Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market

[EN] The aim of this paper is to study systematic liquidity at the Euronext Lisbon Stock Exchange. The motivation for this research is provided by the growing interest in financial literature about stock liquidity and the implications of commonality in liquidity for asset pricing since it could represent a source of non-diversifiable risk. Namely, it is analysed whether there exist common factors that drive the variation in individual stock liquidity and the causes of the inter-temporal variation of aggregate liquidity. Monthly data for the period between January 1988 and December 2011 is used to compute some of the most used proxies for liquidity: bid-ask spreads, turnover rate, trading volume, proportion of zero returns and the illiquidity ratio. Following Chordia et al. (2000) methodology, some evidence of commonality in liquidity is found in the Portuguese stock market when the proportion of zero returns is used as a measure of liquidity. In relation to the factors that drive the inter-temporal variation of the Portuguese stock market liquidity, the results obtained within a VAR framework suggest that changes in real economy activity, monetary policy (proxied by changes in monetary aggregate M1) and stock market returns play an important role as determinants of commonality in liquidity.

Patterns of genetic variation in the endangered European mink (Mustela lutreola L., 1761)

Background: The European mink (Mustela lutreola, L. 1761) is a critically endangered mustelid, which inhabits several main river drainages in Europe. Here, we assess the genetic variation of existing populations of this species, including new sampling sites and additional molecular markers (newly developed microsatellite loci specific to European mink) as compared to previous studies. Probabilistic analyses were used to examine genetic structure within and between existing populations, and to infer phylogeographic processes and past demography. Results: According to both mitochondrial and nuclear microsatellite markers, Northeastern (Russia, Estonia and Belarus) and Southeastern (Romania) European populations showed the highest intraspecific diversity. In contrast, Western European (France and Spain) populations were the least polymorphic, featuring a unique mitochondrial DNA haplotype. The high differentiation values detected between Eastern and Western European populations could be the result of genetic drift in the latter due to population isolation and reduction. Genetic differences among populations were further supported by Bayesian clustering and two main groups were confirmed (Eastern vs. Western Europe) along with two contained subgroups at a more local scale (Northeastern vs. Southeastern Europe; France vs. Spain). Conclusions: Genetic data and performed analyses support a historical scenario of stable European mink populations, not affected by Quaternary climate oscillations in the Late Pleistocene, and posterior expansion events following river connections in both North-and Southeastern European populations. This suggests an eastern refuge during glacial maxima (as already proposed for boreal and continental species). In contrast, Western Europe was colonised more recently following either natural expansions or putative human introductions. Low levels of genetic diversity observed within each studied population suggest recent bottleneck events and stress the urgent need for conservation measures to counteract the demographic decline experienced by the European mink.

Phylogeography and non-invasive landscape genetics of the European pine marten ("martes martes" L. 1758) : insights into ancient and contemporary processes shaping genetic variation

283 p. : graf., map.

Time Variation in an Optimal Asymmetric Preference Monetary Policy Model

This paper considers a time varying parameter extension of the Ruge-Murcia (2003, 2004) model to explore whether some of the variation in parameter estimates seen in the literature could arise from this source. A time varying value for the unemployment volatility parameter can be motivated through several means including variation in the slope of the Phillips curve or variation in the preferences of the monetary authority.We show that allowing time variation for the coefficient on the unemployment volatility parameter improves the model fit and it helps to provide an explanation of inflation bias based on asymmetric central banker preferences, which is consistent across subsamples.

An Algebraic Preservation Theorem for Aleph-Zero Categorical Quantified Constraint Satisfaction

23 p. -- An extended abstract of this work appears in the proceedings of the 2012 ACM/IEEE Symposium on Logic in Computer Science

Stability analysis of RF amplifiers based on MIMO pole-zero identification

Spurious oscillations are one of the principal issues faced by microwave and RF circuit designers. The rigorous detection of instabilities or the characterization of measured spurious oscillations is still an ongoing challenge. This project aims to create a new stability analysis CAD program that tackles this chal- lenge. Multiple Input Multiple Output (MIMO) pole-zero identification analysis is introduced on the program as a way to create new methods to automate the stability analysis process and to help designers comprehend the obtained results and prevent incorrect interpretations. The MIMO nature of the analysis contributes to eliminate possible controllability and observability losses and helps differentiate mathematical and physical quasi-cancellations, products of overmodeling. The created program reads Single Input Single Output (SISO) or MIMO frequency response data, and determines the corresponding continuous transfer functions with Vector Fitting. Once the transfer function is calculated, the corresponding pole/zero diagram is mapped enabling the designers to analyze the stability of an amplifier. Three data processing methods are introduced, two of which consist of pole/zero elimina- tions and the latter one on determining the critical nodes of an amplifier. The first pole/zero elimination method is based on eliminating non resonant poles, whilst the second method eliminates the poles with small residue by assuming that their effect on the dynamics of a system is small or non-existent. The critical node detection is also based on the residues; the node at which the effect of a pole on the dynamics is highest is defined as the critical node. In order to evaluate and check the efficiency of the created program, it is compared via examples with another existing commercial stability analysis tool (STAN tool). In this report, the newly created tool is proved to be as rigorous as STAN for detecting instabilities. Additionally, it is determined that the MIMO analysis is a very profitable addition to stability analysis, since it helps to eliminate possible problems of loss of controllability, observability and overmodeling.

Spatial-temporal excess mortality patterns of the 1918-1919 influenza pandemic in Spain

Background: The impact of socio-demographic factors and baseline health on the mortality burden of seasonal and pandemic influenza remains debated. Here we analyzed the spatial-temporal mortality patterns of the 1918 influenza pandemic in Spain, one of the countries of Europe that experienced the highest mortality burden. Methods: We analyzed monthly death rates from respiratory diseases and all-causes across 49 provinces of Spain, including the Canary and Balearic Islands, during the period January-1915 to June-1919. We estimated the influenza-related excess death rates and risk of death relative to baseline mortality by pandemic wave and province. We then explored the association between pandemic excess mortality rates and health and socio-demographic factors, which included population size and age structure, population density, infant mortality rates, baseline death rates, and urbanization. Results: Our analysis revealed high geographic heterogeneity in pandemic mortality impact. We identified 3 pandemic waves of varying timing and intensity covering the period from Jan-1918 to Jun-1919, with the highest pandemic-related excess mortality rates occurring during the months of October-November 1918 across all Spanish provinces. Cumulative excess mortality rates followed a south-north gradient after controlling for demographic factors, with the North experiencing highest excess mortality rates. A model that included latitude, population density, and the proportion of children living in provinces explained about 40% of the geographic variability in cumulative excess death rates during 1918-19, but different factors explained mortality variation in each wave. Conclusions: A substantial fraction of the variability in excess mortality rates across Spanish provinces remained unexplained, which suggests that other unidentified factors such as comorbidities, climate and background immunity may have affected the 1918-19 pandemic mortality rates. Further archeo-epidemiological research should concentrate on identifying settings with combined availability of local historical mortality records and information on the prevalence of underlying risk factors, or patient-level clinical data, to further clarify the drivers of 1918 pandemic influenza mortality.

Microwave Resonant and Zero-Field Absorption Study of Doped Magnetite Prepared by a Co-Precipitation Method

Fe3O4 and ZnxFe3-xO4 pure and doped magnetite magnetic nanoparticles (NPs) were prepared in aqueous solution (Series A) or in a water-ethyl alcohol mixture (Series B) by the co-precipitation method. Only one ferromagnetic resonance line was observed in all cases under consideration indicating that the materials are magnetically uniform. The shortfall in the resonance fields from 3.27 kOe (for the frequency of 9.5 GHz) expected for spheres can be understood taking into account the dipolar forces, magnetoelasticity, or magnetocrystalline anisotropy. All samples show non-zero low field absorption. For Series A samples the grain size decreases with an increase of the Zn content. In this case zero field absorption does not correlate with the changes of the grain size. For Series B samples the grain size and zero field absorption behavior correlate with each other. The highest zero-field absorption corresponded to 0.2 zinc concentration in both A and B series. High zero-field absorption of Fe3O4 ferrite magnetic NPs can be interesting for biomedical applications.

Computational study of the vortex path variation with the VG height

An extensive range of conventional, vane-type, passive vortex generators (VGs) are in use for successful applications of flow separation control. In most cases, the VG height is designed with the same thickness as the local boundary layer at the VG position. However, in some applications, these conventional VGs may produce excess residual drag. The so-called low-profile VGs can reduce the parasitic drag associated to this kind of passive control devices. As suggested by many authors, low-profile VGs can provide enough momentum transfer over a region several times their own height for effective flow-separation control with much lower drag. The main objective of this work is to study the variation of the path and the development of the primary vortex generated by a rectangular VG mounted on a flat plate with five different device heights h = delta, h(1) = 0.8 delta, h(2) = 0.6 delta, h(3) = 0.4 delta and h(4) = 0.2 delta, where delta is the local boundary layer thickness. For this purpose, computational simulations have been carried out at Reynolds number Re = 1350 based on the height of the conventional VG h = 0.25m with the angle of attack of the vane to the oncoming flow beta = 18.5 degrees. The results show that the VG scaling significantly affects the vortex trajectory and the peak vorticity generated by the primary vortex.

Natural Variation In Recovery From A Short Period Of Anoxia Due To A cGMP-Dependent Protein Kinase in Drosophila melanogaster

[EN] Protein Kinase G (PKG) or cGMP-dependent protein kinases (PKG) have been shown to play an important role in resistance to abiotic stressors such as high temperatures or oxygen deprivation in Drosophila melanogaster. In Drosophila, the foraging gene encodes a PKG; natural variants for this gene exist, which differ in the level of expression of PKG: rovers (forR allele) which express high PKG levels, and sitters (forS allele) which express lower PKG levels. This project explores the differences in recovery from short periods of anoxia between natural variants (focusing on forS2, flies with a sitter gene in a rover background), as well as mutants with insertions in the foraging gene and RNAi recombinants that show a reduced PKG expression. The parameters measured were time to recovery and level of activity after anoxia. The results showed lower activity after anoxia in sitters than in rovers, reflecting a worse recovery from the anoxic coma in flies with lower PKG levels.