On the concept of endogenous volatility

Most financial and economic time-series display a strong volatility around their trends. The difficulty in explaining this volatility has led economists to interpret it as exogenous, i.e., as the result of forces that lie outside the scope of the assumed economic relations. Consequently, it becomes hard or impossible to formulate short-run forecasts on asset prices or on values of macroeconomic variables. However, many random looking economic and financial series may, in fact, be subject to deterministic irregular behavior, which can be measured and modelled. We address the notion of endogenous volatility and exemplify the concept with a simple business-cycles model.

Magnetic properties of Co-doped TiO(2) anatase nanopowders

This letter reports on the magnetic properties of Ti(1-x)Co(x)O(2) anatase phase nanopowders with different Co contents. It is shown that oxygen vacancies play an important role in promoting long-range ferromagnetic order in the material studied in addition to the transition-metal doping. Furthermore, the results allow ruling out the premise of a strict connection between Co clustering and the ferromagnetism observed in the Co:TiO(2) anatase system.

Structural and optical studies of Au doped titanium oxide films

Thin films of TiO2 were doped with Au by ion implantation and in situ during the deposition. The films were grown by reactive magnetron sputtering and deposited in silicon and glass substrates at a temperature around 150 degrees C. The undoped films were implanted with Au fiuences in the range of 5 x 10(15) Au/cm(2)-1 x 10(17) Au/cm(2) with a energy of 150 keV. At a fluence of 5 x 10(16) Au/cm(2) the formation of Au nanoclusters in the films is observed during the implantation at room temperature. The clustering process starts to occur during the implantation where XRD estimates the presence of 3-5 nm precipitates. After annealing in a reducing atmosphere, the small precipitates coalesce into larger ones following an Ostwald ripening mechanism. In situ XRD studies reveal that Au atoms start to coalesce at 350 degrees C, reaching the precipitates dimensions larger than 40 nm at 600 degrees C. Annealing above 700 degrees C promotes drastic changes in the Au profile of in situ doped films with the formation of two Au rich regions at the interface and surface respectively. The optical properties reveal the presence of a broad band centered at 550 nm related to the plasmon resonance of gold particles visible in AFM maps. (C) 2011 Elsevier B.V. All rights reserved.

Análise de clusters e volatilidade de índices de acções

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Temporal patterns of TV watching for Portuguese viewers

Audiometer systems provide enormous amounts of detailed TV watching data. Several relevant and interdependent factors may influence TV viewers' behavior. In this work we focus on the time factor and derive Temporal Patterns of TV watching, based on panel data. Clustering base attributes are originated from 1440 binary minute-related attributes, capturing the TV watching status (watch/not watch). Since there are around 2500 panel viewers a data reduction procedure is first performed. K-Means algorithm is used to obtain daily clusters of viewers. Weekly patterns are then derived which rely on daily patterns. The obtained solutions are tested for consistency and stability. Temporal TV watching patterns provide new insights concerning Portuguese TV viewers' behavior.

Gestão do deslastre de cargas: Évora como caso de estudo

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica na Área de Especialização de Energia

Os efeitos das variações das taxas de juro na volatilidade dos mercados bolsistas

Mestrado em Controlo de Gestão e dos Negócios

Dominant set approach to ECG biometrics

Electrocardiographic (ECG) signals are emerging as a recent trend in the field of biometrics. In this paper, we propose a novel ECG biometric system that combines clustering and classification methodologies. Our approach is based on dominant-set clustering, and provides a framework for outlier removal and template selection. It enhances the typical workflows, by making them better suited to new ECG acquisition paradigms that use fingers or hand palms, which lead to signals with lower signal to noise ratio, and more prone to noise artifacts. Preliminary results show the potential of the approach, helping to further validate the highly usable setups and ECG signals as a complementary biometric modality.

Determining the number of clusters in categorical data

Cluster analysis for categorical data has been an active area of research. A well-known problem in this area is the determination of the number of clusters, which is unknown and must be inferred from the data. In order to estimate the number of clusters, one often resorts to information criteria, such as BIC (Bayesian information criterion), MML (minimum message length, proposed by Wallace and Boulton, 1968), and ICL (integrated classification likelihood). In this work, we adopt the approach developed by Figueiredo and Jain (2002) for clustering continuous data. They use an MML criterion to select the number of clusters and a variant of the EM algorithm to estimate the model parameters. This EM variant seamlessly integrates model estimation and selection in a single algorithm. For clustering categorical data, we assume a finite mixture of multinomial distributions and implement a new EM algorithm, following a previous version (Silvestre et al., 2008). Results obtained with synthetic datasets are encouraging. The main advantage of the proposed approach, when compared to the above referred criteria, is the speed of execution, which is especially relevant when dealing with large data sets.

Cluster de volatilidade no mercado de taxas de câmbio USD/GBP

Mestrado em Controlo de Gestão e dos Negócios

ECG Biometrics: A Template Selection Approach

Electrocardiography (ECG) biometrics is emerging as a viable biometric trait. Recent developments at the sensor level have shown the feasibility of performing signal acquisition at the fingers and hand palms, using one-lead sensor technology and dry electrodes. These new locations lead to ECG signals with lower signal to noise ratio and more prone to noise artifacts; the heart rate variability is another of the major challenges of this biometric trait. In this paper we propose a novel approach to ECG biometrics, with the purpose of reducing the computational complexity and increasing the robustness of the recognition process enabling the fusion of information across sessions. Our approach is based on clustering, grouping individual heartbeats based on their morphology. We study several methods to perform automatic template selection and account for variations observed in a person's biometric data. This approach allows the identification of different template groupings, taking into account the heart rate variability, and the removal of outliers due to noise artifacts. Experimental evaluation on real world data demonstrates the advantages of our approach.

Relevant elderly gait features for functional fitness level grouping

Locomotor tasks characterization plays an important role in trying to improve the quality of life of a growing elderly population. This paper focuses on this matter by trying to characterize the locomotion of two population groups with different functional fitness levels (high or low) while executing three different tasks-gait, stair ascent and stair descent. Features were extracted from gait data, and feature selection methods were used in order to get the set of features that allow differentiation between functional fitness level. Unsupervised learning was used to validate the sets obtained and, ultimately, indicated that it is possible to distinguish the two population groups. The sets of best discriminate features for each task are identified and thoroughly analysed. Copyright © 2014 SCITEPRESS - Science and Technology Publications. All rights reserved.

Intraplate seismicity across the Cape Verde swell: a contribution from a temporary seismic network

We present an analysis and characterization of the regional seismicity recorded by a temporary broadband seismic network deployed in the Cape Verde archipelago between November 2007 and September 2008. The detection of earthquakes was based on spectrograms, allowing the discrimination from low-frequency volcanic signals, resulting in 358 events of which 265 were located, the magnitudes usually being smaller than 3. For the location, a new 1-D P-velocity model was derived for the region showing a crust consistent with an oceanic crustal structure. The seismicity is located mostly offshore the westernmost and geologically youngest areas of the archipelago, near the islands of Santo Antao and Sao Vicente in the NW and Brava and Fogo in the SW. The SW cluster has a lower occurrence rate and corresponds to seismicity concentrated mainly along an alignment between Brava and the Cadamosto seamount presenting normal faulting mechanisms. The existence of the NW cluster, located offshore SW of Santo Antao, was so far unknown and concentrates around a recently recognized submarine cone field; this cluster presents focal depths extending from the crust to the upper mantle and suggests volcanic unrest No evident temporal behaviour could be perceived, although the events tend to occur in bursts of activity lasting a few days. In this recording period, no significant activity was detected at Fogo volcano, the most active volcanic edifice in Cape Verde. The seismicity characteristics point mainly to a volcanic origin. The correlation of the recorded seismicity with active volcanic structures agrees with the tendency for a westward migration of volcanic activity in the archipelago as indicated by the geologic record. (C) 2014 Elsevier B.V. All rights reserved.

Spectral and dynamical invariants in a complete clustered network

The main result of this work is a new criterion for the formation of good clusters in a graph. This criterion uses a new dynamical invariant, the performance of a clustering, that characterizes the quality of the formation of clusters. We prove that the growth of the dynamical invariant, the network topological entropy, has the effect of worsening the quality of a clustering, in a process of cluster formation by the successive removal of edges. Several examples of clustering on the same network are presented to compare the behavior of other parameters such as network topological entropy, conductance, coefficient of clustering and performance of a clustering with the number of edges in a process of clustering by successive removal.