Optimal alarms systems and its application to financial time series

This thesis focuses on the application of optimal alarm systems to non linear time series models. The most common classes of models in the analysis of real-valued and integer-valued time series are described. The construction of optimal alarm systems is covered and its applications explored. Considering models with conditional heteroscedasticity, particular attention is given to the Fractionally Integrated Asymmetric Power ARCH, FIAPARCH(p; d; q) model and an optimal alarm system is implemented, following both classical and Bayesian methodologies. Taking into consideration the particular characteristics of the APARCH(p; q) representation for financial time series, the introduction of a possible counterpart for modelling time series of counts is proposed: the INteger-valued Asymmetric Power ARCH, INAPARCH(p; q). The probabilistic properties of the INAPARCH(1; 1) model are comprehensively studied, the conditional maximum likelihood (ML) estimation method is applied and the asymptotic properties of the conditional ML estimator are obtained. The final part of the work consists on the implementation of an optimal alarm system to the INAPARCH(1; 1) model. An application is presented to real data series.

Integer-valued APARCH processes in the analysis of time series of counts

The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.

Asymmetric rolling of 5182 aluminium alloy and interstitial free steel sheets

This Ph.D. research focuses on asymmetric rolling (ASR), as an alternative method for improving mechanical responses of aluminium-magnesium alloy and interstitial free (IF) steel regarding industrial requirements. Aluminium alloys are attractive materials in various industries due to their appropriate properties such as low density and corrosion resistance; however, their low formability has limited their applications. As formability of aluminium alloys can be improved through texture development, part of this dissertation is dedicated to producing the desired crystallographic texture with the ASR process. Two types of ASR (i.e. reverse and continuous asymmetric rolling) were investigated. The impact of shear deformation imposed by ASR processes on developing the desirable texture and consequently on mechanical behaviours was observed. The developed shear texture increased the normal and also planar anisotropy. Texture evolution during plastic deformation as well as induced mechanical behaviour were simulated using the “self-consistent” and Taylor models. Interstitial free (IF) steel was the second material selected in this dissertation. Since IF steel is one of the most often used materials in automotive industries it was chosen to investigate the effect of shear deformation through ASR on its properties. Two types of reverse and continuous asymmetric rolling were carried out to deform IF steel sheets. The results of optical microscopy and atomic force microscopy observations showed no significant difference between the grains’ morphology of asymmetric and conventionally rolled samples, whereas the obtained results of transmission electron microscopy indicated that fine and equiaxed dislocation cells were formed through the asymmetric rolling process. This structure is due to imposed shear deformation during the ASR process. Furthermore, the mechanical behaviour of deformed and annealed sheets was evaluated through uniaxial tensile tests. Results showed that at low thickness reductions (18%) the asymmetric rolled sample presented higher stress than that of the conventionally rolled sheet; while for higher thickness reductions (60%) the trend was reversed. The texture analyses indicated that intense rolling texture components which developed through 60% thickness reduction of conventional rolling cause a relatively higher stress; on the contrary the fine structure resulting from ASR appears to be the source of higher stress observed after pre-deformation of 18%.

Invertibility characterization of Wiener-Hopf plus Hankel operators on variable exponent Lebesgue spaces via even asymmetric factorization

We obtain invertibility and Fredholm criteria for the Wiener-Hopf plus Hankel operators acting between variable exponent Lebesgue spaces on the real line. Such characterizations are obtained via the so-called even asymmetric factorization which is applied to the Fourier symbols of the operators under study.