The impact of the 2008 and 2010 financial crises on international stock markets : contagion and long memory

Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3, abordamos o tema da memória longa através do estudo do expoente de Hurst dos mercados acionistas da Bélgica, E.U.A., França, Grécia, Holanda, Japão, Reino Unido e Portugal. Verificamos que as propriedades de memória longa dos mercados foram afetadas pelas crises, especialmente a de 2008 – que aumentou a memória longa dos mercados e tornou-os mais persistentes. Finalmente, usando cópulas mais uma vez, verificamos que as crises provocaram, em geral, um aumento na correlação entre os expoentes de Hurst locais dos mercados foco das crises (E.U.A. e Grécia) e os expoentes de Hurst locais dos outros mercados da amostra, sugerindo que o expoente de Hurst pode ser utilizado para detetar efeitos de contágio financeiro. Em síntese, os resultados desta tese sugerem que comparativamente com períodos de acalmia, os períodos de crises financeiras tendem a provocar ineficiência nos mercados acionistas e a conduzi-los na direção da persistência e do contágio financeiro.

Optimizing memory transactions for large-scale programs

Even though Software Transactional Memory (STM) is one of the most promising approaches to simplify concurrent programming, current STM implementations incur significant overheads that render them impractical for many real-sized programs. The key insight of this work is that we do not need to use the same costly barriers for all the memory managed by a real-sized application, if only a small fraction of the memory is under contention lightweight barriers may be used in this case. In this work, we propose a new solution based on an approach of adaptive object metadata (AOM) to promote the use of a fast path to access objects that are not under contention. We show that this approach is able to make the performance of an STM competitive with the best fine-grained lock-based approaches in some of the more challenging benchmarks. (C) 2015 Elsevier Inc. All rights reserved.

Synthesis of optimization of [11C] Pittsburgh compound B by the captive solvent method

Mestrado em Medicina Nuclear.

Runtime Elision of Transactional Barriers for Captured Memory

In this paper, we propose a new technique that can identify transaction-local memory (i.e. captured memory), in managed environments, while having a low runtime overhead. We implemented our proposal in a well known STM framework (Deuce) and we tested it in STMBench7 with two different STMs: TL2 and LSA. In both STMs the performance improved significantly (4 times and 2.6 times, respectively). Moreover, running the STAMP benchmarks with our approach shows improvements of 7 times in the best case for the Vacation application.

Estudo sobre a memória longa na volatilidade dos preços do ouro : uma abordagem com base nos modelos de tipo ARCH

Mestrado em Contabilidade e Análise Financeira

Light memory function in a double pin SiC device

A double pi'npin heterostructure based on amorphous SiC has a non linear spectral gain which is a function of the signal wavelength that impinges on its front or back surface. An impulse of a configurable length and amplitude is applied to a 390 nm LED which illuminates one of the sensor surfaces, followed by a time period without any illumination after which an input signal with a different wavelength is impinged upon the front surface. Results show that the intensity and duration of the impulse illumination of the surfaces influences the sensor's response with different output for the same input signal. This paper studies this effect and proposes an application as a short term light memory. (C) 2015 Elsevier B.V. All rights reserved.

Contrabando: trabalho de projecto

Trabalho de Projecto submetido à Escola Superior de Teatro e Cinema para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Teatro - especialização em Artes Performativas/ Escritas de Cena.

Com Hélder Costa: o sábio prático d’A Barraca: relatório de estágio

Relatório de Estágio submetido à Escola Superior de Teatro e Cinema para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Teatro - especialização em Artes Performativas (Interpretação).

Sparse matrix multiplication on a reconfigurable many-core architecture

Sparse matrix-vector multiplication (SMVM) is a fundamental operation in many scientific and engineering applications. In many cases sparse matrices have thousands of rows and columns where most of the entries are zero, while non-zero data is spread over the matrix. This sparsity of data locality reduces the effectiveness of data cache in general-purpose processors quite reducing their performance efficiency when compared to what is achieved with dense matrix multiplication. In this paper, we propose a parallel processing solution for SMVM in a many-core architecture. The architecture is tested with known benchmarks using a ZYNQ-7020 FPGA. The architecture is scalable in the number of core elements and limited only by the available memory bandwidth. It achieves performance efficiencies up to almost 70% and better performances than previous FPGA designs.

GPU implementation of a hyperspectral coded aperture algorithm for compressive sensing

This paper presents a new parallel implementation of a previously hyperspectral coded aperture (HYCA) algorithm for compressive sensing on graphics processing units (GPUs). HYCA method combines the ideas of spectral unmixing and compressive sensing exploiting the high spatial correlation that can be observed in the data and the generally low number of endmembers needed in order to explain the data. The proposed implementation exploits the GPU architecture at low level, thus taking full advantage of the computational power of GPUs using shared memory and coalesced accesses to memory. The proposed algorithm is evaluated not only in terms of reconstruction error but also in terms of computational performance using two different GPU architectures by NVIDIA: GeForce GTX 590 and GeForce GTX TITAN. Experimental results using real data reveals signficant speedups up with regards to serial implementation.

Light memory operation based on a double pin SiC device

Experimental optoelectronic characterization of a p-i'(a-SiC:H)-n/pi(a-Si:H)-n heterostructure with low conductivity doped layers shows the feasibility of tailoring channel bandwidth and wavelength by optical bias through back and front side illumination. Front background enhances light-to-dark sensitivity of the long and medium wavelength range, and strongly quenches the others. Back violet background enhances the magnitude in short wavelength range and reduces the others. Experiments have three distinct programmed time slots: control, hibernation and data. Throughout the control time slot steady light wavelengths illuminate either or both sides of the device, followed by the hibernation without any background illumination. The third time slot allows a programmable sequence of different wavelengths with an impulse frequency of 6000Hz to shine upon the sensor. Results show that the control time slot illumination has an influence on the data time slot which is used as a volatile memory with the set, reset logical functions. © IFIP International Federation for Information Processing 2015.