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.

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 long-term swarm intelligence hedging tool applied to electricity markets

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated by a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance estimation and the expected return are based on a forecasted scenario interval determined by a long-term price range forecast model, developed by the authors, whose explanation is outside the scope of this paper. The proposed tool makes use of Particle Swarm Optimization (PSO) and its performance has been evaluated by comparing it with a Genetic Algorithm (GA) based approach. To validate the risk management tool a case study, using real price historical data for mainland Spanish market, is presented to demonstrate the effectiveness of the proposed methodology.

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 long-term wearing of unstable shoes on compensatory control of posture: An electromyography-based analysis

Purpose: This study investigated the influence of long-term wearing of unstable shoes (WUS) on compensatory postural adjustments (CPA) to an external perturbation. Methods: Participants were divided into two groups: one wore unstable shoes while the other wore conventional shoes for 8 weeks. The ground reaction force signal was used to calculate the anterior– posterior (AP) displacement of the centre of pressure (CoP) and the electromyographic signal of gastrocnemius medialis (GM), tibialis anterior (TA), rectus femoris (RF) and biceps femoris (BF) muscles was used to assess individual muscle activity, antagonist co-activation and reciprocal activation at the joint (TA/GM and RF/(BF + GM) pairs) and muscle group levels (ventral (TA + RF)/dorsal (GM + BF) pair) within time intervals typical for CPA. The electromyographic signal was also used to assess muscle latency. The variables described were evaluated before and after the 8-week period while wearing the unstable shoes and barefoot. Results: Long-term WUS led to: an increase of BF activity in both conditions (barefoot and wearing the unstable shoes); a decrease of GM activity; an increase of antagonist co-activation and a decrease of reciprocal activation level at the TA/GM and ventral/dorsal pairs in the unstable shoe condition. Additionally, WUS led to a decrease in CoP displacement. However, no differences were observed in muscle onset and offset. Conclusion: Results suggest that the prolonged use of unstable shoes leads to increased ankle and muscle groups’ antagonist co-activation levels and higher performance by the postural control system.

Multidimensional scaling analysis of the dynamics of a country economy

This paper analyzes the Portuguese short-run business cycles over the last 150 years and presents the multidimensional scaling (MDS) for visualizing the results. The analytical and numerical assessment of this long-run perspective reveals periods with close connections between the macroeconomic variables related to government accounts equilibrium, balance of payments equilibrium, and economic growth. The MDS method is adopted for a quantitative statistical analysis. In this way, similarity clusters of several historical periods emerge in the MDS maps, namely, in identifying similarities and dissimilarities that identify periods of prosperity and crises, growth, and stagnation. Such features are major aspects of collective national achievement, to which can be associated the impact of international problems such as the World Wars, the Great Depression, or the current global financial crisis, as well as national events in the context of broad political blueprints for the Portuguese society in the rising globalization process.

Using attractor dynamics to generate decentralized motion control of two mobile robots transporting a long object in coordination

Dynamical systems theory is used here as a theoretical language and tool to design a distributed control architecture for a team of two mobile robots that must transport a long object and simultaneously avoid obstacles. In this approach the level of modeling is at the level of behaviors. A “dynamics” of behavior is defined over a state space of behavioral variables (heading direction and path velocity). The environment is also modeled in these terms by representing task constraints as attractors (i.e. asymptotically stable states) or reppelers (i.e. unstable states) of behavioral dynamics. For each robot attractors and repellers are combined into a vector field that governs the behavior. The resulting dynamical systems that generate the behavior of the robots may be nonlinear. By design the systems are tuned so that the behavioral variables are always very close to one attractor. Thus the behavior of each robot is controled by a time series of asymptotically stable states. Computer simulations support the validity of our dynamic model architectures.

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

Expatriates recruitment and selection for long-term international assignments in portuguese companies

Long-term international assignments’ increase requires more attention being paid for the preparation of these foreign assignments, especially on the recruitment and selection process of expatriates. This article explores how the recruitment and selection process of expatriates is developed in Portuguese companies, examining the main criteria on recruitment and selection of expatriates’ decision to send international assignments. The paper is based on qualitative case studies of companies located in Portugal. The data were collected through semi-structured interviews of 42 expatriates and 18 organisational representatives as well from nine Portuguese companies. The findings show that the most important criteria are: (1) trust from managers, (2) years in service, (3) previous technical and language competences, (4) organisational knowledge and, (5) availability. Based on the findings, the article discusses in detail the main theoretical and managerial implications. Suggestions for further research are also presented.

TURTLE: Systems and technologies for deep ocean long term presence

This paper describes the TURTLE project that aim to develop sub-systems with the capability of deep-sea long-term presence. Our motivation is to produce new robotic ascend and descend energy efficient technologies to be incorporated in robotic vehicles used by civil and military stakeholders for underwater operations. TURTLE contribute to the sustainable presence and operations in the sea bottom. Long term presence on sea bottom, increased awareness and operation capabilities in underwater sea and in particular on benthic deeps can only be achieved through the use of advanced technologies, leading to automation of operation, reducing operational costs and increasing efficiency of human activity.

Responses of the alga Pseudokirchneriella subcapitata to long-term exposure to metal stress

The green alga Pseudokirchneriella subcapitata has been widely used in ecological risk assessment, usually based on the impact of the toxicants in the alga growth. However, the physiological causes that lead algal growth inhibition are not completely understood. This work aimed to evaluate the biochemical and structural modifications in P. subcapitata after exposure, for 72 h, to three nominal concentrations of Cd(II), Cr(VI), Cu(II) and Zn(II), corresponding approximately to 72 h-EC10 and 72 h-EC50 values and a high concentration (above 72 h-EC90 values). The incubation of algal cells with the highest concentration of Cd(II), Cr(VI) or Cu(II) resulted in a loss of membrane integrity of ~16, 38 and 55%, respectively. For all metals tested, an inhibition of esterase activity, in a dose-dependent manner, was observed. Reduction of chlorophyll a content, decrease of maximum quantum yield of photosystem II and modification of mitochondrial membrane potential was also verified. In conclusion, the exposure of P. subcapitata to metals resulted in a perturbation of the cell physiological status. Principal component analysis revealed that the impairment of esterase activity combined with the reduction of chlorophyll a content were related with the inhibition of growth caused by a prolonged exposure to the heavy metals.

Exploring the long-term associations between adolescents’ music training and academic achievement

There is a positive relationship between learning music and academic achievement, although doubts remain regarding the mechanisms underlying this association. This research analyses the academic performance of music and non-music students from seventh to ninth grade. The study controls for socioeconomic status, intelligence, motivation and prior academic achievement. Data were collected from 110 adolescents at two time points, once when the students were between 11 and 14 years old in the seventh grade, and again 3 years later. Our results show that music students perform better academically than non-music students in the seventh grade (Cohen’s d = 0.88) and in the ninth grade (Cohen’s d = 1.05). This difference is particularly evident in their scores in Portuguese language and natural science; the difference is somewhat weaker in history and geography scores, and is least pronounced in mathematics and English scores (η2 p from .09 to .21). A longitudinal analysis also revealed better academic performance by music students after controlling for prior academic achievement (η2 p = .07). Furthermore, controlling for intelligence, socioeconomic status and motivation did not eliminate the positive association between music learning from the seventh to the ninth grade and students’ academic achievement (η2 p = .06). During the period, music students maintained better and more consistent academic standing. We conclude that, after controlling for intelligence, socioeconomic status and motivation, music training is positively associated with academic achievement.

Profissionalidade docente: fonte de possibilidades e de (in)certezas

O longo percurso de formação, iniciado com a Licenciatura em Educação Básica, termina agora com a conclusão do Mestrado em Ensino do 1º e 2º Ciclos do Ensino Básico surgindo, por isso, o presente relatório de estágio no âmbito da unidade curricular de Integração Curricular: Prática Educativa Supervisionada e Relatório de Estágio. Este caminho foi trilhado tomando opções fundamentadas e intencionais, conciliando saberes teóricos e práticos, construídos e desenvolvidos nos contextos educativos onde decorreu a Prática Educativa Supervisionada (PES). Ancorada numa perspetiva de investigação, onde se reconhecem características da metodologia de investigação-ação, a supervisão pedagógica desenrolou-se por etapas que promoveram o crescimento pessoal e profissional da futura professora. Todo o percurso espelhado no decorrer das próximas páginas foi solidamente cimentado graças à experiência partilhada dos orientadores cooperantes, dos supervisores institucionais e do par pedagógico, permitindo desenvolver e consolidar competências heurísticas, bem como a transformação e o melhoramento das práticas. Atribuiu-se, neste processo, um especial significado à relação com o par pedagógico por ter constituído um apoio fundamental, valorizando-se a colaboração, enquanto agente potenciador da tomada de decisão em contextos de incerteza e de complexidade da prática docente. Este relatório de estágio configura-se como mais uma oportunidade de autoconsciência e de reflexão relativamente ao processo de construção da identidade profissional. O constante progresso do mundo atual, as dificuldades sentidas e os obstáculos ultrapassados reforçam a ideia de que o processo de formação será sempre ávido de uma permanente atualização.