Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Propagation modelling and resource allocation in mobile radio communications

Over the past years, ray tracing (RT) models popularity has been increasing. From the nineties, RT has been used for field prediction in environment such as indoor and urban environments. Nevertheless, with the advent of new technologies, the channel model has become decidedly more dynamic and to perform RT simulations at each discrete time instant become computationally expensive. In this thesis, a new dynamic ray tracing (DRT) approach is presented in which from a single ray tracing simulation at an initial time t0, through analytical formulas we are able to track the motion of the interaction points. The benefits that this approach bring are that Doppler frequencies and channel prediction can be derived at every time instant, without recurring to multiple RT runs and therefore shortening the computation time. DRT performance was studied on two case studies and the results shows the accuracy and the computational gain that derives from this approach. Another issue that has been addressed in this thesis is the licensed band exhaustion of some frequency bands. To deal with this problem, a novel unselfish spectrum leasing scheme in cognitive radio networks (CRNs) is proposed that offers an energy-efficient solution minimizing the environmental impact of the network. In addition, a network management architecture is introduced and resource allocation is proposed as a constrained sum energy efficiency maximization problem. System simulations demonstrate an increment in the energy efficiency of the primary users’ network compared with previously proposed algorithms.

Transition from time-continuous systems to discrete mappings

Detailed transport studies in plasmas require the solution of the time evolution of many different initial positions of test particles in the phase space of the systems to be investigated. To reduce this amount of numerical work, one would like to replace the integration of the time-continues system with a mapping.

CHARACTERIZATION OF EXPONENTIAL DIVERGENCE OF THE KALMAN FILTER FOR TIME-VARYING SYSTEMS

This paper studies semistability of the recursive Kalman filter in the context of linear time-varying (LTV), possibly nondetectable systems with incorrect noise information. Semistability is a key property, as it ensures that the actual estimation error does not diverge exponentially. We explore structural properties of the filter to obtain a necessary and sufficient condition for the filter to be semistable. The condition does not involve limiting gains nor the solution of Riccati equations, as they can be difficult to obtain numerically and may not exist. We also compare semistability with the notions of stability and stability w.r.t. the initial error covariance, and we show that semistability in a sense makes no distinction between persistent and nonpersistent incorrect noise models, as opposed to stability. In the linear time invariant scenario we obtain algebraic, easy to test conditions for semistability and stability, which complement results available in the context of detectable systems. Illustrative examples are included.

A communication support for real-time distributed computer controlled systems

In this paper, we analyse the ability of P-NET [1] fieldbus to cope with the timing requirements of a Distributed Computer Control System (DCCS), where messages associated to discrete events should be made available within a maximum bound time. The main objective of this work is to analyse how the network access and queueing delays, imposed by P-NET’s virtual token Medium Access Control (MAC) mechanism, affect the realtime behaviour of the supported DCCS.

Real time manufacturing systems simulator

A área da simulação computacional teve um rápido crescimento desde o seu apareciment, sendo actualmente uma das ciências de gestão e de investigação operacional mais utilizadas. O seu princípio baseia-se na replicação da operação de processos ou sistemas ao longo de períodos de tempo, tornando-se assim uma metodologia indispensável para a resolução de variados problemas do mundo real, independentemente da sua complexidade. Das inúmeras áreas de aplicação, nos mais diversos campos, a que mais se destaca é a utilização em sistemas de produção, onde o leque de aplicações disponível é muito vasto. A sua aplicação tem vindo a ser utilizada para solucionar problemas em sistemas de produção, uma vez que permite às empresas ajustar e planear de uma maneira rápida, eficaz e ponderada as suas operações e os seus sistemas, permitindo assim uma rápida adaptação das mesmas às constantes mudanças das necessidades da economia global. As aplicações e packages de simulação têm seguindo as tendências tecnológicas pelo que é notório o recurso a tecnologias orientadas a objectos para o desenvolvimento das mesmas. Este estudo baseou-se, numa primeira fase, na recolha de informação de suporte aos conceitos de modelação e simulação, bem como a respectiva aplicação a sistemas de produção em tempo real. Posteriormente centralizou-se no desenvolvimento de um protótipo de uma aplicação de simulação de ambientes de fabrico em tempo real. O desenvolvimento desta ferramenta teve em vista eventuais fins pedagógicos e uma utilização a nível académico, sendo esta capaz de simular um modelo de um sistema de produção, estando também dotada de animação. Sem deixar de parte a possibilidade de integração de outros módulos ou, até mesmo, em outras plataformas, houve ainda a preocupação acrescida de que a sua implementação recorresse a metodologias de desenvolvimento orientadas a objectos.

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method

Probabilistic maximal covering location-allocation models with constrained waiting time or queue length for congested systems

When dealing with the design of service networks, such as healthand EMS services, banking or distributed ticket selling services, thelocation of service centers has a strong influence on the congestion ateach of them, and consequently, on the quality of service. In this paper,several models are presented to consider service congestion. The firstmodel addresses the issue of the location of the least number of single--servercenters such that all the population is served within a standard distance,and nobody stands in line for a time longer than a given time--limit, or withmore than a predetermined number of other clients. We then formulateseveral maximal coverage models, with one or more servers per service center.A new heuristic is developed to solve the models and tested in a 30--nodesnetwork.

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method

UNIFORM DISSIPATIVENESS, ROBUST SYNCHRONIZATION AND LOCATION OF THE ATTRACTOR OF PARAMETRIZED NONAUTONOMOUS DISCRETE SYSTEMS

In this series of papers, we study issues related to the synchronization of two coupled chaotic discrete systems arising from secured communication. The first part deals with uniform dissipativeness with respect to parameter variation via the Liapunov direct method. We obtain uniform estimates of the global attractor for a general discrete nonautonomous system, that yields a uniform invariance principle in the autonomous case. The Liapunov function is allowed to have positive derivative along solutions of the system inside a bounded set, and this reduces substantially the difficulty of constructing a Liapunov function for a given system. In particular, we develop an approach that incorporates the classical Lagrange multiplier into the Liapunov function method to naturally extend those Liapunov functions from continuous dynamical system to their discretizations, so that the corresponding uniform dispativeness results are valid when the step size of the discretization is small. Applications to the discretized Lorenz system and the discretization of a time-periodic chaotic system are given to illustrate the general results. We also show how to obtain uniform estimation of attractors for parametrized linear stable systems with nonlinear perturbation.

Time-multiscale methods for the simulation of slow transport problems in atomistic systems

En esta tesis presentamos una teoría adaptada a la simulación de fenómenos lentos de transporte en sistemas atomísticos. En primer lugar, desarrollamos el marco teórico para modelizar colectividades estadísticas de equilibrio. A continuación, lo adaptamos para construir modelos de colectividades estadísticas fuera de equilibrio. Esta teoría reposa sobre los principios de la mecánica estadística, en particular el principio de máxima entropía de Jaynes, utilizado tanto para sistemas en equilibrio como fuera de equilibrio, y la teoría de las aproximaciones del campo medio. Expresamos matemáticamente el problema como un principio variacional en el que maximizamos una entropía libre, en lugar de una energía libre. La formulación propuesta permite definir equivalentes atomísticos de variables macroscópicas como la temperatura y la fracción molar. De esta forma podemos considerar campos macroscópicos no uniformes. Completamos el marco teórico con reglas de cuadratura de Monte Carlo, gracias a las cuales obtenemos modelos computables. A continuación, desarrollamos el conjunto completo de ecuaciones que gobiernan procesos de transporte. Deducimos la desigualdad de disipación entrópica a partir de fuerzas y flujos termodinámicos discretos. Esta desigualdad nos permite identificar la estructura que deben cumplir los potenciales cinéticos discretos. Dichos potenciales acoplan las tasas de variación en el tiempo de las variables microscópicas con las fuerzas correspondientes. Estos potenciales cinéticos deben ser completados con una relación fenomenológica, del tipo definido por la teoría de Onsanger. Por último, aportamos validaciones numéricas. Con ellas ilustramos la capacidad de la teoría presentada para simular propiedades de equilibrio y segregación superficial en aleaciones metálicas. Primero, simulamos propiedades termodinámicas de equilibrio en el sistema atomístico. A continuación evaluamos la habilidad del modelo para reproducir procesos de transporte en sistemas complejos que duran tiempos largos con respecto a los tiempos característicos a escala atómica. ABSTRACT In this work, we formulate a theory to address simulations of slow time transport effects in atomic systems. We first develop this theoretical framework in the context of equilibrium of atomic ensembles, based on statistical mechanics. We then adapt it to model ensembles away from equilibrium. The theory stands on Jaynes' maximum entropy principle, valid for the treatment of both, systems in equilibrium and away from equilibrium and on meanfield approximation theory. It is expressed in the entropy formulation as a variational principle. We interpret atomistic equivalents of macroscopic variables such as the temperature and the molar fractions, wich are not required to be uniform, but can vary from particle to particle. We complement this theory with Monte Carlo summation rules for further approximation. In addition, we provide a framework for studying transport processes with the full set of equations driving the evolution of the system. We first derive a dissipation inequality for the entropic production involving discrete thermodynamic forces and fluxes. This discrete dissipation inequality identifies the adequate structure for discrete kinetic potentials which couple the microscopic field rates to the corresponding driving forces. Those kinetic potentials must finally be expressed as a phenomenological rule of the Onsanger Type. We present several validation cases, illustrating equilibrium properties and surface segregation of metallic alloys. We first assess the ability of a simple meanfield model to reproduce thermodynamic equilibrium properties in systems with atomic resolution. Then, we evaluate the ability of the model to reproduce a long-term transport process in complex systems.

Time correlation function in systems with two coexisting biological species

We study a stochastic lattice model describing the dynamics of coexistence of two interacting biological species. The model comprehends the local processes of birth, death, and diffusion of individuals of each species and is grounded on interaction of the predator-prey type. The species coexistence can be of two types: With self-sustained coupled time oscillations of population densities and without oscillations. We perform numerical simulations of the model on a square lattice and analyze the temporal behavior of each species by computing the time correlation functions as well as the spectral densities. This analysis provides an appropriate characterization of the different types of coexistence. It is also used to examine linked population cycles in nature and in experiment.

Decoherence-free evolution of time-dependent superposition states of two-level systems and thermal effects

In this paper we detail some results advanced in a recent letter [Prado et al., Phys. Rev. Lett. 102, 073008 (2009).] showing how to engineer reservoirs for two-level systems at absolute zero by means of a time-dependent master equation leading to a nonstationary superposition equilibrium state. We also present a general recipe showing how to build nonadiabatic coherent evolutions of a fermionic system interacting with a bosonic mode and investigate the influence of thermal reservoirs at finite temperature on the fidelity of the protected superposition state. Our analytical results are supported by numerical analysis of the full Hamiltonian model.

Synthesis of PID controllers for a class of time delay systems

In this paper we use the Hermite-Biehler theorem to establish results on the design of proportional plus integral plus derivative (PID) controllers for a class of time delay systems. Using the property of interlacing at high frequencies of the class of systems considered and linear programming we obtain the set of all stabilizing PID controllers. As far as we know, previous results on the synthesis of PID controllers rely on the solution of transcendental equations. This paper also extends previous results on the synthesis of proportional controllers for a class of delay systems Of retarded type to a larger class of delay systems. (C) 2009 Elsevier Ltd. All rights reserved.

Robust integration of real time optimization with linear model predictive control

Here, we study the stable integration of real time optimization (RTO) with model predictive control (MPC) in a three layer structure. The intermediate layer is a quadratic programming whose objective is to compute reachable targets to the MPC layer that lie at the minimum distance to the optimum set points that are produced by the RTO layer. The lower layer is an infinite horizon MPC with guaranteed stability with additional constraints that force the feasibility and convergence of the target calculation layer. It is also considered the case in which there is polytopic uncertainty in the steady state model considered in the target calculation. The dynamic part of the MPC model is also considered unknown but it is assumed to be represented by one of the models of a discrete set of models. The efficiency of the methods presented here is illustrated with the simulation of a low order system. (C) 2010 Elsevier Ltd. All rights reserved.