Limit theorems for nearly unstable Hawkes processes

Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that very often, only nearly unstable Hawkes processes are able to fit the data properly. By nearly unstable, we mean that the $L^1$ norm of their kernel is close to unity. We study in this work such processes for which the stability condition is almost violated. Our main result states that after suitable rescaling, they asymptotically behave like integrated Cox-Ingersoll-Ross models. Thus, modeling financial order flows as nearly unstable Hawkes processes may be a good way to reproduce both their high and low frequency stylized facts. We then extend this result to the Hawkes-based price model introduced by Bacry et al. [Quant. Finance 13 (2013) 65-77]. We show that under a similar criticality condition, this process converges to a Heston model. Again, we recover well-known stylized facts of prices, both at the microstructure level and at the macroscopic scale.Comment: Published in at http://dx.doi.org/10.1214/14-AAP1005 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

The different asymptotic regimes of nearly unstable autoregressive processes

We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by using limit theorems for some well chosen geometric sums. We prove that when the coefficients sequence has a light tail, infinite order nearly unstable autoregressive processes behave as Ornstein-Uhlenbeck models. However, in the heavy tail case, we show that fractional diffusions arise as limiting laws for such processes.Comment: 16 page

Limit theorems for nearly unstable Hawkes processes: Version with technical appendix

Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high frequency finance. However, in practice, the statistical estimation results seem to show that very often, only "nearly unstable Hawkes processes" are able to fit the data properly. By nearly unstable, we mean that the L1 norm of their kernel is close to unity. We study in this work such processes for which the stability condition is almost violated. Our main result states that after suitable rescaling, they asymptotically behave like integrated Cox Ingersoll Ross models. Thus, modeling financial order flows as nearly unstable Hawkes processes may be a good way to reproduce both their high and low frequency stylized facts. We then extend this result to the Hawkes based price model introduced by Bacry et al. We show that under a similar criticality condition, this process converges to a Heston model. Again, we recover well known stylized facts of prices, both at the microstructure level and at the macroscopic scale

Análisis comparativo del indicador del desempeño fiscal de los departamentos categoría 4 y 1 de Colombia vigencia 2016

Trabajo de InvestigaciónUn análisis comparativo del indicador del desempeño fiscal de los departamentos categoría 4 y 1, con el fin de identificar la capacidad de ahorro, inversión, endeudamiento, nivel de ingresos que corresponden a recursos propios, nivel de dependencia de las transferencias, y el nivel de autofinanciación del gasto. Con el fin de identificar las razones por la que estos departamentos se ubicaron en esas respectivas categorías para el año 2016.1. Resumen. 2. Introducción 3. Marco teórico. 4. Marco Legal. 5. Metodología. 6. Resultados. 7. Conclusiones. 8. Recomendaciones.PregradoEconomist

Tecnocultura y aprendizaje

El proyectoTecno cultura y aprendizaje: Implementación de un software educativo especializado para la enseñanza y aprendizaje del folclor de la región andina Colombianasurge como una propuesta pedagógica mediatizada, que tiene dentro de su objetivo analizar el impacto de articular las tecnologías de la información y la comunicación educativa, con las practicas pedagógicas en el grado 5 de primaria de la Institución Educativa Manuelita Sáenz(Dosquebradas-Risaralda); con el propósito generar una herramienta pedagógica especializada, y que dentro sus procesos de enseñanza y aprendizaje desarrolle como tema principal el folclor de la región andina colombiana. Esta herramienta busca evidenciar el impacto pedagógico que puede llegar a tener un software educativo, y cuando hacemos referencia a impacto pedagógico nos referimos a los cambios, mejoras, dificultades y conclusiones, que podremos analizar al final del proceso (Para la construcción del Software Educativo Especializado se utilizóun generador de Software que posibilita, crear y modificar, de forma rápida el contenido que se desea exponera quienes va dirigida la actividad de aprendizaje mediada por la herramienta informática). La estructura Metodológica del proceso de investigación se planteódesde dos momentos principales, un Pre-Test (que nos dará el punto inicial del proceso, para entender el contexto educativo antes de la aplicación del software educativo especializado); y un Post-Test (en el cual podremos hacer una conclusión de cómo término el proceso educativo).The project Techno culture and learning: Implementation of a specialized educational software for teaching and learning the folklore of the Colombian Andean region emerges as a pedagogical mediated, which has within its objective to analyze the joint impact of information technologies and educational communication (ICT), with pedagogical practices in the grade 5th of School Manuelita Saenz (Dosquebradas-Risaralda) in order to generate a specialized educational tool, and that within their teaching and learning processes develop as main theme the folklore of the Colombian Andean region. This tool seeks to demonstrate the pedagogical impact that can have an educational software, and when we refer to pedagogical impact we refer to changes, improvements, difficulties and conclusions, we can analyze at the end of the process (for the construction of Specialized Educational Software generator was used Software gives us the ability to create and modify, quickly and easily the content you want to display to the people targeted by the program). The methodological structure of the research process was raised from two principal moments a Pre-Test (which will give us the starting point of the process, to understand the educational context before the application of specialized educational software) and a Post-Test (in which we can make a conclusion on how to complete the educational process)

Larval learning affects adult nest-mate recognition in the ant Aphaenogaster senilis

Relatório de estágio do mestrado em Ensino da Educação Física nos Ensinos Básico e Secundário, apresentada à Faculdade de Ciências do Desporto e Educação Física da Universidade de CoimbraO Mestrado em Ensino da Educação Física nos Ensino Básico e Secundário da Faculdade de Ciências do Desporto e Educação Física da Universidade de Coimbra, engloba uma componente prática que permite a profissionalização, através do aprofundamento alargado dos conhecimentos de intervenção profissional na área de Educação Física. O presente documento denominado Relatório Final do Estágio Pedagógico, foi produzido com o propósito de descrever todo o processo de aprendizagem realizado ao longo da nossa intervenção pedagógica na Escola Básica 2,3/S Dr. Daniel de Matos - Vila Nova de Poiares, com a turma do 9º B no presente ano letivo. Deste modo, todo este documento contempla um conjunto de tarefas inerentes ao processo de ensino-aprendizagem que permite a organização, realização, avaliação e reflexão de todo o processo pedagógico. O relatório apresenta-se estruturado de acordo com as atividades desenvolvidas, iniciando com o primeiro capítulo, onde refletimos sobre Expectativas e Opções Iniciais em Relação ao Estágio. Seguimos com a Análise Reflexiva da Prática Pedagógica, mais precisamente no que respeita ao Planeamento; Realização e Avaliação. Passamos para a reflexão da Atitude Ético-Profissional, à Justificação das Opções Tomadas, e uma Síntese Conclusiva no âmbito de toda a nossa intervenção pedagógica. Por último e não menos importante, temos o segundo capítulo, referente ao tema problema - A influência das aulas de educação física no âmbito do programa “Toca a Mexer” na Coordenação Motora de crianças com NEE, que iremos tratar mais adiante. Palavras-chave: Reflexão. Docência. Competências. Pratica Pedagógica. Coordenação Motora. Abstract The Master of Education Physical Education in Elementary and Secondary Education of the Faculty of Sport Sciences and Physical Education, University of Coimbra, includes a practical component that enables professional, by deepening broadened the professional intervention of knowledge in Physical Education. This document called Final Report of the Teacher Training, was produced for the purpose of describing the whole process of learning done throughout our educational intervention in Primary School 2.3 / S Dr. Daniel de Matos - Vila Nova de Poiares, with 9th class B in this school year. Thus, throughout this document includes a set of tasks of teaching-learning process that allows the organization, implementation, evaluation and reflection of the entire educational process. The report is structured according to the activities, starting with the first chapter, where we reflect on expectations and Start Options in Relation to Stage. We follow with the Reflective Analysis of Teaching Practice, specifically with regard to planning; Achievement and Assessment. We passed to the reflection of Ethical and Professional Attitude, the justification of the options sockets, and a Conclusive Synthesis under all our pedagogical intervention. Last but not least, we have the second chapter, referring to the theme problem - The influence of physical education classes under the program "Play to Stir"on the Motor Coordination of children with SEN, which we will address later

Aplicação de mineração de dados para identificação de possíveis inadimplentes em uma cooperativa do ramo agrícola

A inadimplência é um problema que afeta tanto os consumidores quanto as empresas, comprometendo o crédito e gerando prejuízos financeiros. Estudos recentes realizados pelas empresas Serasa e Serasa-Experian revelam a preocupante situação do Brasil nesse contexto. Além disso, as cooperativas do ramo agropecuário também enfrentam desafios em relação à inadimplência, uma vez que lidam com transações financeiras e têm um grande número de clientes, o que dificulta a avaliação de crédito. Neste trabalho de conclusão de curso, foi desenvolvido um modelo de classificação capaz de identificar os clientes com maiores chances de inadimplência. O modelo combina os algoritmos RandomizableFilteredClassifier e NaiveBayes, alcançando uma revocação de 67%. Dados reais, cedidos por uma cooperativa, foram utilizados incluindo informações financeiras, histórico de vendas e comercialização de grãos. O modelo resultante do trabalho tem como objetivo auxiliar os analistas de crédito na priorização dos clientes que deverão ser avaliados e assim e reduzir a inadimplência futura.Non-payment is a problem that affects both consumers and businesses, compromising credit and generating financial losses. Recent studies by Serasa and Serasa-Experian reveal Brazil’s worrying situation in this context. In addition, agricultural cooperatives also face challenges in relation to non- payment, as they deal with financial transactions and have a large number of customers, which makes credit evaluation difficult. In this graduation project, a classification model was developed to identify clients with the highest risk of non-payment. The model combines the RandomizableFilteredClassifier and NaiveBayes algorithms, achieving a recall of 67%. Real data, provided by a cooperative, was used, including financial information, sales history, and grain marketing. The resulting model of the work is intended to assist credit analysts in prioritizing the clients who will be evaluated and thus reduce future non- payment