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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
291

Modeling and Experimental Analysis of Piezoelectric Augmented Systems for Structural Health and Stress Monitoring Applications

Albakri, Mohammad Ismail 13 February 2017 (has links)
Detection, characterization and prognosis of damage in civil, aerospace and mechanical structures, known as structural health monitoring (SHM), have been a growing area of research over the last few decades. As several in-service civil, mechanical and aerospace structures are approaching or even exceeding their design life, the implementation of SHM systems is becoming a necessity. SHM is the key for transforming schedule-driven inspection and maintenance into condition-based maintenance, which promises enhanced safety and overall life-cycle cost reduction. While damage detection and characterization can be achieved, among other techniques, by analyzing the dynamic response of the structure under test, damage prognosis requires the additional knowledge of loading patterns acting on the structure. Accurate, nondestructive, and reference-free measurement of the state-of-stress in structural components has been a long standing challenge without a fully-satisfactory outcome. In light of this, the main goal of this research effort is to advance the current state of the art of structural health and loading monitoring, with focus being cast on impedance-based SHM and acoustoelastic-based stress measurement techniques. While impedance-based SHM has been successfully implemented as a damage detection technique, the utilization of electromechanical impedance measurements for damage characterization imposes several challenges. These challenges are mainly stemming from the high-frequency nature of impedance measurements. Current acoustoelastic-based practices, on the other hand, are hindered by their poor sensitivity and the need for calibration at a known state of stress. Addressing these challenges by developing and integrating theoretical models, numerical algorithms and experimental techniques defines the main objectives of this work. A key enabler for both health and loading monitoring techniques is the utilization of piezoelectric transducers to excite the structure and measure its response. For this purpose, a new three-layer spectral element for piezoelectric-structure interaction has been developed in this work, where the adhesive bonding layer has been explicitly modeled. Using this model, the dynamic response of piezoelectric-augmented structures has been investigated. A thorough parametric study has been conducted to provide a better understanding of bonding layer impact on the response of the coupled structure. A procedure for piezoelectric material characterization utilizing its free electromechanical impedance signature has been also developed. Furthermore, impedance-based damage characterization has been investigated, where a novel optimization-based damage identification approach has been developed. This approach exploits the capabilities of spectral element method, along with the periodic nature of impedance peaks shifts with respect to damage location, to solve the ill-posed damage identification problem in a computationally efficient manner. The second part of this work investigates acoustoelastic-based stress measurements, where model-based technique that is capable of analyzing dispersive waves to calculate the state of stress has been developed. A criterion for optimal selection of excitation waveforms has been proposed in this work, taking into consideration the sensitivity to the state of stress, the robustness against material and geometric uncertainties, and the ability to obtain a reflections-free response at desired measurement locations. The impact of material- and geometry-related uncertainties on the performance of the stress measurement algorithm has also been investigated through a comprehensive sensitivity analysis. The developed technique has been experimentally validated, where true reference-free, uncalibrated, acoustoelastic-based stress measurements have been successfully conducted. Finally, the applicability of the aforementioned health and loading monitoring techniques to railroad track components has been investigated. Extensive in-lab experiments have been carried out to evaluate the performance of these techniques on lab-scale and full-scale rail joints. Furthermore, in-field experiments have been conducted, in collaboration with Norfolk Southern and the Transportation Technology Center Inc., to further investigate the performance of these techniques under real life operating and environmental conditions. / Ph. D. / Structural health monitoring (SMH) addresses the problem of damage detection and identification in civil, aerospace and mechanical structures. As several in-service structure are approaching or even exceeding their design life, the implementation of SMH systems is becoming a necessity. Besides Damage identification, a complete assessment of the structure under test requires the knowledge of loading patterns acting on it. Accurate, nondestructive, and reference-free measurement of the state-of-stress in structural components has been a long-standing challenge without a fully satisfactory outcome. This research effort aims to advance the current state-of-the-art of structural health and loading monitoring with the focus being cast on impedance-based SHM and acoustoelastic-based stress measurement techniques. Theoretical models and numerical algorithms have been developed as a part of this work to facilitate impedance-based damage identification and provide a better understanding of a number of factors affecting the perfomance of this technique. A new acoustoelastic-based stress measurement technique has also been developed and experimentally validated. Using the technique, true reference-free, uncalibrated stress measurements have been successfully conducted for the first time. The applicability of the aforementioned techniques to the railroad industry has been investigated, where their perfomance is evaluated under real-life operating and environmental conditions.
292

High Frequency Isolated Power Conversion from Medium Voltage AC to Low Voltage DC

Zhao, Shishuo 08 February 2017 (has links)
Modern data center power architecture developing trend is analyzed, efficiency improvement method is also discussed. Literature survey of high frequency isolated power conversion system which is also called solid state transformer is given including application, topology, device and magnetic transformer. Then developing trend of this research area is clearly shown following by research target. State of art wide band gap device including silicon carbide (SiC) and gallium nitride (GaN) devices are characterized and compared, final selection is made based on comparison result. Mostly used high frequency high power DC/DC converter topology dual active bridge (DAB) is introduced and compared with novel CLLC resonant converter in terms of switching loss and conduction loss point of view. CLLC holds ZVS capability over all load range and smaller turn off current value. This is beneficial for high frequency operation and taken as our candidate. Device loss breakdown of CLLC converter is also given in the end. Medium voltage high frequency transformer is the key element in terms of insulation safety, power density and efficiency. Firstly, two mostly used transformer structures are compared. Then transformer insulation requirement is referred for 4160 V application according to IEEE standard. Solid insulation material are also compared and selected. Material thickness and insulation distance are also determined. Insulation capability is preliminary verified in FEA electric field simulation. Thirdly two transformer magnetic loss model are introduced including core loss model and litz wire winding loss model. Transformer turn number is determined based on core loss and winding loss trade-off. Different core loss density and working frequency impact is carefully analyzed. Different materials show their best performance among different frequency range. Transformer prototype is developed following designed parameter. We test the developed 15 kW 500 kHz transformer under 4160 V dry type transformer IEEE Std. C57.12.01 standard, including basic lightning test, applied voltage test, partial discharge test. 500 kHz 15 kW CLLC converter gate drive is our design challenge in terms of symmetry propagation delay, cross talk phenomenon elimination and shoot through protection. Gate drive IC is carefully selected to achieve symmetrical propagation delay and high common mode dv/dt immunity. Zero turn off resistor is achieved with minimized gate loop inductance to prevent cross talk phenomenon. Desaturation protection is also employed to provide shoot through protection. Finally 15 kW 500 kHz CLLC resonant converter is developed based on 4160V 500 kHz transformer and tested up to full power level with 98% peak efficiency. / Master of Science / Modern data center power architecture developing trend is analyzed, efficiency improvement method is also discussed. At the same time high frequency operation is preferred to reduce reactive component size like transformer and capacitor. To achieve better trade-off between high efficiency and high frequency in our research. Literature survey of high frequency isolated DC/DC power converter is given including application, circuit topology, power electronics device and magnetic transformer. Then developing trend of this research area is clearly shown following by research target. State of art advance material based power electronics devices are characterized and compared, final selection is made based on comparison result. Mostly used high frequency high power DC/DC converter topology dual active bridge (DAB) is introduced and compared with novel CLLC resonant converter in terms of converter loss. CLLC holds smaller converter loss. This is beneficial for high frequency operation and taken as our candidate. Medium voltage high frequency transformer is the key element in terms of insulation safety, power density and efficiency. Firstly, two mostly used transformer structures are compared. Then transformer insulation requirement is referred for 4160 V application according to IEEE standard. Solid insulation material are also compared and selected. Material thickness and insulation distance are also determined. Thirdly transformer loss model are introduced including core loss model and winding loss model. Transformer turn number is determined based on transformer loss and volume trade-off. Transformer prototype is developed following designed parameter. We test the developed transformer under IEEE standard requirement and pass all the test. Converter gate drive is one of our design challenge. We need to achieve symmetrical propagation delay between command signal and final drive circuit output, suppress interference from other high frequency switching devices, and protect device under short circuit condition. Gate drive IC is carefully selected to achieve symmetrical propagation delay and suppress other’s interference. Device conduction voltage is employed to compare with threshold value to determine whether it is under short circuit condition. Finally 15 kW 500 kHz CLLC resonant converter is developed based on 4160V 500 kHz transformer and tested up to full power level with 98% peak efficiency.
293

High Frequency GaN Characterization and Design Considerations

Huang, Xiucheng 10 October 2016 (has links)
The future power conversion system not only must meet the characteristics demanded by the load, but also have to achieve high power density with high efficiency, high ambient temperature, and high reliability. Density and efficiency are two key drivers and metrics for the advancement of power conversion technologies. Generally speaking, a high performance active device is the first force to push power density to meet the requirement of modern systems. Silicon has been a dominant material in power management since the late 1950s. However, due to continuous device optimizations and improvements in the production process, the material properties of silicon have increasingly become the limiting factor. Workarounds like the super junction stretch the limits but usually at substantial cost. The use of gallium nitride devices is gathering momentum, with a number of recent market introductions for a wide range of applications such as point-of-load (POL) converters, off-line switching power supplies, battery chargers and motor drives. GaN devices have a much lower gate charge and lower output capacitance than silicon MOSFETs and, therefore, are capable of operating at a switching frequency 10 times greater. This can significantly impact the power density of power converters, their form factor, and even current design and manufacturing practices. To realize the benefits of GaN devices resulting from significantly higher operating frequencies, a number of issues have to be addressed, such as converter topology, soft-switching technique, high frequency gate driver, high frequency magnetics, packaging, control, and thermal management. This work studies the insight switching characteristics of high-voltage GaN devices including some specific issues related to the cascode GaN. The package impact on the switching performance and device reliability will be illustrated in details. A stack-die package is proposed for cascode GaN devices to minimize the impact of package parasitic inductance on switching transition. Comparison of hard-switching and soft-switching operation is carried based on device model and experiments, which shows the necessity of soft-switching for GaN devices at high frequency. This work also addresses high dv/dt and di/dt related gate drive issues associated with the higher switching speed of GaN devices. Particularly, the conventional driving solution could fail on the high side switch in a half-bridge configuration due to relative large common-mode noise current. Two simple and effective driving methods are proposed to improve noise immunity and maintain high driving speed. Finally, this work illustrates the utilization of GaN in an emerging application, high density AC-DC adapter. Many design considerations are presented in detail. The GaN-based adapter is capable of operating at 1-2 MHz frequency with an improved efficiency up to 94%. Several design examples at different power levels, with a power density in the range of 20~35W/in3, which is a three-fold improvement over the state-of-the-art product, are successfully demonstrated. In conclusion, this work is focus on the characterization, and evaluation of GaN devices. Packaging, high frequency driving and soft-switching technique are addressed to fully explore the potential of GaN devices. High density adapters are demonstrated to show the advance of GaN device and its impact on system design. / Ph. D. / This work is focus on the characterization, evaluation and application of new wideband-gap semiconductor devices – GaN devices. Due to superior physics property compared to existing semiconductor material, GaN device is able to switch at much higher frequency and this brings significant impact on the field of power electronics. The potential impact of GaN goes beyond the simple measures of efficiency and power density. It is feasible to design a system with a more integrated approach at higher frequency, and therefore, it is easier for automated manufacturing. This will bring significant cost reductions in power electronics equipment and unearth numerous new applications which have been previously precluded due to high cost. To realize the benefits of GaN devices resulting from significantly higher operating frequencies, a number of issues have to be addressed, such as device packaging, power converter topology, thermal management, high frequency magnetics and system control. This dissertation discusses the most critical issues related to GaN devices with proper solutions. A practical design example of AC-DC adapter is demonstrated with much improved efficiency, density and manufacturability.
294

Forecasting using high-frequency data: a comparison of asymmetric financial duration models

Zhang, Q., Cai, Charlie X., Keasey, K. January 2009 (has links)
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.
295

Modeling and Design of Planar Integrated Magnetic Components

Wang, Shen 15 August 2003 (has links)
Recently planar magnetic technologies have been widely used in power electronics, due to good cooling and ease of fabrication. High frequency operation of magnetic components is a key to achieve high power density and miniaturization. However, at high frequencies, skin and proximity effect losses in the planar windings become significant, and parasitics cannot be ignored. This piece of work deals with the modeling and design of planar integrated magnetic component for power electronics applications. First, one-dimensional eddy current analysis in some simple winding strategies is discussed. Two factors are defined in order to quantify the skin and proximity effect contributions as a function of frequency. For complicated structures, 2D and 3D finite element analysis (FEA) is adopted and the accuracy of the simulation results is evaluated against exact analytical solutions. Then, a planar litz structure is presented. Some definitions and guidelines are established, which form the basis to design a planar litz conductor. It can be constructed by dividing the wide planar conductor into multiple lengthwise strands and weaving these strands in much the same manner as one would use to construct a conventional round litz wire. Each strand is subjected to the magnetic field everywhere in the winding window, thereby equalizing the flux linkage. 3D FEA is utilized to investigate the impact of the parameters on the litz performance. The experimental results verify that the planar litz structure can reduce the AC resistance of the planar windings in a specific frequency range. After that, some important issues related to the planar boost inductor design are described, including core selection, winding configuration, losses estimation, and thermal modeling. Two complete design examples targeting at volume optimization and winding parasitic capacitance minimization are provided, respectively. This work demonstrates that planar litz conductors are very promising for high frequency planar magnetic components. The optimization of a planar inductor involves a tradeoff between volumetric efficiency and low value of winding capacitance. Throughout, 2D and 3D FEA was indispensable for thermal & electromagnetic modeling. / Master of Science
296

Development of a Damage Indicator Based on Detection of High-Frequency Transients Monitored in Bridge Piers During Earthquake Ground Shaking

Zhelyazkov, Aleksandar 05 August 2020 (has links)
Real-time structural health monitoring is a well established tool for post-earthquake damage estimation. A key component in the monitoring campaign is the approach used for processing the data from the structural health monitoring system. There is a large body of literature on signal processing approaches aimed at identifying ground-motion induced damage in civil engineering structures. This dissertation expands on a specific subgroup of processing approaches dealing with the identification of damage induced high-frequency transients in the monitoring data. The underlying intuition guiding the current research can be formulated in the following hypothesis - the time difference between the occurrence of a high-frequency transient and the closest deformation extremum forward in time is proportional to the degree of damage. A mathematical deduction is provided in support of the above hypothesis followed by a set of shaking table tests. For the purposes of this research two shaking table tests of reinforced concrete bridge piers were performed. Data from a shaking table test performed by another research group was also analyzed. The cases in which the proposed procedure could find a practical application are examined along with the present limitations.
297

Analyse expérimentale et modélisation du bruit haute fréquence des transistors bipolaires à hétérojonctions SiGe et InGaAs/InP pour les applications très hautes fréquences / Experimental analysis and modelling of high frequency noise in SiGe and InGaAs/InP heterojunction bipolar transistors for high frequency applications

Ramirez-garcia, Eloy 20 June 2011 (has links)
Le développement des technologies de communication et de l’information nécessite des composants semi-conducteurs ultrarapides et à faible niveau de bruit. Les transistors bipolaires à hétérojonction (TBH) sont des dispositifs qui visent des applications à hautes fréquences et qui peuvent satisfaire ces conditions. L’objet de cette thèse est l’étude expérimentale et la modélisation du bruit haute fréquence des TBH Si/SiGe:C (technologie STMicroelectronics) et InP/InGaAs (III-V Lab Alcatel-Thales).Accompagné d’un état de l’art des performances dynamiques des différentes technologies de TBH, le chapitre I rappelle brièvement le fonctionnement et la caractérisation des TBH en régime statique et dynamique. La première partie du chapitre II donne la description des deux types de TBH, avec l’analyse des performances dynamiques et statiques en fonction des variations technologiques de ceux-ci (composition de la base du TBH SiGe:C, réduction des dimensions latérales du TBH InGaAs). Avec l’aide d’une modélisation hydrodynamique, la seconde partie montre l’avantage d’une composition en germanium de 15-25% dans la base du TBH SiGe pour atteindre les meilleurs performances dynamiques. Le chapitre III synthétise des analyses statiques et dynamiques réalisées à basse température permettant de déterminer le poids relatif des temps de transit et des temps de charge dans la limitation des performances des TBH. L’analyse expérimentale et la modélisation analytique du bruit haute fréquence des deux types de TBH sont présentées en chapitre IV. La modélisation permet de mettre en évidence l’influence de la défocalisation du courant, de l’auto-échauffement, de la nature de l’hétérojonction base-émetteur sur le bruit haute fréquence. Une estimation des performances en bruit à basse température des deux types de TBH est obtenues avec les modèles électriques. / In order to fulfil the roadmap for the development of telecommunication and information technologies (TIC), low noise level and very fast semiconductor devices are required. Heterojunction bipolar transistor has demonstrated excellent high frequency performances and becomes a candidate to address TIC roadmap. This work deals with experimental analysis and high frequency noise modelling of Si/SiGe:C HBT (STMicroelectronics tech.) and InP/InGaAs HBT (III-V Lab Alcatel-Thales).Chapter I introduces the basic concepts of HBTs operation and the characterization at high-frequency. This chapter summarizes the high frequency performances of many state-of-the-art HBT technologies. The first part of chapter II describes the two HBT sets, with paying attention on the impact of the base composition (SiGe:C) or the lateral reduction of the device (InGaAs) on static and dynamic performances. Based on TCAD modelling, the second part shows that a 15-25% germanium composition profile in the base is able to reach highest dynamic performances. Chapter III summarizes the static and dynamic results at low temperature, giving a separation of the intrinsic transit times and charging times involved into the performance limitation. Chapter IV presents noise measurements and the derivation of high frequency noise analytical models. These models highlight the impact of the current crowding and the self-heating effects, and the influence of the base-emitter heterojunction on the high frequency noise. According to these models the high frequency noise performances are estimated at low temperature for both HBT technologies.
298

Caractérisation diélectrique de cellules biologiques par diélectrophorèse haute fréquence / Dielectric characterization of biological cells using high frequency dielectrophoresis

Hjeij, Fatima 05 September 2018 (has links)
Les travaux présentés dans ce manuscrit de thèse concernent le développement d’une méthode de caractérisation électrique de cellules biologiques, sans marquage, basée sur la diélectrophorèse Ultra Haute Fréquence (DEP-UHF). Sous l’action d’un champ électrique alternatif non uniforme, les cellules biologiques sont soumises à des forces de déplacement essentiellement liées à leurs propriétés diélectriques. En particulier, aux hautes fréquences, le champ électrique pénètre à l’intérieur de la cellule et interagit donc avec son contenu intracellulaire. Il est donc possible d’accéder à une «signature diélectrophorétique» de la cellule représentative de ses propriétés biologiques internes mais aussi de mécanismes physiologiques tels que l’apoptose ou encore la différenciation. Ce manuscrit présente le développement d’un microsystème innovant, implémenté à partir des couches passives d’une puce BiCMOS et couplé à un réseau microfluidique, pour la caractérisation, à l’échelle cellulaire, par DEP-UHF. Le microsystème développé permet une analyse fine et précise du comportement DEP haute fréquence d’une cellule. Un banc expérimental dédié aux caractérisations cellulaires, capable de générer des signaux hautes fréquences dans la gamme 10 MHz – 1 GHz pour des amplitudes allant jusqu’à 18 Vpp, a été développé. Ces travaux exploratoires ont pour but de démontrer le potentiel de discrimination de cette méthode entre différentes lignées cellulaires cancéreuses humaines à des stades tumoraux différents, dans l’objectif de développer de nouveaux outils d’aide au diagnostic. L’existence de différences significatives entre les signatures de certains types cellulaires ouvre des perspectives très intéressantes notamment pour le développement d’outils de tri cellulaire originaux basés uniquement sur les propriétés diélectriques intracellulaires. / The work presented in this dissertation concerns the development of an original label-free electrical characterization method dedicated to biological cells based on Ultra High Frequency dielectrophoresis (DEP-UHF). Under the action of a non-uniform alternative electric field, the biological cells are subjected to displacement forces related to their own dielectric properties. In particular, at high frequencies, the electric field penetrates inside the cell and thus interacts with its intracellular content. Therefore, it is possible to access to a «dielectrophoretic signature» of the cell that it is representative of its internal biological properties but also of physiological mechanisms such as apoptosis or differentiation. This dissertation presents the development of an innovative microsystem, implemented in the passive layer stack of a BiCMOS chip and associated with microfluidic, dedicated to biological characterization, at the cellular level. The developed microsystem allows an accurate analysis of a single cell DEP-UHF behaviour. An experimental bench, dedicated to cell characterization, and able to generate high frequency signals from 10 MHz to 1 GHz up to 18 Vpp magnitude, has been also developed accordingly. Actually, the led exploratory work achieved was focused on evaluating the discrimination potential of this method between different human cancer cells at different tumor stages with the objective to envision new kind of diagnostic tools. Finally, the existence of significant differences between the signatures of different cell types leads to very interesting perspectives, particularly for the development of new cell sorting tools based especially on the intracellular dielectric properties.
299

[en] TRANSMISSION AND RECEPTION OF DATA IN EHF / [pt] TRANSMISSÃO E RECEPÇÃO DE DADOS EM EHF

ANDY ALVAREZ ARELLANO 30 November 2017 (has links)
[pt] Nos últimos anos, as bandas de frequências nas comunicações sem fio estão começando a saturar devido ao incremento do tráfego e o aumento dos usuários, é devido a isso que, é necessário estudar as bandas de frequências que não estão sendo utilizadas nas áreas das comunicações como a banda milimétrica e sub-milimétrica. A transmissão de dados na banda EHF o banda milimétrica constitui uma possível solução para conseguir transmitir maiores quantidades de informação a altas velocidades de transmissão aliviando as bandas de frequências atuais. Neste trabalho se estuda a transmissão de dados em frequências de 100, 200, 300 e 400 GHz, empregando a modulação Quadrature Phase-Shift Keying (QPSK) mediante uma arquitetura baseada no batimento de dois lasers, cujas frequências são combinadas em um Beam Splitter, para que a corrente resultante da soma dos campos elétricos dos dois lasers seja convertida em um sinal de alta frequência por meio de uma antena fotocondutora. O batimento dos dois lasers, com diferentes comprimentos de onda e com a mesma potência, ao interagir com uma antena fotocondutora dá como resultado uma frequência na ordem de Gigahertz. No experimento utilizaram-se dois tipos de diodos receptores, um de banda larga (menor que 4 GHz) e outro de banda estreita (menor que 1 MHz). As duas antenas foram testadas em diferentes distâncias e com diferentes frequências de portadora para verificar qual delas tinha o melhor desempenho na banda EHF para poder realizar a transmissão de dados. / [en] In recent years, the frequency bands in wireless communications are beginning to saturate due to the increase of traffic and the increase of users, and it for that reason that is necessary to study the frequency bands that are not begin used in the communication areas like millimeter and sub-millimeters bands. Data transmission in the EHF band is a possible solution to be able to transmit large amounts of information at high transmission speeds, alleviating current frequency bands. In this work, the transmission of data in frequencies of 100, 200, 300 and 400 Gigahertz is studied, using Quadrature phase-shift keying (QPSK) modulation with an architecture based on the beat of two lasers, whos frequencies are combined by means of Beam Splitter, so that result of the electric fields of two lasers is converted into a high frequency signal with the aid of a photoconductor antenna. The.beating of the two lasers, with different wavelengths and with the same power, when interacting with a photoconductor antenna results in a frequency in the order of Gigahertz. In the experiment, two types of receiver diodes were used, one Broadband (less than 4 GHz) and the other of narrowband (less than 1 MHz). The two antennas were tested at different distances and with different carrier frequencies to verify which one had the best performance in the EHF band in order to perform the data transmission.
300

Modelo da dinâmica de um livro de ordens para aplicações em high-frequency trading

Nunes, Gustavo de Faro Colen 01 February 2013 (has links)
Submitted by Gustavo de Faro Colen Nunes (gustavocolennunes@gmail.com) on 2013-02-28T19:45:35Z No. of bitstreams: 1 MODELO DA DINÂMICA DE UM LIVRO DE ORDENS PARA APLICAÇÕES EM HIGH-FREQUENCY TRADING.pdf: 1769569 bytes, checksum: fcb41165f230caf02656cf7b8a709951 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-28T21:30:40Z (GMT) No. of bitstreams: 1 MODELO DA DINÂMICA DE UM LIVRO DE ORDENS PARA APLICAÇÕES EM HIGH-FREQUENCY TRADING.pdf: 1769569 bytes, checksum: fcb41165f230caf02656cf7b8a709951 (MD5) / Made available in DSpace on 2013-03-01T11:06:28Z (GMT). No. of bitstreams: 1 MODELO DA DINÂMICA DE UM LIVRO DE ORDENS PARA APLICAÇÕES EM HIGH-FREQUENCY TRADING.pdf: 1769569 bytes, checksum: fcb41165f230caf02656cf7b8a709951 (MD5) Previous issue date: 2013-02-01 / As operações de alta frequência (High-Frequency Trading - HFT) estão crescendo cada vez mais na BOVESPA (Bolsa de Valores de São Paulo), porém seu volume ainda se encontra muito atrás do volume de operações similares realizadas em outras bolsas de relevância internacional. Este trabalho pretende criar oportunidades para futuras aplicações e pesquisas nesta área. Visando aplicações práticas, este trabalho foca na aplicação de um modelo que rege a dinâmica do livro de ordens a dados do mercado brasileiro. Tal modelo é construído com base em informações do próprio livro de ordens, apenas. Depois de construído o modelo, o mesmo é utilizado em uma simulação de uma estratégia de arbitragem estatística de alta frequência. A base de dados utilizada para a realização deste trabalho é constituída pelas ordens lançadas na BOVESPA para a ação PETR4. / High-frequency trading (HFT) are increasingly growing on BOVESPA (São Paulo Stock Exchange), but their volume is still far behind the volume of similar operations performed on other internationally relevant exchange markets. The main objective of this work is to create opportunities for future research and applications in this area. Aiming at practical applications, this work focuses on applying a model that governs the dynamics of the order book to the Brazilian market. This model is built based in the information of the order book alone. After building the model, a high frequency statistical arbitrage strategy is simulated to validate the model. The database used for this work consists on the orders posted on the equity PETR4 in BOVESPA.

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