The stock market is a place in which numerous entities interact, operate, andchange state based on the decisions they make. Further, the stock market itselfevolves and changes its dynamics over time as a consequence of the individualactions taking place in it. In this sense, the stock market can be viewed andtreated as a complex adaptive system. In this study, an agent-based model,simulating the trading of a single asset has been constructed with the purposeof investigating how the collective behaviour affects the dynamics of the stockmarket. For this purpose, the agent-based modelling program NetLogo wasused. Lastly, the conclusion of the study revealed that the dynamics of thestock market are clearly dependent on some specific factors of the collectivebehaviour, such as the information source of the investors.

Uncertainty analysis is an important part of system design. The formula for error propagation through a system model that is most-often cited in literature is based on a first-order Taylor series. This formula makes several important assumptions and has several important limitations that are often ignored. This thesis explores these assumptions and addresses two of the major limitations. First, the results obtained from propagating error through nonlinear systems can be wrong by one or more orders of magnitude, due to the linearization inherent in a first-order Taylor series. This thesis presents a method for overcoming that inaccuracy that is capable of achieving fourth-order accuracy without significant additional computational cost. Second, system designers using a Taylor series to propagate error typically only propagate a mean and variance and ignore all higher-order statistics. Consequently, a Gaussian output distribution must be assumed, which often does not reflect reality. This thesis presents a proof that nonlinear systems do not produce Gaussian output distributions, even when inputs are Gaussian. A second-order Taylor series is then used to propagate both skewness and kurtosis through a system model. This allows the system designer to obtain a fully-described non-Gaussian output distribution. The benefits of having a fully-described output distribution are demonstrated using the examples of both a flat rolling metalworking process and the propeller component of a solar-powered unmanned aerial vehicle.

自Markowitz(1952)提出平均數-變異數準則以來，對於該準則適宜性的討論即不曾停止過。許多實證上資料顯示資產報酬率分配不為常態，而越來越多學者也對於高於二階以上之高階動差對投資決策之影響提出證實。本文利用臺灣八大類股指數報酬率分配資料，運用多目標規劃求解法進行實證，發現臺灣股票市場呈現顯著峰態性質，此外，本文樣本外試驗結果亦指出，平均數-變異數-偏態-峰態架構下之最適投資組合的報酬率高於傳統平均數-變異數架構下之最適投資組合以及大盤報酬。

Les représentation temps-fréquence montrent l'évolution spectral d'un signal dans le temps. L'objectif de ces travaux de recherche est de proposer deux principes de segmentation du plan temps-fréquence, cherchant à déterminer quelles sont les zones temps-fréquence présentant un intérêt relatif au signal analysé.<br /><br />La première méthode s'appuie sur une méthode statistique, modélisant le signal analysé par un signal d'intérêt à segmenter perturbé par un bruit blanc gaussien additif de variance inconnue. Le but est de déterminer le support temps-fréquence, ensemble des points sur lesquels l'énergie du signal à segmenter est répartie. Une détection de type Neyman-Pearson à probabilité de fausse alarme fixée permet de détecter les points temps-fréquence contenant du signal, à niveau de bruit connu. L'algorithme proposé est itératif, estimant le niveau de bruit à partir des points non segmentés, ce niveau de bruit servant à détecter de nouveaux points contenant du signal. Un critère basé sur le kurtosis spectral des points non segmentés permet de définir l'arrêt des itérations.<br /><br />La seconde méthode est basée sur le principe de la réallocation du spectrogramme, en tant que source d'information sur le spectrogramme. La réallocation déplace l'énergie du spectrogramme sur le centre de gravité local de l'énergie. Aux frontière d'un motif temps-fréquence, l'énergie sera déplacée vers l'intérieur du motif. Ainsi, les vecteur<br />s de réallocation, décrivant le déplacement de l'énergie du pectrogramme par la réallocation, sont localement parallèles sur la frontière d'un motif. Nous définissons alors un « degré de parallélisme » pour chaque vecteur, égal au nombre de ses vecteurs voisins qui lui sont parallèles. Un algorithme de type suivi de crête, parcourant le plan temps-fréquence en suivant les maximums de ce degré de parallélisme, construit alors un contour entourant le motif temps-fréquence.

<p>Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. Many studies have been made investigating the effect on incorporating hedge funds in a traditional portfolio though none focused separately on the Swedish market. In a global perspective it is quite easy to invest in hedge fund portfolios due to the existence of investable indices. To invest on the Swedish market is a more complex matter. SIX Harcourt HFXS Index is a Swedish hedge fund index representing the Swedish hedge fund market though it is not investable. Hence it would be interesting to see if it is possible to create an investable version of SIX Harcourt HFXS. When creating an investable index, several administrative costs will arise and in order to cover these costs it would be interesting to see whether or not it possible to optimize SIX Harcourt HFXS Index in purpose of achieving a outperformance which could cover any administrative costs for setting up the investable version. Also, since the optimized version must replicate the standard SIX Harcourt HFXS Index it must maintain a certain level of correlation.</p><p>This thesis, which is based on a positivistic epistemology, is built upon a quantitative case study where SIX Harcourt HFXS Index is optimized in purpose of achieving an outperformance in terms of the risk-adjusted return. The optimization uses an adjusted mean-variance methodology and is limited to a maintained correlation above 0,9 towards the standard SIX Harcourt HFXS Index. The optimization is created through the use of an Excel application created by Harcourt Investment Consulting.</p><p>Also, based on the outperformance by Swedish hedge funds compared to global hedge funds, this study aims to show the effect of incorporating Swedish hedge funds in a traditional portfolio consisting of equities and bonds. This effect is analyzed by the use of several performance-and risk measures.</p><p>The study shows that it is possible to optimize SIX Harcourt HFXS Index and produce an outperformance of approximately 1,5% per annum with a maintained correlation above 0,9. It also shows that the effect of incorporating Swedish hedge funds to a traditional portfolio is positive in regards to both risk and return.</p>

Quelques développements récents en traitement du signal

Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. Many studies have been made investigating the effect on incorporating hedge funds in a traditional portfolio though none focused separately on the Swedish market. In a global perspective it is quite easy to invest in hedge fund portfolios due to the existence of investable indices. To invest on the Swedish market is a more complex matter. SIX Harcourt HFXS Index is a Swedish hedge fund index representing the Swedish hedge fund market though it is not investable. Hence it would be interesting to see if it is possible to create an investable version of SIX Harcourt HFXS. When creating an investable index, several administrative costs will arise and in order to cover these costs it would be interesting to see whether or not it possible to optimize SIX Harcourt HFXS Index in purpose of achieving a outperformance which could cover any administrative costs for setting up the investable version. Also, since the optimized version must replicate the standard SIX Harcourt HFXS Index it must maintain a certain level of correlation. This thesis, which is based on a positivistic epistemology, is built upon a quantitative case study where SIX Harcourt HFXS Index is optimized in purpose of achieving an outperformance in terms of the risk-adjusted return. The optimization uses an adjusted mean-variance methodology and is limited to a maintained correlation above 0,9 towards the standard SIX Harcourt HFXS Index. The optimization is created through the use of an Excel application created by Harcourt Investment Consulting. Also, based on the outperformance by Swedish hedge funds compared to global hedge funds, this study aims to show the effect of incorporating Swedish hedge funds in a traditional portfolio consisting of equities and bonds. This effect is analyzed by the use of several performance-and risk measures. The study shows that it is possible to optimize SIX Harcourt HFXS Index and produce an outperformance of approximately 1,5% per annum with a maintained correlation above 0,9. It also shows that the effect of incorporating Swedish hedge funds to a traditional portfolio is positive in regards to both risk and return.

In part to search for a possible critical point (CP) in the phase diagram of hot nuclear matter, a beam energy scan was performed at the Relativistic Heavy-Ion Collider at Brookhaven National Laboratory. The Solenoidal Tracker at RHIC (STAR) collected Au+Au data sets at beam energies, √sNN , of 7.7, 11.5, 19.6, 27, 39, 62.4, and 200 GeV. Such a scan produces hot nuclear matter at different locations in the phase diagram. Lattice and phenomenological calculations suggest that the presence of a CP might result in divergences of the thermodynamic susceptibilities and correlation lengths. The statistical moments of the identified-particle multiplicity distributions directly depend on both the thermodynamic susceptibilities and correlation lengths, possibly making the shapes of these multiplicity distributions sensitive tools for the search for the critical point. The statistical moments of the multiplicity distributions of a number of different groups of identified particle species were analyzed. Care was taken to remove a number of experimental artifacts that can modify the shapes of the multiplicity distributions. The observables studied include the lowest four statistical moments (mean, variance, skewness, kurtosis) and some products of these moments. These observables were compared to the predictions from several approaches lacking critical behavior, such as the Hadron Resonance Gas model, mixed events, (negative) binomial, and Poisson statistics. In addition, the data were analyzed after gating on the event-by-event antiproton-to-proton ratio, which is expected to more tightly constrain the event trajectories on the phase diagram.

La rationalité parfaite des investisseurs, base de l'hypothèse d'efficience desmarchés, est de plus en plus discutée. Ceci a conduit au développement de la financecomportementale. Le sentiment de marché, qui en est issu, est l'objet de cette étude.Après l'avoir mis en relation avec la rationalité et défini, ses modes de mesure courantset une évaluation de leur capacité à anticiper les rentabilités sont présentés. Ensuite, autravers de deux recherches largement indépendantes, nous (1) montrons de manièreempirique, essentiellement à partir de modèles multi-agents et d'une modélisation del'impact des chocs d'information sur la distribution des rentabilités, que les skewness etkurtosis de la distribution des rentabilités peuvent être utilisés comme indicateurs dusentiment de marché ; (2) mettons en évidence la présence de mémoire sur de nombreuxindicateurs de sentiment, ce qui invalide les modalités habituelles de leur utilisation,dans le cadre de stratégies contrarian.

Skewness and kurtosis are measures used to describe shape characteristics of distributions. In this thesis, we examine the interval estimates about the skewness and kurtosis by using jackknife empirical likelihood (JEL), adjusted JEL, extended JEL, traditional bootstrap, percentile bootstrap, and BCa bootstrap methods. The limiting distribution of the JEL ratio is the standard chi-squared distribution. The simulation study of this thesis makes a comparison of different methods in terms of the coverage probabilities and interval lengths under the standard normal distribution and exponential distribution. The proposed adjusted JEL and extended JEL perform better than the other methods. Finally we illustrate the proposed JEL methods and different bootstrap methods with three real data sets.