Submitted by Fernando Kenji Suzuki (fernandok.suzuki@gmail.com) on 2015-09-15T02:03:13Z No. of bitstreams: 1 main.pdf: 1014824 bytes, checksum: 78c5726b7429d94596849075c18716ec (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Prezado Fernando, boa tarde Conforme Normas da ABNT, será necessário realizar os seguintes ajustes: Na CAPA: Seu nome deve estar um pouco acima, de uma maneira centralizada entre o nome da escola e o título do trabalho. CAPA e CONTRACAPA: Retirar a formatação Itálica da palavra Jumps. Em seguida realize uma nova submissão. Att. on 2015-09-15T18:58:14Z (GMT) / Submitted by Fernando Kenji Suzuki (fernandok.suzuki@gmail.com) on 2015-09-16T02:49:23Z No. of bitstreams: 1 main.pdf: 992654 bytes, checksum: 97c7605bf15b07b1b7554b66c33f1a12 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-16T19:44:21Z (GMT) No. of bitstreams: 1 main.pdf: 992654 bytes, checksum: 97c7605bf15b07b1b7554b66c33f1a12 (MD5) / Made available in DSpace on 2015-09-16T20:12:00Z (GMT). No. of bitstreams: 1 main.pdf: 992654 bytes, checksum: 97c7605bf15b07b1b7554b66c33f1a12 (MD5) Previous issue date: 2015-08-22 / Using market data obtained from BM&F Bovespa, this paper proposes a possible variation of Heath, Jarrow and Morton model in his discrete and multifactorial way, with the insertion of jumps as a way to consider the effect of the meetings held by the Brazilian Monetary Policy Committee (Copom). Through the use of principal component analysis (PCA), the calibration of the model parameters is made, allowing the simulation of the evolution of the term structure of interest rate known as PRE via Monte Carlo Simulation (MCS). With the scenarios generated by the simulation of the curve at fixed vertices (synthetic), the results are compared to the data observed in the market. / Utilizando dados de mercado obtidos na BM&F Bovespa, este trabalho propõe uma possível variação do modelo Heath, Jarrow e Morton em sua forma discreta e multifatorial, com a introdução de jumps como forma de considerar o efeito das reuniões realizadas pelo Cômite de Políticas Monetárias (Copom). Através do uso da análise de componentes principais (PCA), é feita a calibração dos parâmetros do modelo, possibilitando a simulação da evolução da estrutura a termo de taxa de juros (ETTJ) da curva prefixada em reais via simulação de Monte Carlo (MCS). Com os cenários da curva simulada em vértices fixos (sintéticos), os resultados são comparados aos dados observados no mercado.

本研究旨在探討金融危機期間，美國與歐洲金融市場之日內報酬率、實質波動度、連續波動度與跳躍風險行為之日內因果關係，並採用美國三大指數期貨(S&P 500, Dow Jones, Nasdaq)及歐洲期數期貨(FTSE, DAX, CAC)之高頻資料，檢定是否具有顯著槓桿效果(Leverage Effect)與波動度回饋效果(Volatility Effect)、在報酬率與跳躍風險之間具有相互影響效果。探討在金融危機發生前、後期間其日內報酬率、實質波動度、連續波動度與跳躍項間在1分鐘、5分鐘及60分鐘之抽樣頻率下之日內行為。因此，實證研究包含金融市場之上升及下降趨勢，顯示在金融危機發生後，日內波動度與跳躍項之槓桿效果(Leverage Effect)與波動度回饋效果(Volatility Effect)受到叢聚(Clustering)現象影響且顯著增加。不同抽樣頻率下之因果關係效果在金融危機發生前、中、後期間，特別在5分鐘及60分鐘之抽樣頻率方式，跳躍風險受到波動度回饋效果影響呈顯著增加，此實證結果對政策制定者及投資人具有重要之意涵。 / This study examines the intraday causality between returns, volatility and jumps in the U.S. and European markets during the financial crisis. examine whether during the financial crisis, the S&P 500, Dow Jones, Nasdaq, FTSE, DAX and CAC index futures markets have a significant impact on the leverage and volatility feedback effects, as well as whether these interactions also occur between returns and jumps. The intraday behavior of 1-min, 5-min and 60-min sampling of returns, volatility and jumps is examined by employing data from the period between financial crisis. The study covers the major upward and downward trends in the market. Our empirical data indicate the main leverage and volatility feedback effects caused by intraday volatility and jump clustering significantly increased after the financial crisis. The causality effects with different sampling frequencies before, during and after the financial crisis show that jumps have increased the volatility feedback effect, especially when in a 5-min and 60-min sampling frequency is used. These findings have important implications for both policymakers and investors.

La marée interne générée sur une topographie est un élément clé des transferts énergétiques des échelles de forçage de l'océan vers les échelles de mélange turbulent. Elle contribuerait à près de la moitié du mélange turbulent nécessaire au maintien de la stratification océanique. Une compréhension plus approfondie des processus mis en jeu est nécessaire pour décrire plus précisément son rôle dans le maintien de la circulation océanique. Cette thèse s'inscrit dans la continuité des travaux d'Y. Dossmann (2012) portant sur les ondes internes solitaires générées au dessus d'une dorsale océanique. Ces travaux reposent sur une utilisation complémentaire d'expériences physiques menées dans le grand canal du CNRM-GAME et d'expériences numériques à l'échelle du laboratoire effectuées avec le modèle d'océanographie côtière SNH. L'utilisation simultanée de ces deux outils a notamment permis d'évaluer la validité des hypothèses sous-jacentes de ce modèle et le développement de nouveaux schémas numériques. Dans cette thèse, des simulations numériques utilisant la version non-hydrostatique et non-Boussinesq du modèle SNH sont utilisées pour décrire les différents régimes d'ondes internes dans des régions " supercritiques ". Le terme supercritique désigne à la fois des courants de marée intenses dont la vitesse U est supérieure à la vitesse de propagation des ondes internes cn, et des topographies très abruptes dont l'angle de la pente est supérieur à l'angle du rayon d'onde interne dans la pycnocline . De telles conditions environnementales correspondent à des régions de mélange intense, jusqu'à 10 000 fois supérieur au mélange turbulent observé dans l'océan ouvert. Les processus physiques ayant lieu dans ces régions restent encore mal compris et mal représentés par les paramétrisations d'ondes internes existantes. De plus, ces régions sont également des zones propices à la génération d'ondes internes non-linéaires pouvant se propager pendant plusieurs jours et entraînant ainsi des transferts d'énergie significatifs loin de leur zone de génération. La description des processus turbulents en jeu dans ces régions " extrêmes " constitue le cœur de ma thèse. Dans une première partie, des configurations académiques à l'échelle du laboratoire sont mises en place pour étudier les processus en jeu dans différents régimes " supercritiques " de génération d'onde internes. Des simulations numériques directes sont réalisées et permettent d'identifier un nombre limité de paramètres physiques adimensionnés contrôlant la dynamique des ondes internes dans ces régions. Une attention particulière est portée sur le rôle joué par la topographie sur la génération des modes verticaux d'ondes internes et sur la formation de modes " hauts " d'ondes internes solitaires. Le second objectif de cette thèse est de faire le lien entre les précédentes études académiques à l'échelle du laboratoire et l'échelle océanique. Pour cela, un principe de similitude permettant de conserver la dynamique des ondes internes tout en modifiant l'échelle de l'écoulement est mise en place. Par le biais de ce principe de similitude, nous partons de cas idéalisés à l'échelle du laboratoire, que nous transposons à l'échelle océanique, pour nous rapprocher de cas océaniques plus réalistes et de plus en plus complexes. Puis notre étude de régime est étendue à deux régions océaniques " supercritiques " bien connues : le détroit de Gibraltar et le plateau situé à l'entrée du golfe du Maine (nommé " Georges Bank " en anglais). L'applicabilité de nos paramètres clés est étudiée dans le cas de ces deux environnements complexes par le biais de simulations haute résolution de grande échelle (LES). / Internal tides are involved in the Meridional Overturning Circulation energy balance. The issue about the relative importance of the mechanical and thermodynamical energy sources induces a need for a quantitative evaluation of the energy transfers and for a clear understanding of the physical processes involved in these energy transfers. In supercritical regions such as the strait of Gibraltar or the Hawaiian Ridge, large topography variations and strong currents lead to more complex generation mechanisms of internal waves and environmental interactions. They can be subject locally to spectacular breaking, with turbulent structures observed hundreds of meters above the seafloor, and driving turbulence orders of magnitude higher than open-ocean levels. These regions are also effective at generating nonlinear internal waves (ISWs) which persist for days after their generation and are suspected to be responsible for important remote energy transfers. In these "extreme" regions, ISWs dynamics is also more difficult to model. These situations are highly non-hydrostatic and non-linear with strong instabilities, strong velocity and density gradients and steep slopes. Moreover, in these regions, actual internal wave's parameterizations are often inadequate. So there is a real need to understand and represent better the ISWs dynamic in these areas. This thesis follows the line of research of Dossmann (2012), on topographically induced internal solitary waves which used a complementary approach relying on numerical and experimental configurations at laboratory scale. In this context, we continue to explore internal tide regimes but in "supercritical" regions: internal tide generation area with supercritical topography and hydraulic control. Simulations are performed using the nonhydrostatic and non-Boussinesq version of the regional oceanic circulation model SNH. In a first part, taking an idealized modeling approach at laboratory scale, we examined a range of different internal waves regimes in "supercritical" regions. Relying on quasi-direct numerical simulations (quasi-DNS), a regime analysis has been proposed using and identifying key non-dimensional parameters for ISWs dynamics. This analysis has permitted to recover a topographic control on vertical mode generation characterized by the ratio of vertical mode wavelength to topography width, even above supercritical topography. The topographic selection criterion has proven to be a useful indicator of high mode solitary wave formation in non-linear regime. The purpose of the second part is to extend the previous studies at laboratory scales towards more realistic oceanic conditions. In this regard, the regime analysis is applied to a idealized large scale oceanic strait through a similitude principle. The idealized strait configuration succeeds in representing laboratory scale strait regime at largest and realistic scales. Then our analysis is applied to two well-known realistic cases: the Strait of Gibraltar and Georges Bank through large eddy simulations. These two oceanographic "supercritical" regions are particularly interesting for their specific topography and stratification conditions.

Ce travail de thèse visait à déterminer l’influence de la durée et du niveau d’entraînement en endurance sur les mécanismes de régulation de la fatigue neuromusculaire et d’une stratégie de modulation de ces mécanismes sur la performance motrice. Ce travail de thèse consistait également à élaborer une nouvelle méthode d’entraînement permettant d’optimiser les stimuli responsables des adaptations résultantes d’un programme de conditionnement physique. Les résultats principaux issus de ces travaux sont présentés dans un résumé plus détaillé en fin de manuscrit. / The present work aimed to determine the influence of exercise duration and endurance training level on the mechanisms underlying neuromuscular fatigue regulation and the effect of a deceptive strategy on exercise performance. This thesis also aimed to elaborate a new training method that would optimize exercise-induced training stimuli that are known to trigger complementary physical abilities adaptations. The main outcomes of these works are detailed in an expanded abstract at the end of the manuscript.

[pt] A busca por fontes energéticas alternativas tornou-se questão crucial para o desenvolvimento econômico mundial, sendo a biomassa uma alternativa a ser considerada. Neste estudo analisamos o caso de uma indústria de chapas de fibras de madeira, na qual cavacos de madeira podem ser utilizados tanto como matéria prima quanto como combustível para geração de energia térmica. Neste segmento, durante o processo produtivo são gerados grandes volumes de resíduos florestais que podem ser usados como combustível. O objetivo do presente trabalho é determinar a viabilidade econômico-financeira de se instalar um processo de cogeração de energia tendo como combustíveis resíduos florestais e gás natural. Assumimos que os gestores possuem duas alternativas: usar os resíduos e gás na geração de energia, liberando os cavacos para produção de MDF e HDF ou empregar os resíduos florestais, gás natural e cavacos de madeira como combustível, comercializando o excedente de energia no mercado de curto prazo. A avaliação financeira foi baseada na Teoria das Opções Reais considerando a flexibilidade gerencial de selecionar otimamente o destino final dos cavacos de madeira (chapa de madeira ou energia) ao longo do tempo. Uma importante inovação do trabalho consiste na incorporação de fatores de sazonalidade na volatilidade do preço de energia, adaptando o processo estocástico as especificidades do mercado brasileiro. Foi considerada como incerteza o preço da energia (PLD) e adotou-se como base o Modelo Geométrico de Reversão a Média com Saltos de Clewlow, Strickland e Kaminski (2000). Os resultados indicam que a opção de comercializar o excedente de energia não é viável financeiramente e em média não agrega valor ao projeto. / [en] The search for alternative energy sources has become critical issue for the economic development of the world, and biomass is an alternative to be considered. In this study we analyze the case of a producer of wood fiber boards, in which wood chips may be either used as raw material for the wood boards or as fuel to generate energy. In this segment, the production process generates large volumes of forest residues that can be used as fuel. The objective of this study is to determine the economic feasibility of installing a cogeneration energy process fueled with forest residues and natural gas. We assume that managers have two alternatives: use residues and gas for heat energy generation, releasing the wood chips for the production of MDF and HDF, or use forest residues, gas and wood chips as fuel, selling the surplus energy in the short term market. The valuation was based on the Real Options Theory considering the managerial flexibility to select the optimal final destination of the wood chips (fiber board or energy) along time. One of the innovations of this work is the incorporation of seasonal factors in the energy price volatility, adapting the stochastic process to the specificities of the Brazilian market. The main uncertainty, energy price (PLD), was based on the Mean Reversion Model with Jumps of Clewlow, Strickland and Kaminski (2000). The results indicate that the option to sell the surplus power is not financially viable and on average adds no value to the project.

TITLE: Analysis of variability and difficulty of elements in sports aerobics performances- seniors women (European championship 2014, 2017, 2019) AUTHOR: Bc. Tereza Čadová DEPARTMENT: Department of physical education SUPERVISOR: PaedDr. Jana Hájková ABSTRACT: The main aim of this diploma work was to analyse sports aerobic¨s choreographies regarding the difficulty, variability and comparing the results. The analysis focused on the final choreographies of the six best women contestants in the Europe's Championship in 2014, 2017 and 2019 using the observant, analysis and result comparison method. This analysis followed criteria which was given in advance. In the conclusion the analysis results are defined anh show that the choreographies hasn't improved technically in the along the analysed years. KEYWORDS: Sports aerobics, technical index, variability, analysis, elemenst of difficulty

Les travaux de thèse sont axés sur les méthodes numériques pour les écoulements diphasiques, compressibles, à faible vitesse, avec apparition soudaine de forts gradients de pression. La vitesse matérielle de chacune des phases étant très petite devant la célérité des ondes acoustiques, le régime d'écoulement est dit à faible nombre de Mach. Dans ce travail, la loi d'état de la phase considérée contient toujours une information mesurant sa plus ou moins grande compressibilité. Ainsi, la faible compressibilité de l'eau peut produire un régime d'écoulement où des sauts de pression importants apparaissent même si le nombre de Mach est très faible. La première partie de la thèse s'est focalisée sur un modèle diphasique dit homogène-équilibré. Les deux phases de l'écoulement ont alors la même vitesse, pression, température et même potentiel chimique. Un premier travail a été la construction de solveurs de Riemann approchés dits tout-nombre-de-Mach. En l'absence de transitoire rapide, ces solveurs basent leur contrainte de pas de temps sur la vitesse des ondes matérielles lentes et sont donc précis pour suivre ces dernières. En revanche, lorsqu'une onde de choc rapide traverse l'écoulement, ces solveurs s'adaptent automatiquement afin de la capturer. La seconde partie de la thèse s'est focalisée sur la prise en compte du couplage convection-source dans le cadre des modèles en approche bi-fluides avec effets de relaxation pression-vitesse. Dans ces modèles, les deux phases de l'écoulement possèdent leur propre jeu de variables. Dans ce travail, un schéma implicite à mailles décalées, basé sur l'influence des termes sources dans des problèmes de Riemann linéaires, a été proposé / The present work focuses on numerical methods for low-material velocity compressible two-phase flows with high pressure jumps. In this context, the material velocity of both phases is small compared with the celerity of the acoustic waves. The flow is said to be a low-Mach number flow. In this work, the equation of state of the considered phase always contains information relative to its compressibility. For example, the low-compressibility of liquid water may lead to fast transients in which high pressure jumps are produced even if the flow Mach number is low. The first part of this work has leaned on two-phase homogeneous-equilibrium models. Thus, both phases have the same velocity, pressure, temperature and the same chemical potential. The construction of what is called an all-Mach-number approximate Riemann solver has been conducted. When no fast transients come through the flow, the above solvers enable computations with CFL conditions based on low-material velocities. As a result, they remain accurate to follow slow material interfaces, or subsonic contact discontinuities. However, when fast shock waves propagate, these solvers automatically adapt in order to capture them. The second part of the thesis has been dedicated to the design of numerical methods enhancing the coupling between convection and relaxation for two-fluid models containing pressure-velocity relaxation effects. In such models, both phases have their own set of variables. A time-implicit staggered scheme, based on the influence of relaxation source terms on linear Riemann problems has been proposed.

Gegenstand dieser Dissertation ist die non-parametrische Schätzung der Kovarianz in multi-dimensionalen Lévy-Prozessen auf der Basis von Hochfrequenzbeobachtungen. Im ersten Teil der Arbeit wird eine modifizierte Version der von Jacod und Reiß vorgeschlagenen Methode der Hochfrequenzbeobachtung für die Ermittlung der Kovarianz multi-dimensionaler Lévy-Prozesse gegeben. Es wird gezeigt, dass der Kovarianzschätzer optimal im Minimaxsinn ist. Darüber hinaus demonstrieren wir, dass die Indexaktivität der co-jumps durch das harmonische Mittel der Sprungaktivitätsinzidenzen der Komponenten von unten beschränkt wird. Der zweite Teil behandelt das Problem der adaptiven Schätzung. Ausgehend von einer Familie asymptotischer Minimax-Schätzer der Kovarianz, erhalten wir einen datenbasierten Schätzer. Wir wenden Lepskii’s Methode an, um die Kovarianz an die unbekannte Aktivität des co-jumps Indexes des Sprungteils anzupassen. Da wir es mit einem Adaptierungsproblem zu tun haben, müssen wir eine Schätzung der charakteristischen Funktion des multi-dimensionalen Lévy-Prozesses konstruieren, damit die charakteristische Funktion weder von einer semiparametrischen Annahme abhängt noch schnell abfällt. Aus diesem Grund wird auf Basis von Neumanns Methode ein trunkierter Schätzer für die empirische charakteristische Funktion konstruiert. Die Anwesenheit der trunkierten, empirischen charakteristischen Funktion im Zähler führt jedoch zu einer Situation, die auch bei der Deconvolution auftritt, d.h. einem irregulären Verhalten des stochastischen Fehlers. Dieser U-förmige stochastische Fehler verhindert die Anwendung von Lepskii’s Grundsatz. Um diesem Problem, entgegenzuwirken, entwickeln wir eine Strategie, welche zu einem Orakelstart von Lepskii's Methode führt, mit deren Hilfe ein monoton steigender stochastischer Fehler konstruiert wird. Dies erlaubt uns, ein Balancing Principle einzuführen und einen adaptiven Schätzer für die Kovarianz zu erhalten, der fast-optimale Raten erzeugt. / In this thesis, we consider the problem of nonparametric estimation for the continuous part of the covariation of a multi-dimensional Lévy process from high-frequency observations. This continuous part of covariation is also called covariance. The first part modifies the high-frequency estimation method, proposed by Jacod and Reiss, to cover estimation of the covariance of multi-dimensional Lévy processes. The covariance estimator is shown to be optimal in the minimax-sense. Moreover, the co-jump index activity is proved to be bounded from below by the harmonic mean of the jump activity indices of the components. In the second part, we address the problem of the adaptive estimation. Starting from an asymptotically minimax family of estimators for the covariance, we derive a data-driven estimator. Lepskii's method is applied to adapt the covariance to the unknown co-jump index activity of the jump part. Faced with an adaptation problem, we need to secure an estimation for the characteristic function of the multi-dimensional Lévy process so that it does not depend on a semiparametric assumption and, at the same time, does not decay fast. For this reason, a truncated estimator for the empirical characteristic function is constructed based on Neumann's method. The presence of the truncated empirical characteristic function in the denominator leads to a situation similar to the deconvolution problem, i.e., an irregular behavior of the stochastic error. This U-shaped stochastic error does not permit us to apply Lepskii's principle. To counteract this problem, we establish a strategy to obtain an oracle start of Lepskii's method, according to which a monotonically increasing stochastic error is constructed. This enables us to apply a balancing principle and build an adaptive estimator for the covariance which obtains near-optimal rates.

No description available.

This master thesis concentrates on the influence of liquidity measures on the prediction of volatility and given the magic triangle phenomena subsequently on the expected return. Liquidity measures Amihud Illiquidity, Amivest Liquidity and Roll adjusted for high frequency data have been utilized. Dataset used for the modeling was consisting of 98 shares that were traded on S&P 100. The time range was from 1st January 2013 to 31st December 2014. We have found out that the liquidity truly enters into the return-volatility relationship and influences these variables - the magic triangle interacts. However, contrary to our hypothesis, the model shows up that lower liquidity signifies lower realized risk. This inference has been suggested by all three models (3SLS, 2SLS and OLS). Furthermore, we have used the realized variance and bi-power variation to separate the jump. Our second hypothesis that lower liquidity signifies higher frequency of jumps was confirmed only for one of two liquidity proxies (Roll) included in the resulting logit FE model. Keywords liquidity, risk, volatility, expected return, magic triangle, price jumps, realized variance, bi-power variation, three-stage least squares model, logit, high-frequency data, S&P 100 Author's e-mail david.brandejs@seznam.cz Supervisor's e-mail...