Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

Controlo de tráfego

O crescente número de automóveis nas ruas das grandes cidades, assim como o crescente número de transportes urbanos para atender o crescimento das populações, veio fazer com que as cidades cada vez mais fiquem mais congestionadas e mais propícias para acidentes envolvendo viaturas e peões. Devido a isso, foram criados sistemas de controlo de tráfego capazes de melhorar o tráfego urbano nas cidades, sem deixar de lado as preocupações com os peões e nem com as emissões de poluentes para o ar. Baseado nesse cenário, este trabalho tem como objetivo abordar as possíveis soluções existentes no mercado para melhorar o fluxo das viaturas, principalmente dos transportes colectivos, com prioridades para viaturas de emergências e autocarros, assim como, as passagens de peões, e sistemas de mobilidade urbana. Desempenho do transporte público pode ser melhorado através de um melhor controlo e gerenciamento de tráfego em geral. Nos testes realizados em campo: foi medida a velocidade de viagem do autocarro no cruzamento fixo (Praça de Espanha), e correlacionando-os com intervalos do ciclo dos semáforos para este cruzamento. A flexibilidade do controlador actuando, com o auxílio de detectores de veículos, sendo capaz de variar os intervalos dentro do ciclo, bem como o volume de carros e de prestações em velocidade de viagem do autocarro. Resultados mostram que, durante o período em estudo, os benefícios de velocidade da viagem do autocarro, seria possível, através de um verdadeiro controlo de tempo feedback de cooperação entre as áreas urbanas de controlo de tráfego (Gertrude) e do sistema de localização de veículos de transportes públicos (SAEIP). Ao longo prazo, sugerimos a implantação de um sistema integrado. Fazendo com que o volume no carro seja reduzido. Este efeito leva também, a um aumento da velocidade comercial do autocarro urbano, da mesma forma como foi proposto em nossa experiência.

Mobi_System: A Personal Travel Assistance for Electrical Vehicles in Smart Cities

In this work it is proposed the design of a mobile system to assist car drivers in a smart city environment oriented to the upcoming reality of Electric Vehicles (EV). Taking into account the new reality of smart cites, EV introduction, Smart Grids (SG), Electrical Markets (EM), with deregulation of electricity production and use, drivers will need more information for decision and mobility purposes. A mobile application to recommend useful related information will help drivers to deal with this new reality, giving guidance towards traffic, batteries charging process, and city mobility infrastructures (e. g. public transportation information, parking places availability and car & bike sharing systems). Since this is an upcoming reality with possible process changes, development must be based on agile process approaches (Web services).

Real-time rheology of actively growing bacteria

The population growth of a Staphylococcus aureus culture, an active colloidal system of spherical cells, was followed by rheological measurements, under steady-state and oscillatory shear flows. We observed a rich viscoelastic behavior as a consequence of the bacteria activity, namely, of their multiplication and density-dependent aggregation properties. In the early stages of growth (lag and exponential phases), the viscosity increases by about a factor of 20, presenting several drops and full recoveries. This allows us to evoke the existence of a percolation phenomenon. Remarkably, as the bacteria reach their late phase of development, in which the population stabilizes, the viscosity returns close to its initial value. Most probably, this is caused by a change in the bacteria physiological activity and in particular, by the decrease of their adhesion properties. The viscous and elastic moduli exhibit power-law behaviors compatible with the "soft glassy materials" model, whose exponents are dependent on the bacteria growth stage. DOI: 10.1103/PhysRevE.87.030701.

Benchmarking de uma aproximação de ticketing as a service (Taas)

Dissertação de natureza científica realizada para obtenção do grau de Mestre em Engenharia de Redes de Computadores e Multimédia

Soluções de transporte ferroviário: simulação de marcha e de tráfego de veículos de tração diesel e elétrica

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica

Public relations in part-time : full-time service: estratégia de comunicação para o lançamento de um novo modelo de negócio ds relações públicas em Portugal

O presente trabalho visa propor uma estratégia para a construção e lançamento de um novo modelo de negócio para a atuação das Relações Públicas em Portugal, numa proposta direcionada para as micro e pequenas empresas. Entre o serviço in house e a consultadoria clássica existe um espaço não coberto em Portugal: um serviço in house partilhado. Apresenta-se aqui este projeto de serviço de Relações Públicas para aqueles para quem é incomportável assumir nos seus quadros um Técnico de Comunicação.

A SON Enhanced Algorithm for Observed Time Differences Based Geolocation in Real 3G Networks

Conferência - 16th International Symposium on Wireless Personal Multimedia Communications (WPMC)- Jun 24-27, 2013

The organ verses of Frei Jerónimo da Madre de Deus: Portuguese organ music in the time of D. João V

Contrastando com o importante legado dos mestres organistas portugueses dos séculos XVI e XVII, a música portuguesa para órgão pós-1700 parece quase inexistente (excluindo raros exemplos, como as quatro sonatas para órgão de Carlos Seixas). Seja devido à destruição causada pelo grande terramoto de Lisboa em 1755, ou a outras causas, a ausência de fontes é surpreendente, considerando os testemunhos de actividade musical durante aquele período. Este artigo lida com uma fonte até hoje relativamente ignorada: o manuscrito CLI/1-4 nº 7 da Biblioteca do Palácio Ducal de Vila Viçosa (Versos / Sobre o Canto Chão / Para Orgão / De Fr. Jeronimo da M.dre de DS.). Esta colecção de vinte versos para órgão de Jerónimo da Madre de Deus é, de longe, a maior obra portuguesa para órgão da primeira metade do século XVIII até hoje conhecida. Claramente pensadas para o órgão, estas curtas peças testemunham a transformação da escrita para tecla em Portugal durante o reinado de D. João V (nomeadamente através da absorção de influências italianas) e fornecem informações preciosas sobre o tipo de instrumento em que eram tocadas.

ECG-based biometrics: A real time classification approach

Behavioral biometrics is one of the areas with growing interest within the biosignal research community. A recent trend in the field is ECG-based biometrics, where electrocardiographic (ECG) signals are used as input to the biometric system. Previous work has shown this to be a promising trait, with the potential to serve as a good complement to other existing, and already more established modalities, due to its intrinsic characteristics. In this paper, we propose a system for ECG biometrics centered on signals acquired at the subject's hand. Our work is based on a previously developed custom, non-intrusive sensing apparatus for data acquisition at the hands, and involved the pre-processing of the ECG signals, and evaluation of two classification approaches targeted at real-time or near real-time applications. Preliminary results show that this system leads to competitive results both for authentication and identification, and further validate the potential of ECG signals as a complementary modality in the toolbox of the biometric system designer.

Design and construction of tunnels in zones subjected to high convergences

The economic development of a region depends on the speed that people and goods can travel. The reduction of people and goods travel time can be achieved by planning smooth road layouts, which are obtained by crossing natural obstacles such as hills, by tunneling at great depths, and allowing the reduction of the road alignment length. The stress state in rock masses at such depths, either because of the overburden or due to the tectonic conditions of the rock mass induces high convergences of the tunnel walls. These high convergence values are incompatible with the supports structural performance installed in the excavation stabilization. In this article it is intended to evaluate and analyze some of the solutions already implemented in several similar geological and geotechnical situations, in order to establish a methodological principle for the design of the tunnels included in a highway section under construction in the region influenced by the Himalayas, in the state of Himachal Pradesh (India) and referenced by "four laning of Kiratpur to Ner Chowk section".

Geological and geotechnical surveys in tectonically active rock masses

The economic development of a region depends on the speed that people and goods can travel. The reduction of people and goods travel time can be achieved by planning smooth road layouts, which are obtained by crossing natural obstacles such as hills, by tunneling at great depths, and allowing the reduction of the road alignment length. The stress state in rock masses at such depths, either because of the overburden or due to the tectonic conditions of the rock mass induces high convergences of the tunnel walls. These high convergence values are incompatible with the supports structural performance installed in the excavation stabilization. In this article it is intended to evaluate and analyze some of the solutions already implemented in several similar geological and geotechnical situations, in order to establish a methodological principle for the design of the tunnels included in a highway section under construction in the region influenced by the Himalayas, in the state of Himachal Pradesh (India) and referenced by "four laning of Kiratpur to Ner Chowk section".

Death cabaret: porque os mortos viajam depressa

Projecto do Mestrado de Teatro especialização em Artes Performativas

Juggling time concepts: complex metanarrative in Alejandro González Iñárritu’s 21 Grams

ABSTRACT - Starting with the explanation of metanarrative as a sort of self-reflexive storytelling (as defended by Kenneth Weaver Hope in his unpublished PhD. thesis), I propose to talk about enunciative practices that stress the telling more than the told. In line with some metaficcional practices applied to cinema, such as the ‘mindfuck’ film (Jonathan Eig, 2003), the ‘psychological puzzle film’ (Elliot Panek, 2003) and the ‘mind-game film’ (Thomas Elsaesser, 2009), I will address the manipulations that a narrative film endures in order to produce a more fruitful and complex experience for the viewer. I will particularly concentrate on the misrepresentation of time as a way to produce a labyrinthine work of fiction where the linear description of events is replaced by a game of time disclosure. The viewer is thus called upon to reconstruct the order of the various situations portrayed in a process that I call ‘temporal mapping’. However, as the viewer attempts to do this, the film, ironically, because of the intricate nature of the plot and the uncertain status of the characters, resists the attempt. There is a sort of teasing taking place between the film and its spectator: an invitation of decoding that is half-denied until the end, where the puzzle is finally solved. I will use three of Alejandro Iñárritu’s films to better convey my point: Amores perros (2000), 21 Grams (2003) and Babel (2006). I will consider Iñárritu’s methods to produce a non-linear storytelling as a way to stress the importance of time and its validity as one of the elements that make up for a metanarrative experience in films. I will focus especially on 21 Grams, which I consider to be a paragon of the labyrinth.

System-on-chip field-programmable gate array design for onboard real-time hyperspectral unmixing

Hyperspectral instruments have been incorporated in satellite missions, providing large amounts of data of high spectral resolution of the Earth surface. This data can be used in remote sensing applications that often require a real-time or near-real-time response. To avoid delays between hyperspectral image acquisition and its interpretation, the last usually done on a ground station, onboard systems have emerged to process data, reducing the volume of information to transfer from the satellite to the ground station. For this purpose, compact reconfigurable hardware modules, such as field-programmable gate arrays (FPGAs), are widely used. This paper proposes an FPGA-based architecture for hyperspectral unmixing. This method based on the vertex component analysis (VCA) and it works without a dimensionality reduction preprocessing step. The architecture has been designed for a low-cost Xilinx Zynq board with a Zynq-7020 system-on-chip FPGA-based on the Artix-7 FPGA programmable logic and tested using real hyperspectral data. Experimental results indicate that the proposed implementation can achieve real-time processing, while maintaining the methods accuracy, which indicate the potential of the proposed platform to implement high-performance, low-cost embedded systems, opening perspectives for onboard hyperspectral image processing.