Bootstrapping high frequency data

Nous développons dans cette thèse, des méthodes de bootstrap pour les données financières de hautes fréquences. Les deux premiers essais focalisent sur les méthodes de bootstrap appliquées à l’approche de "pré-moyennement" et robustes à la présence d’erreurs de microstructure. Le "pré-moyennement" permet de réduire l’influence de l’effet de microstructure avant d’appliquer la volatilité réalisée. En se basant sur cette ap- proche d’estimation de la volatilité intégrée en présence d’erreurs de microstructure, nous développons plusieurs méthodes de bootstrap qui préservent la structure de dépendance et l’hétérogénéité dans la moyenne des données originelles. Le troisième essai développe une méthode de bootstrap sous l’hypothèse de Gaussianité locale des données financières de hautes fréquences. Le premier chapitre est intitulé: "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns". Nous proposons dans ce chapitre, des méthodes de bootstrap robustes à la présence d’erreurs de microstructure. Particulièrement nous nous sommes focalisés sur la volatilité réalisée utilisant des rendements "pré-moyennés" proposés par Podolskij et Vetter (2009), où les rendements "pré-moyennés" sont construits sur des blocs de rendements à hautes fréquences consécutifs qui ne se chevauchent pas. Le "pré-moyennement" permet de réduire l’influence de l’effet de microstructure avant d’appliquer la volatilité réalisée. Le non-chevauchement des blocs fait que les rendements "pré-moyennés" sont asymptotiquement indépendants, mais possiblement hétéroscédastiques. Ce qui motive l’application du wild bootstrap dans ce contexte. Nous montrons la validité théorique du bootstrap pour construire des intervalles de type percentile et percentile-t. Les simulations Monte Carlo montrent que le bootstrap peut améliorer les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques, pourvu que le choix de la variable externe soit fait de façon appropriée. Nous illustrons ces méthodes en utilisant des données financières réelles. Le deuxième chapitre est intitulé : "Bootstrapping pre-averaged realized volatility under market microstructure noise". Nous développons dans ce chapitre une méthode de bootstrap par bloc basée sur l’approche "pré-moyennement" de Jacod et al. (2009), où les rendements "pré-moyennés" sont construits sur des blocs de rendements à haute fréquences consécutifs qui se chevauchent. Le chevauchement des blocs induit une forte dépendance dans la structure des rendements "pré-moyennés". En effet les rendements "pré-moyennés" sont m-dépendant avec m qui croît à une vitesse plus faible que la taille d’échantillon n. Ceci motive l’application d’un bootstrap par bloc spécifique. Nous montrons que le bloc bootstrap suggéré par Bühlmann et Künsch (1995) n’est valide que lorsque la volatilité est constante. Ceci est dû à l’hétérogénéité dans la moyenne des rendements "pré-moyennés" au carré lorsque la volatilité est stochastique. Nous proposons donc une nouvelle procédure de bootstrap qui combine le wild bootstrap et le bootstrap par bloc, de telle sorte que la dépendance sérielle des rendements "pré-moyennés" est préservée à l’intérieur des blocs et la condition d’homogénéité nécessaire pour la validité du bootstrap est respectée. Sous des conditions de taille de bloc, nous montrons que cette méthode est convergente. Les simulations Monte Carlo montrent que le bootstrap améliore les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques. Nous illustrons cette méthode en utilisant des données financières réelles. Le troisième chapitre est intitulé: "Bootstrapping realized covolatility measures under local Gaussianity assumption". Dans ce chapitre nous montrons, comment et dans quelle mesure on peut approximer les distributions des estimateurs de mesures de co-volatilité sous l’hypothèse de Gaussianité locale des rendements. En particulier nous proposons une nouvelle méthode de bootstrap sous ces hypothèses. Nous nous sommes focalisés sur la volatilité réalisée et sur le beta réalisé. Nous montrons que la nouvelle méthode de bootstrap appliquée au beta réalisé était capable de répliquer les cummulants au deuxième ordre, tandis qu’il procurait une amélioration au troisième degré lorsqu’elle est appliquée à la volatilité réalisée. Ces résultats améliorent donc les résultats existants dans cette littérature, notamment ceux de Gonçalves et Meddahi (2009) et de Dovonon, Gonçalves et Meddahi (2013). Les simulations Monte Carlo montrent que le bootstrap améliore les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques et les résultats de bootstrap existants. Nous illustrons cette méthode en utilisant des données financières réelles.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

A survey in mathematics for industry: Two-timing and matched asymptotic expansions for singular perturbation problems

Following the derivation of amplitude equations through a new two-time-scale method [O'Malley, R. E., Jr. & Kirkinis, E (2010) A combined renormalization group-multiple scale method for singularly perturbed problems. Stud. Appl. Math. 124, 383-410], we show that a multi-scale method may often be preferable for solving singularly perturbed problems than the method of matched asymptotic expansions. We illustrate this approach with 10 singularly perturbed ordinary and partial differential equations. © 2011 Cambridge University Press.

Amplitude equations and asymptotic expansions for multi-scale problems

In this paper we introduce a new technique to obtain the slow-motion dynamics in nonequilibrium and singularly perturbed problems characterized by multiple scales. Our method is based on a straightforward asymptotic reduction of the order of the governing differential equation and leads to amplitude equations that describe the slowly-varying envelope variation of a uniformly valid asymptotic expansion. This may constitute a simpler and in certain cases a more general approach toward the derivation of asymptotic expansions, compared to other mainstream methods such as the method of Multiple Scales or Matched Asymptotic expansions because of its relation with the Renormalization Group. We illustrate our method with a number of singularly perturbed problems for ordinary and partial differential equations and recover certain results from the literature as special cases. © 2010 - IOS Press and the authors. All rights reserved.

Perturbation expansions and series acceleration procedures: Part-II. Extrapolation techniques

Three new procedures for the extrapolation of series coefficients from a given power series expansion are proposed. They are based on (i) a novel resummation identity, (ii) parametrised Euler transformation (pet) and (iii) a modifiedpet. Several examples taken from the Ising model series expansions, ferrimagnetic systems, etc., are illustrated. Apart from these applications, the higher order virial coefficients for hard spheres and hard discs have also been evaluated using the new techniques and these are compared with the estimates obtained by other methods. A satisfactory agreement is revealed between the two.

Changes in CO2 emissions over business cycle recessions and expansions in the United States: A decomposition analysis

This paper examines the asymmetry of changes in CO2 emissions over business cycle recessions and expansions using yearly data from 1949 and monthly data from 1973 for the United States (US). In addition, decomposition analysis is applied to investigate the relative roles of various proximate contributing factors to observed changes in total and per capita CO2 emissions and emissions intensity, over business cycle phases. The results suggest, inter alia, that aggregate emissions and emissions intensity reduce much faster in contractions than they increase in expansions. In addition, unlike the three previous expansions, in the most recent post-GFC US expansion, emissions per capita have continued to decline, and at a rate very similar to the rate of reduction in preceding contractions. This suggests the real possibility that the most recent contraction may have had an ongoing impact on the path of per capita emissions well beyond the immediate impact experienced during the contraction itself.

Generalized asymptotic expansions for coupled wavenumbers in fluid-filled cylindrical shells

Analytical expressions are found for the coupled wavenumbers in an infinite fluid-filled cylindrical shell using the asymptotic methods. These expressions are valid for any general circumferential order (n).The shallow shell theory (which is more accurate at higher frequencies)is used to model the cylinder. Initially, the in vacua shell is dealt with and asymptotic expressions are derived for the shell wavenumbers in the high-and the low-frequency regimes. Next, the fluid-filled shell is considered. Defining a relevant fluid-loading parameter p, we find solutions for the limiting cases of small and large p. Wherever relevant, a frequency scaling parameter along with some ingenuity is used to arrive at an elegant asymptotic expression. In all cases.Poisson's ratio v is used as an expansion variable. The asymptotic results are compared with numerical solutions of the dispersion equation and the dispersion relation obtained by using the more general Donnell-Mushtari shell theory (in vacuo and fluid-filled). A good match is obtained. Hence, the contribution of this work lies in the extension of the existing literature to include arbitrary circumferential orders(n). (C) 2010 Elsevier Ltd. All rights reserved.

Hermite expansions on R(N) for radial functions

It is proved that the Riesz means S(R)(delta)f, delta > 0, for the Hermite expansions on R(n), n greater-than-or-equal-to 2, satisfy the uniform estimates \\S(R)(delta)f\\p less-than-or-equal-to C \\f\\p for all radial functions if and only if p lies in the interval 2n/(n + 1 + 2delta) < p < 2n/(n - 1 - 2delta).

Effective action and adiabatic expansions for the 1-D and 2-D hubbard models at half-filling

We analyze here the occurrence of antiferromagnetic (AFM) correlations in the half-filled Hubbard model in one and two space dimensions using a natural fermionic representation of the model and a newly proposed way of implementing the half-filling constraint. We find that our way of implementing the constraint is capable of enforcing it exactly already at the lowest levels of approximation. We discuss how to develop a systematic adiabatic expansion for the model and how Berry's phase contributions arise quite naturally from the adiabatic expansion. At low temperatures and in the continuum limit the model gets mapped onto an O(3) nonlinear sigma model (NLsigma). A topological, Wess-Zumino term is present in the effective action of the ID NLsigma as expected, while no topological terms are present in 2D. Some specific difficulties that arise in connection with the implementation of an adiabatic expansion scheme within a thermodynamic context are also discussed, and we hint at possible solutions.

Generalized asymptotic expansions for the wavenumbers in infinite flexible in vacuo orthotropic cylindrical shells

Analytical expressions are found for the wavenumbers and resonance frequencies in flexible, orthotropic shells using the asymptotic methods. These expressions are valid for arbitrary circumferential orders n. The Donnell-Mushtari shell theory is used to model the dynamics of the cylindrical shell. Initially, an in vacuo cylindrical isotropic shell is considered and expressions for all the wavenumbers (bending, near-field bending, longitudinal and torsional) are found. Subsequently, defining a suitable orthotropy parameter epsilon, the problem of wave propagation in an orthotropic shell is posed as a perturbation on the corresponding problem for an isotropic shell. Asymptotic expressions for the wavenumbers in the in vacuo orthotropic shell are then obtained by treating epsilon as an expansion parameter. In both cases (isotropy and orthotropy), a frequency-scaling parameter (eta) and Poisson's ratio (nu) are used to find elegant expansions in the different frequency regimes. The asymptotic expansions are compared with numerical solutions in each of the cases and the match is found to be good. The main contribution of this work lies in the extension of the existing literature by developing closed-form expressions for wavenumbers with arbitrary circumferential orders n in the case of both, isotropic and orthotropic shells. Finally, we present natural frequency expressions in finite shells (isotropic and orthotropic) for the axisymmetric mode and compare them with numerical and ANSYS results. Here also, the comparison is found to be good. (C) 2011 Elsevier Ltd. All rights reserved.

On Generalized Reed-Muller Expansions

The generalized Reed-Muller expansions of a switching function are generated using a single Boolean matrix and step-by-step shifting of the principal column.

Asymptotic expansions for the coupled wavenumbers in an infinite orthotropic flexible fluid-filled cylindrical shell

Analytical expressions are found for the coupled wavenumbers in flexible, fluid-filled, circular cylindrical orthotropic shells using the asymptotic methods. These expressions are valid for arbitrary circumferential orders. The Donnell-Mushtari shell theory is used to model the shell and the effect of the fluid is introduced through the fluid-loading parameter mu. The orthotropic problem is posed as a perturbation on the corresponding isotropic problem by defining a suitable orthotropy parameter epsilon, which is a measure of the degree of orthotropy. For the first study, an isotropic shell is considered (by setting epsilon = 0) and expansions are found for the coupled wavenumbers using a regular perturbation approach. In the second study, asymptotic expansions are found for the coupled wavenumbers in the limit of small orthotropy (epsilon << 1). For each study, isotropy and orthotropy, expansions are found for small and large values of the fluid-loading parameter mu. All the asymptotic solutions are compared with numerical solutions to the coupled dispersion relation and the match is seen to be good. The differences between the isotropic and orthotropic solutions are discussed. The main contribution of this work lies in extending the existing literature beyond in vacuo studies to the case of fluid-filled shells (isotropic and orthotropic).

Asymptotic wavenumber expansions of a strongly orthotropic fluid-filled circular cylindrical shell

In this paper, a suitable nondimensional `orthotropy parameter' is defined and asymptotic expansions are found for the wavenumbers in in vacuo and fluid-filled orthotropic circular cylindrical shells modeled by the Donnell-Mushtari theory. Here, the elastic moduli in the two directions are greatly different; the particular case of E-x >> E-theta is studied in detail, i.e., the elastic modulus in the longitudinal direction is much larger than the elastic modulus in the circumferential direction. These results are compared with the corresponding results for a `slightly orthotropic' shell (E-x approximate to E-theta) and an isotropic shell. The novelty of this presentation lies in obtaining closed-form expansions for the in vacuo and coupled wavenumbers in an orthotropic shell using perturbation methods aiding in a better physical understanding of the problem.

Asymptotic expansions for the structural wavenumbers of isotropic and orthotropic fluid-filled circular cylindrical shells in the intermediate frequency range

We consider wavenumbers in in vacuo and fluid-filled isotropic and orthotropic shells. Using the Donnell-Mushtari (DM) theory we find compact and elegant asymptotic expansions for the wavenumbers in the intermediate frequency range, i.e., around the ring frequency. This frequency range corresponds to the frequencies where there is a rapid change in the values of bending wavenumbers and is found to exist in isotropic and orthotropic shells (in vacua and fluid-filled) for low circumferential orders n only. The same is first identified using the n=0 mode of an orthotropic shell. Following this, using the expression for the intermediate frequency, asymptotic expansions are found for other cases. Here, in order to get compact expansions we consider slight orthotropy (epsilon << 1) and light fluid loading (mu << 1). Thus, the orthotropy parameter epsilon and the fluid loading parameter mu are used as asymptotic parameters along with the non-dimensional thickness parameter beta. The methodology can be extended to any order of epsilon, only the expansions become unwieldy. The expansions are matched with the numerical solutions of the corresponding dispersion relation. The match is found to be good.

Expansions of tau hadronic spectral function moments in a nonpower QCD perturbation theory with tamed large order behavior

The moments of the hadronic spectral functions are of interest for the extraction of the strong coupling alpha(s) and other QCD parameters from the hadronic decays of the tau lepton. Motivated by the recent analyses of a large class of moments in the standard fixed-order and contour-improved perturbation theories, we consider the perturbative behavior of these moments in the framework of a QCD nonpower perturbation theory, defined by the technique of series acceleration by conformal mappings, which simultaneously implements renormalization-group summation and has a tame large-order behavior. Two recently proposed models of the Adler function are employed to generate the higher-order coefficients of the perturbation series and to predict the exact values of the moments, required for testing the properties of the perturbative expansions. We show that the contour-improved nonpower perturbation theories and the renormalization-group-summed nonpower perturbation theories have very good convergence properties for a large class of moments of the so-called ``reference model,'' including moments that are poorly described by the standard expansions. The results provide additional support for the plausibility of the description of the Adler function in terms of a small number of dominant renormalons.