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.

Distributional effects and individual differences in L2 morphology learning

Second language (L2) learning outcomes may depend on the structure of the input and learners’ cognitive abilities. This study tested whether less predictable input might facilitate learning and generalization of L2 morphology while evaluating contributions of statistical learning ability, nonverbal intelligence, phonological short-term memory, and verbal working memory. Over three sessions, 54 adults were exposed to a Russian case-marking paradigm with a balanced or skewed item distribution in the input. Whereas statistical learning ability and nonverbal intelligence predicted learning of trained items, only nonverbal intelligence also predicted generalization of case-marking inflections to new vocabulary. Neither measure of temporary storage capacity predicted learning. Balanced, less predictable input was associated with higher accuracy in generalization but only in the initial test session. These results suggest that individual differences in pattern extraction play a more sustained role in L2 acquisition than instructional manipulations that vary the predictability of lexical items in the input.

Second-order cyclostationarity-based detection and classification of LTE SC-FDMA signals for cognitive radio

Cognitive radio (CR) was developed for utilizing the spectrum bands efficiently. Spectrum sensing and awareness represent main tasks of a CR, providing the possibility of exploiting the unused bands. In this thesis, we investigate the detection and classification of Long Term Evolution (LTE) single carrier-frequency division multiple access (SC-FDMA) signals, which are used in uplink LTE, with applications to cognitive radio. We explore the second-order cyclostationarity of the LTE SC-FDMA signals, and apply results obtained for the cyclic autocorrelation function to signal detection and classification (in other words, to spectrum sensing and awareness). The proposed detection and classification algorithms provide a very good performance under various channel conditions, with a short observation time and at low signal-to-noise ratios, with reduced complexity. The validity of the proposed algorithms is verified using signals generated and acquired by laboratory instrumentation, and the experimental results show a good match with computer simulation results.

Unmet health needs in patients with coronary heart disease: implications and potential for improvement in caring services

BACKGROUND: Improving the quality of health care services requires tailoring facilities to fulfil patients' needs. Satisfying patients' healthcare needs, listening to patients' opinions and building a closer provider-user partnership are central to the NHS. Few published studies have discussed cardiovascular patients' health needs, but they are not comprehensive and fail to explore the contribution of outcome to needs assessment. METHOD: A comprehensive self-administered health needs assessment (HNA) questionnaire was developed for concomitant use with generic (Short Form-12 and EuroQOL) and specific (Seattle Angina Questionnaire) health-related quality of life (HRQL) instruments on 242 patients admitted to the Acute Cardiac Unit, Nottingham. RESULTS: 38% reported difficulty accessing health facilities, 56% due to transport and 32% required a travelling companion. Mean HRQOL scores were lower in those living alone (P < 0.05) or who reported unsatisfactory accommodation. Dissatisfaction with transport affected patients' ease of access to healthcare facilities (P < 0.001). Younger patients (<65 y) were more likely to be socially isolated (P = 0.01). Women and patients with chronic disease were more likely to be concerned about housework (P < 0.05). Over 65 s (p < 0.05) of higher social classes (p < 0.01) and greater physical needs (p < 0.001) had more social needs, correlating moderately (0.32 < r < 0.63) with all HRQL domains except SAQ-AS. Several HRQL components were highly correlated with the HNA physical score (p < 0.001). CONCLUSIONS: Patients wanted more social (suitable accommodation, companionship, social visits) and physical (help aids, access to healthcare services, house work) support. The construct validity and intra-class reliability of the HNA tool were confirmed. Our results indicate a gap between patients' health needs and available services, highlighting potential areas for improvement in the quality of services

Clinical trial designs of new medicinal products for treating schizophrenia: discussion of EMA's Guideline and a Better Long Term Trial Design

Background and Objectives: Schizophrenia is a severe chronic disease. Endpoint variables lack objectivity and the diagnostic criteria have evolved with time. In order to guide the development of new drugs, European Medicines Agency (EMA) issued a guideline on the clinical investigation of medicinal products for the treatment of schizophrenia. Methods: Authors reviewed and discussed the efficacy trial part of the Guideline. Results: The Guideline divides clinical efficacy trials into short-term trials and long-term trials. The short-term three-arm trial is recommended to replace the short-term two-arm active-controlled non-inferiority trial because the latter has sensitivity issues. The Guideline ultimately makes that three-arm trial a superiority trial. The Guideline discusses four types of long-term trial designs. The randomized withdrawal trial design has some disadvantages. Long-term two-arm active-controlled non-inferiority trial is not recommended due to the sensitivity issue. Extension of the short-term trial is only suitable for extension of the short-term two-arm active-controlled superiority trial. The Guideline suggests that a hybrid design of a randomized withdrawal trial incorporated into a long-term parallel trial might be optimal. However, such a design has some disadvantages and might be too complex to be carried out. Authors suggest instead a three-group long-term trial design, which could provide comparison between test drug and active comparator along with comparison between the test drug and placebo. This alternative could arguably be much easier to carry out compared with the hybrid design. Conclusions: The three-group long-term design merits further discussion and evaluation.

The impact of the MARINET initiative on the development of Marine Renewable Energy

Marine Renewable Energy Conversion systems comprise wave energy and tidal stream converters as well as offshore-wind turbines for electrical generation. These technologies are currently at different stages of development but are mostly at the pre-commercial stage and require research to be undertaken at a series of scales along the path to commercialization. However each of these technologies also needs specific research infrastructures in order to conduct this research. The aim of the MARINET initiative is to coordinate research and development at all scales (small models through to prototype scales, from laboratories through to open sea tests) and to allow access for researchers and developers to infrastructures which are not available universally in Europe, including test facilities for components such as power take-off systems, grid integration, moorings and environmental monitoring so as to ensure a focusing of activities in this area. The initiative offers researchers and developers access to 45 research facilities as well as to the associated network of expertise at all scales in Offshore Marine Renewable Energy technology research and development. The aim of this paper is to present this MARINET initiative that was started in 2011, bringing together a network of 29 partners spread across twelve countries. Details of the MARINET Transnational Access (TA) program are presented, for which over 260 applications were received throughout the 5 official calls for proposals. In particular, statistics on applications and completed projects are presented which provide an overview of the global development progress of the different offshore renewable energy conversion technologies at a European level. It also provides a good overview of the current research activity, as well as evidence of the requirement for specialised research facilities, in this burgeoning field.

Scheduling of track inspection and maintenance activities in railroad networks

The U.S. railroad companies spend billions of dollars every year on railroad track maintenance in order to ensure safety and operational efficiency of their railroad networks. Besides maintenance costs, other costs such as train accident costs, train and shipment delay costs and rolling stock maintenance costs are also closely related to track maintenance activities. Optimizing the track maintenance process on the extensive railroad networks is a very complex problem with major cost implications. Currently, the decision making process for track maintenance planning is largely manual and primarily relies on the knowledge and judgment of experts. There is considerable potential to improve the process by using operations research techniques to develop solutions to the optimization problems on track maintenance. In this dissertation study, we propose a range of mathematical models and solution algorithms for three network-level scheduling problems on track maintenance: track inspection scheduling problem (TISP), production team scheduling problem (PTSP) and job-to-project clustering problem (JTPCP). TISP involves a set of inspection teams which travel over the railroad network to identify track defects. It is a large-scale routing and scheduling problem where thousands of tasks are to be scheduled subject to many difficult side constraints such as periodicity constraints and discrete working time constraints. A vehicle routing problem formulation was proposed for TISP, and a customized heuristic algorithm was developed to solve the model. The algorithm iteratively applies a constructive heuristic and a local search algorithm in an incremental scheduling horizon framework. The proposed model and algorithm have been adopted by a Class I railroad in its decision making process. Real-world case studies show the proposed approach outperforms the manual approach in short-term scheduling and can be used to conduct long-term what-if analyses to yield managerial insights. PTSP schedules capital track maintenance projects, which are the largest track maintenance activities and account for the majority of railroad capital spending. A time-space network model was proposed to formulate PTSP. More than ten types of side constraints were considered in the model, including very complex constraints such as mutual exclusion constraints and consecution constraints. A multiple neighborhood search algorithm, including a decomposition and restriction search and a block-interchange search, was developed to solve the model. Various performance enhancement techniques, such as data reduction, augmented cost function and subproblem prioritization, were developed to improve the algorithm. The proposed approach has been adopted by a Class I railroad for two years. Our numerical results show the model solutions are able to satisfy all hard constraints and most soft constraints. Compared with the existing manual procedure, the proposed approach is able to bring significant cost savings and operational efficiency improvement. JTPCP is an intermediate problem between TISP and PTSP. It focuses on clustering thousands of capital track maintenance jobs (based on the defects identified in track inspection) into projects so that the projects can be scheduled in PTSP. A vehicle routing problem based model and a multiple-step heuristic algorithm were developed to solve this problem. Various side constraints such as mutual exclusion constraints and rounding constraints were considered. The proposed approach has been applied in practice and has shown good performance in both solution quality and efficiency.

Fishing effort and fish yield over a 15 year period on Lake Victoria, Uganda: management implications

The National Fisheries Resources Research Institute (NaFIRRI), the Directorate of Fisheries Resources (DiFR), the Local Government fisheries staff and those from the Beach Management Units (BMUs) of the riparian districts to Lake Victoria regularly and jointly conduct Frame and Catch Assessment Surveys. The information obtained is used to guide fisheries management and development. We reveal the trends in the commercial fish catch landings and fishing effort on the Uganda side of Lake Victoria, over a 15 year period (2000-2015) and provide the underlying factors to the observed changes. The contribution of the high value large size species (Nile perch and Tilapia) to the commercial catch of Lake Victoria has significantly reduced while that of the low value small size species, Mukene has increased over a ten year (2005-2015)period. The information is intended to update and sensitize the key stakeholders on the status of the Lake Victoria fisheries. In addition, the information provided is expected to guide policy formulation and management planning by the fisheries managers at all levels including the BMUs and Landing Site Management Committees (LSMCs), the Local government fisheries staff and the Directorate of Fisheries Resources. The information is anticipated to create awareness among the lakeside fisher communities to reverse the current trend in fish declines.

Heterosis in locally adapted sorghum genotypes and potential of hybrids for increased productivity in contrasting environments in Ethiopia

Increased productivity in sorghum has been achieved in the developed world using hybrids. Despite their yield advantage, introduced hybrids have not been adopted in Ethiopia due to the lack of adaptive traits, their short plant stature and small grain size. This study was conducted to investigate hybrid performance and the magnitude of heterosis of locally adapted genotypes in addition to introduced hybrids in three contrasting environments in Ethiopia. In total, 139 hybrids, derived from introduced seed parents crossed with locally adapted genotypes and introduced R lines, were evaluated. Overall, the hybrids matured earlier than the adapted parents, but had higher grain yield, plant height, grain number and grain weight in all environments. The lowland adapted hybrids displayed a mean better parent heterosis (BPH) of 19%, equating to 1160 kg ha− 1 and a 29% mean increase in grain yield, in addition to increased plant height and grain weight, in comparison to the hybrids derived from the introduced R lines. The mean BPH for grain yield for the highland adapted hybrids was 16% in the highland and 52% in the intermediate environment equating to 698 kg ha− 1 and 2031 kg ha− 1, respectively, in addition to increased grain weight. The magnitude of heterosis observed for each hybrid group was related to the genetic distance between the parental lines. The majority of hybrids also showed superiority over the standard check varieties. In general, hybrids from locally adapted genotypes were superior in grain yield, plant height and grain weight compared to the high parents and introduced hybrids indicating the potential for hybrids to increase productivity while addressing farmers' required traits.

Caractérisation du fonctionnement d'une hydrolienne à membrane ondulante pour la récupération de l'énergie des courants marins

This manuscript presents three approaches : analytical, experimental and numerical, to study the behaviour of a flexible membrane tidal energy converter. This technology, developed by the EEL Energy company, is based on periodic deformations of a pre-stressed flexible structure. Energy converters, located on each side of the device, are set into motion by the wave-like motion. In the analytical model, the membrane is represented by a linear beam model at one dimension and the flow by a 3 dimensions potential fluid. The fluid forces are evaluated by the elongated body theory. Energy is dissipated all over the length of the membrane. A 20th scale experimental prototype has been designed with micro-dampers to simulate the power take-off. Trials have allowed to validate the undulating membrane energy converter concept. A numerical model has been developed. Each element of the device is represented and the energy dissipation is done by dampers element with a damping law linear to damper velocity. Comparison of the three approaches validates their ability to represent the membrane behaviour without damping. The energy dissipation applied with the analytical model is clearly different from the two other models because of the location (where the energy is dissipated) and damping law. The two others show a similar behaviour and the same order of power take off repartition but value of power take off are underestimated by the numerical model. This three approaches have allowed to put forward key-parameters on which depend the behaviour of the membrane and the parametric study highlights the complementarity and the advantage of developing three approaches in parallel to answer industrial optimization problems. To make the link between trials in flume tank and sea trials, a 1/6th prototype has been built. To do so, the change of scale was studied. The behaviour of both prototypes is compared and differences could be explained by differences of boundary conditions and confinement effects. To evaluated membrane long-term behaviour at sea, a method of ageing accelerated by temperature and fatigue tests have been carried out on prototype materials samples submerged in sea water.

Population structure and growth of the hermit crab Pagurus brevidacylus (Anomura : Paguridae) from the northern coast of São Paulo, Brazil

The hermit crab Paguras brevidactylus (Crustacea: Anomura: Paguridea) from the infralittoral area of Anchieta Island, Ubatuba, was characterized by population Structure (size, sex ratio, reproduction and recruitment) and growth. Animals were collected monthly during 1999 by SCUBA diving. A total of 1525 individuals was collected (633 males and 892 females), 695 of them were ovigerous females. Overall sex ratio was 0.7:1 in favour of females. The crabs showed a unimodal distribution with males significantly larger than females. Ovigerous females were collected during all months and in high percentages from 1.0 mm of shield length, demonstrating intense and Continuous reproduction. The longevity was approximately 24 months for males and 18 for females, which showed larger growth rate and reached sexual maturity earlier (two months) than males. The low number of males in this Population may be due to the longer life span. Moreover, the sexual dimorphism favours males during the intra- and interspecific fights by shell, food, reproduction and territory. Females demonstrated a short life cycle and intense reproduction.

The TOMO-ETNA experiment: an imaging active campaign at Mt. Etna volcano. Context, main objectives, working-plans and involved research projects

The TOMO-ETNA experiment was devised to image of the crust underlying the volcanic edifice and, possibly, its plumbing system by using passive and active refraction/reflection seismic methods. This experiment included activities both on-land and offshore with the main objective of obtaining a new high-resolution seismic tomography to improve the knowledge of the crustal structures existing beneath the Etna volcano and northeast Sicily up to Aeolian Islands. The TOMO ETNA experiment was divided in two phases. The first phase started on June 15, 2014 and finalized on July 24, 2014, with the withdrawal of two removable seismic networks (a Short Period Network and a Broadband network composed by 80 and 20 stations respectively) deployed at Etna volcano and surrounding areas. During this first phase the oceanographic research vessel “Sarmiento de Gamboa” and the hydro-oceanographic vessel “Galatea” performed the offshore activities, which includes the deployment of ocean bottom seismometers (OBS), air-gun shooting for Wide Angle Seismic refraction (WAS), Multi-Channel Seismic (MCS) reflection surveys, magnetic surveys and ROV (Remotely Operated Vehicle) dives. This phase finished with the recovery of the short period seismic network. In the second phase the Broadband seismic network remained operative until October 28, 2014, and the R/V “Aegaeo” performed additional MCS surveys during November 19-27, 2014. Overall, the information deriving from TOMO-ETNA experiment could provide the answer to many uncertainties that have arisen while exploiting the large amount of data provided by the cutting-edge monitoring systems of Etna volcano and seismogenic area of eastern Sicily.

Cow, farm, and management factors during the dry period that determine the rate of clinical mastitis after calving

The purpose of the research was to investigate cow characteristics, farm facilities, and herd management strategies during the dry period to examine their joint influence on the rate of clinical mastitis after calving. Data were collected over a 2-yr period from 52 commercial dairy farms throughout England and Wales. Cows were separated for analysis into those housed for the dry period (8,710 cow-dry periods) and those at pasture (9,964 cow-dry periods). Multilevel models were used within a Bayesian framework with 2 response variables, the occurrence of a first case of clinical mastitis within the first 30 d of lactation and time to the first case of clinical mastitis during lactation. A variety of cow and herd management factors were identified as being associated with an increased rate of clinical mastitis and these were found to occur throughout the dry period. Significant cow factors were increased parity and at least one somatic cell count ≥200,000 cells/mL in the 90 d before drying off. A number of management factors related to hygiene were significantly associated with an increased rate of clinical mastitis. These included measures linked to the administration of dry-cow treatments and management of the early and late dry-period accommodation and calving areas. Other farm factors associated with a reduced rate of clinical mastitis were vaccination with a leptospirosis vaccine, selection of dry-cow treatments for individual cows within a herd rather than for the herd as a whole, routine body condition scoring of cows at drying off, and a pasture rotation policy of grazing dry cows for a maximum of 2 wk before allowing the pasture to remain nongrazed for a period of 4 wk. Models demonstrated a good ability to predict the farm incidence rate of clinical mastitis in a given year, with model predictions explaining over 85% of the variability in the observed data. The research indicates that specific dry-period management strategies have an important influence on the rate of clinical mastitis during the next lactation.

Cow, farm, and herd management factors in the dry period associated with raised somatic cell counts in early lactation

This study investigated cow characteristics, farm facilities, and herd management strategies during the dry period to examine their joint influence on somatic cell counts (SCC) in early lactation. Data from 52 commercial dairy farms throughout England and Wales were collected over a 2-yr period. For the purpose of analysis, cows were separated into those housed for the dry period (6,419 cow-dry periods) and those at pasture (7,425 cow-dry periods). Bayesian multilevel models were specified with 2 response variables: ln SCC (continuous) and SCC >199,000 cells/mL (binary), both within 30 d of calving. Cow factors associated with an increased SCC after calving were parity, an SCC >199,000 cells/mL in the 60 d before drying off, increasing milk yield 0 to 30 d before drying off, and reduced DIM after calving at the time of SCC estimation. Herd management factors associated with an increased SCC after calving included procedures at drying off, aspects of bedding management, stocking density, and method of pasture grazing. Posterior predictions were used for model assessment, and these indicated that model fit was generally good. The research demonstrated that specific dry-period management strategies have an important influence on SCC in early lactation.

Distance and overcurrent relay coordination considering non standardized inverse time curves

Protective relaying comprehends several procedures and techniques focused on maintaining the power system working safely during and after undesired and abnormal network conditions, mostly caused by faulty events. Overcurrent relay is one of the oldest protective relays, its operation principle is straightforward: when the measured current is greater than a specified magnitude the protection trips; less variables are required from the system in comparison with other protections, causing the overcurrent relay to be the simplest and also the most difficult protection to coordinate; its simplicity is reflected in low implementation, operation, and maintenance cost. The counterpart consists in the increased tripping times offered by this kind of relays mostly before faults located far from their location; this problem can be particularly accentuated when standardized inverse-time curves are used or when only maximum faults are considered to carry out relay coordination. These limitations have caused overcurrent relay to be slowly relegated and replaced by more sophisticated protection principles, it is still widely applied in subtransmission, distribution, and industrial systems. In this work, the use of non standardized inverse-time curves, the model and implementation of optimization algorithms capable to carry out the coordination process, the use of different levels of short circuit currents, and the inclusion of distance relays to replace insensitive overcurrent ones are proposed methodologies focused on the overcurrent relay performance improvement. These techniques may transform the typical overcurrent relay into a more sophisticated one without changing its fundamental principles and advantages. Consequently a more secure and still economical alternative can be obtained, increasing its implementation area