Valor em risco (VAR - value at risk): metodologias não paramétricas

O VAR (Value at Risk) ,valor em risco, é a perda máxima provável de uma carteira para um nível de confiança determinado, num horizonte temporal especificado.

Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

A long-term risk management tool for electricity markets using swarm intelligence

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

Influence of environmental temperature and humidity on the acute ventilatory response to exercise in asthmatic adolescents

Asthma is a chronic inflammatory disorder of the respiratory airways affecting people of all ages, and constitutes a serious public health problem worldwide (6). Such a chronic inflammation is invariably associated with injury and repair of the bronchial epithelium known as remodelling (11). Inflammation, remodelling, and altered neural control of the airways are responsible for both recurrent exacerbations of asthma and increasingly permanent airflow obstruction (11, 29, 34). Excessive airway narrowing is caused by altered smooth muscle behaviour, in close interaction with swelling of the airway walls, parenchyma retractile forces, and enhanced intraluminal secretions (29, 38). All these functional and structural changes are associated with the characteristic symptoms of asthma – cough, chest tightness, and wheezing –and have a significant impact on patients’ daily lives, on their families and also on society (1, 24, 29). Recent epidemiological studies show an increase in the prevalence of asthma, mainly in industrial countries (12, 25, 37). The reasons for this increase may depend on host factors (e.g., genetic disposition) or on environmental factors like air pollution or contact with allergens (6, 22, 29). Physical exercise is probably the most common trigger for brief episodes of symptoms, and is assumed to induce airflow limitations in most asthmatic children and young adults (16, 24, 29, 33). Exercise-induced asthma (EIA) is defined as an intermittent narrowing of the airways, generally associated with respiratory symptoms (chest tightness, cough, wheezing and dyspnoea), occurring after 3 to 10 minutes of vigorous exercise with a maximal severity during 5 to 15 minutes after the end of the exercise (9, 14, 16, 24, 33). The definitive diagnosis of EIA is confirmed by the measurement of pre- and post-exercise expiratory flows documenting either a 15% fall in the forced expiratory volume in 1 second (FEV1), or a ≥15 to 20% fall in peak expiratory flow (PEF) (9, 24, 29). Some types of physical exercise have been associated with the occurrence of bronchial symptoms and asthma (5, 15, 17). For instance, demanding activities such as basketball or soccer could cause more severe attacks than less vigorous ones such as baseball or jogging (33). The mechanisms of exercise-induced airflow limitations seem to be related to changes in the respiratory mucosa induced by hyperventilation (9, 29). The heat loss from the airways during exercise, and possibly its post-exercise rewarming may contribute to the exercise-induced bronchoconstriction (EIB) (27). Additionally, the concomitant dehydration from the respiratory mucosa during exercise leads to an increased interstitial osmolarity, which may also contribute to bronchoconstriction (4, 36). So, the risk of EIB in asthmatically predisposed subjects seems to be higher with greater ventilation rates and the cooler and drier the inspired air is (23). The incidence of EIA in physically demanding coldweather sports like competitive figure skating and ice hockey has been found to occur in up to 30 to 35% of the participants (32). In contrast, swimming is often recommended to asthmatic individuals, because it improves the functionality of respiratory muscles and, moreover, it seems to have a concomitant beneficial effect on the prevalence of asthma exacerbations (14, 26), supporting the idea that the risk of EIB would be smaller in warm and humid environments. This topic, however, remains controversial since the chlorified water of swimming pools has been suspected as a potential trigger factor for some asthmatic patients (7, 8, 20, 21). In fact, the higher asthma incidence observed in industrialised countries has recently been linked to the exposition to chloride (7, 8, 30). Although clinical and epidemiological data suggest an influence of humidity and temperature of the inspired air on the bronchial response of asthmatic subjects during exercise, some of those studies did not accurately control the intensity of the exercise (2, 13), raising speculation of whether the experienced exercise overload was comparable for all subjects. Additionally, most of the studies did not include a control group (2, 10, 19, 39), which may lead to doubts about whether asthma per se has conditioned the observed results. Moreover, since the main targeted age group of these studies has been adults (10, 19, 39), any extrapolation to childhood/adolescence might be questionable regarding the different lung maturation. Considering the higher incidence of asthma in youngsters (30) and the fact that only the works of Amirav and coworkers (2, 3) have focused on this age group, a scarcity of scientific data can be identified. Additionally, since the main environmental trigger factors, i.e., temperature and humidity, were tested separately (10, 28, 39) it would be useful to analyse these two variables simultaneously because of their synergic effect on water and heat loss by the airways (31, 33). It also appears important to estimate the airway responsiveness to exercise within moderate environmental ranges of temperature and humidity, trying to avoid extreme temperatures and humidity conditions used by others (2, 3). So, the aim of this study was to analyse the influence of moderate changes in air temperature and humidity simultaneously on the acute ventilatory response to exercise in asthmatic children. To overcome the above referred to methodological limitations, we used a 15 minute progressive exercise trial on a cycle ergometer at 3 different workload intensities, and we collected data related to heart rate, respiratory quotient, minute ventilation and oxygen uptake in order to ensure that physiological exercise repercussions were the same in both environments. The tests were done in a “normal” climatic environment (in a gymnasium) and in a hot and humid environment (swimming pool); for the latter, direct chloride exposition was avoided.

Adaptive learning in agents behaviour: a framework for electricity markets simulation

Electricity markets are complex environments with very particular characteristics. A critical issue regarding these specific characteristics concerns the constant changes they are subject to. This is a result of the electricity markets’ restructuring, which was performed so that the competitiveness could be increased, but it also had exponential implications in the increase of the complexity and unpredictability in those markets scope. The constant growth in markets unpredictability resulted in an amplified need for market intervenient entities in foreseeing market behaviour. The need for understanding the market mechanisms and how the involved players’ interaction affects the outcomes of the markets, contributed to the growth of usage of simulation tools. Multi-agent based software is particularly well fitted to analyze dynamic and adaptive systems with complex interactions among its constituents, such as electricity markets. This dissertation presents ALBidS – Adaptive Learning strategic Bidding System, a multiagent system created to provide decision support to market negotiating players. This system is integrated with the MASCEM electricity market simulator, so that its advantage in supporting a market player can be tested using cases based on real markets’ data. ALBidS considers several different methodologies based on very distinct approaches, to provide alternative suggestions of which are the best actions for the supported player to perform. The approach chosen as the players’ actual action is selected by the employment of reinforcement learning algorithms, which for each different situation, simulation circumstances and context, decides which proposed action is the one with higher possibility of achieving the most success. Some of the considered approaches are supported by a mechanism that creates profiles of competitor players. These profiles are built accordingly to their observed past actions and reactions when faced with specific situations, such as success and failure. The system’s context awareness and simulation circumstances analysis, both in terms of results performance and execution time adaptation, are complementary mechanisms, which endow ALBidS with further adaptation and learning capabilities.

Oxidative behaviour of apomorphine and its metabolites

The metabolism of apomorphine is quite complex due to interactions with proteins and other tissue components that affect its pharmacokinetic profile. The electrochemical oxidation mechanism of apomorphine and of some synthesised apomorphine derivatives was studied. It was found to be related to the reaction of o-diphenol and tertiary amine groups and strongly dependent on pH.

Sorption behaviour of bifenthrin on cork

Biphentrin, a known pyrethroid, was studied, aiming its removal from aqueous solutions by granulated cork sorption. Batch experiments, either for equilibrium or for kinetics, with two granulated cork sizes were performed and results were compared with those obtained with of activated carbon sorption. Langmuir and Freundlich adsorption isotherms were obtained both showing high linear correlations. Bifenthrin desorption was evaluated for cork and results varied with the granule size of sorbent. The results obtained in this work indicate that cork wastes may be used as a cheap natural sorbent for bifenthrin or similar compounds removal from wastewaters.

Study of the voltammetric behaviour of metam and its application to an amperometric flow system

The electrochemical behaviour of the pesticide metam (MT) at a glassy carbon working electrode (GCE) and at a hanging mercury drop electrode (HMDE) was investigated. Different voltammetric techniques, including cyclic voltammetry (CV) and square wave voltammetry (SWV), were used. An anodic peak (independent of pH) at +1.46 V vs AgCl/Ag was observed in MTaqueous solution using the GCE. SWV calibration curves were plotted under optimized conditions (pH 2.5 and frequency 50 Hz), which showed a linear response for 17–29 mg L−1. Electrochemical reduction was also explored, using the HMDE. A well defined cathodic peak was recorded at −0.72 V vs AgCl/ Ag, dependent on pH. After optimizing the operating conditions (pH 10.1, frequency 150 Hz, potential deposition −0.20 V for 10 s), calibration curves was measured in the concentration range 2.5×10−1 to 1.0 mg L−1 using SWV. The electrochemical behaviour of this compound facilitated the development of a flow injection analysis (FIA) system with amperometric detection for the quantification of MT in commercial formulations and spiked water samples. An assessment of the optimal FIA conditions indicated that the best analytical results were obtained at a potential of +1.30 V, an injection volume of 207 μL and an overall flow rate of 2.4 ml min−1. Real samples were analysed via calibration curves over the concentration range 1.3×10−2 to 1.3 mg L−1. Recoveries from the real samples (spiked waters and commercial formulations) were between 97.4 and 105.5%. The precision of the proposed method was evaluated by assessing the relative standard deviation (RSD %) of ten consecutive determinations of one sample (1.0 mg L−1), and the value obtained was 1.5%.

Response of high-risk of recurrence/progression bladder tumours expressing sialyl-Tn and sialyl-6-T to BCG immunotherapy

High risk of recurrence/progression bladder tumours is treated with Bacillus Calmette-Guérin (BCG) immunotherapy after complete resection of the tumour. Approximately 75% of these tumours express the uncommon carbohydrate antigen sialyl-Tn (Tn), a surrogate biomarker of tumour aggressiveness. Such changes in the glycosylation of cell-surface proteins influence tumour microenvironment and immune responses that may modulate treatment outcome and the course of disease. The aim of this work is to determine the efficiency of BCG immunotherapy against tumours expressing sTn and sTn-related antigen sialyl-6-T (s6T). METHODS: In a retrospective design, 94 tumours from patients treated with BCG were screened for sTn and s6T expression. In vitro studies were conducted to determine the interaction of BCG with high-grade bladder cancer cell line overexpressing sTn. RESULTS: From the 94 cases evaluated, 36 had recurrence after BCG treatment (38.3%). Treatment outcome was influenced by age over 65 years (HR=2.668; (1.344-5.254); P=0.005), maintenance schedule (HR=0.480; (0.246-0.936); P=0.031) and multifocality (HR=2.065; (1.033-4.126); P=0.040). sTn or s6T expression was associated with BCG response (P=0.024; P<0.0001) and with increased recurrence-free survival (P=0.001). Multivariate analyses showed that sTn and/or s6T were independent predictive markers of recurrence after BCG immunotherapy (HR=0.296; (0.148-0.594); P=0.001). In vitro studies demonstrated higher adhesion and internalisation of the bacillus to cells expressing sTn, promoting cell death. CONCLUSION: s6T is described for the first time in bladder tumours. Our data strongly suggest that BCG immunotherapy is efficient against sTn- and s6T-positive tumours. Furthermore, sTn and s6T expression are independent predictive markers of BCG treatment response and may be useful in the identification of patients who could benefit more from this immunotherapy.

Common genetic polymorphisms in the ABCB1 gene are associated with risk of major depressive disorder in male Portuguese individuals

Major depressive disorder (MDD) is a highly prevalent disorder, which has been associated with an abnormal response of the hypothalamus–pituitary–adrenal (HPA) axis. Reports have argued that an abnormal HPA axis response can be due to an altered P-Glycoprotein (P-GP) function. This argument suggests that genetic polymorphisms in ABCB1 may have an effect on the HPA axis activity; however, it is still not clear if this influences the risk of MDD. Our study aims to evaluate the effect of ABCB1 C1236T, G2677TA and C3435T genetic polymorphisms on MDD risk in a subset of Portuguese patients. DNA samples from 80 MDD patients and 160 control subjects were genotyped using TaqMan SNP Genotyping assays. A significant protection for MDD males carrying the T allele was observed (C1236T: odds ratio (OR) = 0.360, 95% confidence interval [CI]: [0.140– 0.950], p = 0.022; C3435T: OR= 0.306, 95% CI: [0.096–0.980], p = 0.042; and G2677TA: OR= 0.300, 95% CI: [0.100– 0.870], p = 0.013). Male Portuguese individuals carrying the 1236T/2677T/3435T haplotype had nearly 70% less risk of developing MDD (OR = 0.313, 95% CI: [0.118–0.832], p = 0.016, FDR p = 0.032). No significant differences were observed regarding the overall subjects. Our results suggest that genetic variability of the ABCB1 is associated with MDD development in male Portuguese patients. To the best of our knowledge, this is the first report in Caucasian samples to analyze the effect of these ABCB1 genetic polymorphisms on MDD risk.

Cardiorespiratory fitness is negatively associated with metabolic risk factors independently of the adherence to a healthy dietary pattern

Background and aim: Cardiorespiratory fitness (CRF) and diet have been involved as significant factors towards the prevention of cardio-metabolic diseases. This study aimed to assess the impact of the combined associations of CRF and adherence to the Southern European Atlantic Diet (SEADiet) on the clustering of metabolic risk factors in adolescents. Methods and Results: A cross-sectional school-based study was conducted on 468 adolescents aged 15-18, from the Azorean Islands, Portugal. We measured fasting glucose, insulin, total cholesterol (TC), HDL-cholesterol, triglycerides, systolic blood pressure, waits circumference and height. HOMA, TC/HDL-C ratio and waist-to-height ratio were calculated. For each of these variables, a Z-score was computed by age and sex. A metabolic risk score (MRS) was constructed by summing the Z scores of all individual risk factors. High risk was considered when the individual had 1SD of this score. CRF was measured with the 20 m-Shuttle-Run- Test. Adherence to SEADiet was assessed with a semi-quantitative food frequency questionnaire. Logistic regression showed that, after adjusting for potential confounders, unfit adolescents with low adherence to SEADiet had the highest odds of having MRS (OR Z 9.4; 95%CI:2.6e33.3) followed by the unfit ones with high adherence to the SEADiet (OR Z 6.6; 95% CI: 1.9e22.5) when compared to those who were fit and had higher adherence to SEADiet.

Tensile behaviour of a structural adhesive at high temperatures by the extended finite element method

Component joining is typically performed by welding, fastening, or adhesive-bonding. For bonded aerospace applications, adhesives must withstand high-temperatures (200°C or above, depending on the application), which implies their mechanical characterization under identical conditions. The extended finite element method (XFEM) is an enhancement of the finite element method (FEM) that can be used for the strength prediction of bonded structures. This work proposes and validates damage laws for a thin layer of an epoxy adhesive at room temperature (RT), 100, 150, and 200°C using the XFEM. The fracture toughness (G Ic ) and maximum load ( ); in pure tensile loading were defined by testing double-cantilever beam (DCB) and bulk tensile specimens, respectively, which permitted building the damage laws for each temperature. The bulk test results revealed that decreased gradually with the temperature. On the other hand, the value of G Ic of the adhesive, extracted from the DCB data, was shown to be relatively insensitive to temperature up to the glass transition temperature (T g ), while above T g (at 200°C) a great reduction took place. The output of the DCB numerical simulations for the various temperatures showed a good agreement with the experimental results, which validated the obtained data for strength prediction of bonded joints in tension. By the obtained results, the XFEM proved to be an alternative for the accurate strength prediction of bonded structures.

Risk criteria in occupational environments: critical overview and discussion

The current work can be seen as a starting point for the discussion of the problematic on risk acceptance criteria in occupational environments. Some obstacles to the quantitative acceptance criteria formulation and use were analyzed. A look to the long tradition of major hazards accidents was also performed. This work shows that organizations can have several difficulties in acceptance criteria formulation and that the use of pre-defined acceptance criteria in risk assessment methodologies can be inadequate in some cases. It is urgent to define guidelines that can help organizations in the formulation of risk acceptance criteria for occupational environments.

Characterizing the timing behaviour of power-line communication by means of simulation

Although power-line communication (PLC) is not a new technology, its use to support communication with timing requirements is still the focus of ongoing research. Recently, a new infrastructure was presented, intended for communication using power lines from a central location to geographically dispersed nodes using inexpensive devices. This new infrastructure uses a two-level hierarchical power-line system, together with an IP-based network. Within this infrastructure, in order to provide end-toend communication through the two levels of the powerline system, it is necessary to fully understand the behaviour of the underlying network layers. The masterslave behaviour of the PLC MAC, together with the inherent dynamic topology of power-line networks are important issues that must be fully characterised. Therefore, in this paper we present a simulation model which is being used to study and characterise the behaviour of power-line communication.