Power law analysis of financial index dynamics

Power law PL and fractional calculus are two faces of phenomena with long memory behavior. This paper applies PL description to analyze different periods of the business cycle. With such purpose the evolution of ten important stock market indices DAX, Dow Jones, NASDAQ, Nikkei, NYSE, S&P500, SSEC, HSI, TWII, and BSE over time is studied. An evolutionary algorithm is used for the fitting of the PL parameters. It is observed that the PL curve fitting constitutes a good tool for revealing the signal main characteristics leading to the emergence of the global financial dynamic evolution.

A review of power laws in real life phenomena

Power law distributions, also known as heavy tail distributions, model distinct real life phenomena in the areas of biology, demography, computer science, economics, information theory, language, and astronomy, amongst others. In this paper, it is presented a review of the literature having in mind applications and possible explanations for the use of power laws in real phenomena. We also unravel some controversies around power laws.

Comparing the schedulers and power saving strategies with SPARTS

We have developed SPARTS, a simulator of a generic embedded real-time device. It is designed to be extensible to accommodate different task properties, scheduling algorithms and/or hardware models for the wide variety of applications. SPARTS was developed to help the community investigate the behaviour of the real-time embedded systems and to quantify the associated constraints/overheads.

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

H-NAMe: specifying, implementing and testing a hidden-node avoidance mechanism for wireless sensor networks

The hidden-node problem has been shown to be a major source of Quality-of-Service (QoS) degradation in Wireless Sensor Networks (WSNs) due to factors such as the limited communication range of sensor nodes, link asymmetry and the characteristics of the physical environment. In wireless contention-based Medium Access Control protocols, if two nodes that are not visible to each other transmit to a third node that is visible to the formers, there will be a collision – usually called hidden-node or blind collision. This problem greatly affects network throughput, energy-efficiency and message transfer delays, which might be particularly dramatic in large-scale WSNs. This technical report tackles the hidden-node problem in WSNs and proposes HNAMe, a simple yet efficient distributed mechanism to overcome it. H-NAMe relies on a grouping strategy that splits each cluster of a WSN into disjoint groups of non-hidden nodes and then scales to multiple clusters via a cluster grouping strategy that guarantees no transmission interference between overlapping clusters. We also show that the H-NAMe mechanism can be easily applied to the IEEE 802.15.4/ZigBee protocols with only minor add-ons and ensuring backward compatibility with the standard specifications. We demonstrate the feasibility of H-NAMe via an experimental test-bed, showing that it increases network throughput and transmission success probability up to twice the values obtained without H-NAMe. We believe that the results in this technical report will be quite useful in efficiently enabling IEEE 802.15.4/ZigBee as a WSN protocol.

Effect of plug-filling, Testing velocity and temperature on the tensile strength of strap repairs on aluminium structures

In this work, an experimental study was performed on the influence of plug-filling, loading rate and temperature on the tensile strength of single-strap (SS) and double-strap (DS) repairs on aluminium structures. Whilst the main purpose of this work was to evaluate the feasibility of plug-filling for the strength improvement of these repairs, a parallel study was carried out to assess the sensitivity of the adhesive to external features that can affect the repairs performance, such as the rate of loading and environmental temperature. The experimental programme included repairs with different values of overlap length (L O = 10, 20 and 30 mm), and with and without plug-filling, whose results were interpreted in light of experimental evidence of the fracture modes and typical stress distributions for bonded repairs. The influence of the testing speed on the repairs strength was also addressed (considering 0.5, 5 and 25 mm/min). Accounting for the temperature effects, tests were carried out at room temperature (≈23°C), 50 and 80°C. This permitted a comparative evaluation of the adhesive tested below and above the glass transition temperature (T g), established by the manufacturer as 67°C. The combined influence of these two parameters on the repairs strength was also analysed. According to the results obtained from this work, design guidelines for repairing aluminium structures were

Determinação do teor de compostos aromáticos policíclicos de óleos minerais isolantes para transformadores

Mestrado em Engenharia Química - Ramo Optimização Energética na Indústria Química

Influence of grease formulation on thrust bearings power loss

The minimization of the power loss and the use of the biodegradable greases have attracting considerable attention. To compare the energetic performance of biodegradable lubricant greases, power loss tests were performed on a modified four-ball machine. A correlation between the grease formulation and rheology was established with its energetic performance

On-line self-healing of circuits implemented on reconfigurable FPGAs

To boost logic density and reduce per unit power consumption SRAM-based FPGAs manufacturers adopted nanometric technologies. However, this technology is highly vulnerable to radiation-induced faults, which affect values stored in memory cells, and to manufacturing imperfections. Fault tolerant implementations, based on Triple Modular Redundancy (TMR) infrastructures, help to keep the correct operation of the circuit. However, TMR is not sufficient to guarantee the safe operation of a circuit. Other issues like module placement, the effects of multi- bit upsets (MBU) or fault accumulation, have also to be addressed. In case of a fault occurrence the correct operation of the affected module must be restored and/or the current state of the circuit coherently re-established. A solution that enables the autonomous restoration of the functional definition of the affected module, avoiding fault accumulation, re-establishing the correct circuit state in real-time, while keeping the normal operation of the circuit, is presented in this paper.

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.

Estudo e parametrização das principais proteções elétricas de geradores e transformadores de grupo de uma central hidroelétrica

Nesta dissertação, é realizado o estudo e parametrização dos relés de proteção para geradores e transformadores de grupo de uma central hidroelétrica. É efetuada, também, uma breve abordagem à manutenção e ensaio dos respetivos relés. No fornecimento de Energia Elétrica aos seus consumidores, deve-se ter em consideração todo o funcionamento do Sistema Elétrico de Energia (SEE). Como os SEE são projetados para gerar energia elétrica para responder à carga, é necessário garantir que este assegure o fornecimento de energia elétrica com elevados padrões de qualidade e continuidade de serviço. Assim, as proteções revelam, um papel fulcral na garantia da continuidade de serviço. As proteções são constituídas por equipamentos de proteção nomeadamente, relés de proteção, que são dispositivos cuja função é retirar de serviço os equipamentos em defeito, permitindo que o restante sistema elétrico seja alimentado. Os sistemas de proteção são, assim, de extrema importância, já que têm como função, assegurar, garantir e eliminar anomalias evitando danos nos equipamentos e nos utilizadores/consumidores.

Assessment of direct radiological risk and indirect associated toxic risks originated by Coal-Fired Power Plants

Over the past few decades there has been some discussion concerning the increase of the natural background radiation originated by coal-fired power plants, due to the uranium and thorium content present in combustion ashes. The radioactive decay products of uranium and thorium, such as radium, radon, polonium, bismuth and lead, are also released in addition to a significant amount of 40K. Since the measurement of radioactive elements released by the gaseous emissions of coal power plants is not compulsory, there is a gap of information concerning this situation. Consequently, the prediction of dispersion and mobility of these elements in the environment, after their release, is based on limited data and the radiological impact from the exposure to these radioactive elements is unknown. This paper describes the methodology that is being developed to assess the radiological impact due to the raise in the natural background radiation level originated by the release and dispersion of the emitted radionuclides. The current investigation is part of a research project that is undergoing in the vicinity of Sines coal-fired power plant (south of Portugal) until 2013. Data from preliminary stages are already available and possible of interpretation.

Radiation dose rates and exposure associated to Technologically Enhanced Naturally Occurring Radioactive Materials (TENORM) at locations of a Portuguese coal-fired power plant

Coal contains trace quantities of natural radionuclides such as Th-232, U-235, U-238, as well as their radioactive decay products and 40K. These radionuclides can be released as fly ash in atmospheric emissions from coal-fired power plants, dispersed into the environment and deposited on the surrounding top soils. Therefore, the natural radiation background level is enhanced and consequently increase the total dose for the nearby population. A radiation monitoring programme was used to assess the external dose contribution to the natural radiation background, potentially resulting from the dispersion of coal ash in past atmospheric emissions. Radiation measurements were carried out by gamma spectrometry in the vicinity of a Portuguese coal-fired power plant. The radiation monitoring was achieved both on and off site, being the boundary delimited by a 20 km circle centered in the stacks of the coal plant. The measured radionuclides concentrations for the uranium and thorium series ranged from 7.7 to 41.3 Bq/kg for Ra-226 and from 4.7 to 71.6 Bq/kg for Th-232, while K-40 concentrations ranged from 62.3 to 795.1 Bq/kg. The highest values were registered near the power plant and at distances between 6 and 20 km from the stacks, mainly in the prevailing wind direction. The absorbed dose rates were calculated for each sampling location: 13.97-84.00 ηGy/h, while measurements from previous studies carried out in 1993 registered values in the range of 16.6-77.6 ηGy/h. The highest values were registered at locations in the prevailing wind direction (NW-SE). This study has been primarily done to assess the radiation dose rates and exposure to the nearby population in the surroundings of a coal-fired power plant. The results suggest an enhancement or at least an influence in the background radiation due to the coal plant past activities.

Radiological impact associated to Technologically Enhanced Naturally Occurring Radioactive Materials (TENORM) from coal-fired power plants emissions

Certain materials used and produced in a wide range of non-nuclear industries contain enhanced activity concentrations of natural radionuclides. In particular, electricity production from coal is one of the major sources of increased human exposure to naturally occurring radioactive materials. A methodology was developed to assess the radiological impact due to natural radiation background. The developed research was applied to a specific case study, the Sines coal-fired power plant, located in the southwest coastline of Portugal. Gamma radiation measurements were carried out with two different instruments: a sodium iodide scintillation detector counter (SPP2 NF, Saphymo) and a gamma ray spectrometer with energy discrimination (Falcon 5000, Canberra). Two circular survey areas were defined within 20 km of the power plant. Forty relevant measurements points were established within the sampling area: 15 urban and 25 suburban locations. Additionally, ten more measurements points were defined, mostly at the 20-km area. The registered gamma radiation varies from 20 to 98.33 counts per seconds (c.p.s.) corresponding to an external gamma exposure rate variable between 87.70 and 431.19 nGy/h. The highest values were measured at locations near the power plant and those located in an area within the 6 and 20 km from the stacks. In situ gamma radiation measurements with energy discrimination identified natural emitting nuclides as well as their decay products (Pb-212, Pb-2142, Ra-226, Th-232, Ac-228, Th-234, Pa-234, U- 235, etc.). According to the results, an influence from the stacks emissions has been identified both qualitatively and quantitatively. The developed methodology accomplished the lack of data in what concerns to radiation rate in the vicinity of Sines coal-fired power plant and consequently the resulting exposure to the nearby population.

Measurements of environmental background radiation in the surrounding area of a coal-fired power plant

Certain materials used and produced in a wide range of non-nuclear industries contain enhanced activity concentrations of natural radionuclides. In particular, electricity production from coal is one of the major sources of increased exposure to man from enhanced naturally occurring materials. Over the past decades there has been some discussion about the elevated natural background radiation in the area near coal-fired power plants due to high uranium and thorium content present in coal. This work describes the methodology developed to assess the radiological impact due to natural radiation background increasing levels, potentially originated by a coal-fired power plant’s operation. Gamma radiation measurements have been done with two different instruments: a scintillometer (SPP2 NF, Saphymo) and a gamma ray spectrometer with energy discrimination (Falcon 5000, Canberra). A total of 40 relevant sampling points were established at locations within 20 km from the power plant: 15 urban and 25 suburban measured stations. The highest values were measured at the sampling points near to the power plant and those located in the area within the 6 and 20 km from the stacks. This may be explained by the presence of a huge coal pile (1.3 million tons) located near the stacks contributing to the dispersion of unburned coal and, on the other hand, the height of the stacks (225 m) which may influence ash’s dispersion up to a distance of 20 km. In situ gamma radiation measurements with energy discrimination identified natural emitting nuclides as well as their decay products (212Pb, 214Pb, 226Ra 232Th, 228Ac, 234Th 234Pa, 235U, etc.). This work has been primarily done to in order to assess the impact of a coal-fired power plant operation on the background radiation level in the surrounding area. According to the results, an increase or at least an influence has been identified both qualitatively and quantitatively.