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.

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

Teor mineral e capacidade antioxidante em chás e infusões

Mestrado em Engenharia Química – Ramo Optimização Energética na Indústria Química

Stochastic Framework for Strategic Decision-making of Load-serving Entities for Day-ahead Market

The deregulation of electricity markets has diversified the range of financial transaction modes between independent system operator (ISO), generation companies (GENCO) and load-serving entities (LSE) as the main interacting players of a day-ahead market (DAM). LSEs sell electricity to end-users and retail customers. The LSE that owns distributed generation (DG) or energy storage units can supply part of its serving loads when the nodal price of electricity rises. This opportunity stimulates them to have storage or generation facilities at the buses with higher locational marginal prices (LMP). The short-term advantage of this model is reducing the risk of financial losses for LSEs in DAMs and its long-term benefit for the LSEs and the whole system is market power mitigation by virtually increasing the price elasticity of demand. This model also enables the LSEs to manage the financial risks with a stochastic programming framework.

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.

Elspot: Nord Pool Spot Integration in MASCEM Electricity Market Simulator

The energy sector in industrialized countries has been restructured in the last years, with the purpose of decreasing electricity prices through the increase in competition, and facilitating the integration of distributed energy resources. However, the restructuring process increased the complexity in market players' interactions and generated emerging problems and new issues to be addressed. In order to provide players with competitive advantage in the market, decision support tools that facilitate the study and understanding of these markets become extremely useful. In this context arises MASCEM (Multi-Agent Simulator of Competitive Electricity Markets), a multi-agent based simulator that models real electricity markets. To reinforce MASCEM with the capability of recreating the electricity markets reality in the fullest possible extent, it is crucial to make it able to simulate as many market models and player types as possible. This paper presents a new negotiation model implemented in MASCEM based on the negotiation model used in day-ahead market (Elspot) of Nord Pool. This is a key module to study competitive electricity markets, as it presents well defined and distinct characteristics from the already implemented markets, and it is a reference electricity market in Europe (the one with the larger amount of traded power).

Particle Swarm Optimization of Electricity Market Negotiating Players Portfolio

Energy systems worldwide are complex and challenging environments. Multi-agent based simulation platforms are increasing at a high rate, as they show to be a good option to study many issues related to these systems, as well as the involved players at act in this domain. In this scope the authors’ research group has developed a multi-agent system: MASCEM (Multi- Agent System for Competitive Electricity Markets), which performs realistic simulations of the electricity markets. MASCEM is integrated with ALBidS (Adaptive Learning Strategic Bidding System) that works as a decision support system for market players. The ALBidS system allows MASCEM market negotiating players to take the best possible advantages from each market context. However, it is still necessary to adequately optimize the players’ portfolio investment. For this purpose, this paper proposes a market portfolio optimization method, based on particle swarm optimization, which provides the best investment profile for a market player, considering different market opportunities (bilateral negotiation, market sessions, and operation in different markets) and the negotiation context such as the peak and off-peak periods of the day, the type of day (business day, weekend, holiday, etc.) and most important, the renewable based distributed generation forecast. The proposed approach is tested and validated using real electricity markets data from the Iberian operator – MIBEL.

Incentive-based demand response programs designed by asset-light retailers for day-ahead market

Following the deregulation experience of retail electricity markets in most countries, the majority of the new entrants of the liberalized retail market were pure REP (retail electricity providers). These entities were subject to financial risks because of the unexpected price variations, price spikes, volatile loads and the potential for market power exertion by GENCO (generation companies). A REP can manage the market risks by employing the DR (demand response) programs and using its' generation and storage assets at the distribution network to serve the customers. The proposed model suggests how a REP with light physical assets, such as DG (distributed generation) units and ESS (energy storage systems), can survive in a competitive retail market. The paper discusses the effective risk management strategies for the REPs to deal with the uncertainties of the DAM (day-ahead market) and how to hedge the financial losses in the market. A two-stage stochastic programming problem is formulated. It aims to establish the financial incentive-based DR programs and the optimal dispatch of the DG units and ESSs. The uncertainty of the forecasted day-ahead load demand and electricity price is also taken into account with a scenario-based approach. The principal advantage of this model for REPs is reducing the risk of financial losses in DAMs, and the main benefit for the whole system is market power mitigation by virtually increasing the price elasticity of demand and reducing the peak demand.

Towards a unified European electricity market: The contribution of data-mining to support realistic simulation studies

Worldwide electricity markets have been evolving into regional and even continental scales. The aim at an efficient use of renewable based generation in places where it exceeds the local needs is one of the main reasons. A reference case of this evolution is the European Electricity Market, where countries are connected, and several regional markets were created, each one grouping several countries, and supporting transactions of huge amounts of electrical energy. The continuous transformations electricity markets have been experiencing over the years create the need to use simulation platforms to support operators, regulators, and involved players for understanding and dealing with this complex environment. This paper focuses on demonstrating the advantage that real electricity markets data has for the creation of realistic simulation scenarios, which allow the study of the impacts and implications that electricity markets transformations will bring to the participant countries. A case study using MASCEM (Multi-Agent System for Competitive Electricity Markets) is presented, with a scenario based on real data, simulating the European Electricity Market environment, and comparing its performance when using several different market mechanisms.

Lettuce (Lactuca sativa L.) leaf-proteome profiles after exposure to cylindrospermopsin and a microcystin-LR/cylindrospermopsin mixture: A concentration-dependent response

The intensification of agricultural productivity is an important challenge worldwide. However, environmental stressors can provide challenges to this intensification. The progressive occurrence of the cyanotoxins cylindrospermopsin (CYN) and microcystin-LR (MC-LR) as a potential consequence of eutrophication and climate change is of increasing concern in the agricultural sector because it has been reported that these cyanotoxins exert harmful effects in crop plants. A proteomic-based approach has been shown to be a suitable tool for the detection and identification of the primary responses of organisms exposed to cyanotoxins. The aim of this study was to compare the leaf-proteome profiles of lettuce plants exposed to environmentally relevant concentrations of CYN and a MC-LR/CYN mixture. Lettuce plants were exposed to 1, 10, and 100 lg/l CYN and a MC-LR/CYN mixture for five days. The proteins of lettuce leaves were separated by twodimensional electrophoresis (2-DE), and those that were differentially abundant were then identified by matrix-assisted laser desorption/ionization time of flight-mass spectrometry (MALDI-TOF/TOF MS). The biological functions of the proteins that were most represented in both experiments were photosynthesis and carbon metabolism and stress/defense response. Proteins involved in protein synthesis and signal transduction were also highly observed in the MC-LR/CYN experiment. Although distinct protein abundance patterns were observed in both experiments, the effects appear to be concentration-dependent, and the effects of the mixture were clearly stronger than those of CYN alone. The obtained results highlight the putative tolerance of lettuce to CYN at concentrations up to 100 lg/l. Furthermore, the combination of CYN with MC-LR at low concentrations (1 lg/l) stimulated a significant increase in the fresh weight (fr. wt) of lettuce leaves and at the proteomic level resulted in the increase in abundance of a high number of proteins. In contrast, many proteins exhibited a decrease in abundance or were absent in the gels of the simultaneous exposure to 10 and 100 lg/l MC-LR/CYN. In the latter, also a significant decrease in the fr. wt of lettuce leaves was obtained. These findings provide important insights into the molecular mechanisms of the lettuce response to CYN and MC-LR/CYN and may contribute to the identification of potential protein markers of exposure and proteins that may confer tolerance to CYN and MC-LR/CYN. Furthermore, because lettuce is an important crop worldwide, this study may improve our understanding of the potential impact of these cyanotoxins on its quality traits (e.g., presence of allergenic proteins).

Effects of storage, processing and proteolytic digestion on microcystin-LR concentration in edible clams

Accumulation of microcystin-LR (MC-LR) in edible aquatic organisms, particularly in bivalves, is widely documented. In this study, the effects of food storage and processing conditions on the free MC-LR concentration in clams (Corbicula fluminea) fed MC-LR-producing Microcystisaeruginosa (1 × 105 cell/mL) for four days, and the bioaccessibility of MC-LR after in vitro proteolytic digestion were investigated. The concentration of free MC-LR in clams decreased sequentially over the time with unrefrigerated and refrigerated storage and increased with freezing storage. Overall, cooking for short periods of time resulted in a significantly higher concentration (P < 0.05) of free MC-LR in clams, specifically microwave (MW) radiation treatment for 0.5 (57.5%) and 1 min (59%) and boiling treatment for 5 (163.4%) and 15 min (213.4%). The bioaccessibility of MC-LR after proteolytic digestion was reduced to 83%, potentially because of MC-LR degradation by pancreatic enzymes. Our results suggest that risk assessment based on direct comparison between MC-LR concentrations determined in raw food products and the tolerable daily intake (TDI) value set for the MC-LR might not be representative of true human exposure.

Early physiological and biochemical responses of rice seedlings to low concentration of microcystin-LR

Microcystin-leucine and arginine (microcystin- LR) is a cyanotoxin produced by cyanobacteria like Microcystis aeruginosa, and it’s considered a threat to water quality, agriculture, and human health. Rice (Oryzasativa) is a plant of great importance in human food consumption and economy, with extensive use around the world. It is therefore important to assess the possible effects of using water contaminated with microcystin-LR to irrigate rice crops, in order to ensure a safe, high quality product to consumers. In this study, 12 and 20-day-old plants were exposed during 2 or 7 days to a M. aeruginosa extract containing environmentally relevant microcystin-LR concentrations, 0.26–78 lg/L. Fresh and dry weight of roots and leaves, chlorophyll fluorescence, glutathione S-transferase and glutathione peroxidase activities, and protein identification by mass spectrometry through two-dimensional gel electrophoresis from root and leaf tissues, were evaluated in order to gauge the plant’s physiological condition and biochemical response after toxin exposure. Results obtained from plant biomass, chlorophyll fluorescence, and enzyme activity assays showed no significant differences between control and treatment groups. How- ever, proteomics data indicates that plants respond to M. aeruginosa extract containing environmentally relevant microcystin-LR concentrations by changing their metabolism, responding differently to different toxin concentrations. Biological processes most affected were related to protein folding and stress response, protein biosynthesis, cell signalling and gene expression regulation, and energy and carbohydrate metabolism which may denote a toxic effect induced by M. aeruginosa extract and microcystin- LR. Theimplications of the metabolic alterations in plant physiology and growth require further elucidation.

Eficiência e concentração na indústria bancária

O objectivo deste trabalho é a análise da eficiência produtiva e dos efeitos da concentração sobre os custos bancários, tendo por base a indústria bancária portuguesa. O carácter multiproduto da empresa bancária sugere a necessidade de se adoptar formas multiproduto da função custo (tipo Fourier). Introduzimos variáveis de homogeneidade e de estrutura que permitem o recurso a formas funcionais uniproduto (Cobb-Douglas) à banca. A amostra corresponde a 22 bancos que operavam em Portugal entre 1995-2001, base não consolidada e dados em painel. Para o estudo da ineficiência recorreu-se ao modelo estocástico da curva fronteira (SFA), para as duas especificações. Na análise da concentração, introduziram-se variáveis binárias que pretendem captar os efeitos durante quatro anos após a concentração. Tanto no caso da SFA como no da concentração, os resultados encontrados são sensíveis à especificação funcional adoptada. Concluindo, o processo de concentração bancário parece justificar-se pela possibilidade da diminuição da ineficiência-X.

Análise dos sistemas termo-solares de produção de energia eléctrica

Actualmente a humanidade depara-se com um dos grandes desafios que é o de efectivar a transição para um futuro sustentável. Logo, o sector da energia tem um papel chave neste processo de transição, com principal destaque para a energia solar, tendo em conta que é uma das fontes de energias renováveis mais promissoras, podendo no médiolongo prazo, tornar-se uma das principais fontes de energia no panorama energético dos países. A energia solar térmica de concentração (CSP), apesar não ser ainda conhecida em Portugal, possui um potencial relevante em regiões específicas do nosso território. Logo, o objectivo deste trabalho é efectuar uma análise detalhada dos sistemas solares de concentração para produção de energia eléctrica, abordando temas, tais como, o potencial da energia solar, a definição do processo de concentração solar, a descrição das tecnologias existentes, o estado da arte do CSP, mercado CSP no mundo, e por último, a análise da viabilidade técnico-económica da instalação de uma central tipo torre solar de 20 MW, em Portugal. Para que este objectivo fosse exequível, recorreu-se à utilização de um software de simulação termodinâmica de centrais CSP, denominado por Solar Advisor Model (SAM). O caso prático foi desenvolvido para a cidade de Faro, onde foram simuladas quatro configurações distintas para uma central do tipo torre solar de 20 MW. Foram apresentados resultados, focando a desempenho diário e anual da central. Foi efectuada uma análise para avaliação da influência da variabilidade dos parâmetros, localização geográfica, múltiplo solar, capacidade de armazenamento de calor e fracção de hibridização sobre o custo nivelado da energia (LCOE), o factor de capacidade e a produção anual de energia. Conjuntamente, é apresentada uma análise de sensibilidade, com a finalidade de averiguar quais os parâmetros que influenciam de forma mais predominante o valor do LCOE. Por último, é apresentada uma análise de viabilidade económica de um investimento deste tipo.

Analysis of Electricity Market Prices Using Multidimensional Scaling

This paper studies the impact of the energy upon electricity markets using Multidimensional Scaling (MDS). Data from major energy and electricity markets is considered. Several maps produced by MDS are presented and discussed revealing that this method is useful for understanding the correlation between them. Furthermore, the results help electricity markets agents hedging against Market Clearing Price (MCP) volatility.