Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Theta-associated high-frequency oscillations (110–160 Hz) in the hippocampus and neocortex

TORT, A. B. L. ; SCHEFFER-TEIXEIRA, R ; Souza, B.C. ; DRAGUHN, A. ; BRANKACK, J. . Theta-associated high-frequency oscillations (110-160 Hz) in the hippocampus and neocortex. Progress in Neurobiology , v. 100, p. 1-14, 2013.

Components and circuits for tunneling diode based high frequency sources

Terahertz (THz) technology has been generating a lot of interest because of the potential applications for systems working in this frequency range. However, to fully achieve this potential, effective and efficient ways of generating controlled signals in the terahertz range are required. Devices that exhibit negative differential resistance (NDR) in a region of their current-voltage (I-V ) characteristics have been used in circuits for the generation of radio frequency signals. Of all of these NDR devices, resonant tunneling diode (RTD) oscillators, with their ability to oscillate in the THz range are considered as one of the most promising solid-state sources for terahertz signal generation at room temperature. There are however limitations and challenges with these devices, from inherent low output power usually in the range of micro-watts (uW) for RTD oscillators when milli-watts (mW) are desired. At device level, parasitic oscillations caused by the biasing line inductance when the device is biased in the NDR region prevent accurate device characterisation, which in turn prevents device modelling for computer simulations. This thesis describes work on I-V characterisation of tunnel diode (TD) and RTD (fabricated by Dr. Jue Wang) devices, and the radio frequency (RF) characterisation and small signal modelling of RTDs. The thesis also describes the design and measurement of hybrid TD oscillators for higher output power and the design and measurement of a planar Yagi antenna (fabricated by Khalid Alharbi) for THz applications. To enable oscillation free current-voltage characterisation of tunnel diodes, a commonly employed method is the use of a suitable resistor connected across the device to make the total differential resistance in the NDR region positive. However, this approach is not without problems as the value of the resistor has to satisfy certain conditions or else bias oscillations would still be present in the NDR region of the measured I-V characteristics. This method is difficult to use for RTDs which are fabricated on wafer due to the discrepancies in designed and actual resistance values of fabricated resistors using thin film technology. In this work, using pulsed DC rather than static DC measurements during device characterisation were shown to give accurate characteristics in the NDR region without the need for a stabilisation resistor. This approach allows for direct oscillation free characterisation for devices. Experimental results show that the I-V characterisation of tunnel diodes and RTD devices free of bias oscillations in the NDR region can be made. In this work, a new power-combining topology to address the limitations of low output power of TD and RTD oscillators is presented. The design employs the use of two oscillators biased separately, but with the combined output power from both collected at a single load. Compared to previous approaches, this method keeps the frequency of oscillation of the combined oscillators the same as for one of the oscillators. Experimental results with a hybrid circuit using two tunnel diode oscillators compared with a single oscillator design with similar values shows that the coupled oscillators produce double the output RF power of the single oscillator. This topology can be scaled for higher (up to terahertz) frequencies in the future by using RTD oscillators. Finally, a broadband Yagi antenna suitable for wireless communication at terahertz frequencies is presented in this thesis. The return loss of the antenna showed that the bandwidth is larger than the measured range (140-220 GHz). A new method was used to characterise the radiation pattern of the antenna in the E-plane. This was carried out on-wafer and the measured radiation pattern showed good agreement with the simulated pattern. In summary, this work makes important contributions to the accurate characterisation and modelling of TDs and RTDs, circuit-based techniques for power combining of high frequency TD or RTD oscillators, and to antennas suitable for on chip integration with high frequency oscillators.

High frequency components of the AE signal as useful features for bond/fibre break discriminators

Abstract not available

Through Wafer 3D Vertical Micro-Coaxial Probe for High Frequency Material Characterization and Millimeter Wave Packaging Systems

This work presents the development of an in-plane vertical micro-coaxial probe using bulk micromachining technique for high frequency material characterization. The coaxial probe was fabricated in a silicon substrate by standard photolithography and a deep reactive ion etching (DRIE) technique. The through-hole structure in the form of a coaxial probe was etched and metalized with a diluted silver paste. A co-planar waveguide configuration was integrated with the design to characterize the probe. The electrical and RF characteristics of the coaxial probe were determined by simulating the probe design in Ansoft’s High Frequency Structure Simulator (HFSS). The reflection coefficient and transducer gain performance of the probe was measured up to 65 GHz using a vector network analyzer (VNA). The probe demonstrated excellent results over a wide frequency band, indicating its ability to integrate with millimeter wave packaging systems as well as characterize unknown materials at high frequencies. The probe was then placed in contact with 3 materials where their unknown permittivities were determined. To accomplish this, the coaxial probe was placed in contact with the material under test and electromagnetic waves were directed to the surface using the VNA, where its reflection coefficient was then determined over a wide frequency band from dc-to -65GHz. Next, the permittivity of each material was deduced from its measured reflection coefficients using a cross ratio invariance coding technique. The permittivity results obtained when measuring the reflection coefficient data were compared to simulated permittivity results and agreed well. These results validate the use of the micro-coaxial probe to characterize the permittivity of unknown materials at high frequencies up to 65GHz.

Prevalence and risk factors for mild and high-frequency bilateral sensorineural hearing loss at age 11 years old:a UK prospective cohort study

OBJECTIVE: This study aimed to assess prevalence and risk factors for mild/high-frequency bilateral sensorineural hearing loss within a UK population of children at age 11 years. DESIGN: Prospective birth cohort study. STUDY SAMPLE: Repeat hearing thresholds were measured in 5032 children, as part of the Avon Longitudinal Study of Parents and Children (ALSPAC) at age 7, 9, and 11 years. Pregnancy, birth, and early medical history were obtained prospectively through parental questionnaires and medical records. RESULTS: Twenty children had mild and seven had high-frequency bilateral sensorineural hearing loss, giving a combined prevalence of 0.5% (95% CI 0.4-0.8%). These children were more likely than the rest of the study sample to have been admitted to hospital at 6-18 months (OR 2.7, 95% CI 1.00-7.30). Parents of these children were more likely to have suspected a hearing problem when the children were 3 years old (OR 2.4, 95% CI 1.05-5.60). CONCLUSIONS: This is the first UK prospective cohort study to investigate the prevalence of mild and high-frequency hearing loss. This study, which has the advantage of a large sample size and repeat hearing measures over a four year period, reports lower prevalence values than US cross-sectional studies.

High Frequency Class DE Converter Using a Multilayer Coreless PCB Transformer

In modern power electronics equipment, it is desirable to design a low profile, high power density, and fast dynamic response converter. Increases in switching frequency reduce the size of the passive components such as transformers, inductors, and capacitors which results in compact size and less requirement for the energy storage. In addition, the fast dynamic response can be achieved by operating at high frequency. However, achieving high frequency operation while keeping the efficiency high, requires new advanced devices, higher performance magnetic components, and new circuit topology. These are required to absorb and utilize the parasitic components and also to mitigate the frequency dependent losses including switching loss, gating loss, and magnetic loss. Required performance improvements can be achieved through the use of Radio Frequency (RF) design techniques. To reduce switching losses, resonant converter topologies like resonant RF amplifiers (inverters) combined with a rectifier are the effective solution to maintain high efficiency at high switching frequencies through using the techniques such as device parasitic absorption, Zero Voltage Switching (ZVS), Zero Current Switching (ZCS), and a resonant gating. Gallium Nitride (GaN) device technologies are being broadly used in RF amplifiers due to their lower on- resistance and device capacitances compared with silicon (Si) devices. Therefore, this kind of semiconductor is well suited for high frequency power converters. The major problems involved with high frequency magnetics are skin and proximity effects, increased core and copper losses, unbalanced magnetic flux distribution generating localized hot spots, and reduced coupling coefficient. In order to eliminate the magnetic core losses which play a crucial role at higher operating frequencies, a coreless PCB transformer can be used. Compared to the conventional wire-wound transformer, a planar PCB transformer in which the windings are laid on the Printed Board Circuit (PCB) has a low profile structure, excellent thermal characteristics, and ease of manufacturing. Therefore, the work in this thesis demonstrates the design and analysis of an isolated low profile class DE resonant converter operating at 10 MHz switching frequency with a nominal output of 150 W. The power stage consists of a class DE inverter using GaN devices along with a sinusoidal gate drive circuit on the primary side and a class DE rectifier on the secondary side. For obtaining the stringent height converter, isolation is provided by a 10-layered coreless PCB transformer of 1:20 turn’s ratio. It is designed and optimized using 3D Finite Element Method (FEM) tools and radio frequency (RF) circuit design software. Simulation and experimental results are presented for a 10-layered coreless PCB transformer operating in 10 MHz.

“Step by step”: high frequency short-distance epizoochorous dispersal of aquatic macrophytes

Aquatic macrophytes can successfully colonise and re-colonise areas separated by space and time. The mechanisms underlying such “mobility” are not well understood, but it has often been hypothesised that epizoochory (external dispersal) plays an important role. Yet, there is only limited, and mostly anecdotal, evidence concerning successful epizoochorous dispersal of aquatic macrophytes, particularly in the case of short-distance dispersal. Here we examine in situ and ex situ dispersal of aquatic macrophytes, including three invasive alien species. A high frequency of Lemna minor Linnaeus dispersal was observed in situ, and this was linked to bird-mediated epizoochory. We concluded that wind had no effect on dispersal. Similarly, in an ex situ examination Lemna minuta Kunth and Azolla filiculoides Lamarck, were found to be dispersed with a high frequency by mallard ducks (Anas platyrhynchos). No dispersal was measured for Elodea nuttalli (Planchon) H. St. John. It is concluded that short-distance or “stepping-stone” dispersal via bird-mediated epizoochory can occur with high frequencies, and therefore can play an important role in facilitating colonisation, range expansion and biological invasion of macrophytes.

Analisi evolutiva delle radiosorgenti tramite indagine su “compact steep spectrum" (CSS) e “high frequency peakers” (HFP)

in questo lavoro di tesi verrà fornita dapprima una descrizione degli oggetti che andremo a studiare, e cioè i nuclei galattici attivi (AGN), con un richiamo alle strutture più importanti di cui si costituiscono i loro sottogruppi: Quasar e radiosorgenti. Saranno forniti i segni distintivi con cui poter riconoscere queste forme di sorgenti radio e verrà fornito un modello che consenta di concepire il ciclo vitale radiativo a cui sono destinati tali classi di radiogalassie. Si vedrà che il tipo di radiazione emessa è prevalentemente non termico, anch’essa vista come una loro caratteristica peculiare. Si darà quindi una descrizione di questo meccanismo di radiazione ,che corrisponde all’emissione di sincrotrone, e si analizzeranno, facendo riferimento a questa base teorica, dati provenienti da una particolare tipologia di radiosorgenti: le “High Frequency Peakers” (HFP) che, come si evince dal nome stesso, rappresentano delle sorgenti con uno spettro di radiazione con picco riscontrabile alle alte frequenze. Si studieranno i dati raccolti dal catalogo TGSS a 150MHz con la speranza di avere riscontri tali da poter confermare o rigettare il modello evolutivo che prendiamo in considerazione per descrivere il ciclo vitale di questa classe di oggetti astronomici e di cui daremo spiegazione nelle prossime pagine.

Avaliação eletrofisiológica e histopatológica do músculo estriado esquelético em cães naturalmente acometidos pela leishmaniose visceral

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

High and Low Frequency TENS Reduce Postoperative Pain Intensity After Laparoscopic Tubal Ligation A Randomized Controlled Trial

Background: Transcutaneous electrical nerve stimulation (TENS) is an effective adjunctive therapy for postoperative pain; however, effects of different frequencies Of stimulation have not been systematically investigated. Laparoscopic sterilization (LS) causes significant pain in the early postoperative period and requires substantial postoperative medication. Therefore, we studied the effects of TENS on postoperative pain after LS through placement of Yoon fallopian rings in a prospective, randomized, double-blinded, and placebo-controlled study. Methods: Sixty-four patients undergoing LS for uterine tube ligation were randomly allocated to receive either active TENS or placebo TENS. Postoperative pain was evaluated using a standard I I-point numeric rating scale and the McGill Pain Questionnaire (MPQ)-pain rating index and number of words chosen. Both high frequency (100 Hz) and low frequency (4 Hz) TENS, at strong, but comfortable sensory intensity, were applied for 20 minutes through 4 electrodes placed around the surgical incision immediately after Surgery. Pain was assessed before and after application of TENS when patients were at postanesthesia care unit (PACU). Results: Both high and low frequency TENS significantly decreased postoperative pain intensity when compared with before administration of TENS using the numeric rating scale (P = 0.001), pain rating index (P = 0.001), and number of words chosen (P 0.001) compared with placebo TENS (P = 0.001). TENS in combination with standard pharmacologic analgesic treatment was efficacious for postoperative pain relief after LS. Conclusions: We recommend regular use of multimodal therapy with TENS and analgesic drugs after LS with placement of Yoon rings.

Effects of amygdala-hippocampal stimulation on interictal epileptic discharges.

Deep brain stimulation (DBS) of different nuclei is being evaluated as a treatment for epilepsy. While encouraging results have been reported, the effects of changes in stimulation parameters have been poorly studied. Here the effects of changes of pulse waveform in high frequency DBS (130Hz) of the amygdala-hippocampal complex (AH) are presented. These effects were studied on interictal epileptic discharge rates (IEDRs). AH-DBS was implemented with biphasic versus pseudo monophasic charge balanced pulses, in two groups of patients: six with temporal lobe epilepsy (TLE) associated with hippocampal sclerosis (HS) and six with non lesional (NLES) temporal epilepsy. In patients with HS, IEDRs were significantly reduced with AH-DBS applied with biphasic pulses in comparison with monophasic pulse. IEDRs were significantly reduced in only two patients with NLES independently to stimulus waveform. Comparison to long-term seizure outcome suggests that IEDRs could be used as a neurophysiological marker of chronic AH-DBS and they suggest that the waveform of the electrical stimuli can play a major role in DBS. We concluded that biphasic stimuli are more efficient than pseudo monophasic pulses in AH-DBS in patients with HS. In patients with NLES epilepsy, other parameters relevant for efficacy of DBS remain to be determined.

Detection of partial discharges at field in SF6 insulated equipments

This paper presents the results of research aiming to develop partial discharge detection techniques in high voltage equipment, at substation environment. Measurements of high frequency components of leakage current, at equipments' grounding conductor, were performed. This procedure was performed with the equipment energized and without disconnecting it from the system. The partial discharge generated current pulse is picked up by a high frequency CT, and is detected by an oscilloscope. The partial discharge identification was made considering previously obtained laboratory results, where partial discharges were characterized by means of its time domain signatures. This paper focuses measurements in SF6 circuit breakers. Encouraging results were obtained, showing the feasibility of detecting partial discharges in energized equipment in the laboratory and in the field, in a substation environment, using this method.

Effects of amygdala-hippocampal stimulation on interictal epileptic discharges

Deep brain stimulation (DBS) of different nuclei is being evaluated as a treatment for epilepsy. While encouraging results have been reported, the effects of changes in stimulation parameters have been poorly studied. Here the effects of changes of pulse waveform in high frequency DBS (130 Hz) of the amygdala-hippocampal complex (AH) are presented. These effects were studied on interictal epileptic discharge rates (IEDRs). AH-DBS was implemented with biphasic versus pseudo monophasic charge balanced pulses, in two groups of patients: six with temporal lobe epilepsy (TLE) associated with hippocampal sclerosis (HS) and six with non lesional (NLES) temporal epilepsy. In patients with HS, IEDRs were significantly reduced with AH-DBS applied with biphasic pulses in comparison with monophasic pulse. IEDRs were significantly reduced in only two patients with NLES independently to stimulus waveform. Comparison to long-term seizure outcome suggests that IEDRs could be used as a neurophysiological marker of chronic AH-DBS and they suggest that the waveform of the electrical stimuli can play a major role in DBS. We concluded that biphasic stimuli are more efficient than pseudo monophasic pulses in AH-DBS in patients with HS. In patients with NLES epilepsy, other parameters relevant for efficacy of DBS remain to be determined.