Analysis of stock market indices with multidimensional scaling and wavelets

Stock market indices SMIs are important measures of financial and economical performance. Considerable research efforts during the last years demonstrated that these signals have a chaotic nature and require sophisticated mathematical tools for analyzing their characteristics. Classical methods, such as the Fourier transform, reveal considerable limitations in discriminating different periods of time. This paper studies the dynamics of SMI by combining the wavelet transform and the multidimensional scaling MDS . Six continuous wavelets are tested for analyzing the information content of the stock signals. In a first phase, the real Shannon wavelet is adopted for performing the evaluation of the SMI dynamics, while their comparison is visualized by means of the MDS. In a second phase, the other wavelets are also tested, and the corresponding MDS plots are analyzed.

Ibuprofen-loaded poly(trimethylene carbonate-co-ϵ- caprolactone) electrospun fibres for nerve regeneration

The development of scaffolds that combine the delivery of drugs with the physical support provided by electrospun fibres holds great potential in the field of nerve regeneration. Here it is proposed the incorporation of ibuprofen, a well-known non-steroidal anti-inflammatory drug, in electrospun fibres of the statistical copolymer poly(trimethylene carbonate-co-ε-caprolactone) [P(TMC-CL)] to serve as a drug delivery system to enhance axonal regeneration in the context of a spinal cord lesion, by limiting the inflammatory response. P(TMC-CL) fibres were electrospun from mixtures of dichloromethane (DCM) and dimethylformamide (DMF). The solvent mixture applied influenced fibre morphology, as well as mean fibre diameter, which decreased as the DMF content in solution increased. Ibuprofen-loaded fibres were prepared from P(TMC-CL) solutions containing 5% ibuprofen (w/w of polymer). Increasing drug content to 10% led to jet instability, resulting in the formation of a less homogeneous fibrous mesh. Under the optimized conditions, drug-loading efficiency was above 80%. Confocal Raman mapping showed no preferential distribution of ibuprofen in P(TMC-CL) fibres. Under physiological conditions ibuprofen was released in 24h. The release process being diffusion-dependent for fibres prepared from DCM solutions, in contrast to fibres prepared from DCM-DMF mixtures where burst release occurred. The biological activity of the drug released was demonstrated using human-derived macrophages. The release of prostaglandin E2 to the cell culture medium was reduced when cells were incubated with ibuprofen-loaded P(TMC-CL) fibres, confirming the biological significance of the drug delivery strategy presented. Overall, this study constitutes an important contribution to the design of a P(TMC-CL)-based nerve conduit with anti-inflammatory properties.

Competitive dynamics for behavior coordination in a joint transportation task

We address the problem of coordinating two non-holonomic mobile robots that move in formation while transporting a long payload. A competitive dynamics is introduced that gradually controls the activation and deactivation of individual behaviors. This process introduces (asymmetrical) hysteresis during behavioral switching. As a result behavioral oscillations, due to noisy information, are eliminated. Results in indoor environments show that if parameter values are chosen within reasonable ranges then, in spite of noise in the robots communi- cation and sensors, the overall robotic system works quite well even in cluttered environments. The robots overt behavior is stable and smooth.

Analysis of stock market indices through multidimensional scaling

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

Dynamics of the Dow Jones and the NASDAQ stock indexes

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Using fractional derivatives for the joint ontrol of hexapod robots

This article studies several Fractional Order Control algorithms used for joint control of a hexapod robot. Both Padé and series approximations to the fractional derivative are considered for the control algorithm. The walking performance is evaluated through two indices: The mean absolute density of energy used per unit distance travelled, and the control effort. A set of simulation experiments reveals the influence of the different approximations upon the proposed indices. The results show that the fractional proportional and derivative algorithm, implemented using the Padé approximation with a small number of terms, gives the best results.

Implementação e integração do modelo de acreditação da Joint Commission International na unidade de imagiologia do Hospital Privado da Boavista

Este trabalho descreve a abordagem abrangente sobre a melhoria do sistema de gestão da qualidade na Unidade de Imagiologia do Hospital da Boavista através da implementação das normas de acreditação da Joint Commission International (JCI). Fundamental para a melhoria geral da qualidade é a redução contínua de riscos para os doentes e para os profissionais da Unidade. Tais riscos podem existir ao nível do ambiente físico assim como no circuito dos exames e dos doentes. A acreditação em Saúde é uma das prioridades estratégicas do Ministério da Saúde e tem como objetivo fortalecer a confiança dos cidadãos nos profissionais de saúde bem como nas instituições de saúde. É importante que Portugal cultive a melhoria da qualidade e segurança nas instituições de saúde mantendo uma relação adequada custo/benefício. A União Europeia tem feito um esforço para que a acreditação seja harmoniosa nos seus princípios, no entanto é respeitada sempre a prevalência da legislação de cada país, bem como as suas especificações culturais e religiosas (Shaw, 2006), responsabilizando-o pelo seu sistema de saúde O trabalho aqui apresentado tem como objetivo principal fundamentar a escolha do modelo de acreditação da JCI para o Hospital da Boavista, nomeadamente para a Unidade de Imagiologia, ver se os padrões estão de acordo com os procedimentos da Unidade, identificar falhas e apontar possiveis melhorias. Pretende-se ainda mostrar a importância da implementação dos sistemas de certificação e acreditação da gestão da qualidade, documentada pela experiência profissional, bem como o know-how do Hospital da Boavista, assim como a complementaridade dos programas da gestão da qualidade, certificação e acreditação. A escolha do modelo de acreditação da JCI, foi uma opção do Hospital da Boavista baseada na credibilidade e no grau de exigência que a entidade impõe. Foi imperativo que a Unidade de Imagiologia realizasse as suas funções de forma válida e fiável e que disponibilizasse produtos / serviços de qualidade. A monitorização e consequente controlo de qualidade do serviço prestado pela Unidade de Imagiologia, foi difícil mas simplificado, em parte, devido ao sistema de gestão da qualidade ISO 9001:2008 já implementado, tendo este sido consolidado com a implementação da acreditação da JCI, com padrões específicos bem definidos na gestão do controlo de qualidade na Unidade de Imagiologia do Hospital da Boavista.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Gestão do stock da bandoteca do centro de processamento de dados do BPA - Banco Português do Atlântico

O programa que nos propusemos fazer destina-se à informatização do stock de bandas da bandoteca do Centro Informático do BPA.

Joint effects of salinity and the antidepressant sertraline on the estuarine decapod Carcinus maenas

Concurrent exposure of estuarine organisms to man-made and natural stressors has become a common occurrence. Numerous interactions of multiple stressors causing synergistic or antagonistic effects have been described. However, limited information is available on combined effects of emerging pharmaceuticals and natural stressors. This study investigated the joint effects of the antidepressant sertraline and salinity on Carcinus maenas. To improve knowledge about interactive effects and potential vulnerability,experiments were performed with organisms from two estuaries with differing histories of exposure to environmental contamination. Biomarkers related to mode of action of sertraline were employed to assess effects of environmentally realistic concentrations of sertraline at two salinity levels. Synergism and antagonism were identified for biomarkers of cholinergic neurotransmission, energy production,anti-oxidant defences and oxidative damage. Different interactions were found for the two study sites highlighting the need to account for differences in tolerance of local ecological receptors in risk evaluations.

Smart Grid Market Using Joint Energy and Ancillary Services Bids

The power systems operation in the smart grid context increases significantly the complexity of their management. New approaches for ancillary services procurement are essential to ensure the operation of electric power systems with appropriate levels of stability, safety, quality, equity and competitiveness. These approaches should include market mechanisms which allow the participation of small and medium distributed energy resources players in a competitive market environment. In this paper, an energy and ancillary services joint market model used by an aggregator is proposed, considering bids of several types of distributed energy resources. In order to improve economic efficiency in the market, ancillary services cascading market mechanism is also considered in the model. The proposed model is included in MASCEM – a multi-agent system electricity market simulator. A case study considering a distribution network with high penetration of distributed energy resources is presented.

Integration in MASCEM of the Joint Dispatch of Energy and Reserves Provided by Generation and Demand Resources

The provision of reserves in power systems is of great importance in what concerns keeping an adequate and acceptable level of security and reliability. This need for reserves and the way they are defined and dispatched gain increasing importance in the present and future context of smart grids and electricity markets due to their inherent competitive environment. This paper concerns a methodology proposed by the authors, which aims to jointly and optimally dispatch both generation and demand response resources to provide the amounts of reserve required for the system operation. Virtual Power Players are especially important for the aggregation of small size demand response and generation resources. The proposed methodology has been implemented in MASCEM, a multi agent system also developed at the authors’ research center for the simulation of electricity markets.

Multidimensional Scaling Analysis of Stock Market Indexes

This paper applies multidimensional scaling techniques and Fourier transform for visualizing possible time-varying correlations between 25 stock market values. The method is useful for observing clusters of stock markets with similar behavior.