Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Avaliação da performance empresarial: as métricas tradicionais versus as métricas baseadas em valor

Mestrado em Controlo e Gestão dos Negócios

In Situ Near-Infrared (NIR) Versus High-Throughput Mid- Infrared (MIR) Spectroscopy to Monitor Biopharmaceutical Production

The development of biopharmaceutical manufacturing processes presents critical constraints, with the major constraint being that living cells synthesize these molecules, presenting inherent behavior variability due to their high sensitivity to small fluctuations in the cultivation environment. To speed up the development process and to control this critical manufacturing step, it is relevant to develop high-throughput and in situ monitoring techniques, respectively. Here, high-throughput mid-infrared (MIR) spectral analysis of dehydrated cell pellets and in situ near-infrared (NIR) spectral analysis of the whole culture broth were compared to monitor plasmid production in recombinant Escherichia coil cultures. Good partial least squares (PLS) regression models were built, either based on MIR or NIR spectral data, yielding high coefficients of determination (R-2) and low predictive errors (root mean square error, or RMSE) to estimate host cell growth, plasmid production, carbon source consumption (glucose and glycerol), and by-product acetate production and consumption. The predictive errors for biomass, plasmid, glucose, glycerol, and acetate based on MIR data were 0.7 g/L, 9 mg/L, 0.3 g/L, 0.4 g/L, and 0.4 g/L, respectively, whereas for NIR data the predictive errors obtained were 0.4 g/L, 8 mg/L, 0.3 g/L, 0.2 g/L, and 0.4 g/L, respectively. The models obtained are robust as they are valid for cultivations conducted with different media compositions and with different cultivation strategies (batch and fed-batch). Besides being conducted in situ with a sterilized fiber optic probe, NIR spectroscopy allows building PLS models for estimating plasmid, glucose, and acetate that are as accurate as those obtained from the high-throughput MIR setup, and better models for estimating biomass and glycerol, yielding a decrease in 57 and 50% of the RMSE, respectively, compared to the MIR setup. However, MIR spectroscopy could be a valid alternative in the case of optimization protocols, due to possible space constraints or high costs associated with the use of multi-fiber optic probes for multi-bioreactors. In this case, MIR could be conducted in a high-throughput manner, analyzing hundreds of culture samples in a rapid and automatic mode.

A supervised versus home-based program effects on liver transplanted familial amyloidotic polyneuropathy patients: walking, fatigue and quality of life

Purpose: To evaluate the effects of a six months exercise training program on walking capacity, fatigue and health related quality of life (HRQL). Relevance: Familial amyloidotic polyneuropathy disease (FAP) is an autossomic neurodegenerative disease, related with systemic deposition of amyloidal fibre mainly on peripheral nervous system and mainly produced in the liver. FAP often results in severe functional limitations. Liver transplantation is used as the only therapy so far, that stop the progression of some aspects of this disease. Transplantation requires aggressive medication which impairs muscle metabolism and associated to surgery process and previous possible functional impairments, could lead to serious deconditioning. Reports of fatigue are common feature in transplanted patients. The effect of supervised or home-based exercise training programs in FAP patients after a liver transplant (FAPTX) is currently unknown.

Comparison of body fat content and distribution of familial amyloidotic polyneuropathy patients versus healthy subjects

The deposition of amyloid fibers at the peripheral nervous system can induce motor neuropathy in Familial Amiloidotic Polyneuropethy (FAP) patients. This produces progressive reductions in functional capacity. The only treatment for FAP is a liver transplant, followed by aggressive medication that can affect patients' metabolism. To our knowledge, there are no data on body fat distribution or comparison between healthy and FAP subjects, which may be important for clinical assessment and management of this disease. PURPOSE: To analyze body fat content and distribution between FAP patients and healthy subjects. METHODS: Body fat content and distribution were measured through Double Energy X-ray Densitometry (DXA) in two groups. Group 1 consisted of 43 Familial Amyloidotic Polyneuropathy patients (19 males, 32 + 8 Yrs, and 24 females, 37 + 5 yrs), who had liver transplant less than 2 months before. Group 2 consisted of 18 healthy subjects of similar age (8 males, 36 + 7 yrs, and 10 females, 39 + 5 yrs). RESULTS: Healthy subjects showed higher values than FAP patients for: BMI (24,2+2,3kg/m2 vs 22,3+3,8 kg/m2 respectively, p<0,05), % trunk BF (26,21+8,34kg vs 20,78+9,05kg respectively, p<0,05), % visceral BF (24,43+7,97% vs 19,21+9,30% respectively, p<0,05), % abdominal BF (26,63+8,51% vs 20,63+10,35% respectively, p<0,05) abdominal subcutaneous BF (0,533+0,421kg vs 0,353+0,257kg respectively, p=0,05), abdominal BF/BF ratio (0,09+0,02 vs 0,08+0,02 respectively, p<0,05) and abdominal BF/trunk BF ratio (0,19+0,03 vs 0,17+0,03 respectively, p<0,05). CONCLUSIONS: These results showed that FAP patients soon after liver transplantation exhibited a healthier body fat profile compared to controls. However, fat content and distribution varied widely in FAP subjects, suggesting an individualized approach for assessment and intervention rather than general guidelines. Future research is needed to investigate the long term consequences on body fat following liver transplant in this population.

Comparison of body fat content and distribution of familial amyloidotic polyneuropathy patients versus healthy subjects

The deposition of amyloid fibers at the peripheral nervous system can induce motor neuropathy in Familial Amiloidotic Polyneuropethy (FAP) patients. This produces progressive reductions in functional capacity. The only treatment for FAP is a liver transplant, followed by aggressive medication that can affect patients' metabolism. To our knowledge, there are no data on body fat distribution or comparison between healthy and FAP subjects, which may be important for clinical assessment and management of this disease.

A supervised versus home-based program effects on liver transplanted familial amyloidotic polyneuropathy patients: walking, fatigue and quality of life

Familial amyloidotic polyneuropathy is a systemic deposition of amyloidal fibre mainly on peripheral nervous system (but also in other systems like heart, gastrointestinal tract, kidneys, etc) and mainly produced in the liver. Purpose of this study: to evaluate the effects of a six months exercise training program(supervised or home-based) on walking capacity, fatigue and health related quality of life (HRQL) on Familial Amyloidotic Polyneuropathy patients submitted to a liver transplant.

CP properties of symmetry-constrained two-Higgs-doublet models

The two-Higgs-doublet model can be constrained by imposing Higgs-family symmetries and/or generalized CP symmetries. It is known that there are only six independent classes of such symmetry-constrained models. We study the CP properties of all cases in the bilinear formalism. An exact symmetry implies CP conservation. We show that soft breaking of the symmetry can lead to spontaneous CP violation (CPV) in three of the classes.

Renormalization-group constraints on Yukawa alignment in multi-Higgs-doublet models

We write down the renormalization-group equations for the Yukawa-coupling matrices in a general multi-Higgs-doublet model. We then assume that the matrices of the Yukawa couplings of the various Higgs doublets to right-handed fermions of fixed quantum numbers are all proportional to each other. We demonstrate that, in the case of the two-Higgs-doublet model, this proportionality is preserved by the renormalization-group running only in the cases of the standard type-I, II, X, and Y models. We furthermore show that a similar result holds even when there are more than two Higgs doublets: the Yukawa-coupling matrices to fermions of a given electric charge remain proportional under the renormalization-group running if and only if there is a basis for the Higgs doublets in which all the fermions of a given electric charge couple to only one Higgs doublet.

Climatização passiva versus climatização activa

A dissertação em causa foi elaborada no contexto da Unidade Curricular Dissertação, constante do 1º e 2º Semestres do 2º Ano do Curso de Mestrado em Engenharia Mecânica – Perfil Energia, Refrigeração e Climatização, leccionada no Instituto Superior de Engenharia de Lisboa. O objecto do presente trabalho enquadra-se na temática energético/ambiental, pretendendo-se analisar comparativamente soluções de Climatização Passiva versus Climatização Activa, numa unidade de negócios específica, o sector de “serviços”. A comparação em causa sendo abrangente, comporta a análise térmica e económica, em que se vai analisando a variação da componente construtiva do edifício e a aplicação de várias soluções de Climatização Activa. No desenvolvimento do estudo em causa, cumpriram-se várias etapas, das quais destacam-se a problemática energética/ambiental, o enquadramento legal, a caracterização das soluções em causa, o seu dimensionamento, cálculos e simulações energéticas, estimativas orçamentais comparativas entre várias soluções construtivas, culminando na inevitável conclusão da necessidade de reforçar a componente passiva em detrimento da componente activa, inclusive para além do que está regularmente estabelecido.

A Pitch Control Malfunction Analysis for Wind Turbines with Permanent Magnet Synchronous Generator and Full-power Converters: Proportional Integral Versus Fractional-order Controllers

A transient analysis for two full-power converter wind turbines equipped with a permanent magnet synchronous generator is studied in this article, taking into consideration, as a new contribution to earlier studies, a pitch control malfunction. The two full-power converters considered are, respectively, a two-level and a multi-level converter. Moreover, a novel control strategy based on fractional-order controllers for wind turbines is studied. Simulation results are presented; conclusions are in favor of the novel control strategy, improving the quality of the energy injected into the electric grid.

Optimal design of piezolaminated structures using B-spline strip finite element models

A package of B-spline finite strip models is developed for the linear analysis of piezolaminated plates and shells. This package is associated to a global optimization technique in order to enhance the performance of these types of structures, subjected to various types of objective functions and/or constraints, with discrete and continuous design variables. The models considered are based on a higher-order displacement field and one can apply them to the static, free vibration and buckling analyses of laminated adaptive structures with arbitrary lay-ups, loading and boundary conditions. Genetic algorithms, with either binary or floating point encoding of design variables, were considered to find optimal locations of piezoelectric actuators as well as to determine the best voltages applied to them in order to obtain a desired structure shape. These models provide an overall economy of computing effort for static and vibration problems.

Toxicological Assessment of Coated versus Uncoated Rubber Granulates Obtained from Used Tires for Use in Sport Facilities

Reuse of tire crumb in sport facilities is currently a very cost-effective waste management measure. Considering that incorporation of the waste materials in artificial turf would be facilitated if the rubber materials were already colored green, coatings were specifically developed for this purpose. This paper presents an experimental toxicological and environmental assessment aimed at comparing the obtained emissions to the environment in terms of polycyclic aromatic hydrocarbons (PAHs), heavy metals, and ecotoxicity for coated and noncoated rubber granulates. This study is a comprehensive evaluation of the major potential critical factors related with the release of all of these classes of pollutants because previous studies were not systematically performed. It was concluded that between the two types of coatings tested, one is particularly effective in reducing emissions to the environment, simultaneously meeting the requirements of adherence and color stability.

UMTS versus DVB-SH na transmissão de sinais de vídeo

Dissertação para obtenção do grau de Mestre em Engenharia de Electrónica e Telecomunicações

A hybrid approach to multi-agent decision-making

In the aftermath of a large-scale disaster, agents' decisions derive from self-interested (e.g. survival), common-good (e.g. victims' rescue) and teamwork (e.g. fire extinction) motivations. However, current decision-theoretic models are either purely individual or purely collective and find it difficult to deal with motivational attitudes; on the other hand, mental-state based models find it difficult to deal with uncertainty. We propose a hybrid, CvI-JI, approach that combines: i) collective 'versus' individual (CvI) decisions, founded on the Markov decision process (MDP) quantitative evaluation of joint-actions, and ii)joint-intentions (JI) formulation of teamwork, founded on the belief-desire-intention (BDI) architecture of general mental-state based reasoning. The CvI-JI evaluation explores the performance's improvement