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.

Meta-cinematic cultism: between high and low culture

ABSTRACT - Meta-cinema can depict film viewers’ attitudes towards cinema and their type of devotion for films. One subcategory of viewers - which I call meta-spectators - is highly specialized in its type of consumption, bordering on obsession. I contend that there are two main varieties of meta-cinematic reception, not altogether incompatible with one another, despite their apparent differences. As both of them are depicted on meta-cinematic products, the films themselves are the best evidence of my typology. My categories of film viewers are the ‘cinephile’, an elite prone to artistic militancy and the adoration of filmic masters; and the ‘fan’, a low culture consumer keen on certain filmic universes and their respective figures and motifs. I will base my rationale on four films that portray such reception practices: Travelling Avant (Jean-Charles Tacchella, 1987, FRA), The Dreamers (Bernardo Bertolucci, 2003, UK/FRA/ITA); Free Enterprise (Robert Mayer Burnett, 1998, USA); Fanboys (2009, Kyle Newman, USA).

High-resolution image reconstruction from multiple low-resolution images.

In this paper, we demonstrate a digital signal processing (DSP) algorithm for improving spatial resolution of images captured by CMOS cameras. The basic approach is to reconstruct a high resolution (HR) image from a shift-related low resolution (LR) image sequence. The aliasing relationship of Fourier transforms between discrete and continuous images in the frequency domain is used for mapping LR images to a HR image. The method of projection onto convex sets (POCS) is applied to trace the best estimate of pixel matching from the LR images to the reconstructed HR image. Computer simulations and preliminary experimental results have shown that the algorithm works effectively on the application of post-image-captured processing for CMOS cameras. It can also be applied to HR digital image reconstruction, where shift information of the LR image sequence is known.

Material characterization and process development for indium-arsenide / indium-gallium-antimonide channel, high electron mobility transistors for low power, high speed applications

Efforts to push the performance of transistors for millimeter-wave and microwave applications have borne fruit through device size scaling and the use of novel material systems. III-V semiconductors and their alloys hold a distinct advantage over silicon because they have much higher electron mobility which is a prerequisite for high frequency operation. InGaAs/InP pseudomorphic heterojunction bipolar transistors (HBTs) have demonstrated fT of 765 GHz at room temperature and InP based high electron mobility transistors (HEMTs) have demonstrated fMax of 1.2 THz. The 6.1 A lattice family of InAs, GaSb, AlSb covers a wide variety of band gaps and is an attractive future material system for high speed device development. Extremely high electron mobilities ~ 30,000 cm^2 V^-1s^-1 have been achieved in modulation doped InAs-AlSb structures. The work described in this thesis involves material characterization and process development for HEMT fabrication on this material system.

Low-power high-performance SAR ADC design with digital calibration techniques

This dissertation presents the design of three high-performance successive-approximation-register (SAR) analog-to-digital converters (ADCs) using distinct digital background calibration techniques under the framework of a generalized code-domain linear equalizer. These digital calibration techniques effectively and efficiently remove the static mismatch errors in the analog-to-digital (A/D) conversion. They enable aggressive scaling of the capacitive digital-to-analog converter (DAC), which also serves as sampling capacitor, to the kT/C limit. As a result, outstanding conversion linearity, high signal-to-noise ratio (SNR), high conversion speed, robustness, superb energy efficiency, and minimal chip-area are accomplished simultaneously. The first design is a 12-bit 22.5/45-MS/s SAR ADC in 0.13-μm CMOS process. It employs a perturbation-based calibration based on the superposition property of linear systems to digitally correct the capacitor mismatch error in the weighted DAC. With 3.0-mW power dissipation at a 1.2-V power supply and a 22.5-MS/s sample rate, it achieves a 71.1-dB signal-to-noise-plus-distortion ratio (SNDR), and a 94.6-dB spurious free dynamic range (SFDR). At Nyquist frequency, the conversion figure of merit (FoM) is 50.8 fJ/conversion step, the best FoM up to date (2010) for 12-bit ADCs. The SAR ADC core occupies 0.06 mm2, while the estimated area the calibration circuits is 0.03 mm2. The second proposed digital calibration technique is a bit-wise-correlation-based digital calibration. It utilizes the statistical independence of an injected pseudo-random signal and the input signal to correct the DAC mismatch in SAR ADCs. This idea is experimentally verified in a 12-bit 37-MS/s SAR ADC fabricated in 65-nm CMOS implemented by Pingli Huang. This prototype chip achieves a 70.23-dB peak SNDR and an 81.02-dB peak SFDR, while occupying 0.12-mm2 silicon area and dissipating 9.14 mW from a 1.2-V supply with the synthesized digital calibration circuits included. The third work is an 8-bit, 600-MS/s, 10-way time-interleaved SAR ADC array fabricated in 0.13-μm CMOS process. This work employs an adaptive digital equalization approach to calibrate both intra-channel nonlinearities and inter-channel mismatch errors. The prototype chip achieves 47.4-dB SNDR, 63.6-dB SFDR, less than 0.30-LSB differential nonlinearity (DNL), and less than 0.23-LSB integral nonlinearity (INL). The ADC array occupies an active area of 1.35 mm2 and dissipates 30.3 mW, including synthesized digital calibration circuits and an on-chip dual-loop delay-locked loop (DLL) for clock generation and synchronization.

Low temperature magneto-photoluminescence characterization of high purity gallium arsenide and indium phosphide

Low-temperature magneto-photoluminescence is a very powerful technique to characterize high purity GaAs and InP grown by various epitaxial techniques. These III-V compound semiconductor materials are used in a wide variety of electronic, optoelectronic and microwave devices. The large binding energy differences of acceptors in GaAs and InP make possible the identification of those impurities by low-temperature photoluminescence without the use of any magnetic field. However, the sensitivity and resolution provided by this technique rema1ns inadequate to resolve the minute binding energy differences of donors in GaAs and InP. To achieve higher sensitivity and resolution needed for the identification of donors, a magneto-photoluminescence system 1s installed along with a tunable dye laser, which provides resonant excitation. Donors 1n high purity GaAs are identified from the magnetic splittings of "two-electron" satellites of donor bound exciton transitions 1n a high magnetic field and at liquid helium temperature. This technique 1s successfully used to identify donors 1n n-type GaAs as well as 1n p-type GaAs in which donors cannot be identified by any other technique. The technique is also employed to identify donors in high purity InP. The amphoteric incorporation of Si and Ge impurities as donors and acceptors in (100), (311)A and (3ll)B GaAs grown by molecular beam epitaxy is studied spectroscopically. The hydrogen passivation of C acceptors in high purity GaAs grown by molecular beam epitaxy (MBE) and metalorganic chemical vapor deposition (MOCVD) 1s investigated using photoluminescence. Si acceptors ~n MBE GaAs are also found to be passivated by hydrogenation. The instabilities in the passivation of acceptor impurities are observed for the exposure of those samples to light. Very high purity MOCVD InP samples with extremely high mobility are characterized by both electrical and optical techniques. It is determined that C is not typically incorporated as a residual acceptor ~n high purity MOCVD InP. Finally, GaAs on Si, single quantum well, and multiple quantum well heterostructures, which are fabricated from III-V semiconductors, are also measured by low-temperature photoluminescence.

A study at high energy-resolution and at low primary energies of the secondary emission from (100) tungsten

This work was supported by the Joint Services Electronics Program (U.S. Army, U.S. Navy, and U.S. Air Force) under Contract No. DA 28 043 AMC 00073(E).

Low cost 3D global instability analysis and flow sensitivity based on dynamic mode decomposition and high-order numerical tools

We explore the recently developed snapshot-based dynamic mode decomposition (DMD) technique, a matrix-free Arnoldi type method, to predict 3D linear global flow instabilities. We apply the DMD technique to flows confined in an L-shaped cavity and compare the resulting modes to their counterparts issued from classic, matrix forming, linear instability analysis (i.e. BiGlobal approach) and direct numerical simulations. Results show that the DMD technique, which uses snapshots generated by a 3D non-linear incompressible discontinuous Galerkin Navier?Stokes solver, provides very similar results to classical linear instability analysis techniques. In addition, we compare DMD results issued from non-linear and linearised Navier?Stokes solvers, showing that linearisation is not necessary (i.e. base flow not required) to obtain linear modes, as long as the analysis is restricted to the exponential growth regime, that is, flow regime governed by the linearised Navier?Stokes equations, and showing the potential of this type of analysis based on snapshots to general purpose CFD codes, without need of modifications. Finally, this work shows that the DMD technique can provide three-dimensional direct and adjoint modes through snapshots provided by the linearised and adjoint linearised Navier?Stokes equations advanced in time. Subsequently, these modes are used to provide structural sensitivity maps and sensitivity to base flow modification information for 3D flows and complex geometries, at an affordable computational cost. The information provided by the sensitivity study is used to modify the L-shaped geometry and control the most unstable 3D mode.

Association of the TNF-alpha -308 G/A polymorphisms with metabolic responses secondary to a high protein/low carbohydrate versus a standard hypocaloric diet

Background: Mutation analysis has identified a G-> A transition in the promoter region of TNF-alpha gene at position -308 (rs1800629). Objective: The aim of our study was to investigate the influence of polymorphism in -308 GA promoter variant of the TNF alpha gene on metabolic response and weight loss secondary to two hypocaloric diets. Method: A sample of 283 obese subjects was enrolled in a consecutive prospective way. In the basal visit, patients were randomly allocated during 9 months to diet HP (high protein/low carbohydrate hypocaloric diet) and diet S (standard hypocaloric diet). Results: There were no significant differences between the positive effects on weight loss in either genotype group with both diets. With both diets and only in wild genotype (diet HP vs. diet S), total cholesterol (-9.1 ± 3.4 mg/dL vs. -6.9 ± 2.0 mg/dL; p > 0.05), LDL cholesterol (-9.0 ± 2.9 mg/dL vs. -6.5 ± 2.1 mg/dL; p > 0.05) and triglycerides (-23.1 ± 5.1 mg/dL vs. -12.3 ± 4.8 mg/dL; p < 0.05) decreased. The improvement in triglycerides was higher in subjects without A allele. With diet HP and only in wild genotype, insulin levels (-3.1 ± 1.8 UI/L; p < 0.05) and HOMA-R (-0.8 ± 0.1 units; p < 0.05) decreased. Conclusion: Carriers of -308 GG promoter variant of TNF-alpha gene have a better metabolic response than -308 GA obese with a high protein hypocaloric diet.

Flow around a hemisphere-cylinder at high angle of attack and low Reynolds number. Part II: POD and DMD applied to reduced domains

Three-dimensional direct numerical simulations (DNS) have been performed on a finite-size hemispherecylinder model at angle of attack AoA = 20◦ and Reynolds numbers Re = 350 and 1000. Under these conditions, massive separation exists on the nose and lee-side of the cylinder, and at both Reynolds numbers the flow is found to be unsteady. Proper orthogonal decomposition (POD) and dynamic mode decomposition (DMD) are employed in order to study the primary instability that triggers unsteadiness at Re = 350. The dominant coherent flow structures identified at the lower Reynolds number are also found to exist at Re = 1000; the question is then posed whether the flow oscillations and structures found at the two Reynolds numbers are related. POD and DMD computations are performed using different subdomains of the DNS computational domain. Besides reducing the computational cost of the analyses, this also permits to isolate spatially localized oscillatory structures from other, more energetic structures present in the flow. It is found that POD and DMD are in general sensitive to domain truncation and noneducated choices of the subdomain may lead to inconsistent results. Analyses at Re = 350 show that the primary instability is related to the counter rotating vortex pair conforming the three-dimensional afterbody wake, and characterized by the frequency St ≈ 0.11, in line with results in the literature. At Re = 1000, vortex-shedding is present in the wake with an associated broadband spectrum centered around the same frequency. The horn/leeward vortices at the cylinder lee-side, upstream of the cylinder base, also present finite amplitude oscillations at the higher Reynolds number. The spatial structure of these oscillations, described by the POD modes, is easily differentiated from that of the wake oscillations. Additionally, the frequency spectra associated with the lee-side vortices presents well defined peaks, corresponding to St ≈ 0.11 and its few harmonics, as opposed to the broadband spectrum found at the wake.

Flow around a hemisphere-cylinder at high angle of attack and low Reynolds number. Part I: Experimental and numerical investigation

Three-dimensional Direct Numerical Simulations combined with Particle Image Velocimetry experiments have been performed on a hemisphere-cylinder at Reynolds number 1000 and angle of attack 20◦. At these flow conditions, a pair of vortices, so-called “horn” vortices, are found to be associated with flow separation. In order to understand the highly complex phenomena associated with this fully threedimensional massively separated flow, different structural analysis techniques have been employed: Proper Orthogonal and Dynamic Mode Decompositions, POD and DMD, respectively, as well as criticalpoint theory. A single dominant frequency associated with the von Karman vortex shedding has been identified in both the experimental and the numerical results. POD and DMD modes associated with this frequency were recovered in the analysis. Flow separation was also found to be intrinsically linked to the observed modes. On the other hand, critical-point theory has been applied in order to highlight possible links of the topology patterns over the surface of the body with the computed modes. Critical points and separation lines on the body surface show in detail the presence of different flow patterns in the base flow: a three-dimensional separation bubble and two pairs of unsteady vortices systems, the horn vortices, mentioned before, and the so-called “leeward” vortices. The horn vortices emerge perpendicularly from the body surface at the separation region. On the other hand, the leeward vortices are originated downstream of the separation bubble, as a result of the boundary layer separation. The frequencies associated with these vortical structures have been quantified.

Computational Evaluation of Wind Loads on Low- and High- Rise Buildings

Buildings and other infrastructures located in the coastal regions of the US have a higher level of wind vulnerability. Reducing the increasing property losses and causalities associated with severe windstorms has been the central research focus of the wind engineering community. The present wind engineering toolbox consists of building codes and standards, laboratory experiments, and field measurements. The American Society of Civil Engineers (ASCE) 7 standard provides wind loads only for buildings with common shapes. For complex cases it refers to physical modeling. Although this option can be economically viable for large projects, it is not cost-effective for low-rise residential houses. To circumvent these limitations, a numerical approach based on the techniques of Computational Fluid Dynamics (CFD) has been developed. The recent advance in computing technology and significant developments in turbulence modeling is making numerical evaluation of wind effects a more affordable approach. The present study targeted those cases that are not addressed by the standards. These include wind loads on complex roofs for low-rise buildings, aerodynamics of tall buildings, and effects of complex surrounding buildings. Among all the turbulence models investigated, the large eddy simulation (LES) model performed the best in predicting wind loads. The application of a spatially evolving time-dependent wind velocity field with the relevant turbulence structures at the inlet boundaries was found to be essential. All the results were compared and validated with experimental data. The study also revealed CFD’s unique flow visualization and aerodynamic data generation capabilities along with a better understanding of the complex three-dimensional aerodynamics of wind-structure interactions. With the proper modeling that realistically represents the actual turbulent atmospheric boundary layer flow, CFD can offer an economical alternative to the existing wind engineering tools. CFD’s easy accessibility is expected to transform the practice of structural design for wind, resulting in more wind-resilient and sustainable systems by encouraging optimal aerodynamic and sustainable structural/building design. Thus, this method will help ensure public safety and reduce economic losses due to wind perils.

High Pressure and Low Temperature Study of Ammonia Borane and Lithium Amidoborane

Hydrogen has been considered as a potentially efficient and environmentally friendly alternative energy solution. However, one of the most important scientific and technical challenges that the “hydrogen economy” faces is the development of safe and economically viable on-board hydrogen storage for fuel cell applications, especially to the transportation sector. Ammonia borane (BH3NH3), a solid state hydrogen storage material, possesses exceptionally high hydrogen content (19.6 wt%).However, a fairly high temperature is required to release all the hydrogen atoms, along with the emission of toxic borazine. Recently research interests are focusing on the improvement of H2 discharge from ammonia borane (AB) including lowering the dehydrogenation temperature and enhancing hydrogen release rate using different techniques. Till now the detailed information about the bonding characteristics of AB is not sufficient to understand details about its phases and structures. Elemental substitution of ammonia borane produces metal amidoboranes. Introduction of metal atoms to the ammonia borane structure may alter the bonding characteristics. Lithium amidoborane is synthesized by ball milling of ammonia borane and lithium hydride. High pressure study of molecular crystal provides unique insight into the intermolecular bonding forces and phase stability. During this dissertation, Raman spectroscopic study of lithium amidoborane has been carried out at high pressure in a diamond anvil cell. It has been identified that there is no dihydrogen bond in the lithium amidoborane structure, whereas dihydrogen bond is the characteristic bond of the parent compound ammonia borane. It has also been identified that the B-H bond becomes weaker, whereas B-N and N-H bonds become stronger than those in the parent compound ammonia borane. At high pressure up to 15 GPa, Raman spectroscopic study indicates two phase transformations of lithium amidoborane, whereas synchrotron X-ray diffraction data indicates only one phase transformation of this material. Pressure and temperature has a significant effect on the structural stability of ammonia borane. This dissertation explored the phase transformation behavior of ammonia borane at high pressure and low temperature using in situ Raman spectroscopy. The P-T phase boundary between the tetragonal (I4mm) and orthorhombic (Pmn21) phases of ammonia borane has been determined. The transition has a positive Clapeyron slope which indicates the transition is of exothermic in nature. Influence of nanoconfinemment on the I4mm to Pmn21 phase transition of ammonia borane was also investigated. Mesoporus silica scaffolds SBA-15 with pore size of ~8 nm and MCM-41 with pore size of 2.1-2.7 nm, were used to nanoconfine ammonia borane. During cooling down, the I4mm to Pmn21 phase transition was not observed in MCM-41 nanoconfined ammonia borane, whereas the SBA-15 nanocondfined ammonia borane shows the phase transition at ~195 K. Four new phases of ammonia borane were also identified at high pressure up to 15 GPa and low temperature down to 90 K.

Determination of metabolic equivalents during low-and high-intensity resistance exercise in healthy young subjects and patients with type 2 diabetes

The purpose of this study was to quantify the metabolic equivalents (METs) of resistance exercise in obese patients with type 2 diabetes (T2DM) and healthy young subjects and to evaluate whether there were differences between sessions executed at low- versus high-intensity resistance exercise. Twenty obese patients with T2DM (62.9±6.1 years) and 22 young subjects (22.6±1.9 years) performed two training sessions: one at vigorous intensity (80% of 1-repetition maximum (1RM)) and one at moderate intensity (60% of 1RM). Both groups carried out three strength exercises with a 2-day recovery between sessions. Oxygen consumption was continuously measured 15 min before, during and after each training session. Obese T2DM patients showed lower METs values compared with young healthy participants at the baseline phase (F= 2043.86; P<0.01), during training (F=1140.59; P<0.01) and in the post-exercise phase (F=1012.71; P<0.01). No effects were detected in the group x intensity analysis of covariance. In this study, at both light-moderate and vigorous resistance exercise intensities, the METs value that best represented both sessions was 3 METs for the obese elderly T2DM patients and 5 METs for young subjects.