critical Discourse Analysis (CDA) in its approach from Fairclough (2001), we analyze the meanings of words that point to traces of oppression resulting from discourses of social matrices and, further, we analyzed the projection of the social ethos of the characters from the perspective of social oppression, revealed in interdiscursive level and submitted to existing orders of discourse. The research enabled us to observe social practices prevalent in Brazilian backlands, proven by historical records and high degree of oppression against backland people constituted in discourse Graciliano that, in turn, has always shown a commitment to uncover the man of his time under the imprint of maladjusted and socially unequal realities / Essa dissertação tem como tema o estudo sobre a realidade social retratada no romance regionalista Vidas Secas, de Graciliano Ramos, marcada na história regional do sertão, e o apontamento para os indícios de opressão contra os sertanejos presentes na produção discursiva do romance. O enfoque à realidade social, apresentada por meio do relato da história das secas no Nordeste é, fundamentalmente, trazido pelos estudos de Villa (2001), seguido dos apontamentos de base historiográfica que consideram a Literatura como passível de ser fonte histórica. A seguir, elucidamos sobre o comprometimento social presente nas gerações de escritores no final do século XIX e início do século XX, com destaque ao posicionamento político de Graciliano Ramos. Tendo como base teórica a Análise Crítica do Discurso (ACD) em sua abordagem a partir de Fairclough (2001), realizamos a análise do significado das palavras que apontem para traços de opressão a partir de discursos resultantes de matrizes sociais e, adiante, analisamos a projeção do ethos social dos personagens partindo da perspectiva da opressão social, reveladas em nível interdiscursivo e submetida a ordens de discurso vigentes. A pesquisa nos possibilitou observar práticas sociais predominantes nos sertões brasileiros, comprovadas pelos registros históricos, e o alto grau de opressão contra o sertanejo constituído no discurso de Graciliano que, por sua vez, sempre demonstrou um compromisso em desvelar o homem de seu tempo sob o cunho das realidades desajustadas e desiguais socialmente

Made available in DSpace on 2016-04-28T19:34:04Z (GMT). No. of bitstreams: 1 Marcus Tulio Tome Catunda.pdf: 3252465 bytes, checksum: 8a9faa345c29cbe9bef8da3f52bb2df5 (MD5) Previous issue date: 2016-03-11 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This thesis is based on the Critical Discourse Analysis - CDA, in Textual Linguistics and Theory of Social Action, of Weber, on the theme 'the construction of the Religious Discourse of the Igreja Universal do Reino de Deus - IURD'. Justifies the survey because, although many studies have been published about the Religious Discourse, did not find any that has the theme of this research. The main hypothesis is that the Religious Discourse of the Igreja Universal is permeated with a converged messianic appeal to the person of Edir Macedo. The aim of this study is to contribute to the studies of Religious Discourse and its interdiscursivity. Specifically, the objective is to: explain the ideology contained in the Discourse of the IURD to promote the conversion of the population by manipulating the power, control and access to the public; check the discursive production of Bishop Macedo, in their interaction with the faithful; examine how the news of the Journalistic Discourse are modified in the Folha Universal and; situate, in Macedo s Religious Discourse, his messianic proposal. The research is qualitative, with a theoretical and analytical procedure, whose analysis material was collected from the journal of the Igreja Universal do Reino de Deus and from oral speech of Bishop Macedo, collected from the internet. The results highlight how the Igreja Universal do Reino de Deus is able to forge a Journalistic Discourse of Institutional Advertising, involved by a Religious Discourse, using the mass media to manipulate the use of language in building socio-cognitive, in order to provide the path <<to make-believe>> to <<to make-power>> to his faithful and build a messianic character / Esta tese está fundamentada na Análise Crítica do Discurso - ACD, na Linguística Textual e na Teoria de Ação Social, de Weber, tendo por tema a construção do Discurso Religioso da Igreja Universal do Reino de Deus - IURD . Justifica-se a pesquisa realizada, pois, embora muitos trabalhos tenham sido publicados a respeito do Discurso Religioso, não foi encontrado nenhum que tenha o tema desta pesquisa. A hipótese principal é de que o Discurso Religioso da Universal está permeado de um apelo messiânico convergente para a pessoa de Edir Macedo. O objetivo geral deste trabalho é contribuir para os estudos do Discurso Religioso e sua interdiscursividade. Especificamente, objetiva-se: explicitar a ideologia contida no discurso da IURD para promover a conversão da população pela manipulação do poder, do controle e do acesso ao público; verificar a produção discursiva do Bispo Edir Macedo, em sua interação com os fiéis; examinar como as notícias do Discurso Jornalístico são modificadas no jornal Folha Universal e; situar, no Discurso Religioso de Edir Macedo, sua proposta messiânica. A investigação é qualitativa, com um procedimento teórico-analítico, cujo material de análise foi coletado do periódico da Igreja Universal do Reino de Deus e do discurso oral do Bispo Edir Macedo, retirado da internet. Os resultados põem em evidência a forma como a Igreja Universal do Reino de Deus é capaz de forjar um Discurso Jornalístico de Publicidade Institucional, revestido de um Discurso Religioso, utilizando-se dos meios de comunicação de massa, para manipular o uso da língua na construção sociocognitiva, de forma a propiciar o trajeto do <<fazer-crer>> ao <<fazer-poder>> para seus fiéis e construir um personagem messiânico