A gestão do risco associado à negociação de energia eléctrica através de contratos bilaterais e mercado spot

Num mercado de electricidade competitivo onde existe um ambiente de incerteza, as empresas de geração adoptam estratégias que visam a maximização do lucro, e a minimização do risco. Neste contexto, é de extrema importância para desenvolver uma estratégia adequada de gestão de risco ter em conta as diferentes opções de negociação de energia num mercado liberalizado, de forma a suportar a tomada de decisões na gestão de risco. O presente trabalho apresenta um modelo que avalia a melhor estratégia de um produtor de energia eléctrica que comercializa num mercado competitivo, onde existem dois mercados possíveis para a transacção de energia: o mercado organizado (bolsa) e o mercado de contratos bilaterais. O produtor tenta maximizar seus lucros e minimizar os riscos correspondentes, seleccionando o melhor equilíbrio entre os dois mercados possíveis (bolsa e bilateral). O mercado de contratos bilaterais visa gerir adequadamente os riscos inerentes à operação de mercados no curto prazo (mercado organizado) e dar o vendedor / comprador uma capacidade real de escolher o fornecedor com que quer negociar. O modelo apresentado neste trabalho faz uma caracterização explícita do risco no que diz respeito ao agente de mercado na questão da sua atitude face ao risco, medido pelo Value at Risk (VaR), descrito neste trabalho por Lucro-em-Risco (PAR). O preço e os factores de risco de volume são caracterizados por um valor médio e um desvio padrão, e são modelizados por distribuições normais. Os resultados numéricos são obtidos utilizando a simulação de Monte Carlo implementado em Matlab, e que é aplicado a um produtor que mantém uma carteira diversificada de tecnologias de geração, para um horizonte temporal de um ano. Esta dissertação está organizada da seguinte forma: o capítulo 1, 2 e 3 descrevem o estado-da-arte relacionado com a gestão de risco na comercialização de energia eléctrica. O capítulo 4 descreve o modelo desenvolvido e implementado, onde é também apresentado um estudo de caso com uma aplicação do modelo para avaliar o risco de negociação de um produtor. No capítulo 5 são apresentadas as principais conclusões.

Improving Remote Voting Security with Code Voting

One of the major problems that prevents the spread of elections with the possibility of remote voting over electronic networks, also called Internet Voting, is the use of unreliable client platforms, such as the voter's computer and the Internet infrastructure connecting it to the election server. A computer connected to the Internet is exposed to viruses, worms, Trojans, spyware, malware and other threats that can compromise the election's integrity. For instance, it is possible to write a virus that changes the voter's vote to a predetermined vote on election's day. Another possible attack is the creation of a fake election web site where the voter uses a malicious vote program on the web site that manipulates the voter's vote (phishing/pharming attack). Such attacks may not disturb the election protocol, therefore can remain undetected in the eyes of the election auditors. We propose the use of Code Voting to overcome insecurity of the client platform. Code Voting consists in creating a secure communication channel to communicate the voter's vote between the voter and a trusted component attached to the voter's computer. Consequently, no one controlling the voter's computer can change the his/her's vote. The trusted component can then process the vote according to a cryptographic voting protocol to enable cryptographic verification at the server's side.

Aplicação das ferramentas lean: caso de estudo

Este trabalho tem como objectivo apresentar as ferramentas do Lean Thinking e realizar um estudo de caso numa organização em que este sistema é utilizado. Numa primeira fase do trabalho será feito uma análise bibliográfica sobre o ―Lean Thinking”, que consiste num sistema de negócios, uma forma de especificar valor e delinear a melhor sequência de acções que criam valor. Em seguida, será realizado um estudo de caso numa Empresa – Divisão de Motores – no ramo da aeronáutica com uma longa e conceituada tradição com o objectivo de reduzir o TAT (turnaround time – tempo de resposta), ou seja, o tempo desde a entrada de um motor na divisão até à entrega ao cliente. Primeiramente, analisando as falhas existentes em todo o processo do motor, isto é, a análise de tempos de reparação de peças à desmontagem do motor que têm que estar disponíveis à montagem do mesmo, peças que são requisitadas a outros departamentos da Empresa e as mesmas não estão disponíveis quando são precisas passando pelo layout da divisão. Por fim, fazer uma análise dos resultados até então alcançados na divisão de Motores e aplicar as ferramentas do ―Lean Thinking‖ com o objectivo da implementação. É importante referir que a implementação bem-sucedida requer, em primeiro lugar e acima de tudo, um firme compromisso da administração com uma completa adesão à cultura da procura e eliminação de desperdício. Para concluir o trabalho, destaca-se a importância deste sistema e quais são as melhorias que se podem conseguir com a sua implantação.

Variation of magnetic properties in sedimentary rocks hosting the Foum Zguid dyke (southern Morocco): Combined effects of re-crystallization and Fe-metasomatism

The effects of dyke intrusion on the magnetic properties of host sedimentary rocks are still poorly understood. Therefore, we have evaluated bulk magnetic parameters of standard palaeomagnetic samples collected along several sections across the sediments hosting the Foum Zguid dyke in southern Morocco. The study has been completed with the evaluation of the magnetic fabric after laboratory application of sequential heating experiments. The present study shows that: (1) close to Fourn Zguid dykes, the variations of the bulk magnetic parameters and of the magnetic fabric is strongly related with re-crystallization and Fe-metasomatism intensity. (2) The thermal experiments on AMS of samples collected farther from the dyke and, thus, less affected by heating during dyke emplacement, indicate that 300-400 degrees C is the minimum experimental temperature necessary to trigger appreciable transformations of the pre-existing magnetic fabrics. For temperatures higher than ca. 580 degrees C, the magnetic fabric transformations are fully realized, with complete transposition of the initial fabric to a fabric similar to that of samples collected close to the dyke. Therefore, measured variations of the magnetic fabric can be used to evaluate re-crystallization temperatures experienced by the host sedimentary rock during dyke emplacement. The distinct magnetic behaviour observed along the cross-sections strongly suggests that samples collected farther from the dyke margins did not experience thermal episodes with temperatures higher than 300 degrees C after dyke emplacement. (3) AMS data shows a gradual variation of the magnetic fabric with distance from the dyke margin, from sub-horizontal K-3 away from the dyke to vertical K3 close to the dyke. Experimental heating shows that heat alone can be responsible for this strong variation. Therefore, such orientation changes should not be unequivocally interpreted as the result of a stress field (resulting from the emplacement of the dyke, for instance). (4) Magnetic studies prove to be a very sensitive tool to assess rock magnetic transformations, thermally and chemically induced by dyke intrusion in hosting sediments.

Laser scanned photodiodes (LSPs) for image sensing

An optimized ZnO:Al/a-pin SixC1-x:H/Al configuration for the laser scanned photodiode (LSP) imaging detector is proposed and the read-out parameters improved. The effect of the sensing element structure, cell configuration and light source flux are investigated and correlated with the sensor output characteristics. Data reveals that for sensors with wide band gap doped layers an increase on the image signal optimized to the blue is achieved with a dynamic range of two orders of magnitude, a responsivity of 6 mA W-1 and a sensitivity of 17 muW cm(-2) at 530 nm. The main output characteristics such as image responsivity, resolution, linearity and dynamic range were analyzed under reverse, forward and short circuit modes. The results show that the sensor performance can be optimized in short circuit mode. A trade-off between the scan time and the required resolution is needed since the spot size limits the resolution due to the cross-talk between dark and illuminated regions leading to blurring effects.

Optical properties and transport in PLD-GaN

We present structural, optical and transport data on GaN samples grown by hybrid, two-step low temperature pulsed laser deposition. The band gap of samples with good crystallinity has been deduced from optical spectra. Large below gap band tails were observed. In samples with the lowest crystalline quality the PL spectra are quite dependent on spot laser incidence. The most intense PL lines can be attributed to excitons bounded to stacking faults. When the crystalline quality of the samples is increased the ubiquitous yellow emission band can be detected following a quenching process described by a similar activation energy to that one found in MOCVD grown samples. The samples with the highest quality present, besides the yellow band, show a large near band edge emission which peaked at 3.47 eV and could be observed up to room temperature. The large width of the NBE is attributed to effect of a wide distribution of band tail states on the excitons. Photoconductivity data supports this interpretation.

GA topology optimization using random keys for tree encoding of structures

Topology optimization consists in finding the spatial distribution of a given total volume of material for the resulting structure to have some optimal property, for instance, maximization of structural stiffness or maximization of the fundamental eigenfrequency. In this paper a Genetic Algorithm (GA) employing a representation method based on trees is developed to generate initial feasible individuals that remain feasible upon crossover and mutation and as such do not require any repairing operator to ensure feasibility. Several application examples are studied involving the topology optimization of structures where the objective functions is the maximization of the stiffness and the maximization of the first and the second eigenfrequencies of a plate, all cases having a prescribed material volume constraint.

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Futuros: estudo de caso sobre futuros cambiais

Mestrado em Contabilidade

Arrow Plot: a new graphical tool for selecting up and down regulated genes and genes differentially expressed on samples subgroups

Background: A common task in analyzing microarray data is to determine which genes are differentially expressed across two (or more) kind of tissue samples or samples submitted under experimental conditions. Several statistical methods have been proposed to accomplish this goal, generally based on measures of distance between classes. It is well known that biological samples are heterogeneous because of factors such as molecular subtypes or genetic background that are often unknown to the experimenter. For instance, in experiments which involve molecular classification of tumors it is important to identify significant subtypes of cancer. Bimodal or multimodal distributions often reflect the presence of subsamples mixtures. Consequently, there can be genes differentially expressed on sample subgroups which are missed if usual statistical approaches are used. In this paper we propose a new graphical tool which not only identifies genes with up and down regulations, but also genes with differential expression in different subclasses, that are usually missed if current statistical methods are used. This tool is based on two measures of distance between samples, namely the overlapping coefficient (OVL) between two densities and the area under the receiver operating characteristic (ROC) curve. The methodology proposed here was implemented in the open-source R software. Results: This method was applied to a publicly available dataset, as well as to a simulated dataset. We compared our results with the ones obtained using some of the standard methods for detecting differentially expressed genes, namely Welch t-statistic, fold change (FC), rank products (RP), average difference (AD), weighted average difference (WAD), moderated t-statistic (modT), intensity-based moderated t-statistic (ibmT), significance analysis of microarrays (samT) and area under the ROC curve (AUC). On both datasets all differentially expressed genes with bimodal or multimodal distributions were not selected by all standard selection procedures. We also compared our results with (i) area between ROC curve and rising area (ABCR) and (ii) the test for not proper ROC curves (TNRC). We found our methodology more comprehensive, because it detects both bimodal and multimodal distributions and different variances can be considered on both samples. Another advantage of our method is that we can analyze graphically the behavior of different kinds of differentially expressed genes. Conclusion: Our results indicate that the arrow plot represents a new flexible and useful tool for the analysis of gene expression profiles from microarrays.

Towards an Academic Social Network for Bologna Process

The Bologna Process aimed to build a European Higher Education Area promoting student's mobility. The adoption of Bologna Declaration directives requires a self management distributed approach to deal with student's mobility, allowing frequent updates in institutions rules or legislation. This paper suggests a computational system architecture, which follows a social network design. A set of structured annotations is proposed in order to organize the user's information. For instance, when the user is a student its annotations are organized into an academic record. The academic record data is used to discover interests, namely mobility interests, among students that belongs the academic network. These ideas have been applied into a demonstrator that includes a mobility simulator to compare and show the student's academic evolution.

A student personal system for Bologna process mobility

The Bologna Process aimed to build a European Higher Education Area with the objective of promoting students mobility. The adoption of Bologna Declaration directives requires a decentralized approach that accelerates student's mobility, based on frequently updated legislation. This paper proposes a student personal system to manage student's academic information. This system is supported by a flexible model that integrates, for instance, knowledge about the student attended courses or about a course that the student wishes to apply. Essentially, this model holds a (i) Student's Academic Record with skills acquired in academic course units, professional experience or training and an (ii) Individual Studies Plan, which places the student in a particular (iii) Course Plan setting the curricular structure that the student wishes to apply.

Results of radiation protection programmes on mammography

In this paper, we present the results of mammography quality control tests related to the work with Portuguese mammography equipment, either in conventional or in digital mammography computed radiography, showing the main differences in the tested equipments. Quality control in mammography is a very special area of quality control in radiology, which demands relatively high knowledge on physics. Digital imaging is changing the standards of the radiographic imaging. Regarding mammography, this is yet a controversial issue owing to some limitations of the digital detectors, like the resolution for instance. A complete set of results regarding radiation protection of the patients submitted to mammography diagnosis is presented. A discussion of the quality image parameters and its interpretation in conventional and digital mammography is presented. In conclusion, we present a sample of results that can be considered as characteristics of mammography equipment in Portugal.

FMRI 3D registration based on Fourier space subsets using neural networks

In this work, we present a neural network (NN) based method designed for 3D rigid-body registration of FMRI time series, which relies on a limited number of Fourier coefficients of the images to be aligned. These coefficients, which are comprised in a small cubic neighborhood located at the first octant of a 3D Fourier space (including the DC component), are then fed into six NN during the learning stage. Each NN yields the estimates of a registration parameter. The proposed method was assessed for 3D rigid-body transformations, using DC neighborhoods of different sizes. The mean absolute registration errors are of approximately 0.030 mm in translations and 0.030 deg in rotations, for the typical motion amplitudes encountered in FMRI studies. The construction of the training set and the learning stage are fast requiring, respectively, 90 s and 1 to 12 s, depending on the number of input and hidden units of the NN. We believe that NN-based approaches to the problem of FMRI registration can be of great interest in the future. For instance, NN relying on limited K-space data (possibly in navigation echoes) can be a valid solution to the problem of prospective (in frame) FMRI registration.

Water quality issues in rivers, lakes and reservoirs in Asian countries: an approach to the problems and the methodologies

Water covers over 70% of the Earth's surface, and is vital for all known forms of life. But only 3% of the Earth's water is fresh water, and less than 0.3% of all freshwater is in rivers, lakes, reservoirs and the atmosphere. However, rivers and lakes are an important part of fresh surface water, amounting to about 89%. In this Master Thesis dissertation, the focus is on three types of water bodies – rivers, lakes and reservoirs, and their water quality issues in Asian countries. The surface water quality in a region is largely determined both by the natural processes such as climate or geographic conditions, and the anthropogenic influences such as industrial and agricultural activities or land use conversion. The quality of the water can be affected by pollutants discharge from a specific point through a sewer pipe and also by extensive drainage from agriculture/urban areas and within basin. Hence, water pollutant sources can be divided into two categories: Point source pollution and Non-point source (NPS) pollution. Seasonal variations in precipitation and surface run-off have a strong effect on river discharge and the concentration of pollutants in water bodies. For example, in the rainy season, heavy and persistent rain wash off the ground, the runoff flow increases and may contain various kinds of pollutants and, eventually, enters the water bodies. In some cases, especially in confined water bodies, the quality may be positive related with rainfall in the wet season, because this confined type of fresh water systems allows high dilution of pollutants, decreasing their possible impacts. During the dry season, the quality of water is largely related to industrialization and urbanization pollution. The aim of this study is to identify the most common water quality problems in Asian countries and to enumerate and analyze the methodologies used for assessment of water quality conditions of both rivers and confined water bodies (lakes and reservoirs). Based on the evaluation of a sample of 57 papers, dated between 2000 and 2012, it was found that over the past decade, the water quality of rivers, lakes, and reservoirs in developing countries is being degraded. Water pollution and destruction of aquatic ecosystems have caused massive damage to the functions and integrity of water resources. The most widespread NPS in Asian countries and those which have the greatest spatial impacts are urban runoff and agriculture. Locally, mine waste runoff and rice paddy are serious NPS problems. The most relevant point pollution sources are the effluents from factories, sewage treatment plant, and public or household facilities. It was found that the most used methodology was unquestionably the monitoring activity, used in 49 of analyzed studies, accounting for 86%. Sometimes, data from historical databases were used as well. It can be seen that taking samples from the water body and then carry on laboratory work (chemical analyses) is important because it can give an understanding of the water quality. 6 papers (11%) used a method that combined monitoring data and modeling. 6 papers (11%) just applied a model to estimate the quality of water. Modeling is a useful resource when there is limited budget since some models are of free download and use. In particular, several of used models come from the U.S.A, but they have their own purposes and features, meaning that a careful application of the models to other countries and a critical discussion of the results are crucial. 5 papers (9%) focus on a method combining monitoring data and statistical analysis. When there is a huge data matrix, the researchers need an efficient way of interpretation of the information which is provided by statistics. 3 papers (5%) used a method combining monitoring data, statistical analysis and modeling. These different methods are all valuable to evaluate the water quality. It was also found that the evaluation of water quality was made as well by using other types of sampling different than water itself, and they also provide useful information to understand the condition of the water body. These additional monitoring activities are: Air sampling, sediment sampling, phytoplankton sampling and aquatic animal tissues sampling. Despite considerable progress in developing and applying control regulations to point and NPS pollution, the pollution status of rivers, lakes, and reservoirs in Asian countries is not improving. In fact, this reflects the slow pace of investment in new infrastructure for pollution control and growing population pressures. Water laws or regulations and public involvement in enforcement can play a constructive and indispensable role in environmental protection. In the near future, in order to protect water from further contamination, rapid action is highly needed to control the various kinds of effluents in one region. Environmental remediation and treatment of industrial effluent and municipal wastewaters is essential. It is also important to prevent the direct input of agricultural and mine site runoff. Finally, stricter environmental regulation for water quality is required to support protection and management strategies. It would have been possible to get further information based in the 57 sample of papers. For instance, it would have been interesting to compare the level of concentrations of some pollutants in the diferente Asian countries. However the limit of three months duration for this study prevented further work to take place. In spite of this, the study objectives were achieved: the work provided an overview of the most relevant water quality problems in rivers, lakes and reservoirs in Asian countries, and also listed and analyzed the most common methodologies.