Efficient estimation using the characteristic function : theory and applications with high frequency data

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Bootstrapping high frequency data

Nous développons dans cette thèse, des méthodes de bootstrap pour les données financières de hautes fréquences. Les deux premiers essais focalisent sur les méthodes de bootstrap appliquées à l’approche de "pré-moyennement" et robustes à la présence d’erreurs de microstructure. Le "pré-moyennement" permet de réduire l’influence de l’effet de microstructure avant d’appliquer la volatilité réalisée. En se basant sur cette ap- proche d’estimation de la volatilité intégrée en présence d’erreurs de microstructure, nous développons plusieurs méthodes de bootstrap qui préservent la structure de dépendance et l’hétérogénéité dans la moyenne des données originelles. Le troisième essai développe une méthode de bootstrap sous l’hypothèse de Gaussianité locale des données financières de hautes fréquences. Le premier chapitre est intitulé: "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns". Nous proposons dans ce chapitre, des méthodes de bootstrap robustes à la présence d’erreurs de microstructure. Particulièrement nous nous sommes focalisés sur la volatilité réalisée utilisant des rendements "pré-moyennés" proposés par Podolskij et Vetter (2009), où les rendements "pré-moyennés" sont construits sur des blocs de rendements à hautes fréquences consécutifs qui ne se chevauchent pas. Le "pré-moyennement" permet de réduire l’influence de l’effet de microstructure avant d’appliquer la volatilité réalisée. Le non-chevauchement des blocs fait que les rendements "pré-moyennés" sont asymptotiquement indépendants, mais possiblement hétéroscédastiques. Ce qui motive l’application du wild bootstrap dans ce contexte. Nous montrons la validité théorique du bootstrap pour construire des intervalles de type percentile et percentile-t. Les simulations Monte Carlo montrent que le bootstrap peut améliorer les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques, pourvu que le choix de la variable externe soit fait de façon appropriée. Nous illustrons ces méthodes en utilisant des données financières réelles. Le deuxième chapitre est intitulé : "Bootstrapping pre-averaged realized volatility under market microstructure noise". Nous développons dans ce chapitre une méthode de bootstrap par bloc basée sur l’approche "pré-moyennement" de Jacod et al. (2009), où les rendements "pré-moyennés" sont construits sur des blocs de rendements à haute fréquences consécutifs qui se chevauchent. Le chevauchement des blocs induit une forte dépendance dans la structure des rendements "pré-moyennés". En effet les rendements "pré-moyennés" sont m-dépendant avec m qui croît à une vitesse plus faible que la taille d’échantillon n. Ceci motive l’application d’un bootstrap par bloc spécifique. Nous montrons que le bloc bootstrap suggéré par Bühlmann et Künsch (1995) n’est valide que lorsque la volatilité est constante. Ceci est dû à l’hétérogénéité dans la moyenne des rendements "pré-moyennés" au carré lorsque la volatilité est stochastique. Nous proposons donc une nouvelle procédure de bootstrap qui combine le wild bootstrap et le bootstrap par bloc, de telle sorte que la dépendance sérielle des rendements "pré-moyennés" est préservée à l’intérieur des blocs et la condition d’homogénéité nécessaire pour la validité du bootstrap est respectée. Sous des conditions de taille de bloc, nous montrons que cette méthode est convergente. Les simulations Monte Carlo montrent que le bootstrap améliore les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques. Nous illustrons cette méthode en utilisant des données financières réelles. Le troisième chapitre est intitulé: "Bootstrapping realized covolatility measures under local Gaussianity assumption". Dans ce chapitre nous montrons, comment et dans quelle mesure on peut approximer les distributions des estimateurs de mesures de co-volatilité sous l’hypothèse de Gaussianité locale des rendements. En particulier nous proposons une nouvelle méthode de bootstrap sous ces hypothèses. Nous nous sommes focalisés sur la volatilité réalisée et sur le beta réalisé. Nous montrons que la nouvelle méthode de bootstrap appliquée au beta réalisé était capable de répliquer les cummulants au deuxième ordre, tandis qu’il procurait une amélioration au troisième degré lorsqu’elle est appliquée à la volatilité réalisée. Ces résultats améliorent donc les résultats existants dans cette littérature, notamment ceux de Gonçalves et Meddahi (2009) et de Dovonon, Gonçalves et Meddahi (2013). Les simulations Monte Carlo montrent que le bootstrap améliore les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques et les résultats de bootstrap existants. Nous illustrons cette méthode en utilisant des données financières réelles.

Annealing effects on microstructure and coercive field of ferritic-martensitic ODS Eurofer steel

Oxide dispersion strengthened reduced-activation ferritic-martensitic steels are promising candidates for applications in future fusion power plants. Samples of a reduced activation ferritic-martensitic 9 wt.%Cr-oxide dispersion strengthened Eurofer steel were cold rolled to 80% reduction in thickness and annealed in vacuum for 1 h from 200 to 1350 degrees C to evaluate its thermal stability. Vickers microhardness testing and electron backscatter diffraction (EBSD) were used to characterize the microstructure. The microstructural changes were also followed by magnetic measurements, in particular the corresponding variation of the coercive field (H(c)), as a function of the annealing treatment. Results show that magnetic measurements were sensitive to detect the changes, in particular the martensitic transformation, in samples annealed above 850 degrees C (austenitic regime). (C) 2010 Elsevier B.V. All rights reserved.

The influence of microstructure on the maximum load and fracture energy of refractory castables

Refractory castables are composed of fractions of fine to fairly coarse particles. The fine fraction is constituted primarily of raw materials and calcium aluminate cement, which becomes hydrated, forming chemical bonds that stiffen the concrete during the curing process. The present study focused on an evaluation of several characteristics of two refractory castables with similar chemical compositions but containing aggregates of different sizes. The features evaluated were the maximum load, the fracture energy, and the ""relative crack-propagation work"" of the two castables heat-treated at 110, 650, 1100 and 1550 degrees C. The results enabled us to draw the following conclusions: the heat treatment temperature exerts a significant influence on the matrix/aggregate interaction, different microstructures form in the castables with temperature, and a relationship was noted between the maximum load and the fracture energy. (C) 2009 Elsevier Ltd and Techna Group S.r.l. All rights reserved.

Influence of laser surface texturing on surface microstructure and mechanical properties of adhesive joined steel sheets

This work discusses the resultant microstructure of laser surface treated galvanised steel and the mechanical properties of adhesively bonded surfaces therein. The surface microstructure obtained at laser intensities between 170 and 1700 MW cm 22 exhibit zinc melting and cavity formation. The wavy surface morphology of the treated surface exhibits an average roughness Ra between 1.0 and 1.5 mu m, and a mean roughness depth R(z) of 8.6 mu m. Atomic force microscopic analyses revealed that the R(z) inside the laser shot cavities increased from 68 to 243 nm when the incident laser intensity was increased from 170 to 1700 MW cm(-2). X-ray fluorescence analyses were used to measure Zn coating thicknesses as a function of process parameters. Both X-ray fluorescence and X-ray diffraction analyses demonstrated that the protective coating remains at the material surface, and the steel structure beneath was not affected by the laser treatment. Tensile tests under peel strength conditions demonstrated that the laser treated adhesively joined samples had resistance strength up to 88 MPa, compared to a maximum of only 23 MPa for the untreated surfaces. The maximum deformation for rupture was also greatly increased from 0.07%, for the original surface, to 0.90% for the laser treated surfaces.

Influence of the microstructure in the collapse of a residual clayey tropical soil

A typical residual clayey soil originating from basalt in southern Brazil has been analyzed in order to assess the influence of wetting-induced deformation and microstructural features on the collapse behavior. Single and double oedometer tests were undertaken on a soil profile to 9 m depth. The results indicated collapsible behaviour at all profile depths. The influence of pre-consolidation stress and pedogenetic factors in the variability of the physical characteristics of the soil and in the magnitude of the collapse was noted. The collapse coefficient has been shown to be related to the both the microaggregate plasma and the varying nature of the pores and their interconnectivity.

Microstructure and mechanical properties of laser-welded joints of TWIP and TRIP steels

With the aim of investigating a laser-welded dissimilar joint of TWIP and TRIP steel sheets, the microstructure was characterized by means of OM, SEM, and EBSD to differentiate the fusion zone, heat-affected zone, and the base material. OIM was used to differentiate between ferritic, bainitic, and martensitic structures. Compositions were measured by means of optical emission spectrometry and EDX to evaluate the effect of manganese segregation. Microhardness measurements and tensile tests were performed to evaluate the mechanical properties of the joint. Residual stresses and XRD phase quantification were used to characterize the weld. Grain coarsening and martensitic areas were found in the fusion zone, and they had significant effects on the mechanical properties of the weld. The heat-affected zone of the TRIP steel and the corresponding base material showed considerable differences in the microstructure and properties. (C) 2009 Elsevier B.V. All rights reserved.

Wear mechanisms and microstructure of pulsed plasma nitrided AISI H13 tool steel

AISI H13 tool steel discs were pulsed plasma minded during different times at a constant temperature of 400 degrees C Wear tests were performed in order to study the acting wear mechanisms The samples were characterized by X-ray diffraction, scanning electron microscopy and hardness measurements The results showed that longer nitriding times reduce the wear volumes. The friction coefficient was 0.20 +/- 0 05 for all tested conditions and depends strongly on the presence of debris After wear tests, the wear tracks were characterized by optical and scanning electron microscopy and the wear mechanisms were observed to change from low cycle fatigue or plastic shakedown to long cycle fatigue These mechanisms were correlated to the microstructure and hardness of the nitrided layer (C) 2010 Elsevier B V All rights reserved

Dependence of Barkhausen jump shape on microstructure in carbon steel

The present work presents measurements of the Magnetic Barkhausen Noise (MBN) in commercial AISI/SAE 1005 steel samples for different grain sizes. The correlation between the shape of the MBN jump and the grain size is established. The results show the existence of types of MBN jumps. Also, the outcome shows that one of these types of MBN jumps become ""squarer"" with the decrease of grain size.

Microstructure and texture of duplex stainless steel after melt-spinning processing

The microstructure and texture of melt-spun UNS S31803 (DIN W. Nr. 1. 4462) duplex stainless steel were analyzed after casting and solution treatment. The cast ribbons contained austenite (gamma) and ferrite (alpha or delta) with roughly equal compositions. The alpha and gamma had < 100 > and < 110 > partial fiber textures, respectively. After solution treatment, the texture was maintained, the amount of gamma phase increased, and the alloying elements were partitioned as expected, according to whether they were ferrite or austenite stabilizers. (c) 2006 Elsevier Inc. All rights reserved.

Microstructure and texture assessment of Al-Mn-Fe-Si (3003) aluminum alloy produced by continuous and semicontinuous casting processes

Aluminum sheets are currently produced by the direct-chill process (DC). The need for low-cost aluminum sheets is a challenge for the development of new materials produced by the twin roll caster (TRC) process. It is expected that sheets produced from these different casting procedures will differ in their microstructure. These differences in microstructure and in the crystallographic texture have great impact on sheet mechanical properties and formability. The present study investigated microstructure and evaluated texture of two strips of Al-Mn-Fe-Si (3003) aluminum alloy produced by TRC and by hot-rolling processes. It was possible to notice that the microstructure, morphology, and grain size of the TRC sample were more homogenous than those found in hot-rolled samples. Both strips, obtained by the two processes, showed strong texture gradient across the thickness.

ANNEALING EFFECTS ON THE MICROSTRUCTURE OF FERRITIC-MARTENSITIC ODS-EUROFER STEEL

Oxide dispersion strengthened (ODS) ferritic/martensitic (FM) steels are promising candidates for structural applications in future fusion power reactors. In order to evaluate the thermal stability of 80% cold-rolled ODS-EUROFER, samples were annealed for 1 h at temperatures up to about 0.9 T(m), where T(m) is the absolute melting point. The characterization of the annealed samples was performed using transmission electron microscopy and electron backscatter diffraction. Results show that static recovery is the main softening mechanism of this steel when annealed below 800 degrees C. The volume fraction of recrystallized grains is quite small (below 0.10). Above 900 degrees C, martensitic transformation takes place causing pronounced hardening. Large M(23)C(6) particles are found at the grain boundaries after tempering at 750 degrees C for 2 h.

Influence of chemical interesterification on thermal behavior, microstructure, polymorphism and crystallization properties of canola oil and fully hydrogenated cottonseed oil blends

This work evaluated chemical interesterification of canola oil (CaO) and fully hydrogenated cottonseed oil (FHCSO) blends, with 20%, 25%, 30%, 35% and 40%(w/w) FHCSO content. Interesterification produced reduction of trisaturated and increase in monounsaturated and diunsaturated triacylglycerols contents, which caused important changes in temperatures and enthalpies associated with the crystallization and melting thermograms. It was verified reduction in medium crystal diameter in all blends, in addition crystal morphology modification. Crystallization kinetics revealed that crystal formation induction period and maximum solid fat content were altered according to FHCSO content in original blends and as a result of random rearrangement. Changes in Avrami constant (k) and exponent (n) indicated, respectively, that interesterification decreased crystallization rates and altered crystalline morphology. However, X-ray diffraction analyses showed randomization did not change the original crystalline polymorphism. The original and interesterified blends had significant predominance of beta` polymorph, which is interesting for several food applications. (C) 2009 Elsevier Ltd. All rights reserved.

Thermal Behavior, Microstructure, Polymorphism, and Crystallization Properties of Zero Trans Fats from Soybean Oil and Fully Hydrogenated Soybean Oil

Blends of soybean oil (SO) and fully hydrogenated soybean oil (FHSBO), with 10, 20, 30, 40, and 50% (w/w) FHSBO content were interesterified under the following conditions: 20 min reaction time, 0.4% sodium methoxide catalyst, and 500 rpm stirring speed, at 100 A degrees C. The original and interesterified blends were examined for triacylglycerol composition, thermal behavior, microstructure, crystallization kinetics, and polymorphism. Interesterification produced substantial rearrangement of the triacylglycerol species in all the blends, reduction of trisaturated triacylglycerol content and increase in monounsaturated-disaturated and diunsaturated-monosaturated triacylglycerols. Evaluation of thermal behavior parameters showed linear relations with FHSBO content in the original blends. Blend melting and crystallization thermograms were significantly modified by the randomization. Interesterification caused significant reductions in maximum crystal diameter in all blends, in addition to modifying crystal morphology. Characterization of crystallization kinetics revealed that crystal formation induction period (tau (SFC)) and maximum solid fat content (SFC(max)) were altered according to FHSBO content in the original blends and as a result of the random rearrangement. Changes in Avrami constant (k) and exponent (n) indicated, respectively, that-as compared with the original blends-interesterification decreased crystallization velocities and modified crystallization processes, altering crystalline morphology and nucleation mechanism. X-ray diffraction analyses revealed that interesterification altered crystalline polymorphism. The interesterified blends showed a predominance of the beta` polymorph, which is of more interest for food applications.

Influence of microstructure on the corrosion of diecast AZ91D

The corrosion of die cast AZ91D was studied and related to its microstructure. For comparison and to more fully understand the behaviour of die cast AZ91D, corrosion studies and microstructural examinations were also carried out using slowly solidified high purity AZ91, Mg-2%Al, Mg-9%Al, low purity magnesium and high purity magnesium. Corrosion was studied in 1N NaCl at pH 11 by (1) observing the corrosion morphology, (2) measuring electrochemical polarisation curves and (3) simultaneously measuring both the hydrogen evolution rate and the magnesium dissolution rate. The skin of die cast AZ91D showed better corrosion resistance than the interior. This is attributed to a combination of(1) a higher volume fraction of the beta phase, (2) a more continuous beta phase distribution around finer alpha grains, and (3) lower porosity in the skin layer than in the interior of the die casting. This study showed that the casting method can influence the corrosion performance by its influence on the alloy microstructure. (C) 1999 Elsevier Science Ltd. All rights reserved.