Neste trabalho, visamos mostrar as características usuais dos dados de alta frequência, bem como utilizar modelagem não paramétrica para estimar a variância/volatilidade para esses dados. Após uma revisão sobre microestrutura de mercado, sazonalidade intradiária, variação quadrática e saltos, utilizamos os dados da PETR4 para estimar a variância realizada e variação bipotente. Determinadas essas séries, testamos se há saltos nas mesmas. Em seguida, analisamos o impacto que a microestrutura de mercado e a sazonalidade intradiária causam na detecção dos saltos. Concluímos que, enquanto a presença de microestrutura aponta para um número de saltos menor que o esperado, a sazonalidade intradiária aponta para o lado contrário, ou seja, ela causa um viés para detectar mais saltos, dada a estrutura típica da curva de volatilidade ao longo do dia em formato de J invertido, causando mais saltos incorretamente detectados no período mais volátil do dia (que corresponde a abertura da bolsa de valores). / In this work, we aim to show the usual characteristics of high-frequency data and the estimation of variance/volatility for this kind of data using nonparametric models. After reviewing concepts about market microstructure, intraday seasonality, quadratic variation and jumps, we use PETR4 data to estimate realized variance and bipower variation. With these series determined, we test for jumps. Then, we analyze the impact that market microstructure and intraday seasonality causes in jump detection. We conclude that while microstructure noise indicates fewer jumps than the ideal amount, intraday seasonality goes in the opposite direction, i.e., it detects more jumps than it should, since the typical inverted-J-shaped intraday volatility pattern tends to incorrectly detect more jumps at the most volatile period (which is when stock markets start negotiations).

Neste trabalho, visamos mostrar as características usuais dos dados de alta frequência, bem como utilizar modelagem não paramétrica para estimar a variância/volatilidade para esses dados. Após uma revisão sobre microestrutura de mercado, sazonalidade intradiária, variação quadrática e saltos, utilizamos os dados da PETR4 para estimar a variância realizada e variação bipotente. Determinadas essas séries, testamos se há saltos nas mesmas. Em seguida, analisamos o impacto que a microestrutura de mercado e a sazonalidade intradiária causam na detecção dos saltos. Concluímos que, enquanto a presença de microestrutura aponta para um número de saltos menor que o esperado, a sazonalidade intradiária aponta para o lado contrário, ou seja, ela causa um viés para detectar mais saltos, dada a estrutura típica da curva de volatilidade ao longo do dia em formato de J invertido, causando mais saltos incorretamente detectados no período mais volátil do dia (que corresponde a abertura da bolsa de valores). / In this work, we aim to show the usual characteristics of high-frequency data and the estimation of variance/volatility for this kind of data using nonparametric models. After reviewing concepts about market microstructure, intraday seasonality, quadratic variation and jumps, we use PETR4 data to estimate realized variance and bipower variation. With these series determined, we test for jumps. Then, we analyze the impact that market microstructure and intraday seasonality causes in jump detection. We conclude that while microstructure noise indicates fewer jumps than the ideal amount, intraday seasonality goes in the opposite direction, i.e., it detects more jumps than it should, since the typical inverted-J-shaped intraday volatility pattern tends to incorrectly detect more jumps at the most volatile period (which is when stock markets start negotiations).

Neste trabalho, visamos mostrar as características usuais dos dados de alta frequência, bem como utilizar modelagem não paramétrica para estimar a variância/volatilidade para esses dados. Após uma revisão sobre microestrutura de mercado, sazonalidade intradiária, variação quadrática e saltos, utilizamos os dados da PETR4 para estimar a variância realizada e variação bipotente. Determinadas essas séries, testamos se há saltos nas mesmas. Em seguida, analisamos o impacto que a microestrutura de mercado e a sazonalidade intradiária causam na detecção dos saltos. Concluímos que, enquanto a presença de microestrutura aponta para um número de saltos menor que o esperado, a sazonalidade intradiária aponta para o lado contrário, ou seja, ela causa um viés para detectar mais saltos, dada a estrutura típica da curva de volatilidade ao longo do dia em formato de J invertido, causando mais saltos incorretamente detectados no período mais volátil do dia (que corresponde a abertura da bolsa de valores). / In this work, we aim to show the usual characteristics of high-frequency data and the estimation of variance/volatility for this kind of data using nonparametric models. After reviewing concepts about market microstructure, intraday seasonality, quadratic variation and jumps, we use PETR4 data to estimate realized variance and bipower variation. With these series determined, we test for jumps. Then, we analyze the impact that market microstructure and intraday seasonality causes in jump detection. We conclude that while microstructure noise indicates fewer jumps than the ideal amount, intraday seasonality goes in the opposite direction, i.e., it detects more jumps than it should, since the typical inverted-J-shaped intraday volatility pattern tends to incorrectly detect more jumps at the most volatile period (which is when stock markets start negotiations).

This thesis deals with advanced programming of CNC milling machines in Sinumerik 840D powerline control system. Mostly it is aimed on issues of synchronized actions. These actions can adaptively react on progress of milling process regarding to signal detection from the machine and execute specific action. In the introduction of the thesis there are briefly described basic issues and fundamentals of CNC machines and control systems programming. The problematic regarding the programming of synchronized actions is also described. The examples with evaluation of their function are created in the practical part of thesis.

No description available.

This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market. In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. In Paper [II] we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed in the sense that relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency and turnover. Although the results indicate that changes in the level of investor attention (measured by turnover) may explain part of the changes in information efficiency, they also lend support to the hypothesis that merger effects may partially be driven by changes in the composition of informed versus uninformed investors following a stock. Paper [III] analyzes whether the measured level of trust in different countries can explain bilateral stock market correlations. One finding is that generalized trust among nations is a robust predictor for stock market correlations. Another is that the trust effect is larger for countries which are close to each other. This indicates that distance mitigates the trust effect. Finally, we confirm the effect of trust upon stock market correlations, by using particular trust data (bilateral trust between country A and country B) as an alternative measurement of trust. In Paper [IV] we present the impact of the stock market mergers that took place in the Nordic countries during 2000 – 2007 on the probabilities for stock price jumps, i.e. for relatively extreme price movements. The main finding is that stock market mergers, on average, reduce the likelihood of observing stock price jumps. The effects are asymmetric in the sense that the probability of sudden price jumps is reduced for large and medium size firms whereas the effect is ambiguous for small size firms. The results also indicate that the market risk has been reduced after the stock market consolidations took place.

This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. Overall, both the basic VECM and the DCC-TGARCH analysis suggest that there are deviations from the cost of carry relationship in the first sub-sample when transactions costs in both markets are relatively high but that the cost of carry relationship tends to be valid in the second sub-sample when transactions costs are lower. This is further confirmed by the evidence of higher conditional correlations between the two markets in the second sub-sample as compared with the first, using the DCC-TGARCH analysis. This implies that the no-arbitrage cost of carry relationship between spot and futures markets is more effectively maintained by index arbitrageurs in the second period when market conditions are closer to perfect market assumptions, and hence the cost of carry model could be more reasonably used as a benchmark for pricing stock index futures. The threshold VECM analysis depicts regime-dependent price dynamics between FTSE100 spot and futures markets and leads to some interesting and important findings: arbitrage may not be practicable under some market conditions, either because it is difficult to find counterparties for the arbitrage transactions, or because there is significant risk associated with arbitrage; as a result, the cost of carry model may not always be suitable for pricing stock index futures. Furthermore, the threshold values yielded from estimating the threshold VECM reflect the average transaction costs for most arbitrageurs that are more reliable and fair than subjective estimations.

Les émissions anthropiques de dioxyde de carbone, gaz à effet de serre, sont considérées comme les principales causes du réchauffement climatique. Le captage du dioxyde de carbone par l’oxyde de calcium, qui s’avère être une masse de captage appropriée, au cours de plusieurs cycles de carbonatation/décarbonatation est une solution à la diminution des émissions industrielles. Néanmoins, la capacité de captage du dioxyde de carbone par l’oxyde de calcium diminue au cours des cycles, soulevant ainsi des problèmes économiques majeurs. Actuellement, cette perte d’efficacité de captage est largement étudiée contrairement à la réaction même de carbonatation de CaO d’un point de vue fondamental.Dans l’optique de mieux comprendre la réaction de carbonatation de CaO, une étude cinétique a été menée par le biais d’expériences de thermogravimétrie sur poudre. L’approche cinétique a été basée sur des tests de cinétiques hétérogènes fondés sur les hypothèses de l’état pseudo-stationnaire et de l’étape limitante. Les courbes cinétiques expérimentales obtenues en conditions isothermes (450-650°C) et isobares (2-30 kPa) ont montré un temps de latence lié au processus de germination de la nouvelle phase, ainsi qu’un fort ralentissement de la réaction à partir d’un certain degré d’avancement. Ce temps de latence et le degré d’avancement correspondant au frein cinétique dépendent de la température et de la pression partielle de CO2. Afin d’en expliquer l’origine, des caractérisations texturales et morphologiques ont été effectuées à différents degrés d’avancement. Les modifications observées à l’échelle des agrégats ont suggéré une limitation de la vitesse de réaction par des phénomènes de transport de matière, susceptibles de bloquer l’accès du gaz au cœur des agrégats. Les décrochements en température réalisées en thermogravimétrie ont mis en évidence un comportement cinétique complexe. Trois domaines ont pu être distingués au cours de la réaction, quelles que soient la température et la pression partielle de CO2. L’interprétation de ces résultats a souligné le rôle de la porosité et de son évolution sur la cinétique, ainsi qu’un effet anti-Arrhenius dans le deuxième domaine.La modélisation cinétique a dû faire intervenir à la fois un modèle proche de la réalité physique à l’échelle des grains denses, mais également les processus de transport de matière et de chaleurs au sein de l’agrégat, afin de rendre compte des courbes expérimentales et de quantifier l’impact des différents paramètres expérimentaux sur la vitesse de réaction. Ce couplage échelle de la population des grains-échelle de l’agrégat a été réalisé à l’aide d’un logiciel de cinétique hétérogène, CIN4, développé au département PRESSIC, en collaboration avec la société ASTEK. Les simulations obtenues ont permis de décrire la réaction jusqu’au freinage cinétique. / Anthropogenic carbon dioxide (CO2) emissions, major contributors to the greenhouse effect, are considered as the main cause of global warming. So, decrease of CO2 emitted by large industrial combustion sources or power plants, is an important scientific goal. One of the approaches is based on CO2 separation and capture from flue gas, followed by sequestration in a wide range of geological formations. In this aim, CO2 is captured by sorbents like calcium oxide (CaO) in multi-cycle process of carbonation/decarbonation. However, it was shown that the most important limitations of such process are related to the reversibility of reaction. CaO rapidly loses activity towards CO2, so the maximum extent of carbonation decreases as long as the number of cycles increases. In order to well understand the processes and parameters influencing the capture capacity of CaO-based sorbents, it appears important to get details on the kinetic law governing the reaction, which have not been really studied up to now. To investigate this reaction, CaO carbonation kinetics was followed by means of thermogravimetric analysis (TGA) on divided materials. Special care was given to the validation of the usual kinetic assumptions such as steady state and rate-determining step assumptions. The aim was to obtain a model describing the reaction in order to explain the influence of intensive variables such as carbonation temperature and CO2 partial pressure. TGA curves obtained under isothermal and isobaric conditions showed an induction period linked to the nucleation process and a strong slowing down of the reaction rate once a given fractional conversion was reached. Both phenomena were observed to depend on carbonation temperature and CO2 partial pressure. To explain these results, the evolution of texture and microstructure of the solid during the reaction was regarded as essential. Reaction at the grain scale induces a volume increase from CaO to CaCO3 which causes a change in the porosity characteristics at the aggregates scale, which could block the access of the gas to the core of aggregates. Temperature jumps during TGA experiments have put in evidence a complex kinetic behavior since three distinct domains must be distinguished, over all the conversion range, whatever the temperature and CO2 pressure could be. The discussion of the results emphasizes the role of the porosity on the kinetic anti-Arrhenius behavior observed in the second domain. So carbonation reaction can be described by a two scales model: at a nonporous grain scale for the chemical reaction and at the aggregate scale, for the CO2 intergranular diffusion. The kinetic modeling, thanks to the software CIN4 (developed in collaboration with Astek), is able to couple both modeling scales in order to explain the kinetic slowing down and the influence of temperature and CO2 partial pressure on the reaction rate.

Title: Training jumps difficulty in sport aerobics. Objectives: Jumps difficulty in aerobic sports athletes seems to be most problematic part of the performance for large demands on the technical implementation. Aim of this study will therefore analyze the technical and didactic jumps difficulty developing a methodology and training. The work can use coaches and athletes, as a methodological material to correct the errors in the current design practice new jumps and difficulty. Methods: After studying literature, focusing on sports and gymnastic training, I used the specific chapters related to the technique performed jumps in sport aerobics. Video analysis, I analyzed the reports selected category of racing sports aerobics usually classified in terms of difficulty of the jumps. Results: Analysis of the technical difficulty of execution jumps according to the rules of sports aerobics, I proposed a number of methodological training jumps selected difficulty. Finally, I have said frequently occurring errors in the implementation of selected jumps. The work could help improve the technical aspects of performance sport aerobics athletes to achieve better performance. Keywords: Sport aerobic, fitness aerobic, aerobic team show, jumps, jump training, elements of difficulty, sports performance, sports...

Com o objetivo de comparar os efeitos do treinamento de força rápida em parâmetros fisiológicos, mecânicos e neuromusculares de corredores de fundo, o presente trabalho contou com uma amostra de 18 atletas amadores do sexo masculino, praticantes de corrida de rua e com experiência em provas de longa distância (21km ou acima). A amostra foi selecionada para o grupo \"treinamento de força rápida\", (RPG - grupo experimental) ou \"exercícios educativos técnicos de corrida\" (RTG - grupo controle), que realizaram seis semanas de exercícios distintos. No intuito de avaliar o desempenho em variáveis-chave para o rendimento de fundistas, os sujeitos foram submetidos a uma série de testes em dois momentos distintos: após a semana de aprendizagem e adaptação aos exercícios (pré) e ao final das seis semanas dos protocolos propostos (pós). A bateria de testes foi composta por: testes de saltos verticais (Altura [H], Potência Pico [PP] e Potência Relativa [PR] do salto para as técnicas Squat Jump [SJ], Counter Movement Jump [CMJ] e Drop Jump 40cm [DJ40]); salto horizontal [SH] e salto sêxtuplo alternado [S6A] (distância saltada); uma repetição máxima no agachamento guiado (carga absoluta [1RM Abs.] e relativa à massa corporal [1RM Rel.]); teste de contração isométrica voluntária máxima (CIVM - força pico [Fpico], força pico relativa à massa corporal [Fpico R.], tempo da força pico [TFPICO] e taxa de desenvolvimento de força [TDF]); teste incremental de esteira (Velocidade Pico em Esteira [VPE] e Velocidade do Limiar de Lactato [vLL]); e tempo limite em esteira na VPE (Tlim). O tratamento estatístico foi realizado por meio do Software IBM® SPSS® Statistics v. 20.0, para Windows (IBM Corporation, Chicago, USA). A ANOVA Modelo Misto foi utilizada para as comparações das variáveis de desempenho entre momentos e entre grupos, com teste post-hoc de Bonferroni quando necessário, e o teste t de Student para amostras independentes foi realizado para comparar as variáveis relativas ao treinamento entre os grupos. Todas as variáveis foram submetidas aos testes estatísticos Cohen\'s \"d\" de Magnitude de Efeito (ES) e Probabilidade Quantitativa de Chances (QC). Foram encontradas diferenças estatisticamente significantes para as variáveis Altura de Salto e Potência Relativa para a técnica de salto vertical Squat Jump entre os momentos pré e pós treinamento para o grupo RPG (HSJ: F = 6,973; p = 0,018; PRSJ: F = 8,421; p = 0,01) e Altura de Salto e Potência Relativa para a técnica de salto vertical Counter Movement Jump entre os grupos RPG e RTG, após as seis semanas de exercícios (HCMJ: F = 6,163; p = 0,025; PRCMJ: F = 4,667; p = 0,046). Foi identificada diferença significativa para a variável \'tempo da Fpico\' (F = 7,731; p = 0,013) durante o teste de CIVM para o grupo RPG entre os momentos. O grupo Controle, ainda, apresentou queda na variável VPE após as seis semanas do protocolo (F = 5,493; p = 0,032), o que não foi observado no grupo Pliometria. Ademais, o grupo experimental apresentou redução nos valores de lactato sanguíneo nos minutos 1, 3 e 5 após o teste de Tlim (F = 16,858; p = 0,001; F = 8,406; p = 0,01; F = 12,092; p = 0,003, respectivamente). É possível concluir que o treinamento pliométrico foi superior ao protocolo de exercícios educativos no intuito de melhorar o desempenho da força rápida de membros inferiores, contribuindo, ainda, para a manutenção dos níveis iniciais de desempenho em corrida e a melhora da remoção do lactato sanguíneo, o que não pode ser observado no grupo RTG. / With the purpose to compare the effects of explosive-strength training in physiologic and neuromuscular variables of endurance runners, the present study accounted with 18 male amateur athletes experienced in long distance races (21km and above). The sample was divided between explosive-strength training - RPG (running plyometrics group) and technique exercises protocol - RTG (running techniques group), which performed six weeks of distinct exercise protocols. With the aim to evaluate key-variables for endurance running performance the subjects were submitted to batteries of assessments in two different moments: after the exercises adaptation week and right before the beginning of the protocols, and at the end of the exercise protocols. The assessments battery contained vertical jump tests (Jump Height [H], Peak Power [PP] and Relative Power [RP] for the techniques Squat Jump [SJ], Counter Movement Jump [CMJ] and Drop Jump 40cm [DJ40])/ horizontal long jump (SH) and sextuple jump alternating legs (S6A), one maximum repetition for squat at Smith Machine (absolute [1RM Abs.] and relative to body mass loads [1RM Rel.]), maximum voluntary isometric contraction test (MVIC - peak force [Fpico], peak force relative to body mass [Fpico R.], time to peak force [TFPICO] and rate of force development [TDF]); maximum incremental treadmill test (treadmill peak velocity [VPE] and lactate threshold velocity [vLL]), and time limit test at treadmill peak velocity (Tlim). The statistical procedures were performed at IBM® SPSS® Statistics Software v. 20.0, para Windows (IBM Corporation, Chicago, USA) The Mixed Model ANOVA was performed with dependent variables to identify time and group interactions, using the Bonferroni post-hoc test when necessary, while the training variables were analyzed by the Student\'s t test for independent samples. All data were also analyzed with Cohen\'s \"d\" Effect Size test (ES) and Probability of Quantitative Chances (QC). There were found in RPG significant differences for H and PR for Squat Jump technique between moments pre- and post-protocol (HSJ: F = 6,973; p = 0,018; PRSJ: F = 8,421; p = 0,01), and for the same variables for Counter Movement Jump technique between RPG and RTG (HCMJ: F = 6,163; p = 0,025; PRCMJ: F = 4,667; p = 0,046) after the exercise protocols. Also, significant difference was found for \'time to peak force\' variable (F = 7,731; p = 0,013) during the MVIC test for the group RPG between moments. Yet, the control group presented significant decrease of peak treadmill velocity in the moment post- compared to the pre-training (F = 5,493; p = 0,032), which was not observed in the experimental group. Still, the experimental group presented lower values for lactate concentrations 1, 3 and 5 minutes after Tlim test (F = 16,858; p = 0,001; F = 8,406; p = 0,01; F = 12,092; p = 0,003, respectively). It is possible to conclude that the plyometric training performed by the RPG was superior to the technique exercises protocol in the objective of increasing lower-limbs explosive-strength parameters, contributing to the maintenance of running performance and a better lactate clearance capacity, which did not happen in the RTG.