Made available in DSpace on 2014-06-11T19:26:16Z (GMT). No. of bitstreams: 0 Previous issue date: 2010-12-17Bitstream added on 2014-06-13T18:54:26Z : No. of bitstreams: 1 nervis_jj_me_bauru.pdf: 692937 bytes, checksum: a9ef52afbfe5a4ae6482213875cfd47d (MD5) / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Estudos que proporcionem conhecer de forma mais adequada o mercado de capitais brasileiro são uma necessidade para um país que a cada dia tem a sua importância no cenário internacional acentuada. Compreender a dinâmica das flutuações do mercado de ações é um desafio científico possibilitado, no Brasil, por dois aspectos importantes: disponibilidade de dados de alta frequencia sobre os preços praticados no mercado e a utilização de métodos computacionais. O objetivo dessa pesquisa é verificar e analisar os principais fatos estilizados observados em séries temporais financeiras: agrupamento de volatilidade, distribuições de probabilidade com caudas gordas e a presença de memória de longo alcance na série temporal dos retornos absolutos. Para isso, foram utilizadas e analisadas as cotações intraday de ações de dez companhias negociadas na Bolsa de Valores, Mercadorias e Futuros que correspondem juntas a uma participação de 52,1%, para a data de 01/09/2009, no Ìndice Bovespa. Verificou-se a existência de vários fatos estilizados em todas as ações da amostra, bem como se procedeu a caracterização desses comportamentos por meio de gráficos e medidas estatísticas / Studies that provide to know in a more suitable way the Brazilian money market are a necessity for a country that has its importance increased in the international scenery every day. Understanding the dynamics of the stock market fluctuation is a scientific challenge possible, in Brazil, because of two important aspects: availability of high frequency data on the prices practiced in the stock market and the use of computing methods. The objective of this survey is to verify and analyze the stylized facts observed in financial seasonal series: gathering of volatility, probability distribution with fat tails and the presence of high reaching memory in the seasonal series of abolute recurrence. For this, it was used and analyzed the intraday quotations over stocks of ten enterprises in the stock exchange, commodities and futures that correspond together to a participation of 52,1% to th data of 09/01/2009, in the Bovespa index. It was verified the existence os several stylized fact in all stock samples and how it was preceded the characterization of this behavior by graphic displays and statistical measures

In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian model estimation is based on Gibbs sampling with Normal-Gamma shrinkage priors for the autoregressive coefficients and factor loadings, while monetary policy shocks are identified using high-frequency surprises around policy announcements as external instruments. The empirical results indicate that monetary policy actions typically have sizeable and significant positive effects on regional housing prices, revealing differences in magnitude and duration. The largest effects are observed in regions located in states on both the East and West Coasts, notably California, Arizona and Florida. / Series: Working Papers in Regional Science

The present paper investigates the use of two high–frequency verbs: make and take. These verbs are particularly interesting since they express basic meaning (the meaning of the verb is mostly determined by its combinations). Therefore, they do not constitute a problem in learners’ comprehension. However, because they have little semantic content, learning how to use them appropriately has proved to be tricky even for advanced learners (Howarth, 1998; Altenberg & Granger, 2001; Nesselhauf, 2003; Futgi et al. 2008). The aim of this study is to analyse learners’ ability to produce the two high-frequency verbs to uncover features of non–nativeness of learner language in relation to the use of these verbs, such as overuse/underuse of certain verbs, nouns, collocations or structures, focusing on Spanish and Italian learners of English. Corpus Linguistics (CL) is particularly useful for looking for this type of non–native usage patterns. Learner Corpora will be studied using CIA, Contrastive Interlanguage Analysis (Granger, 1998) as a method, more specifically NL/IL comparison (native language vs interlanguage) to be able to compare native and non–native speakers’ performances in comparable situations. A second type of comparison will be made between two interlanguages (Spanish and Italian). Including a second L2 variety allows to distinguish general L2 features from characteristics that are exclusive to one particular language. Authentic learner data has been retrieved from the International Corpus of Learner English (ICLE). ICLE contains argumentative essays produced by advanced second language learners of English from different mother–tongue backgrounds. The Louvain Corpus of Native English Essays (LOCNESS) is used as a control corpus to compare it with the learner corpora. Results bring further evidence that high-frequency verbs are difficult items even for advanced English learners. In addition, the two learner groups share some of the problems, while others, despite the similarities between the two languages, are related to the L1 of the learners. These results have pedagogical implications: teachers should aim to improve learners’ productive capacities of those items that have not been fully mastered yet, such as high-frequency verbs.

This paper studies how high-frequency trading (HFT) affects the Swedish stock market quality based on volatility and liquidity measures. Previous studies show ambiguous results where a few propose that HFT deteriorates market quality by increasing volatility and decreasing liquidity while some studies point in the opposite direction.By setting up a simultaneous equations system with instrumental variables and estimating the parameters with Generalized Methods of Moments (GMM), this paper finds that in the majority of the investigated stocks high-frequency trading activity reduces bid ask spreads and therefore increases liquidity, i.e. enhancing market quality. Additionally, the results also show that the volatility decreases through high-frequency trading activity. Hence, both measures are indicating that the market quality is positively affected by high-frequency trading.However, interesting is the analysis and discussion on whether high-frequency trading strategies such as spoofing and layering potentially can contribute to false liquidity. This would mean that the market quality is impaired due to HFT. This paper also examines the reversed relationship, how the liquidity and volatility affect HFT activity and conclude that HFT is not affected by how liquid or volatile the market is.

As technological changes have revolutionized the way financials assets are traded today, algorithmic trading has grown to become a major part of the world's stock markets. This study aims to explore algorithmic trading through the eyes of different market operators. The market operators have, partly based on the stakeholder theory, been categorized into six categories, namely private investors, day traders, banks, the stock market, algorithmic developers and regulators. In this study we used a qualitative research design and 11 semistructured interviews have been conducted with the market operators about the main categories risks, volatility, liquidity and monitoring. The results contributed a broader view of algorithmic trading. Respondents saw a lot of risks with the business, but the majority did not express any serious concerns about this. Volatility and liquidity were considered to be affected in both directions, depending on context. Regarding monitoring of algorithmic trading, respondents considered it necessary, but the answers differ if the current monitoringis sufficient or not. The empirical results are partly in line with previous research.

Os Sistemas de Distribuição de Energia Elétrica (SDEE) estão constantemente expostos à ocorrência de faltas, o que torna de primordial importância para as concessionárias que estas sejam localizadas com rapidez e precisão. Com isso, a degradação da confiabilidade do sistema e as perdas econômicas são minimizadas. Com este intuito, diversas pesquisas vêm sendo conduzidas nas últimas décadas tendo em vista o desenvolvimento de métodos computacionais para Localização de Faltas (LF) em SDEE. Embora as técnicas disponíveis atualmente sejam capazes de estimar a distância das faltas com relativa exatidão, algumas características intrínsecas aos SDEE ainda impõem limitações à LF em alimentadores radiais. Em geral, o aspecto econômico requer o uso de dados provenientes de um único terminal de medição. Ainda, a quantidade significativa de ramais laterais tipicamente presentes nos SDEE faz com que o problema das múltiplas estimativas da LF seja considerado como a principal limitação à efetividade das técnicas existentes na atualidade. Neste contexto, este trabalho apresenta uma metodologia baseada na análise dos transitórios de alta frequência gerados pelas faltas, a qual é capaz de fornecer uma estimativa única para a LF em SDEE ramificados a partir de medições somente no terminal local. O ramal em falta e a distância da falta em relação ao terminal de medição são determinados através da comparação entre as frequências características identificadas no espectro do transitório, e as frequências teóricas calculadas para os possíveis caminhos de propagação. Uma das principais contribuições deste trabalho consiste na formulação de um modelo detalhado das linhas de distribuição desequilibradas. A formulação proposta é baseada na modificação nas equações de Carson, considerando a dependência da frequência e a inclusão dos efeitos pelicular e da corrente de retorno pela terra para altas frequências. Como resultado, esta abordagem permite uma maior exatidão na determinação dos parâmetros modais que descrevem a propagação de transitórios em SDEE desequilibrados, eliminando as aproximações adotadas pela maioria das técnicas propostas na literatura atual. A técnica proposta foi avaliada considerando simulações de faltas nos alimentadores IEEE 13 e 34 barras através do ATP/EMTP. Os resultados apresentados incluem diversos cenários de faltas, bem como a comparação com um método de LF para SDEE considerado estado da arte atualmente. / Electric power distribution systems (EPDS) are continuously exposed to faults, therefore fast and accurate fault location is of paramount importance for utilities. Thus, degradation of system reliability and economic losses are minimized. In this sense, several studies have been conducted in the last decades aiming to the development of computational methods for Fault Localization (FL) in EPDS. Although the currently available techniques are able to estimate fault distance with relative accuracy, some intrinsic characteristics of EPDS still impose limitations to FL in radial feeders. In general, the economic aspect requires use of data from one-terminal measurements. Also, typical EPDS have a large number of branches, which makes the problem of multiple FL estimates the main limitation to the effectiveness of the existing techniques. In this context, this work presents a methodology based on the analysis of the high frequency transient generated by faults, which is able to provide a unique FL estimate in branched EPDS by using only one-terminal measurements. The faulted branch and the fault distance from the measurement terminal are determined by correlating the characteristic frequencies identified in the transient spectrum and theoretical frequencies calculated for the possible propagation paths. One of the main contributions of this work is the formulation of a detailed model of unbalanced distribution lines. The proposed formulation is based on the modification of Carson’s equations, considering frequency dependence and inclusion of skin effects and the ground current return at high frequencies. As a result, this approach allows a greater accuracy in determining the modal parameters that describe the transients’ propagation in unbalanced EPDS, thus eliminating the approximations adopted by most of the techniques proposed in the current literature. The proposed technique was evaluated considering fault simulations in the IEEE 13 and 34 nodes feeders through the ATP/EMTP. Results presented include several fault scenarios as well as the comparison with a FL method for SDEE currently considered as the state of the art.

Le but de cette thèse est d’approfondir les connaissances académiques sur les variations jointes des actifs financiers à haute fréquence en les analysant sous un point de vue novateur. Nous tirons profit d’une base de données de prix tick-by-tick pour mettre en lumière de nouveaux faits stylises sur la corrélation haute fréquence, et également pour tester la validité empirique de modèles multivariés. Dans le chapitre 1, nous discutons des raisons pour lesquelles la corrélation haute fréquence est d’une importance capitale pour le trading. Par ailleurs, nous passons en revue la littérature empirique et théorique sur la corrélation à de petites échelles de temps. Puis nous décrivons les principales caractéristiques du jeu de données que nous utilisons. Enfin, nous énonçons les résultats obtenus dans cette thèse. Dans le chapitre 2, nous proposons une extension du modèle de subordination au cas multivarié. Elle repose sur la définition d’un temps événementiel global qui agrège l’activité financière de tous les actifs considérés. Nous testons la capacité de notre modèle à capturer les propriétés notables de la distribution multivariée empirique des rendements et observons de convaincantes similarités. Dans le chapitre 3, nous étudions les relations lead/lag à haute fréquence en utilisant un estimateur de fonction de corrélation adapte aux données tick-by-tick. Nous illustrons sa supériorité par rapport à l’estimateur standard de corrélation pour détecter le phénomène de lead/lag. Nous établissons un parallèle entre le lead/lag et des mesures classiques de liquidité et révélons un arbitrage pour déterminer les paires optimales pour le trading de lead/lag. Enfin, nous évaluons la performance d’un indicateur basé sur le lead/lag pour prévoir l’évolution des prix à court terme. Dans le chapitre 4, nous nous intéressons au profil saisonnier de la corrélation intra-journalière. Nous estimons ce profil sur quatre univers d’actions et observons des ressemblances frappantes. Nous tentons d’incorporer ce fait stylise dans un modèle de prix tick-by-tick base sur des processus de Hawkes. Le modèle ainsi construit capture le profil de corrélation empirique assez finement, malgré sa difficulté à atteindre le niveau de corrélation absolu. / This thesis aims at providing insight into comovements of financial assets at high frequency from an original point of view. We take advantage of a database of tick-by-tick prices to bring to light new stylized facts on high frequency correlation as well as to check the empirical validity of multivariate modelling frameworks. In chapter 1, we elaborate on the reasons why high frequency correlation is of the utmost importance for trading purposes. We also briefly review the empirical and theoretical literature on correlation at small time scales. Then, we describe the main features of the data set we use. Finally, we enunciate the results obtained in this thesis. In chapter 2, we suggest a way of extending the subordination modelling to the multivariate case. This relies on the definition of a global event time that merges the trading activity of all assets under consideration. We test the ability of our model to capture salient features of the empirical multivariate probability distribution of returns and find a convincing agreement. In chapter 3, we study high frequency lead/lag relationships using a suitable cross-correlation estimator for tick-by-tick data. We show its superiority over the classical correlation estimator in detecting lead/lag patterns. We relate lead/lag to standard liquidity measures and exhibit a trade-off to find optimal pairs for lead/lag trading. Finally, we evaluate the performance of a lead/lag indicator in forecasting the short-term evolution of prices. In chapter 4, we focus on the intraday correlation seasonal pattern. We estimate this pattern over four universes of stocks and observe striking similarities. We attempt to incorporate this stylized fact into a tick-by-tick price model based upon Hawkes processes. The resulting model captures the empirical profile of correlation quite well, though it doesn’t match the absolute level of correlation.

Cette thèse présente une étude des instabilités haute-fréquence dans les moteurs-fusées. Ce phénomène, qui a posé de nombreux problèmes dans les programmes de développement de moteur, est abordé de trois façons complémentaires : expérimentalement, théoriquement et numériquement. Premièrement, des expériences sont menées afin d’identifier les principaux processus et d’apporter les mécanismes ayant lieu lorsque le moteur devient instable. Pour parvenir à ce stade, un nouveau modulateur (VHAM), capable de créer des ondes acoustiques représentatives de ce qui se produit dans un moteur réel, est conçu et caractérisé. La deuxième partie concerne l’analyse théorique. Deux modèles (FAME, SDM) sont développés en suivant les principales conclusions de la campagne expérimentale : les oscillations de dégagement de chaleur sont dues au mouvement transverse des flammes, et le phénomène est déclenché lorsque des gouttelettes deviennent suffisamment petites pour être convectées par le champ acoustique. En utilisant ces modèles comme base de référence, un code numérique (STAHF) est présenté. Son but est de rendre compte des mécanismes déjà identifiés pour un coût de calcul faible. Il est ensuite montré qu’il peut être utilisé pour étudier des moteurs-fusées grandeur nature. La LES compressible est choisie pour étudier l’interaction entre l’acoustique et la combustion numériquement. Un nouveau modèle de combustion pour flammes non-prémélangées basé sur une hypothèse de chimie infiniment rapide est présenté et validé sur une flamme bien documentée (H3). Il est ensuite utilisé pour étudier l’interaction entre une onde acoustique transverse et la flamme H3. Une comparaison entre le terme source de Rayleigh calculé à partir de la simulation et celui prédit par le modèle théorique FAME est finalement menée. / This thesis presents a study of high frequency instabilities in rocket engines. This issue, which has plagued many engine development programs, is approached by three complementary viewpoints: experimental, theoretical, and numerical. First, experiments are carried out to identify the main processes involved and bring forth mechanisms taking place when an engine becomes unstable. To achieve this stage, a new modulator (the VHAM), capable of creating acoustic waves representative of what occurs in an actual engine, is designed and characterized. The second part of this thesis concern theoretical analysis. Two models are developed following the main conclusions of the experimental campaign: heat release oscillations are due to the transverse flames’ motion, and the phenomenon is triggered when droplets become small enough to be convected by the acoustic field. Using these models as a baseline, a numerical code (STAHF) is presented. Its purpose is to account for mechanisms identified previously for little computational cost. This code is validated on particularly responding situations observed during experiments. It is then shown that it can be used to study real scale rocket engines. The third point of view adopted to address the problem is numerical simulation. Full compressible LES is chosen to study the interaction between acoustics and combustion. A new combustion model for non-premixed flames with infinitely fast chemistry is presented and validated on a well documented flame (H3). It is then used to study the interaction between a transverse acoustic wave and the H3 flame. A comparison between the Rayleigh source term computed from the simulation and the one predicted by the theoretical model FAME is conducted eventually.

Ce travail de recherche est dédié à la simulation de la réponse transitoire des assemblages de poutres soumis à des chocs. De tels chargements entraînent la propagation d’ondes haute fréquence dans l’ensemble de la structure. L’énergie qu’elles transportent peut être dommageable pour son fonctionnement ou celui des équipements embarqués. Dans des études précédentes, il a été observé sur des structures expérimentales qu’un régime vibratoire diffusif tend à s’installer pour des temps longs. Le but de cette étude est donc de développer un modèle robuste de la réponse transitoire des assemblages de poutres soumis à des chocs permettant de simuler, entre autres, cet état diffusif. Les champs de déplacement étant très oscillants et la densité modale élevée, la simulation numérique de la réponse transitoire à des chocs peut difficilement être menée par une méthode d’éléments finis classique. Une approche utilisant un estimateur de la densité d’énergie de chaque mode de propagation a donc été mise en œuvre. Elle permet d’accéder à des informations locales sur les états vibratoires, et de contourner certaines limitations intrinsèques aux longueurs d’onde courtes. Après avoir comparé plusieurs modèles de réduction cinématique de poutre à un modèle de Lamb de propagation dans un guide d’ondes circulaire, la cinématique de Timoshenko a été retenue afin de modéliser le comportement mécanique haute fréquence des poutres. En utilisant ce modèle dans le cadre de l’approche énergétique évoquée plus haut, deux groupes de modes de propagation de la densité d’énergie vibratoire dans une poutre ont été isolés : des modes longitudinaux regroupant un mode de compression et des modes de flexion, et des modes transversaux regroupant des modes de cisaillement et un mode de torsion. Il peut être également montré que l’´evolution en temps des densités d’énergie associées obéit à des lois de transport. Pour des assemblages de poutres, les phénomènes de réflexion/transmission aux jonctions ont du être pris en compte. Les opérateurs permettant de les décrire en termes de flux d’´energie ont été obtenus grâce aux équations de continuité des déplacements et des efforts aux jonctions. Quelques caractéristiques typiques d’un régime haute fréquence ont été mises en évidence, tel que le découplage entre les modes de rotation et les modes de translation. En revanche, les champs de densité d’énergie sont quant à eux discontinus aux jonctions. Une méthode d’éléments finis discontinus a donc été développée afin de les simuler numériquement comme solutions d’´equations de transport. Si l’on souhaite atteindre le régime diffusif aux temps longs, le schéma numérique doit être peu dissipatif et peu dispersif. La discrétisation spatiale a été faite avec des fonctions d’approximation de type spectrales, et l’intégration temporelle avec des schémas de Runge-Kutta d’ordre élevé du type ”strong stability preserving”. Les simulations numériques ont donné des résultats concluants car elles permettent d’exhiber le régime de diffusion. Il a été remarqué qu’il existait en fait deux limites diffusives différentes : (i) la diffusion spatiale de l’´energie sur l’ensemble de la structure, et (ii) l’équirépartition des densités d’énergie entre les différents modes de propagation. Enfin, une technique de renversement temporel a été développée. Elle pourra être utile dans de futurs travaux sur le contrôle non destructif des assemblages complexes et de grandes tailles. / This research is dedicated to the simulation of the transient response of beam trusses under impulse loads. The latter lead to the propagation of high-frequency waves in such built up structures. In the aerospace industry, that phenomenon may penalize the functioning of the structures or the equipments attached to them on account of the vibrational energy carried by the waves. It is also observed experimentally that high-frequency wave propagation evolves into a diffusive vibrational state at late times. The goal of this study is then to develop a robust model of high-frequency wave propagation within three-dimensional beam trusses in order to be able to recover, for example, this diffusion regime. On account of the small wavelengths and the high modal density, the modelling of high-frequency wave propagation is hardly feasible by classical finite elements or other methods describing the displacement fields directly. Thus, an approach dealing with the evolution of an estimator of the energy density of each propagating mode in a Timoshenko beam has been used. It provides information on the local behavior of the structures while avoiding some limitations related to the small wavelengths of high-frequency waves. After a comparison between some reduced-order beam kinematics and the Lamb model of wave propagation in a circular waveguide, the Timoshenko kinematics has been selected for the mechanical modelling of the beams. It may be shown that the energy densities of the propagating modes in a Timoshenko beam obey transport equations. Two groups of energy modes have been isolated: the longitudinal group that gathers the compressional and the bending energetic modes, and the transverse group that gathers the shear and torsional energetic modes. The reflection/transmission phenomena taking place at the junctions between beams have also been investigated. For this purpose, the power flow reflection/transmission operators have been derived from the continuity of the displacements and efforts at the junctions. Some characteristic features of a high-frequency behavior at beam junctions have been highlighted such as the decoupling between the rotational and translational motions. It is also observed that the energy densities are discontinuous at the junctions on account of the power flow reflection/transmission phenomena. Thus a discontinuous finite element method has been implemented, in order to solve the transport equations they satisfy. The numerical scheme has to be weakly dissipative and dispersive in order to exhibit the aforementioned diffusive regime arising at late times. That is the reason why spectral-like approximation functions for spatial discretization, and strong-stability preserving Runge-Kutta schemes for time integration have been used. Numerical simulations give satisfactory results because they indeed highlight the outbreak of such a diffusion state. The latter is characterized by the following: (i) the spatial spread of the energy over the truss, and (ii) the equipartition of the energy between the different modes. The last part of the thesis has been devoted to the development of a time reversal processing, that could be useful for future works on structural health monitoring of complex, multi-bay trusses.

Le présent travail porte sur la résolution numérique de l’équation des ondes acoustiques ou élastiques dans un milieu homogène par morceaux comportant des interfaces. On s’intéresse à un problème haute fréquence, introduit par des conditions initiales fortement oscillantes, pour lequel on détermine la répartition de la densité d’énergie dans le milieu par une approche dite cinétique (fondée sur l’utilisation d’une transformation de Wigner). Le problème considéré est alors réduit à une équation de transport en milieu homogène du type Liouville, complétée par des lois de réflexion et transmission aux interfaces. Différentes méthodes de résolution et d’autres cas d’application sont par ailleurs évoquées. La résolution numérique de l’équation de transport décrivant l’évolution de la densité d’énergie dans l’espace des phases positions vecteurs d’onde est effectuée par différences finies. Cette technique soulève plusieurs difficultés relatives à la conservation de l’énergie totale dans le milieu et aux interfaces. Elles peuvent être corrigées par des schémas numériques adaptés permettant de limiter la dissipation numérique par une approche globale ou locale. Les développements réalisés concernent l’interpolation des densités d’énergie obtenues par transmission sur la grille des vecteurs d’onde discrets, ainsi que la correction de la différence d’échelle de variation de la vitesse des ondes de part et d’autre des interfaces. L’intérêt de ces adaptations est d’obtenir des schémas conservatifs qui satisfont les critères de convergence usuels des méthodes aux différences finies. Leur construction ainsi que leur mise en œuvre effective constituent le principal apport de cette thèse. La pertinence des méthodes utilisées est illustrée par des exemples de simulation, qui montrent également leur efficacité pour des maillages relativement grossiers. / The present work focuses on the numerical resolution of the acoustic or elastic wave equation in a piece-wise homogeneous medium, splitted by interfaces. We are interested in a high-frequency setting, introduced by strongly oscillating initial conditions, for which one computes the distribution of the energy density by a so-called kinetic approach (based on the use of a Wigner transform). This problem then reduces to a Liouville-type transport equation in a piece-wise homogeneous medium, supplemented by reflection and transmission laws at the interfaces. Several numerical techniques and ranges of application are also reviewed. The transport equation which describes the evolution of the energy density in the phase space positions _ wave vectors is numerically solved by finite differences. This technique raises several difficulties related to the conservation of the total energy in the medium and at the interfaces. They may be alleviated by dedicated numerical schemes allowing to reduce the numerical dissipation by either a global or a local approach. The improvements presented in this thesis concern the interpolation of the energy densities obtained by transmission on the grid of discrete wave vectors, and the correction of the difference of variation scales of the wave celerity on each side of the interfaces. The interest of the foregoing developments is to obtain conservative schemes that also satisfy the usual convergence properties of finite difference methods. The construction of such schemes and their effective implementation constitute the main achievement of the thesis. The relevance of the proposed methods is illustrated by several numerical simulations, that also emphasize their efficiency for rather coarse meshes.