6 resultados para Pairs trading
em Universidad Politécnica de Madrid
Resumo:
The efficiency of the Iberian Energy Derivatives Market in its first five and a half years is assessed in terms of volume, open interest and price. The continuous market shows steady liquidity growth. Its volume is strongly correlated to that of the Over The Counter (OTC) market, the amount of market makers, the enrolment of financial agents and generation companies belonging to the integrated group of last resort suppliers, and the OTC cleared volume in its clearing house. The hedging efficiency, measured through the ratio between the final open interest and the cleared volume, shows the lowest values for the Spanish base load futures as they are the most liquid contracts. The ex-post forward risk premium has diminished due to the learning curve and the effect of the fixed price retributing the indigenous coal fired generation. This market is quite less developed than the European leaders headquartered in Norway and Germany. Enrolment of more traders, mainly international energy companies, financial agents, energy intensive industries and renewable generation companies is desired. Market monitoring reports by the market operator providing post-trade transparency, OTC data access by the energy regulator, and assessment of the regulatory risk can contribute to efficiency gains.
Resumo:
Side Channel Attacks (SCAs) typically gather unintentional (side channel) physical leakages from running crypto-devices to reveal confidential data. Dual-rail Precharge Logic (DPL) is one of the most efficient countermeasures against power or EM side channel threats. This logic relies on the implementation of complementary rails to counterbalance the data-dependent variations of the leakage from dynamic behavior of the original circuit. However, the lack of flexibility of commercial FPGA design tools makes it quite difficult to obtain completely balanced routings between complementary networks. In this paper, a controllable repair mechanism to guarantee identical net pairs from two lines is presented: i. repairs the identical yet conflict nets after the duplication (copy & paste) from original rail to complementary rail, and ii. repairs the non-identical nets in off-the-stock DPL circuits; These rerouting steps are carried out starting from a placed and routed netlist using Xilinx Description Language (XDL). Low level XDL modifications have been completely automated using a set of APIs named RapidSmith. Experimental EM attacks show that the resistance level of an AES core after the automatic routing repair is increased in a factor of at least 3.5. Timing analyses further demonstrate that net delay differences between complementary networks are minimized significantly.
Resumo:
When the fresh fruit reaches the final markets from the suppliers, its quality is not always as good as it should, either because it has been mishandled during transportation or because it lacks an adequate quality control at the producer level, before being shipped. This is why it is necessary for the final markets to establish their own quality assessment system if they want to ensure to their customers the quality they want to sell. In this work, a system to control fruit quality at the last level of the distribution channel has been designed. The system combines rapid control techniques with laboratory equipment and statistical sampling protocols, to obtain a dynamic, objective process, which can substitute advantageously the quality control inspections carried out visually by human experts at the reception platform of most hypermarkets. Portable measuring equipment have been chosen (firmness tester, temperature and humidity sensors...) as well as easy-to-use laboratory equipment (texturometer, colorimeter, refractometer..,) combining them to control the most important fruit quality parameters (firmness, colour, sugars, acids). A complete computer network has been designed to control all the processes and store the collected data in real time, and to perform the computations. The sampling methods have been also defined to guarantee the confidence of the results. Some of the advantages of a quality assessment system as the proposed one are: the minimisation of human subjectivity, the ability to use modern measuring techniques, and the possibility of using it also as a supplier's quality control system. It can be also a way to clarify the quality limits of fruits among members of the commercial channel, as well as the first step in the standardisation of quality control procedures.
Resumo:
A passive neutron area monitor has been designed using Monte Carlo methods; the monitor is a polyethylene cylinder with pairs of thermoluminescent dosimeters (TLD600 and TLD700) as thermal neutron detector. The monitor was calibrated with a bare and a thermalzed 241AmBe neutron sources and its performance was evaluated measuring the ambient dose equivalent due to photoneutrons produced by a 15 MV linear accelerator for radiotherapy and the neutrons in the output of a TRIGA Mark III radial beam port.
Resumo:
Cyber-Physical Systems need to handle increasingly complex tasks, which additionally, may have variable operating conditions over time. Therefore, dynamic resource management to adapt the system to different needs is required. In this paper, a new bus-based architecture, called ARTICo3, which by means of Dynamic Partial Reconfiguration, allows the replication of hardware tasks to support module redundancy, multi-thread operation or dual-rail solutions for enhanced side-channel attack protection is presented. A configuration-aware data transaction unit permits data dispatching to more than one module in parallel, or provide coalesced data dispatching among different units to maximize the advantages of burst transactions. The selection of a given configuration is application independent but context-aware, which may be achieved by the combination of a multi-thread model similar to the CUDA kernel model specification, combined with a dynamic thread/task/kernel scheduler. A multi-kernel application for face recognition is used as an application example to show one scenario of the ARTICo3 architecture.
Resumo:
As embedded systems evolve, problems inherent to technology become important limitations. In less than ten years, chips will exceed the maximum allowed power consumption affecting performance, since, even though the resources available per chip are increasing, frequency of operation has stalled. Besides, as the level of integration is increased, it is difficult to keep defect density under control, so new fault tolerant techniques are required. In this demo work, a new dynamically adaptable virtual architecture (ARTICo3) to allow dynamic and context-aware use of resources is implemented in a high performance Wireless Sensor node (HiReCookie) to perform an image processing application.