The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

Simulation of offshore wind system with three-level converters: HVDC power transmission in cloud scope

This paper is on a simulation for offshore wind systems in deep water under cloud scope. The system is equipped with a permanent magnet synchronous generator and a full-power three-level converter, converting the electric energy at variable frequency in one at constant frequency. The control strategies for the three-level are based on proportional integral controllers. The electric energy is injected through a HVDC transmission submarine cable into the grid. The drive train is modeled by a three-mass model taking into account the resistant stiffness torque, structure and tower in the deep water due to the moving surface elevation. Conclusions are taken on the influence of the moving surface on the energy conversion. © IFIP International Federation for Information Processing 2015.

Simulation of rectifier voltage malfunction on OWECS, four-level converter, HVDC light link: Smart grid context tool

This paper presents a model for the simulation of an offshore wind system having a rectifier input voltage malfunction at one phase. The offshore wind system model comprises a variable-speed wind turbine supported on a floating platform, equipped with a permanent magnet synchronous generator using full-power four-level neutral point clamped converter. The link from the offshore floating platform to the onshore electrical grid is done through a light high voltage direct current submarine cable. The drive train is modeled by a three-mass model. Considerations about the smart grid context are offered for the use of the model in such a context. The rectifier voltage malfunction domino effect is presented as a case study to show capabilities of the model. (C) 2015 Elsevier Ltd. All rights reserved.

Three-dimensional patchy lattice model for empty fluids

The phase diagram of a simple model with two patches of type A and ten patches of type B (2A10B) on the face centred cubic lattice has been calculated by simulations and theory. Assuming that there is no interaction between the B patches the behavior of the system can be described in terms of the ratio of the AB and AA interactions, r. Our results show that, similarly to what happens for related off-lattice and two-dimensional lattice models, the liquid-vapor phase equilibria exhibit reentrant behavior for some values of the interaction parameters. However, for the model studied here the liquid-vapor phase equilibria occur for values of r lower than 1/3, a threshold value which was previously thought to be universal for 2AnB models. In addition, the theory predicts that below r = 1/3 (and above a new condensation threshold which is < 1/3) the reentrant liquid-vapor equilibria are so extreme that it exhibits a closed loop with a lower critical point, a very unusual behavior in single-component systems. An order-disorder transition is also observed at higher densities than the liquid-vapor equilibria, which shows that the liquid-vapor reentrancy occurs in an equilibrium region of the phase diagram. These findings may have implications in the understanding of the condensation of dipolar hard spheres given the analogy between that system and the 2AnB models considered here. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4771591]

Three-dimensial patchy lattice model: Ring formation and phase separation

We investigate the structural and thermodynamic properties of a model of particles with 2 patches of type A and 10 patches of type B. Particles are placed on the sites of a face centered cubic lattice with the patches oriented along the nearest neighbor directions. The competition between the self- assembly of chains, rings, and networks on the phase diagram is investigated by carrying out a systematic investigation of this class of models, using an extension ofWertheim's theory for associating fluids and Monte Carlo numerical simulations. We varied the ratio r epsilon(AB)/epsilon(AA) of the interaction between patches A and B, epsilon(AB), and between A patches, epsilon(AA) (epsilon(BB) is set to theta) as well as the relative position of the A patches, i.e., the angle. between the (lattice) directions of the A patches. We found that both r and theta (60 degrees, 90 degrees, or 120 degrees) have a profound effect on the phase diagram. In the empty fluid regime (r < 1/2) the phase diagram is reentrant with a closed miscibility loop. The region around the lower critical point exhibits unusual structural and thermodynamic behavior determined by the presence of relatively short rings. The agreement between the results of theory and simulation is excellent for theta = 120 degrees but deteriorates as. decreases, revealing the need for new theoretical approaches to describe the structure and thermodynamics of systems dominated by small rings. (C) 2014 AIP Publishing LLC.

Three-Dimensional patchy lattice model for empty fluids

The phase diagram of a simple model with two patches of type A and ten patches of type B (2A10B) on the face centred cubic lattice has been calculated by simulations and theory. Assuming that there is no interaction between the B patches the behavior of the system can be described in terms of the ratio of the AB and AA interactions, r. Our results show that, similarly to what happens for related off-lattice and two-dimensional lattice models, the liquid-vapor phase equilibria exhibit reentrant behavior for some values of the interaction parameters. However, for the model studied here the liquid-vapor phase equilibria occur for values of r lower than 1/3, a threshold value which was previously thought to be universal for 2AnB models. In addition, the theory predicts that below r = 1/3 (and above a new condensation threshold which is < 1/3) the reentrant liquid-vapor equilibria are so extreme that it exhibits a closed loop with a lower critical point, a very unusual behavior in single-component systems. An order-disorder transition is also observed at higher densities than the liquid-vapor equilibria, which shows that the liquid-vapor reentrancy occurs in an equilibrium region of the phase diagram. These findings may have implications in the understanding of the condensation of dipolar hard spheres given the analogy between that system and the 2AnB models considered here.

Study of the interactions in a three-way crossed classification model

Crossed classification models are applied in many investigations taking in consideration the existence of interaction between all factors or, in alternative, excluding all interactions, and in this case only the effects and the error term are considered. In this work we use commutative Jordan algebras in the study of the algebraic structure of these designs and we use them to obtain similar designs where only some of the interactions are considered. We finish presenting the expressions of the variance componentes estimators.

Constrains on the structure of Maio Island (Cape Verde) by a three-dimensional gravity model: Imaging partially exhumed magma chambers

We propose a 3-D gravity model for the volcanic structure of the island of Maio (Cape Verde archipelago) with the objective of solving some open questions concerning the geometry and depth of the intrusive Central Igneous Complex. A gravity survey was made covering almost the entire surface of the island. The gravity data was inverted through a non-linear 3-D approach which provided a model constructed in a random growth process. The residual Bouguer gravity field shows a single positive anomaly presenting an elliptic shape with a NWSE trending long axis. This Bouguer gravity anomaly is slightly off-centred with the island but its outline is concordant with the surface exposure of the Central Igneous Complex. The gravimetric modelling shows a high-density volume whose centre of mass is about 4500 m deep. With increasing depth, and despite the restricted gravimetric resolution, the horizontal sections of the model suggest the presence of two distinct bodies, whose relative position accounts for the elongated shape of the high positive Bouguer gravity anomaly. These bodies are interpreted as magma chambers whose coeval volcanic counterparts are no longer preserved. The orientation defined by the two bodies is similar to that of other structures known in the southern group of the Cape Verde islands, thus suggesting a possible structural control constraining the location of the plutonic intrusions.