在服務資源需求量會隨時間而改變的情況下，系統的服務資源供給對致力於提供高服務品質的資源提供者來說是一個重要的議題。在服務資源可以迅速的部署和解除的假設下，像是以雲端運算為基礎之服務，本研究提供了系統性的估算服務資源方法，本方法之結構是以模擬為基礎並結合了非監督式學習、顧客到達率之估計以及統計技術。首先，本研究將每一日之顧客到達率進行分群運算並將具有類似顧客到達模式的日期分為一群，且每一群之包含日期具備可解釋之代表性；下一階段使用兩階段式的忙碌因子模型去建立每一群的顧客到達率模型，並估計該群的多區間普瓦松分布來做為系統模擬隨機過程所需之參數；最後應用了等候模型理論去設計系統模擬方法，模擬出顧客在系統中到達並接受服務的隨機過程，其結果包含觀察出顧客在系統中的等待時間和排隊長度以及所需之服務資源，並提供在不同的服務策略情形下之表現。 本研究使用了一個來自電力公司客服中心之進線量資料進行本方法之實驗，展示出如何使用本方法建立一個能滿足服務水準要求的服務資源配置策略，也和該公司過去之配置策略進行比較，並提出實質上如何提升服務品質的配置策略之建議。

本文以 GJR-GARCH 為分析模型，針對所選八家台灣上市公司股價所計算之每日對數報酬率(daily log returns)，對於各種不斷到達的新增訊息所引起的波動反應。所納入條件變異數方程式的訊息到達(解釋變數)分別為：(1)同日成交數量(2)成交量變動率(3)星期一與星期五之日曆效應(4)不同權值規模(size-based)投資組合間的波動外溢效果。研究結果發現(1)同日成交量對於台股權值較低的小公司，有能力捕捉其波動性，但是對於權值偏高的大公司，其解釋能力顯有不足(2)成交量變化普遍會導致公司報酬率的波動(3)臺灣股市波動性並不具有星期五效應，至於星期一效應也只出現在部分的小公司(4)不同規模的投資組合間雖然互有波動外溢現象，但其不對稱性非常明顯， 亦即訊息到達後，先造成大公司股價的波動，此波動再進而影響到小公司，引起小公司股價的波動。 / Applying the GJR-GARCH model to the daily returns of eight selected firms from Taiwan stock market, this paper examines response of variance volatility to various information arrivals which separately include (1) concurrent trading volume (2) change in trading volume (3) calendar effects, especially Modnay and Friday effects, and (4) asymmetric volatility spillover between two sized-based portfolios. The results find that concurrent trading volume as a proxy of information arrival dramatically reduces volatility persistence of the small firm's conditional variance, but has little influence on large firm's, and change in trading volume cause significant change in conditional variance. Although there is a conjecture that the volatility in stock markets may be higher on Monday and Friday, it can't be found in this study. The results also strongly support that the volatility spillover effect from larger to small portfolio is more significant than that from smaller to large portfolio.

This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis.

This thesis re-examines Shakespeare’s creation of tragic character through the concept of ‘arrivals’. What arrives is not an ‘individual’ but what I call a ‘subject’, which is a diffused dramatic process of arriving, rather than a self-contained entity that arrives in a final form. Not all characters are ‘subjects’. A subject only arrives through dramatic ‘events’ that rupture the existing structures of the play-world and the play-text. The generators of these irruptions are found equally in the happenings of plot and in changes of poetic intensity and form. The ‘subject’ is thus a supra- individual irruption that configures new forms of language, structure, and action. Accordingly, I explain why scrupulous historicism’s need for nameable continuums is incommensurate to the irruptive quality of Shakespearean character. The concepts of ‘process’, ‘subject’ and ‘event’ are informed by a variety of thinkers, most notably the contemporary French philosopher Alain Badiou. Badiou develops an ‘evental’ model of subjectivity in which the subject emerges in fidelity to a ‘truth- event’, which breaks into a situation from its ‘void’. Also important is the process- orientated philosophy of Bergson and Whitehead, which stresses that an entity is not a stable substance but a process of becoming. The underlying connection between the philosophers I embrace – also including the likes of Žižek, Kierkegaard, Latour, Benjamin, and Christian thinkers such as Saint Paul and Luther – is that they establish a creative alternative to the deadlock between treating the subject as either a stable substance (humanism) or a decentred product of its place in the world (postmodernism). The subject is not a pre-existing entity but something that comes to be. It is not reducible to its cultural and linguistic circumstances but is precisely what exceeds those circumstances. Such an excessive creativity is what gives rise to Shakespeare’s subjects and, I argue, underpins the continuing force of his drama. But it also produces profound dangers. In Shakespeare, ‘events’ consistently expose subjects to uncertainty, catastrophe, and horror. And these dangers imperil both the subject and the relationship between Shakespeare and the affirmative philosophy of the event.

Les temps de trajet, amplitudes et angles à la source des ondes sismiques sont utilisés dans de nombreuses applications telles que la migration, la tomographie, l'estimation de la sensibilité de détection et la localisation des microséismes. Dans le contexte de la microsismicité, il est nécessaire de calculer en quasi temps réel ces attributs avec précision. Nous avons développé ici un ensemble d'algorithmes rapides et précis en 3D pour des modèles à fort contraste de vitesse.Nous présentons une nouvelle méthode pour calculer les temps de trajet, les amplitudes et les angles à la source des ondes correspondant aux premières arrivées. Plus précisément, nous résolvons l'équation Eikonal, l'équation de transport et l'équation des angles en nous basant sur une approche par différences finies pour des modèles de vitesse en 3D. Nous proposons une nouvelle méthode hybride qui bénéficie des avantages respectifs de plusieurs approches existantes de résolution de l'équation Eikonal. En particulier, les approches classiques proposent généralement de résoudre directement les équations et font l'approximation localement d'une onde plane. Cette approximation n'est pas bien adaptée au voisinage de la source car la courbure du front d'onde est importante. Des erreurs de temps de trajet sont alors générées près de la position de la source, puis propagées à travers tout le modèle de vitesse. Ceci empêche de calculer correctement les amplitudes et les angles à la source puisqu'ils reposent sur les gradients des temps. Nous surmontons cette difficulté en introduisant les opérateurs sphériques ; plus précisément nous reformulons les temps de trajet, amplitudes et angles à la source par la méthode des perturbations.Nous validons nos nouvelles méthodes pour différents modèles à fort contraste de vitesse en 2D et 3D et montrons notre contribution par rapport aux approches existantes. Nos résultats sont similaires à ceux calculés en utilisant la modélisation de la forme d'onde totale alors qu'ils sont bien moins coûteux en temps de calcul. Ces résultats ouvrent donc de nouvelles perspectives pour de nombreuses applications telles que la migration, l'estimation de la sensibilité de détection et l'inversion des mécanismes au foyer. / Traveltimes, amplitudes and take-off angles of seismic waves are used in many applications such as migration, tomography, detection sensitivity estimation and microseism location. In the microseismicty context it is necessary to compute in near real time accurately these attributes. Here we developed a set of fast and accurate algorithms in 3D for highly contrasted velocity models.We present a new accurate method for computing first arrival traveltimes, amplitudes and take-off angles; more precisely we solve the Eikonal, transport and take-off angle equations based on a finite difference approach for 3D velocity models. We propose a new hybrid method that benefits from the advantages of several existing Eikonal solvers. Common approaches that solve directly these equations assume that we are locally propagating a plane wave. This approximation is not well adapted in the neighborhood of the source since the wavefront curvature is important. Travel times errors are generated near the source position and then propagated through the whole velocity model. This prevents from properly calculating the amplitudes and the take-off angles since they rely on the travel time gradients that are not accurate. We overcome this difficulty by introducing spherical operators. Indeed we reformulate the traveltimes, amplitudes and take-off angles with the perturbation method.We validate our new methods on various highly contrasted velocity models in 2D and 3D and show our contribution compared to other existing approaches. Our results are similar to those computed using full waveform modeling while they are obtained in a much shorter CPU time. These results open thus new perspectives for several applications such as migration, detection sensitivity estimation and focal mechanism inversion.

[pt] O problema de localização de estações móveis pessoais em sistemas celulares de comunicações vem recebendo grande atenção nos últimos anos, tanto por questões ligadas à segurança como por suas amplas aplicações comerciais no desenvolvimento de novos serviços e aplicações. Nesta dissertação foi desenvolvido um ambiente de simulação de localização de estações móveis em ambiente micro celulares empregando um programa de traçado de raios pelo método da força bruta (lançamento de raios), já disponível, para estimar os comprimentos de percursos e tempos de chegada entre diversas estações rádio base e a estação móvel em cenários urbanos modelados por sólidos multifacetados. Os perfis de retardo gerados por este programa são usados como dados de entrada para um programa desenvolvido nesta dissertação que estima a localização dos móveis utilizando os métodos de Taylor e de Chan. O processo desenvolvido foi testado em ambientes de geometria simples fornecendo resultados bastante consistentes e mostrando que a técnica de traçado de raios é uma ferramenta útil para a simulação e desenvolvimento de algoritmos de localização, cujo teste em situações reais exige grande volume de medidas de alta complexidade cujos exemplos na literatura técnica são escassos. Com base nas simulações foi investigadas a influência do número de estações rádio base na precisão das estimativas de localização e realizada uma comparação do desempenho dos métodos em situações com visibilidade (LOS) e sem visibilidade (NLOS). Foi analisado ainda o efeito da altura das estações na precisão dos resultados de localização. / [en] The location of mobile terminals in mobile cellular systems has been receiving increasing attention in the last few years. This interest in focused not only in security aspects but also in the development of new services for commercial application. In this Dissertation a simulation environment for mobile stations location in microcellular systems was developed. The simulation tools include a ray tracing software, previously implemented using the ray launching technique, to estimate the path lengths and time of arrival of signals from the mobile station to several radio base stations, and new software implementing terminal location methods using the Taylor linearization and the Chan methods. The simulation tools were tested in scenarios of simple geometry producing consistent results and showing that ray tracing can be a useful tool for simulation and development of location algorithms. The simulations allowed the investigation of location precision dependence on the number of radio bases employed and the evaluation of the estimation methods in visibility (LOS) and non- visibility (NLOS) conditions. The influence of base station antennas heights was also investigated.

The aim of this thesis is to familiarize readers with the terms and conditions relating to Intrastat and Ex Post Control of Data. The first part deals with obligations under the data collection. There are defined terms such as Intrastat, information provider, reference period, obligation to information provider and competence of government.The text is supplemented by examples that help better understand the topic. This section ends with an example that shows the overall procedure for reporting and transmission of data Intrastat. In the second part of the thesis I deal with Ex Post Control of Data which are carried out by the Customs Administration of the Czech republic. Both parts are supplemented by a number of interesting facts as information provider, number of reported data or inspections. In conclusion I am trying to identify errors and deficiencies in data collection and Ex Post Control of Data and to propose some measures that will lead to improvements in processes relating to Intrastat.

CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / Este trabalho se propÃe a investigar e propor diferentes tÃcnicas de estimaÃÃo de canal de mÃltiplas entradas e mÃltiplas saÃdas (MIMO) para sistemas de comunicaÃÃo multiusuÃrio operando em regime de interferÃncia em cenÃrio de mÃltiplas cÃlulas. AtenÃÃo particular à dada ao caso onde as estaÃÃes rÃdio-base sÃo equipadas com arranjos de antenas apresentando grande quantidade de antenas, configurando o que se tem referido na literatura como sistemas de comunicaÃÃo MIMO de grande dimensÃo (VL-MIMO, do inglÃs: very large MIMO). Algumas destas tÃcnicas exploram as propriedades das grandes matrizes aleatÃrias e sÃo menos afetadas pela contaminaÃÃo de pilotos. Nesta dissertaÃÃo, os parÃmetros do canal VL-MIMO sÃo estimados a partir de uma decomposiÃÃo em autovalores (EVD, do inglÃs: eigenvalue-decomposition) da matriz de covariÃncia na saÃda do arranjo de antenas receptoras. Esta tÃcnica se mostra menos sensÃvel à presenÃa de interferÃncia do que outras que nÃo exploram propriedades especÃficas da matriz de canal VL-MIMO, como à o caso da soluÃÃo clÃssica dos mÃnimos quadrados (LS, do inglÃs: least-squares). Nesse contexto, propÃe-se ainda uma soluÃÃo para o fator de ambiguidade multiplicativa do mÃtodo baseado em EVD, utilizando um simples produto de Khatri-Rao. Na segunda parte desta dissertaÃÃo, as propriedades dos sistemas VL-MIMO sÃo empregadas num problema de localizaÃÃo de fontes, a fim de determinar a direÃÃo de chegada (DOA) dos sinais incidentes sobre o arranjo, provenientes da cÃlula em questÃo. Explorando o subespaÃo de representaÃÃo dos sinais interferentes, propÃe-se o uso de um algoritmo de classificaÃÃo de tipo MUSIC para estimar a matriz de canal de forma cega. O mÃtodo proposto converte os altos ganhos de resoluÃÃo dos arranjos VL-MIMO em capacidade de reduÃÃo de interferÃncia, podendo fornecer estimativas do canal adequadas, mesmo sob nÃveis fortes de interferÃncia e tambÃm em casos onde os sinais do usuÃrio desejado e dos interferentes sÃo altamente correlacionados espacialmente. Extensas campanhas de simulaÃÃo computacional foram realizadas, dandoum carÃter exploratÃrio a esta dissertaÃÃo no sentido de abranger diferentes cenÃrios e avaliar as tÃcnicas investigadas em comparaÃÃo com soluÃÃes jà consolidadas, permitindo assim a elaboraÃÃo de um panorama mais completo de caracterizaÃÃo dos problemas de estimaÃÃo de parÃmetros no caso VL-MIMO. / The aim of this dissertation is mainly to investigate and propose different channel estimation techniques for a multicell multiuser multiple-input multiple-output (MIMO) communication system. Particular attention is payed to the case that is referred to as very large (VL) MIMO (VL-MIMO) arrays, where the base stations are equipped with a great (or even huge) number of antenna sensors. Some of these techniques exploit properties issued from the (large) Random Matrices Theory and are therefore less affected by the so-called pilot contamination effect. In this work, the parameters of the VL-MIMO channel are estimated from the eigenvalue decomposition (EVD) of the output covariance matrix of the receive antenna array. This technique is more robust to the interference of signals from other cells compared with methods that do not exploit the specific properties of the VL-MIMO channel matrix, which is the case of the classical least squares (LS) solution. In this context, this work also proposes a simpler way to resolve the scaling ambiguity remaining from the EVD-based method using the Khatri-Rao product. The second part of this dissertation exploits the VL-MIMO properties on a source localization problem, aiming to determine the direction of arrival (DoA) of the signals impinging on the antenna array from a given desired cell. Based on the subspace representation of the outer cell interference signals, we propose a new blind MUSIC-like classification algorithm to estimate the channel matrix. The proposed technique convert the high resolution gains of the VL-MIMO arrays into ability to reduce power of undesired signals, yielding good channel estimates even under high interference power levels, and including cases where desired and undesired signals are strongly correlated. Computer simulations have been done in order to cope with different situations and propagation scenarios, thus yielding an exploratory character to our research and allowing us to evaluate and assess the investigated algorithms, comparing them to consolidated solutions in order to establish a complete overview of the parameter estimation problem in the VL-MIMO case.

<p>This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. As a macroscopic feature, long-range dependence can be mathematically studied using certain scaling limit theorems. </p><p>Using such limit results, two different scaling regimes for Internet traffic models have been identified earlier. In one of these regimes traffic at large scales can be approximated by long-range dependent Gaussian or stable processes, while in the other regime the rescaled traffic fluctuates according to stable ``memoryless'' processes with independent increments. In Paper I a similar limit result is proved for a third scaling scheme, emerging as an intermediate case of the other two. The limit process here turns out to be a non-Gaussian and non-stable process with long-range dependence.</p><p>In Paper II we derive a representation for the latter limit process as a stochastic integral of a deterministic function with respect to a certain compensated Poisson random measure. This representation enables us to study some further properties of the process. In particular, we prove that the process at small scales behaves like a Gaussian process with long-range dependence, while at large scales it is close to a stable process with independent increments. Hence, the process can be regarded as a link between these two processes of completely different nature.</p><p>In Paper III we construct a class of processes locally behaving as Gaussian and globally as stable processes and including the limit process obtained in Paper I. These processes can be chosen to be long-range dependent and are potentially suitable as models in applications with distinct local and global behaviour. They are defined using stochastic integrals with respect to the same compensated Poisson random measure as used in Paper II.</p>

This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. As a macroscopic feature, long-range dependence can be mathematically studied using certain scaling limit theorems. Using such limit results, two different scaling regimes for Internet traffic models have been identified earlier. In one of these regimes traffic at large scales can be approximated by long-range dependent Gaussian or stable processes, while in the other regime the rescaled traffic fluctuates according to stable ``memoryless'' processes with independent increments. In Paper I a similar limit result is proved for a third scaling scheme, emerging as an intermediate case of the other two. The limit process here turns out to be a non-Gaussian and non-stable process with long-range dependence. In Paper II we derive a representation for the latter limit process as a stochastic integral of a deterministic function with respect to a certain compensated Poisson random measure. This representation enables us to study some further properties of the process. In particular, we prove that the process at small scales behaves like a Gaussian process with long-range dependence, while at large scales it is close to a stable process with independent increments. Hence, the process can be regarded as a link between these two processes of completely different nature. In Paper III we construct a class of processes locally behaving as Gaussian and globally as stable processes and including the limit process obtained in Paper I. These processes can be chosen to be long-range dependent and are potentially suitable as models in applications with distinct local and global behaviour. They are defined using stochastic integrals with respect to the same compensated Poisson random measure as used in Paper II.