Leis de potência em economia e finanças

Nesta dissertação aborda-se a aplicação de Leis de Potência (LPs), também designadas de Leis de Pareto ou Leis de Zipf, a dados económicos. As LPs são distribuições estatísticas amplamente usadas na compreensão de sistemas naturais e artificiais. O aparecimento das LPs deve-se a Vilfredo Pareto que, no século XIX, publicou o manual de economia política,“Cours d’Economie Politique”. Nesse manual refere que grande parte da economia mundial segue uma LP, em que 20% da população reúne 80% da riqueza do país. Esta propriedade carateriza uma variável que segue uma distribuição de Pareto (ou LP). Desde então, as LPs foram aplicadas a outros fenómenos, nomeadamente a ocorrência de palavras em textos, os sobrenomes das pessoas, a variação dos rendimentos pessoais ou de empresas, o número de vítimas de inundações ou tremores de terra, os acessos a sítios da internet, etc. Neste trabalho, é estudado um conjunto de dados relativos às fortunas particulares ou coletivas de pessoas ou organizações. Mais concretamente são analisados dados recolhidos sobre as fortunas das mulheres mais ricas do mundo, dos homens mais ricos no ramo da tecnologia, das famílias mais ricas, das 20 mulheres mais ricas da América, dos 400 homens mais ricos da América, dos homens mais ricos do mundo, dos estabelecimentos mais ricos do mundo, das empresas mais ricas do mundo e dos países mais ricos do mundo, bem como o valor de algumas empresas no mercado de ações. Os resultados obtidos revelam uma boa aproximação de parte desses dados a uma LP simples e uma boa aproximação pelos restantes dados a uma LP dupla. Observa-se, assim, diferenciação na forma de crescimento das fortunas nos diferentes casos estudados. Como trabalho futuro, procurar-se-á analisar estes e outros dados, utilizando outras distribuições estatísticas, como a exponencial ou a lognormal, que possuem comportamentos semelhantes à LP, com o intuito de serem comparados os resultados. Um outro aspeto interessante será o de encontrar a explicação analítica para as vantagens da aproximação de dados económicos por uma LP simples vs por uma LP dupla.

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.

Estudo e Acompanhamento de Projeto de Estabilidade

O trabalho foi desenvolvido na empresa Masterprojetos – soluções integradas, através da elaboração e desenvolvimento do projeto de estabilidade de um edifício de cinco pisos, em que um deles se encontra enterrado. Este edifício incorpora um bloco de habitação multifamiliar e um bloco de habitação unifamiliar e comércio. Tanto o edifício como a empresa estão localizados no Peso da Régua. O trabalho pode-se dividir em duas partes: Numa primeira parte estão descritas as funções desempenhadas e contextualizada a metodologia de trabalho. Nesta parte está ainda descrita a ferramenta de trabalho Cypecad, a qual não houve oportunidade de aprender a usar durante o meu percurso académico e desenvolveu-se capacidades de maneira autodidata. São ainda referidos alguns softwares disponíveis no mercado, para o mesmo ramo de atividade. Numa segunda parte encontram-se descritos os pressupostos considerados no pré-dimensionamento do edifício assim como os elementos utilizados para a formulação do modelo de cálculo. Estão ainda feitas algumas verificações analíticas para a validação do modelo tido em conta para o dimensionamento. Estabeleceu-se também uma comparação entre as soluções obtidas através do software Cypecad e através do cálculo analítico para uma laje maciça. No final estão descritas as conclusões que foram obtidas, das quais se salientam a atenção que é necessário ter, quando se utiliza softwares de cálculo automático, quanto à introdução de dados e soluções que se obtêm , assim como a poupança de tempo que este tipo de ferramenta proporciona. É de referir também neste ponto as oportunidades que o estágio me proporcionou, como a visita de alguns locais de obras, as atividades de medição e orçamento de obra e acompanhamento de projetos de outras especialidades como redes prediais, térmica, acústica e ITED (infra-estruturas de Telecomunicações em Edifícios).

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.

RuSe Electrocatalysts and Single Wall Carbon Nanohorns Supports for the Oxygen Reduction Reaction

Selenium modified ruthenium electrocatalysts supported on carbon black were synthesized using NaBH4 reduction of the metal precursor. Prepared Ru/C electrocatalysts showed high dispersion and very small averaged particle size. These Ru/C electrocatalysts were subsequently modified with Se following two procedures: (a) preformed Ru/carbon catalyst was mixed with SeO2 in xylene and reduced in H2 and (b) Ru metal precursor was mixed with SeO2 followed by reduction with NaBH4. The XRD patterns indicate that a pyrite-type structure was obtained at higher annealing temperatures, regardless of the Ru:Se molar ratio used in the preparation step. A pyrite-type structure also emerged in samples that were not calcined; however, in this case, the pyrite-type structure was only prominent for samples with higher Ru:Se ratios. The characterization of the RuSe/C electrocatalysts suggested that the Se in noncalcined samples was present mainly as an amorphous skin. Preliminary study of activity toward oxygen reduction reaction (ORR) using electrocatalysts with a Ru:Se ratio of 1:0.7 indicated that annealing after modification with Se had a detrimental effect on their activity. This result could be related to the increased particle size of crystalline RuSe2 in heat-treated samples. Higher activity of not annealed RuSe/C catalysts could also be a result of the structure containing amorphous Se skin on the Ru crystal. The electrode obtained using not calcined RuSe showed a very promising performance with a slightly lower activity and higher overpotential in comparison with a commercial Pt/C electrode. Single wall carbon nanohorns (SWNH) were considered for application as ORR electrocatalysts' supports. The characterization of SWNH was carried out regarding their tolerance toward strong catalyzed corrosion conditions. Tests indicated that SWNH have a three times higher electrochemical surface area (ESA) loss than carbon black or Pt commercial electrodes.

Label-free Detection of Microcystin-LR in Waters Using Real-Time Potentiometric Biosensors Based on Single-Walled Carbon Nanotubes Imprinted Polymers

Microcystin-LR (MC-LR) is a dangerous toxin found in environmental waters, quantified by high performance liquid chromatography and/or enzyme-linked immunosorbent assays. Quick, low cost and on-site analysis is thus required to ensure human safety and wide screening programs. This work proposes label-free potentiometric sensors made of solid-contact electrodes coated with a surface imprinted polymer on the surface of Multi-Walled Carbon NanoTubes (CNTs) incorporated in a polyvinyl chloride membrane. The imprinting effect was checked by using non-imprinted materials. The MC-LR sensitive sensors were evaluated, characterized and applied successfully in spiked environmental waters. The presented method offered the advantages of low cost, portability, easy operation and suitability for adaptation to flow methods.

Standing balance in individuals with Parkinson's disease during single and dual-task conditions

This study aimed to examine the differences in standing balance between individuals with Parkinson's disease (PD) and subjects without PD (control group), under single and dual-task conditions. A cross-sectional study was designed using a non-probabilistic sample of 110 individuals (50 participants with PD and 60 controls) aged 50 years old and over. The individuals with PD were in the early or middle stages of the disease (characterized by Hoehn and Yahr as stages 1-3). The standing balance was assessed by measuring the centre of pressure (CoP) displacement in single-task (eyes-open/eyes-closed) and dual-task (while performing two different verbal fluency tasks). No significant differences were found between the groups regarding sociodemographic variables. In general, the standing balance of the individuals with PD was worse than the controls, as the CoP displacement across tasks was significantly higher for the individuals with PD (p<0.01), both in anteroposterior and mediolateral directions. Moreover, there were significant differences in the CoP displacement based parameters between the conditions, mainly between the eyes-open condition and the remaining conditions. However, there was no significant interaction found between group and condition, which suggests that changes in the CoP displacement between tasks were not influenced by having PD. In conclusion, this study shows that, although individuals with PD had a worse overall standing balance than individuals without the disease, the impact of performing an additional task on the CoP displacement is similar for both groups.

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.

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.

Melhoria do Processo Produtivo da Pietec Através das Ferramentas Kaizen

Esta Tese de Mestrado foi realizada na empresa Pietec Cortiças S.A.. A empresa Pietec Cortiças S.A. é a unidade industrial responsável pela produção de rolhas técnicas de cortiça do Grupo Piedade. O objetivo desta tese prende-se com a melhoria do processo produtivo de uma das suas secções, a secção da Marcação. Esta secção é responsável pela marcação da superfície da rolha, pela aplicação do tratamento de superfície e pelo embalamento das rolhas. A otimização do processo da secção de Marcação, na qualidade de última secção do processo produtivo, permitirá à empresa obter vantagens competitivas. De forma a atingir o objetivo proposto, foi realizado um levantamento exaustivo do processo produtivo e das respetivas operações. Esta análise permitiu a identificação dos possíveis pontos de desperdício, a sua avaliação e a definição de possíveis melhorias que visam o aumento de produtividade e a redução do número de produtos não conformes. Uma vez identificados os pontos críticos do processo, procedeu-se à definição das ações de melhoria a implementar de forma a melhorar o processo produtivo. As ações tomadas assentam na filosofia Lean e nos seus princípios, utilizando-se algumas das ferramentas desta filosofia para concretizar os objetivos traçados. A ferramenta de análise Plan-Do-Check-Act (PDCA) foi a ferramenta base do projeto, acompanhando na elaboração do plano de ação, na implementação das ferramentas 5S e Single Minute Exchange of Die (SMED), na verificação dos resultados e no plano de manutenção das melhorias alcançadas. Após a implementação das medidas definidas no processo de marcação da superfície das rolhas, foi mensurada uma melhoria de 23 % no tempo médio de setup da máquina de marcação. Esta melhoria global foi alcançada através de intervenções no processo de vazamento do circuito da máquina de marcação, no procedimento de armazenamento dos moldes de marcação e na alteração dos mecanismos de ajuste da máquina de marcar e de orientar. No processo de embalamento das rolhas, as medidas implementadas produziram um aumento de 1,7 % no número de rolhas produzidas e uma redução do número de rolhas não conformes de 3,6 %. Os resultados obtidos no projeto demonstram que é possível continuar a melhorar o estado atual dos processos. Constatou-se ainda que, com a adoção de ferramentas de análise e de proposta de melhoria adequadas, é possível atuar sobre os processos e obter melhorias a curto prazo, sem que para isso seja necessário efetuar grandes investimentos.