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.

Modeling radionuclides dispersion and deposition downwind of a coal-fired power plant

In this study the inhalation doses and respective risk are calculated for the population living within a 20 km radius of a coal-fired power plant. The dispersion and deposition of natural radionuclides were simulated by a Gaussian dispersion model estimating the ground level activity concentration. The annual effective dose and total risk were 0.03205 mSv/y and 1.25 x 10-8, respectively. The effective dose is lower than the limit established by the ICRP and the risk is lower than the limit proposed by the U.S. EPA, which means that the considered exposure does not pose any risk for the public health.

Navegação de robôs móveis por marcas artificiais em ambientes semi-estruturados

Mestrado em engenharia electrotécnica e de computadores - Área de Especialização de Sistemas Autónomos

Mathematical modeling and simulation of heat flow through pultrusion die assembly system for thermoset composites

Pultrusion is an industrial process used to produce glass fibers reinforced polymers profiles. These materials are worldwide used when performing characteristics, such as great electrical and magnetic insulation, high strength to weight ratio, corrosion and weather resistance, long service life and minimal maintenance are required. In this study, we present the results of the modelling and simulation of heat flow through a pultrusion die by means of Finite Element Analysis (FEA). The numerical simulation was calibrated based on temperature profiles computed from thermographic measurements carried out during pultrusion manufacturing process. Obtained results have shown a maximum deviation of 7%, which is considered to be acceptable for this type of analysis, and is below to the 10% value, previously specified as maximum deviation. © 2011, Advanced Engineering Solutions.

Hybrid thermoset polymeric composites – an Innovation towards sustainability

In this study, a new waste management solution for thermoset glass fibre reinforced polymer (GFRP) based products was assessed. Mechanical recycling approach, with reduction of GFRP waste to powdered and fibrous materials was applied, and the prospective added-value of obtained recyclates was experimentally investigated as raw material for polyester based mortars. Different GFRP waste admixed mortar formulations were analyzed varying the content, between 4% up to 12% in weight, of GFRP powder and fibre mix waste. The effect of incorporation of a silane coupling agent was also assessed. Design of experiments and data treatment was accomplished through implementation of full factorial design and analysis of variance ANOVA. Added value of potential recycling solution was assessed by means of flexural and compressive loading capacity of GFRP waste admixed mortars with regard to unmodified polymer mortars. The key findings of this study showed a viable technological option for improving the quality of polyester based mortars and highlight a potential cost-effective waste management solution for thermoset composite materials in the production of sustainable concrete-polymer based products.

Innovative manufacturing process for hybrid pultruded products based on cork and polymeric pre-shapes

Pultruded products are being targeted by a growing demand due to its excellent mechanical properties and low chemical reactivity, ensuring a low level of maintenance operations and allowing an easier assembly operation process than equivalent steel bars. In order to improve the mechanical drawing process and solve some acoustic and thermal insulation problems, pultruded pipes of glass fibre reinforced plastics (GFRF) can be filled with special products that increase their performance regarding the issues previously referred. The great challenge of this work was drawing a new equipment able to produce pultruded pipes filled with cork or polymeric pre-shaped bars as a continuous process. The project was carried out successfully and the new equipment was built and integrated in the pultrusion equipment already existing, allowing to obtain news products with higher added-value in the market, covering some needs previously identified in the field of civil construction.

Management Driven Hybrid Multicast Framework for Content Aware Networks

The need for better adaptation of networks to transported flows has led to research on new approaches such as content aware networks and network aware applications. In parallel, recent developments of multimedia and content oriented services and applications such as IPTV, video streaming, video on demand, and Internet TV reinforced interest in multicast technologies. IP multicast has not been widely deployed due to interdomain and QoS support problems; therefore, alternative solutions have been investigated. This article proposes a management driven hybrid multicast solution that is multi-domain and media oriented, and combines overlay multicast, IP multicast, and P2P. The architecture is developed in a content aware network and network aware application environment, based on light network virtualization. The multicast trees can be seen as parallel virtual content aware networks, spanning a single or multiple IP domains, customized to the type of content to be transported while fulfilling the quality of service requirements of the service provider.

A Hybrid Simulated Annealing approach to handle Energy Resource Management considering an intensive use of Electric Vehicles

The massification of electric vehicles (EVs) can have a significant impact on the power system, requiring a new approach for the energy resource management. The energy resource management has the objective to obtain the optimal scheduling of the available resources considering distributed generators, storage units, demand response and EVs. The large number of resources causes more complexity in the energy resource management, taking several hours to reach the optimal solution which requires a quick solution for the next day. Therefore, it is necessary to use adequate optimization techniques to determine the best solution in a reasonable amount of time. This paper presents a hybrid artificial intelligence technique to solve a complex energy resource management problem with a large number of resources, including EVs, connected to the electric network. The hybrid approach combines simulated annealing (SA) and ant colony optimization (ACO) techniques. The case study concerns different EVs penetration levels. Comparisons with a previous SA approach and a deterministic technique are also presented. For 2000 EVs scenario, the proposed hybrid approach found a solution better than the previous SA version, resulting in a cost reduction of 1.94%. For this scenario, the proposed approach is approximately 94 times faster than the deterministic approach.

Sensitive bi-enzymatic biosensor based on polyphenoloxidases–gold nanoparticles–chitosan hybrid film–graphene doped carbon paste electrode for carbamates detection

A bi-enzymatic biosensor (LACC–TYR–AuNPs–CS/GPE) for carbamates was prepared in a single step by electrodeposition of a hybrid film onto a graphene doped carbon paste electrode (GPE). Graphene and the gold nanoparticles (AuNPs) were morphologically characterized by transmission electron microscopy, X-ray photoelectron spectroscopy, dynamic light scattering and laser Doppler velocimetry. The electrodeposited hybrid film was composed of laccase (LACC), tyrosinase (TYR) and AuNPs entrapped in a chitosan (CS) polymeric matrix. Experimental parameters, namely graphene redox state, AuNPs:CS ratio, enzymes concentration, pH and inhibition time were evaluated. LACC–TYR–AuNPs–CS/GPE exhibited an improved Michaelis–Menten kinetic constant (26.9 ± 0.5 M) when compared with LACC–AuNPs–CS/GPE (37.8 ± 0.2 M) and TYR–AuNPs–CS/GPE (52.3 ± 0.4 M). Using 4-aminophenol as substrate at pH 5.5, the device presented wide linear ranges, low detection limits (1.68×10− 9 ± 1.18×10− 10 – 2.15×10− 7 ± 3.41×10− 9 M), high accuracy, sensitivity (1.13×106 ± 8.11×104 – 2.19×108 ± 2.51×107 %inhibition M− 1), repeatability (1.2–5.8% RSD), reproducibility (3.2–6.5% RSD) and stability (ca. twenty days) to determine carbaryl, formetanate hydrochloride, propoxur and ziram in citrus fruits based on their inhibitory capacity on the polyphenoloxidases activity. Recoveries at two fortified levels ranged from 93.8 ± 0.3% (lemon) to 97.8 ± 0.3% (orange). Glucose, citric acid and ascorbic acid do not interfere significantly in the electroanalysis. The proposed electroanalytical procedure can be a promising tool for food safety control.

Influência do tipo de adesivo em juntas híbridas soldadas-adesivas

A necessidade de utilizar métodos de ligação entre componentes de forma mais rápida, eficaz e com melhores resultados, tem causado a crescente utilização das juntas adesivas, em detrimento dos métodos tradicionais de ligação tais como a soldadura, brasagem, ligações aparafusadas e rebitadas. A utilização das juntas adesivas tem vindo a aumentar em diversas aplicações industriais por estas apresentarem vantagens das quais se destacam a redução de peso, redução de concentrações de tensões e facilidade de fabrico. No entanto, também apresentam desvantagens, como a necessidade de preparação das juntas e o descentramento da carga aplicada que provoca efeitos de flexão, os quais dão origem a tensões normais na direcção da espessura do adesivo (tensões de arrancamento), afectando assim a resistência da junta. A combinação da ligação adesiva com a soldadura por pontos permite algumas vantagens em comparação com as juntas adesivas tradicionais como a maior resistência, aumento da rigidez, melhor resistência ao corte e arrancamento e também à fadiga. Neste trabalho é apresentado um estudo experimental e numérico de juntas de sobreposição simples adesivas e híbridas (adesivas-soldadas). Os adesivos utilizados são o Araldite AV138®, apresentado como sendo frágil, e os adesivos Araldite 2015® e Sikaforce® 7752, intitulados como adesivos dúcteis. Foram considerados substratos de aço (C45E) em juntas com diferentes comprimentos de sobreposição ( ), que foram sujeitas a esforços de tracção. Foi realizada uma análise dos valores experimentais e efectuada uma comparação destes valores com os resultados obtidos por Elementos Finitos (EF) no software ABAQUS®, que incluiu uma análise de tensões na camada de adesivo e previsão do comportamento das juntas por Modelos de Dano Coesivo (MDC). A análise por MDC permitiu obter os modos de rotura, as curvas força-deslocamento e a resistência das juntas com bastante precisão, com excepção das juntas coladas com o adesivo Sikaforce® 7752. Estes resultados permitiram validar a técnica de modelação proposta para as juntas coladas e híbridas, o que representa uma base para posterior aplicação desta técnica em projecto, com as vantagens decorrentes da redução do tempo de projecto e maior facilidade de optimização.

Decision support tool for Virtual Power Players: Hybrid Particle Swarm Optimization applied to Day-ahead Vehicle-To-Grid Scheduling

This paper presents a decision support tool methodology to help virtual power players (VPPs) in the Smart Grid (SGs) context to solve the day-ahead energy resource scheduling considering the intensive use of Distributed Generation (DG) and Vehicle-To-Grid (V2G). The main focus is the application of a new hybrid method combing a particle swarm approach and a deterministic technique based on mixedinteger linear programming (MILP) to solve the day-ahead scheduling minimizing total operation costs from the aggregator point of view. A realistic mathematical formulation, considering the electric network constraints and V2G charging and discharging efficiencies is presented. Full AC power flow calculation is included in the hybrid method to allow taking into account the network constraints. A case study with a 33-bus distribution network and 1800 V2G resources is used to illustrate the performance of the proposed method.

Distributed Energy Resources Management using Plug-in Hybrid Electric Vehicles as a Fuel-Shifting Demand Response Resource

In the smart grids context, distributed energy resources management plays an important role in the power systems’ operation. Battery electric vehicles and plug-in hybrid electric vehicles should be important resources in the future distribution networks operation. Therefore, it is important to develop adequate methodologies to schedule the electric vehicles’ charge and discharge processes, avoiding network congestions and providing ancillary services. This paper proposes the participation of plug-in hybrid electric vehicles in fuel shifting demand response programs. Two services are proposed, namely the fuel shifting and the fuel discharging. The fuel shifting program consists in replacing the electric energy by fossil fuels in plug-in hybrid electric vehicles daily trips, and the fuel discharge program consists in use of their internal combustion engine to generate electricity injecting into the network. These programs are included in an energy resources management algorithm which integrates the management of other resources. The paper presents a case study considering a 37-bus distribution network with 25 distributed generators, 1908 consumers, and 2430 plug-in vehicles. Two scenarios are tested, namely a scenario with high photovoltaic generation, and a scenario without photovoltaic generation. A sensitivity analyses is performed in order to evaluate when each energy resource is required.

Estruturas de Suporte de Terras Executadas Com Pneus. Estudo Paramétrico e Conceção de Protótipo

No presente trabalho descreve-se o estudo realizado no Instituto Superior de Engenharia do Porto (ISEP) com o objetivo de comprovar a viabilidade da utilização de pneus em fim de vida em estruturas de solo reforçado. As estruturas de suporte de terras materializadas com pneus preenchidos com solo são usadas em alguns países, sobretudo em estruturas do tipo gravidade. Investiga-se neste trabalho o seu desempenho em estruturas de solo reforçado. Com a finalidade de prever o comportamento da construção, foi utilizado um software desenvolvido pela empresa Canadiana Rocscience, denominado Phase2. Com este software foi possível fazer uma análise paramétrica da secção transversal do modelo, avaliando os esforços e os deslocamentos que se desenvolvem no interior da estrutura, através da utilização do Método dos Elementos Finitos. Foi efetuada uma campanha de ensaios laboratoriais, realizados com amostras de solo retiradas do local de construção do protótipo, com o intuito de caracterizar os parâmetros do solo A definição destes parâmetros tem como objetivo tornar a simulação o mais fidedigna possível. Estruturas de Suporte de Terras Executadas Com Pneus. Estudo Paramétrico e Conceção de Protótipo Como validação da modelação realizada no programa Phase2, o protótipo será devidamente instrumentado com equipamentos de monitorização; a informação recolhida receberá um tratamento posterior e permitirá a calibração do modelo numérico. No presente trabalho define-se o plano de monitorização a instalar no protótipo.

Recomendação de cuidados de saúde

Atualmente, os guias turísticos são constituídos por diversos módulos, nomeadamente, módulos de recomendação e de modelação do utilizador. Estes ajudam a adaptar melhor as recomendações dadas ao utilizador de acordo com as suas preferências. A necessidade de adaptar os guias turísticos às possíveis necessidades de saúde do utilizador, foi a motivação para a realização desta dissertação. Quando alguém visita um local desconhecido, considera normalmente as condições tanto de alojamento como de alimentação desse local. Contudo, se por algum motivo, necessita de cuidados de saúde, essa pessoa não se encontra preparada para isso. Assim, a recomendação de uma instituição de saúde direcionada para o turista é uma solução possível para o problema encontrado. Pretendeu-se desenvolver um módulo de recomendação híbrido no âmbito da prestação de informações relacionadas com as possíveis necessidades de saúde do turista, tendo em conta o seu perfil. Para a sua implementação seguiu-se a abordagem baseada em conteúdo e técnicas de classificação das instituições de saúde a recomendar ao utilizador. O protótipo desenvolvido foi testado com alguns utilizadores em termos de funcionalidades. Finalmente, pretende-se que o protótipo seja testado com mais utilizadores, possuidores de diversas características em termos de condições de mobilidade, historial clínico e necessidades. Estes testes irão permitir avaliar o protótipo ao nível da qualidade da recomendação prestada. Poder-se-á, assim, atingir o objetivo relativo à integração deste protótipo num sistema de recomendação de apoio ao turista utilizado pela Câmara Municipal do Porto.

Electricity markets modeling considering complex contracts and aggregators

All over the world, the liberalization of electricity markets, which follows different paradigms, has created new challenges for those involved in this sector. In order to respond to these challenges, electric power systems suffered a significant restructuring in its mode of operation and planning. This restructuring resulted in a considerable increase of the electric sector competitiveness. Particularly, the Ancillary Services (AS) market has been target of constant renovations in its operation mode as it is a targeted market for the trading of services, which have as main objective to ensure the operation of electric power systems with appropriate levels of stability, safety, quality, equity and competitiveness. In this way, with the increasing penetration of distributed energy resources including distributed generation, demand response, storage units and electric vehicles, it is essential to develop new smarter and hierarchical methods of operation of electric power systems. As these resources are mostly connected to the distribution network, it is important to consider the introduction of this kind of resources in AS delivery in order to achieve greater reliability and cost efficiency of electrical power systems operation. The main contribution of this work is the design and development of mechanisms and methodologies of AS market and for energy and AS joint market, considering different management entities of transmission and distribution networks. Several models developed in this work consider the most common AS in the liberalized market environment: Regulation Down; Regulation Up; Spinning Reserve and Non-Spinning Reserve. The presented models consider different rules and ways of operation, such as the division of market by network areas, which allows the congestion management of interconnections between areas; or the ancillary service cascading process, which allows the replacement of AS of superior quality by lower quality of AS, ensuring a better economic performance of the market. A major contribution of this work is the development an innovative methodology of market clearing process to be used in the energy and AS joint market, able to ensure viable and feasible solutions in markets, where there are technical constraints in the transmission network involving its division into areas or regions. The proposed method is based on the determination of Bialek topological factors and considers the contribution of the dispatch for all services of increase of generation (energy, Regulation Up, Spinning and Non-Spinning reserves) in network congestion. The use of Bialek factors in each iteration of the proposed methodology allows limiting the bids in the market while ensuring that the solution is feasible in any context of system operation. Another important contribution of this work is the model of the contribution of distributed energy resources in the ancillary services. In this way, a Virtual Power Player (VPP) is considered in order to aggregate, manage and interact with distributed energy resources. The VPP manages all the agents aggregated, being able to supply AS to the system operator, with the main purpose of participation in electricity market. In order to ensure their participation in the AS, the VPP should have a set of contracts with the agents that include a set of diversified and adapted rules to each kind of distributed resource. All methodologies developed and implemented in this work have been integrated into the MASCEM simulator, which is a simulator based on a multi-agent system that allows to study complex operation of electricity markets. In this way, the developed methodologies allow the simulator to cover more operation contexts of the present and future of the electricity market. In this way, this dissertation offers a huge contribution to the AS market simulation, based on models and mechanisms currently used in several real markets, as well as the introduction of innovative methodologies of market clearing process on the energy and AS joint market. This dissertation presents five case studies; each one consists of multiple scenarios. The first case study illustrates the application of AS market simulation considering several bids of market players. The energy and ancillary services joint market simulation is exposed in the second case study. In the third case study it is developed a comparison between the simulation of the joint market methodology, in which the player bids to the ancillary services is considered by network areas and a reference methodology. The fourth case study presents the simulation of joint market methodology based on Bialek topological distribution factors applied to transmission network with 7 buses managed by a TSO. The last case study presents a joint market model simulation which considers the aggregation of small players to a VPP, as well as complex contracts related to these entities. The case study comprises a distribution network with 33 buses managed by VPP, which comprises several kinds of distributed resources, such as photovoltaic, CHP, fuel cells, wind turbines, biomass, small hydro, municipal solid waste, demand response, and storage units.