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.

Determinants of left ventricular mass as measured by Doppler echocardiography in pre-adolescents

This study examined factors contributing to the differences in left ventricular mass as measured by Doppler echocardiography in children. Fourteen boys (10.3 ± 0.3 years of age) and 1 1 girls (10.5 ± 0.4 years of age) participated in the study. Height and weight were measured, and relative body fat was determined from the measurement of skinfold thickness according to Slaughter et al. (1988). Lean Body Mass was then calculated by subtracting the fat mass from the total body mass. Sexual maturation was self-assessed using the stages of sexual maturation by Tanner (1962). Both pubic hair development and genital (penis or breast for boys and girls respectively) development were used to determine sexual maturation. Carotid Pulse pressure was assessed by applanation tomometry in the left carotid artery. Cardiac mass was measured by Doppler Echocardiography. Images of cardiac structures were taken using B-Mode and were then translated to M- Mode. The dimensions at the end diastole were obtained at the onset of the QRS complex of the electrocardiogram in a plane through a standard position. Measurements included: (a) the diameter of the left ventricle at the end diastole was measured from the septum edge to the endocardium mean border, (b) the posterior wall was measured as the distance from to anterior wall to the epicardium surface, and (c) the interventricular septum was quantified as the distance from the surface of the left ventricle border to the right ventricle septum surface. Systolic time measurements were taken at the peak of the T-wave of the electrocardiogram. Each measurement was taken three to five times before averaging. Average values were used to calculate cardiac mass using the following equation (Deveraux et al. 1986). Weekly physical activity metabolic equivalent was calculated using a standardize activity questionnaire (Godin and Shepard, 1985) and peakV02 was measured on a cycloergometer. There were no significant differences in cardiovascular mesurements between boys and girls. Left ventricular mass was correlated (p<0.05) with size, maturation, peakV02 and physical activity metabolic equivalent. In boys, lean body mass alone explained 36% of the variance in left ventricular mass while weight was the single strongest predictor of left ventricular mass (R =0.80) in girls. Lean body mass, genital developemnt and physical activity metabolic equivalent together explained 46% and 81% in boys and girls, respectively. However, the combination of lean body mass, genital development and peakV02 (ml kgLBM^ min"') explained up to 84% of the variance in left ventricular mass in girls, but added nothing in boys. It is concluded that left ventricular mass was not statistically different between pre-adolescent boys and girls suggesting that hormonal, and therefore, body size changes in adolescence have a main effect on cardiac development and its final outcome. Although body size parameters were the strongest correlates of left ventricular mass in this pre-adolescent group of children, to our knowledge, this is the first study to report that sexual maturation, as well as physical activity and fitness, are also strong associated with left ventricular mass in pre-adolescents, especially young females. Arterial variables, such as systolic blood pressure and carotid pulse pressure, are not strong determinants of left ventricular mass in this pre-adolescent group. In general, these data suggest that although there is no gender differences in the absolute values of left ventricular mass, as children grow, the factors that determine cardiac mass differ between the genders, even in the same pre-adolescent age.

Quantitative estimates of time-averaging in terebratulid brachiopod shell accumulations from a modern tropical shelf

Quantitative estimates of time-averaging in marine shell accumulations available to date are limited primarily to aragonitic mollusk shells. We assessed time-averaging in Holocene assemblages of calcitic brachiopod shells by direct dating of individual specimens of the terebratulid brachiopod Bouchardia rosea. The data were collected from exceptional (brachiopod-rich) shell assemblages, occurring surficially on a tropical mixed carbonate-siliciclastic shelf (the Southeast Brazilian Bight, SW Atlantic), a setting that provides a good climatic and environmental analog for many Paleozoic brachiopod shell beds of North America and Europe. A total of 82 individual brachiopod shells, collected from four shallow (5-25 m) nearshore (<2.5 km from the shore) localities, were dated by using amino acid racemization (D-alloisoleucine/L-isoleucine value) calibrated with five AMS-radiocarbon dates (r(2) = 0.933). This is the first study to demonstrate that amino acid racemization methods can provide accurate and precise ages for individual shells of calcitic brachiopods.The dated shells vary in age from modern to 3000 years, with a standard deviation of 690 years. The age distribution is strongly right-skewed: the young shells dominate the dated specimens and older shells are increasingly less common. However, the four localities display significant differences in the range of time-averaging and the form of the age distribution. The dated shells vary notably in the quality of preservation, but there is no significant correlation between taphonomic condition and age, either for individual shells or at assemblage level.These results demonstrate that fossil brachiopods may show considerable time-averaging, but the scale and nature of that mixing may vary greatly among sites. Moreover, taphonomic condition is not a reliable indicator of pre-burial history of individual brachiopod shells or the scale of temporal mixing within the entire assemblage. The results obtained for brachiopods are strikingly similar to results previously documented for mollusks and suggest that differences in mineralogy and shell microstructure are unlikely to be the primary factors controlling the nature and scale of time-averaging. Environmental factors and local fluctuations in populations of shell-producing organisms are more likely to be the principal determinants of time-averaging in marine benthic shelly assemblages. The long-term survival of brachiopod shells is incongruent with the rapid shell destruction observed in taphonomic experiments. The results support the taphonomic model that shells remain protected below (but perhaps near) the surface through their early taphonomic history. They may be brought back up to the surface intermittently by bioturbation and physical reworking, but only for short periods of time. This model explains the striking similarities in time-averaging among different types of organisms and the lack of correlation between time-since-death and shell taphonomy.

Temporomandibular Dysfunction Post-craniotomy: Evaluation Between Pre- And Post-operative Status.

To identify risk factors associated with post-operative temporomandibular joint dysfunction after craniotomy. The study sample included 24 patients, mean age of 37.3 ± 10 years; eligible for surgery for refractory epilepsy, evaluated according to RDC/TMD before and after surgery. The primary predictor was the time after the surgery. The primary outcome variable was maximal mouth opening. Other outcome variables were: disc displacement, bruxism, TMJ sound, TMJ pain, and pain associated to mandibular movements. Data analyses were performed using bivariate and multiple regression methods. The maximal mouth opening was significantly reduced after surgery in all patients (p = 0.03). In the multiple regression model, time of evaluation and pre-operative bruxism were significantly (p < .05) associated with an increased risk for TMD post-surgery. A significant correlation between surgery follow-up time and maximal opening mouth was found. Pre-operative bruxism was associated with increased risk for temporomandibular joint dysfunction after craniotomy.

Association Between Parity, Pre-pregnancy Body Mass Index And Gestational Weight Gain.

To analyze the relationship between parity, pre-pregnancy body mass index (BMI), and gestational weight gain (GWG). This observational controlled study was conducted from November 2013 to April 2014, with postpartum women who started antenatal care up to 14 weeks and had full-term births. Data were collected from medical records and antenatal cards. Descriptive and bivariate analyses were performed. The significance level was 5%. Data were collected from 130 primiparous and 160 multiparous women. At the beginning of prenatal care, 54.62% of the primiparous were eutrophic, while the majority of multiparous were overweight or obese (62.51%). Multiparas are two times more likely to be obese at the beginning of their pregnancies, when compared to primiparas. The average pre-pregnancy weight and final pregnancy weight was significantly higher in multiparous, however, the mean GWG was higher among primiparous. We found an inverse correlation between parity and the total GWG, but initial BMI was significantly higher in multiparas. Nevertheless, monitoring of the GWG through actions that promote a healthier lifestyle is needed, regardless of parity and nutritional status, in order to prevent excessive GWG and postpartum weight retention and consequently inadequate pre-pregnancy nutritional status in future pregnancies.

A comunicação corporal na pre-escola : caminhos e descaminhos

Universidade Estadual de Campinas . Faculdade de Educação Física

Crescimento e desempenho motor em pre-escolares de Itapira SP : um enfoque bio-social-cultural

Universidade Estadual de Campinas. Faculdade de Educação Física

A criança pre-escolar em Ilhabela : crescimento e atividade motora

Universidade Estadual de Campinas . Faculdade de Educação Física

Desenvolvimento da consciencia corporal : uma experiencia da Educação Fisica na idade pre-escolar

Universidade Estadual de Campinas . Faculdade de Educação Física

As expressões simbolicas nas atividades ludicas com crianças na pre-escola

Universidade Estadual de Campinas. Faculdade de Educação Física

Mudanças nas variaveis de aptidão fisica numa equipe de futebol da 1ª divisão do campeonato nacional durante uma pre-temporada

Universidade Estadual de Campinas . Faculdade de Educação Física

Pre-processing for noise detection in gene expression classification data

Due to the imprecise nature of biological experiments, biological data is often characterized by the presence of redundant and noisy data. This may be due to errors that occurred during data collection, such as contaminations in laboratorial samples. It is the case of gene expression data, where the equipments and tools currently used frequently produce noisy biological data. Machine Learning algorithms have been successfully used in gene expression data analysis. Although many Machine Learning algorithms can deal with noise, detecting and removing noisy instances from the training data set can help the induction of the target hypothesis. This paper evaluates the use of distance-based pre-processing techniques for noise detection in gene expression data classification problems. This evaluation analyzes the effectiveness of the techniques investigated in removing noisy data, measured by the accuracy obtained by different Machine Learning classifiers over the pre-processed data.

Evaluation of a simple hyphenated system for flow injection solid-phase pre-concentration and capillary electrophoresis

In this work, the development and evaluation of a hyphenated flow injection-capillary electrophoresis system with on-line pre-concentration is described. Preliminary tests were performed to investigate the influence of flow rates over the analytical signals. Results revealed losses in terms of sensitivity of the FIA-CE system when compared to the conventional CE system. To overcome signal decrease and to make the system more efficient, a lower flow rate was set and an anionic resin column was added to the flow manifold in order to pre-concentrate the analyte. The pre-concentration FIA-CE system presented a sensitivity improvement of about 660% and there was only a small increase of 8% in total peak dispersion. These results have confirmed the great potential of the proposed system for many analytical tasks especially for low concentration samples.

Hydrodynamics and suspended sediment transport in the Camboriú estuary - Brazil: pre jetty conditions

Estuarine hydrodynamics is a key factor in the definition of the filtering capacity of an estuary and results from the interaction of the processes that control the inlet morphodynamics and those that are acting in the mixing of the water in the estuary. The hydrodynamics and suspended sediment transport in the Camboriú estuary were assessed by two field campaigns conducted in 1998 that covered both neap and spring tide conditions. The period measured represents the estuarine hydrodynamics and sediment transport prior to the construction of the jetty in 2003 and provides important background information for the Camboriú estuary. Each field campaign covered two complete tidal cycles with hourly measurements of currents, salinity, suspended sediment concentration and water level. Results show that the Camboriú estuary is partially mixed with the vertical structure varying as a function of the tidal range and tidal phase. The dynamic estuarine structure can be balanced between the stabilizing effects generated by the vertical density gradient, which produces buoyancy and stratification flows, and the turbulent effects generated by the vertical velocity gradient that generates vertical mixing. The main sediment source for the water column are the bottom sediments, periodically resuspended by the tidal currents. The advective salt and suspended sediment transport was different between neap and spring tides, being more complex at spring tide. The river discharge term was important under both tidal conditions. The tidal correlation term was also important, being dominant in the suspended sediment transport during the spring tide. The gravitational circulation and Stokes drift played a secondary role in the estuarine transport processes.

Origem e distribuição dos nervos isquiáticos do preá

O preá do semiárido nordestino (Galea spixii Wagler, 1831) é um roedor pertencente à família Caviidae. Pouca literatura é encontrada sobre essa espécie em relação a sua morfologia e seu comportamento ambiental e reprodutivo. Com o objetivo de entender a morfologia geral, em foco, na inervação do membro pélvico dessa espécie, neste trabalho, foi explorado o nervo isquiático, o qual é o maior de todos os nervos do organismo. Foram utilizados 10 preás (cinco machos e cinco fêmeas) que vieram a óbito por causas naturais, oriundos do Centro de Multiplicação de Animais Silvestres da Universidade Federal Rural do Semiárido (CEMAS/UFERSA). Os animais foram fixados após o óbito em solução aquosa de formaldeído 10% e, após 48 horas de imersão nessa solução, foram dissecados para exposição do nervo isquiático. Dessa forma, os dados obtidos foram compilados em tabelas e expressos em desenhos esquemáticos e fotografias. Os pares de nervos isquiáticos originaram-se de raízes ventrais de L6L7S1 (70%) e de L7S1S2 (30%) e distribuíram-se pelos músculos glúteo profundo, bíceps femural, semitendinoso e semimembranoso.