Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Modelo da dinâmica de um livro de ordens para aplicações em high-frequency trading

As operações de alta frequência (High-Frequency Trading - HFT) estão crescendo cada vez mais na BOVESPA (Bolsa de Valores de São Paulo), porém seu volume ainda se encontra muito atrás do volume de operações similares realizadas em outras bolsas de relevância internacional. Este trabalho pretende criar oportunidades para futuras aplicações e pesquisas nesta área. Visando aplicações práticas, este trabalho foca na aplicação de um modelo que rege a dinâmica do livro de ordens a dados do mercado brasileiro. Tal modelo é construído com base em informações do próprio livro de ordens, apenas. Depois de construído o modelo, o mesmo é utilizado em uma simulação de uma estratégia de arbitragem estatística de alta frequência. A base de dados utilizada para a realização deste trabalho é constituída pelas ordens lançadas na BOVESPA para a ação PETR4.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Industry analysis of the high frequency trading industry : an assessment of the industry boundaries, environment and strategic options

O Mercado Acionário Americano evoluiu rapidamente na última década. Este tornou-se uma arquitetura aberta em que participantes com tecnologia inovadora podem competir de forma eficaz. Várias mudanças regulatórias e inovações tecnológicas permitiram mudanças profundas na estrutura do mercado. Essas mudanças, junto com o desenvolvimento tecnológico de redes de alta velocidade, agiu como um catalisador, dando origem a uma nova forma de negociação, denominada Negociação em Alta Frequência (HFT). As empresas de HFT surgiram e se apropriaram em larga escala do negócio de formação de mercado, no fornecimento de liquidez. Embora HFT tem crescido massivamente, ao longo dos últimos quatro anos, HFT perdeu rentabilidade significativamente, uma vez que mais empresas aderiram ao setor reduzindo as margens. Portanto, diante deste contexto, esta tese buscou apresentar uma breve revisão sobre a atividade de HFT, seguida de uma análise dos limites deste setor, bem como, das características do macroambiente do HFT. Para tanto, a tese realizou uma extensa revisão do histórico literário, documentos públicos qualitativos, tais como, jornais, atas de reunião e relatórios oficiais. A tese empregou um ferramental de análise, Barreiras de Entrada e Mobilidade (Porter, 1980); Modelos de Evolução Setorial (McGahan, 2004); Estrutura do Setor de Informação Intensiva (Sampler, 1998), para analisar os limites do setor de HFT. Adicionalmente, empregou as ferramentas de análise, Modelos de Evolução Setorial (McGahan, 2004) e PESTEL (JOHNSON, SCHOLES, and WHITTINGTON, 2011), para analisar o setor e o contexto que envolve o negócio de HFT. A análise concluiu que as empresas que empregam HFT para atuar e competir no mercado acionário, compoem um setor independente.

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.

Feeding level and frequency for freshwater angelfish

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Conversor CC/CA de alta freqüência baseado em inversores ressonantes com comutação seqüencial para excitação de uma tocha indutiva a plasma térmico

This work describes the study, the analysis, the project methodology and the constructive details of a high frequency DC/AC resonant series converter using sequential commutation techniques for the excitation of an inductive coupled thermal plasma torch. The aim of this thesis is to show the new modulation technique potentialities and to present a technological option for the high-frequency electronic power converters development. The resonant converter operates at 50 kW output power under a 400 kHz frequency and it is constituted by inverter cells using ultra-fast IGBT devices. In order to minimize the turn-off losses, the inverter cells operates in a ZVS mode referred by a modified PLL loop that maintains this condition stable, despite the load variations. The sequential pulse gating command strategy used it allows to operate the IGBT devices on its maximum power limits using the derating and destressing current scheme, as well as it propitiates a frequency multiplication of the inverters set. The output converter is connected to a series resonant circuit constituted by the applicator ICTP torch, a compensation capacitor and an impedance matching RF transformer. At the final, are presented the experimental results and the many tests achieved in laboratory as form to validate the proposed new technique

Antenas de microfita com patch quase-fractal para aplicações em Redes WPAN/WLAN

The microstrip antennas are in constant evidence in current researches due to several advantages that it presents. Fractal geometry coupled with good performance and convenience of the planar structures are an excellent combination for design and analysis of structures with ever smaller features and multi-resonant and broadband. This geometry has been applied in such patch microstrip antennas to reduce its size and highlight its multi-band behavior. Compared with the conventional microstrip antennas, the quasifractal patch antennas have lower frequencies of resonance, enabling the manufacture of more compact antennas. The aim of this work is the design of quasi-fractal patch antennas through the use of Koch and Minkowski fractal curves applied to radiating and nonradiating antenna s edges of conventional rectangular patch fed by microstrip inset-fed line, initially designed for the frequency of 2.45 GHz. The inset-fed technique is investigated for the impedance matching of fractal antennas, which are fed through lines of microstrip. The efficiency of this technique is investigated experimentally and compared with simulations carried out by commercial software Ansoft Designer used for precise analysis of the electromagnetic behavior of antennas by the method of moments and the neural model proposed. In this dissertation a study of literature on theory of microstrip antennas is done, the same study is performed on the fractal geometry, giving more emphasis to its various forms, techniques for generation of fractals and its applicability. This work also presents a study on artificial neural networks, showing the types/architecture of networks used and their characteristics as well as the training algorithms that were used for their implementation. The equations of settings of the parameters for networks used in this study were derived from the gradient method. It will also be carried out research with emphasis on miniaturization of the proposed new structures, showing how an antenna designed with contours fractals is capable of a miniaturized antenna conventional rectangular patch. The study also consists of a modeling through artificial neural networks of the various parameters of the electromagnetic near-fractal antennas. The presented results demonstrate the excellent capacity of modeling techniques for neural microstrip antennas and all algorithms used in this work in achieving the proposed models were implemented in commercial software simulation of Matlab 7. In order to validate the results, several prototypes of antennas were built, measured on a vector network analyzer and simulated in software for comparison

Análise e projeto de superfícies seletivas de frequência com elementos pré-fractais para aplicações em comunicações indoor

In this thesis, a frequency selective surface (FSS) consists of a two-dimensional periodic structure mounted on a dielectric substrate, which is capable of selecting signals in one or more frequency bands of interest. In search of better performance, more compact dimensions, low cost manufacturing, among other characteristics, these periodic structures have been continually optimized over time. Due to its spectral characteristics, which are similar to band-stop or band-pass filters, the FSSs have been studied and used in several applications for more than four decades. The design of an FSS with a periodic structure composed by pre-fractal elements facilitates the tuning of these spatial filters and the adjustment of its electromagnetic parameters, enabling a compact design which generally has a stable frequency response and superior performance relative to its euclidean counterpart. The unique properties of geometric fractals have shown to be useful, mainly in the production of antennas and frequency selective surfaces, enabling innovative solutions and commercial applications in microwave range. In recent applications, the FSSs modify the indoor propagation environments (emerging concept called wireless building ). In this context, the use of pre-fractal elements has also shown promising results, allowing a more effective filtering of more than one frequency band with a single-layer structure. This thesis approaches the design of FSSs using pre-fractal elements based on Vicsek, Peano and teragons geometries, which act as band-stop spatial filters. The transmission properties of the periodic surfaces are analyzed to design compact and efficient devices with stable frequency responses, applicable to microwave frequency range and suitable for use in indoor communications. The results are discussed in terms of the electromagnetic effect resulting from the variation of parameters such as: fractal iteration number (or fractal level), scale factor, fractal dimension and periodicity of FSS, according the pre-fractal element applied on the surface. The analysis of the fractal dimension s influence on the resonant properties of a FSS is a new contribution in relation to researches about microwave devices that use fractal geometry. Due to its own characteristics and the geometric shape of the Peano pre-fractal elements, the reconfiguration possibility of these structures is also investigated and discussed. This thesis also approaches, the construction of efficient selective filters with new configurations of teragons pre-fractal patches, proposed to control the WLAN coverage in indoor environments by rejecting the signals in the bands of 2.4~2.5 GHz (IEEE 802.11 b) and 5.0~6.0 GHz (IEEE 802.11a). The FSSs are initially analyzed through simulations performed by commercial software s: Ansoft DesignerTM and HFSSTM. The fractal design methodology is validated by experimental characterization of the built prototypes, using alternatively, different measurement setups, with commercial horn antennas and microstrip monopoles fabricated for low cost measurements

Uma fonte chaveada de 50kW com correção de fator de potência para alimentação de uma tocha de plasma Indutiva utilizando técnicas de controle digital

This work deals with the development of an experimental study on a power supply of high frequency that provides the toch plasmica to be implemented in PLASPETRO project, which consists of two static converters developed by using Insulated Gate Bipolar Transistor (IGBT). The drivers used to control these keys are triggered by Digital Signal Processor (DSP) through optical fibers to reduce problems with electromagnetic interference (EMI). The first stage consists of a pre-regulator in the form of an AC to DC converter with three-phase boost power factor correction which is the main theme of this work, while the second is the source of high frequency itself. A series-resonant inverter consists of four (4) cell inverters operating in a frequency around 115 kHz each one in soft switching mode, alternating itself to supply the load (plasma torch) an alternating current with a frequency of 450 kHz. The first stage has the function of providing the series-resonant inverter a DC voltage, with the value controlled from the power supply provided by the electrical system of the utility, and correct the power factor of the system as a whole. This level of DC bus voltage at the output of the first stage will be used to control the power transferred by the inverter to the load, and it may vary from 550 VDC to a maximum of 800 VDC. To control the voltage level of DC bus driver used a proportional integral (PI) controller and to achieve the unity power factor it was used two other proportional integral currents controllers. Computational simulations were performed to assist in sizing and forecasting performance. All the control and communications needed to stage supervisory were implemented on a DSP

Desenvolvimento de antenas de microfita com aberturas nos patches condutores através do método da segmentação

Microstrip antennas are widely used in modern telecommunication systems. This is particularly due to the great variety of geometries and because they are easily built and integrated to other high frequency devices and circuits. This work presents a study of the properties of the microstrip antenna with an aperture impressed in the conducting patch. Besides, the analysis is performed for isotropic and anisotropic dielectric substrates. The Multiport Network Model MNM is used in combination with the Segmentation Method and the Greens function technique in the analysis of the considered microstrip antenna geometries. The numerical analysis is performed by using the boundary value problem solution, by considering separately the impedance matrix of the structure segments. The analysis for the complete structure is implemented by choosing properly the number and location of the neighboor element ports. The numerial analysis is performed for the following antenna geometries: resonant cavity, microstrip rectangular patch antenna, and microstrip rectangular patch antenna with aperture. The analysis is firstly developed for microstrip antennas on isotropic substrates, and then extended to the case of microstrip antennas on anisotropic substrates by using a Mapping Method. The experimental work is described and related to the development of several prototypes of rectangular microstrip patch antennas wtih and without rectangular apertures. A good agreement was observed between the simulated and measured results. Thereafter, a good agreement was also observed between the results of this work and those shown in literature for microstrip antennas on isotropic substrates. Furthermore, results are proposed for rectangular microstrip patch antennas wtih rectangular apertures in the conducting patch

The wavelet method as an alternative for reducing ionospheric effects from single-frequency GPS receivers

The ionospheric effect is one of the major errors in GPS data processing over long baselines. As a dispersive medium, it is possible to compute its influence on the GPS signal with the ionosphere-free linear combination of L1 and L2 observables, requiring dual-frequency receivers. In the case of single-frequency receivers, ionospheric effects are either neglected or reduced by using a model. In this paper, an alternative for single-frequency users is proposed. It involves multiresolution analysis (MRA) using a wavelet analysis of the double-difference observations to remove the short- and medium-scale ionosphere variations and disturbances, as well as some minor tropospheric effects. Experiments were carried out over three baseline lengths from 50 to 450 km, and the results provided by the proposed method were better than those from dual-frequency receivers. The horizontal root mean square was of about 0.28 m (1 sigma).

Wavelet shrinkage: High frequency multipath reduction from GPS relative positioning

The wavelet transform is used to reduce the high frequency multipath of pseudorange and carrier phase GPS double differences (DDs). This transform decomposes the DD signal, thus separating the high frequencies due to multipath effects. After the decomposition, the wavelet shrinkage is performed by thresholding to eliminate the high frequency component. Then the signal can be reconstructed without the high frequency component. We show how to choose the best threshold. Although the high frequency multipath is not the main multipath error component, its correction provides improvements of about 30% in pseudorange average residuals and 24% in carrier phases. The results also show that the ambiguity solutions become more reliable after correcting the high frequency multipath.

Comparison of the Polar S810i monitor and the ECG for the analysis of heart rate variability in the time and frequency domains

The aim of the present study was to compare heart rate variability (HRV) at rest and during exercise using a temporal series obtained with the Polar S810i monitor and a signal from a LYNX® signal conditioner (BIO EMG 1000 model) with a channel configured for the acquisition of ECG signals. Fifteen healthy subjects aged 20.9 ± 1.4 years were analyzed. The subjects remained at rest for 20 min and performed exercise for another 20 min with the workload selected to achieve 60% of submaximal heart rate. RR series were obtained for each individual with a Polar S810i instrument and with an ECG analyzed with a biological signal conditioner. The HRV indices (rMSSD, pNN50, LFnu, HFnu, and LF/HF) were calculated after signal processing and analysis. The unpaired Student t-test and intraclass correlation coefficient were used for data analysis. No statistically significant differences were observed when comparing the values analyzed by means of the two devices for HRV at rest and during exercise. The intraclass correlation coefficient demonstrated satisfactory correlation between the values obtained by the devices at rest (pNN50 = 0.994; rMSSD = 0.995; LFnu = 0.978; HFnu = 0.978; LF/HF = 0.982) and during exercise (pNN50 = 0.869; rMSSD = 0.929; LFnu = 0.973; HFnu = 0.973; LF/HF = 0.942). The calculation of HRV values by means of temporal series obtained from the Polar S810i instrument appears to be as reliable as those obtained by processing the ECG signal captured with a signal conditioner.