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.

A influência dos parâmetros nas estimativas VAR: caso prático

Dissertação de Mestrado em Finanças Empresariais

Trade-Off Performance Regions of Slotted ALOHA Protocol using Multi-Objective Optimization

10th Conference on Telecommunications (Conftele 2015), Aveiro, Portugal.

Acolhimento Familiar em Portugal e Espanha: Uma Investigação Comparada sobre a Satisfação dos Acolhedores

Este estudo apresenta uma comparação entre as experiências de famílias de acolhimento de Portugal e Espanha, avaliando-se a sua satisfação com a informação recebida antes do acolhimento; a preparação da criança para o acolhimento; os apoios técnico e fi nanceiro; e a evolução do processo de acolhimento. Pretende-se contribuir para melhorar e promover a medida de acolhimento familiar nos dois países. Os processos de acolhimento familiar dependem de fatores históricos e culturais que produzem diferenças importantes nos diversos contextos internacionais. Assim, foram realizadas entrevistas em duas amostras aleatórias constituídas por 52 famílias de acolhimento em Portugal e 46 na Espanha, cujos resultados foram comparados através de testes estatísticos paramétricos e não paramétricos. Os acolhedores, em ambos os países, mostraram um elevado grau de satisfação com o processo de acolhimento. No entanto, em Portugal, existe maior preocupação com o fraco apoio fi nanceiro, as informações não fornecidas pelos serviços de acolhimento ou a má preparação da criança para o acolhimento. Por fi m, são apresentadas sugestões para a melhoria da gestão e implementação desta resposta social. Palavras-chave: Bem-estar da criança, acolhimento familiar, satisfação dos acolhedores, estudo comparativo.

Acolhimento Familiar em Portugal e Espanha: Uma Investigação Comparada sobre a Satisfação dos Acolhedores

Este estudo apresenta uma comparação entre as experiências de famílias de acolhimento de Portugal e Espanha, avaliando-se a sua satisfação com a informação recebida antes do acolhimento; a preparação da criança para o acolhimento; os apoios técnico e fi nanceiro; e a evolução do processo de acolhimento. Pretende-se contribuir para melhorar e promover a medida de acolhimento familiar nos dois países. Os processos de acolhimento familiar dependem de fatores históricos e culturais que produzem diferenças importantes nos diversos contextos internacionais. Assim, foram realizadas entrevistas em duas amostras aleatórias constituídas por 52 famílias de acolhimento em Portugal e 46 na Espanha, cujos resultados foram comparados através de testes estatísticos paramétricos e não paramétricos. Os acolhedores, em ambos os países, mostraram um elevado grau de satisfação com o processo de acolhimento. No entanto, em Portugal, existe maior preocupação com o fraco apoio fi nanceiro, as informações não fornecidas pelos serviços de acolhimento ou a má preparação da criança para o acolhimento. Por fi m, são apresentadas sugestões para a melhoria da gestão e implementação desta resposta social.

A aquisição de competências matemáticas no 1º e 2º ciclos:construção de um instrumento e intervenção com base nos seus resultados

Com base no modelo de Resposta à Intervenção (RtI), este estudo centrouse em três objetivos: construir um instrumento vocacionado para a determinação do nível de competências fundamentais, do 1º ao 6º anos, na disciplina de Matemática; avaliar o valor preditivo do instrumento sobre a necessidade de intervenção; examinar o efeito de uma intervenção planeada com base na avaliação diagnóstica desse instrumento. Para dar resposta ao primeiro e segundo objetivos foram consideradas duas amostras de conveniência: a primeira, constituída por 5 docentes, avaliou a versão teste do instrumento e a segunda, constituída por 6 docentes, avaliou a sua versão final (perfazendo um total de 75 alunos). Recorrendo ao método kmeans, os resultados mostraram que o instrumento é de útil e fácil aplicação, permitindo aos docentes avaliarem e identificarem o grupo de desempenho a que pertence cada aluno, em relação à média dos resultados da respetiva turma. Relativamente ao terceiro objetivo, foi constituída uma amostra de 7 alunos de uma turma do 4º ano. A intervenção decorreu ao longo de 11 semanas, com 2 sessões semanais, cuja duração variou entre 10 a 35 minutos. Para avaliar os efeitos da intervenção, foi realizado um pré e um pós-teste, assim como 2 sessões de avaliação intermédia (checkpoints), tendo-se recorrido ao teste não paramétrico de Friedman e ao teste de Wilcoxon, para avaliar a significância das diferenças entre os tempos e os níveis de suporte, para o aluno resolver a tarefa com sucesso, respetivamente. Os resultados mostraram diferenças estatiscamente significativas, particularmente entre as duas avaliações intermédia consideradas.

Perdas por imparidade em intangíveis

Dissertação de Mestrado apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Contabilidade e Finanças, sob orientação do Doutor Carlos Quelhas Martins

Advances in smart grids - benefits on sharing background experiences from Portugal, Central Europe and Brazil

This paper presents ELECON - Electricity Consumption Analysis to Promote Energy Efficiency Considering Demand Response and Non-technical Losses, an international research project that involves European and Brazilian partners. ELECON focuses on energy efficiency increasing through consumer´s active participation which is a key area for Europe and Brazil cooperation. The project aims at significantly contributing towards the successful implementation of smart grids, focussing on the use of new methods that allow the efficient use of distributed energy resources, namely distributed generation, storage and demand response. ELECON puts together researchers from seven European and Brazilian partners, with consolidated research background and evidencing complementary competences. ELECON involves institutions of 3 European countries (Portugal, Germany, and France) and 4 Brazilian institutions. The complementary background and experience of the European and Brazilian partners is of main relevance to ensure the capacities required to achieve the proposed goals. In fact, the European Union (EU) and Brazil have very different resources and approaches in what concerns this area. Having huge hydro and fossil resources, Brazil has not been putting emphasis on distributed renewable based electricity generation. On the contrary, EU has been doing huge investments in this area, taking into account environmental concerns and also the economic EU external dependence dictated by huge requirements of energy related products imports. Sharing these different backgrounds allows the project team to propose new methodologies able to efficiently address the new challenges of smart grids.

Three-dimensional modeling of tongue during speech using MRI data

The tongue is the most important and dynamic articulator for speech formation, because of its anatomic aspects (particularly, the large volume of this muscular organ comparatively to the surrounding organs of the vocal tract) and also due to the wide range of movements and flexibility that are involved. In speech communication research, a variety of techniques have been used for measuring the three-dimensional vocal tract shapes. More recently, magnetic resonance imaging (MRI) becomes common; mainly, because this technique allows the collection of a set of static and dynamic images that can represent the entire vocal tract along any orientation. Over the years, different anatomical organs of the vocal tract have been modelled; namely, 2D and 3D tongue models, using parametric or statistical modelling procedures. Our aims are to present and describe some 3D reconstructed models from MRI data, for one subject uttering sustained articulations of some typical Portuguese sounds. Thus, we present a 3D database of the tongue obtained by stack combinations with the subject articulating Portuguese vowels. This 3D knowledge of the speech organs could be very important; especially, for clinical purposes (for example, for the assessment of articulatory impairments followed by tongue surgery in speech rehabilitation), and also for a better understanding of acoustic theory in speech formation.

Multimedia fate modeling and comparative impact on freshwater ecosystems of pharmaceuticals from biosolids-amended soils

This study modeled the impact on freshwater ecosystems of pharmaceuticals detected in biosolids following application on agricultural soils. The detected sulfonamides and hydrochlorothiazide displayed comparatively moderate retention in solid matrices and, therefore, higher transfer fractions from biosolids to the freshwater compartment. However, the residence times of these pharmaceuticals in freshwater were estimated to be short due to abiotic degradation processes. The non-steroidal anti-inflammatory mefenamic acid had the highest environmental impact on aquatic ecosystems and warrants further investigation. The estimation of the solid-water partitioning coefficient was generally the most influential parameter of the probabilistic comparative impact assessment. These results and the modeling approach used in this study serve to prioritize pharmaceuticals in the research effort to assess the risks and the environmental impacts on aquatic biota of these emerging pollutants.

Anti-tumoral effect of the non-nucleoside DNMT inhibitor RG108 in human prostate cancer cells

Background: Current therapeutic strategies for advanced prostate cancer (PCa) are largely ineffective. Because aberrant DNA methylation associated with inappropriate gene-silencing is a common feature of PCa, DNA methylation inhibitors might constitute an alternative therapy. In this study we aimed to evaluate the anti-cancer properties of RG108, a novel non-nucleoside inhibitor of DNA methyltransferases (DNMT), in PCa cell lines. Methods: The anti-tumoral impact of RG108 in LNCaP, 22Rv1, DU145 and PC-3 cell lines was assessed through standard cell viability, apoptosis and cell cycle assays. Likewise, DNMT activity, DNMT1 expression and global levels of DNA methylation were evaluated in the same cell lines. The effectiveness of DNA demethylation was further assessed through the determination of promoter methylation and transcript levels of GSTP1, APC and RAR-β2, by quantitative methylation-specific PCR and RT-PCR, respectively. Results: RG108 led to a significant dose and time dependent growth inhibition and apoptosis induction in LNCaP, 22Rv1 and DU145. LNCaP and 22Rv1 also displayed decreased DNMT activity, DNMT1 expression and global DNA methylation. Interestingly, chronic treatment with RG108 significantly decreased GSTP1, APC and RAR-β2 promoter hypermethylation levels, although mRNA re-expression was only attained GSTP1 and APC. Conclusions: RG108 is an effective tumor growth suppressor in most PCa cell lines tested. This effect is likely mediated by reversion of aberrant DNA methylation affecting cancer related-genes epigenetically silenced in PCa. However, additional mechanism might underlie the anti-tumor effects of RG108. In vivo studies are now mandatory to confirm these promising results and evaluate the potential of this compound for PCa therapy.

Modeling of the lung impedance using a fractional order ladder network with constant phase elements

The self similar branching arrangement of the airways makes the respiratory system an ideal candidate for the application of fractional calculus theory. The fractal geometry is typically characterized by a recurrent structure. This study investigates the identification of a model for the respiratory tree by means of its electrical equivalent based on intrinsic morphology. Measurements were obtained from seven volunteers, in terms of their respiratory impedance by means of its complex representation for frequencies below 5 Hz. A parametric modeling is then applied to the complex valued data points. Since at low-frequency range the inertance is negligible, each airway branch is modeled by using gamma cell resistance and capacitance, the latter having a fractional-order constant phase element (CPE), which is identified from measurements. In addition, the complex impedance is also approximated by means of a model consisting of a lumped series resistance and a lumped fractional-order capacitance. The results reveal that both models characterize the data well, whereas the averaged CPE values are supraunitary and subunitary for the ladder network and the lumped model, respectively.

A evolução de um modelo BIM de construção para gestão de empreendimentos

A implementação da evolução tecnológica no setor da construção tem se caracterizado pelo aparecimento de novas tecnologias que dinamizam os processos de troca de informação entre os vários intervenientes no ciclo de vida do empreendimento. O surgimento da tecnologia Building Information Modeling - BIM assente na modelação paramétrica e na interoperabilidade suportada em ficheiros de padrão aberto (IFC) pressupõem um novo paradigma na forma como são tratados os processos de troca de informação entre os vários intervenientes no ciclo de vida dos empreendimentos. Com base no BIM o Construction Operations Building Information Exchange – COBie, é outra tecnologia recente que recolhe informações não geométricas associadas ao modelo e em conjunto com a informação geométrica produzida pelo BIM fazem parte dos documentos de entrega para a fase Facility Management – FM. O objetivo da presente dissertação centrou-se no estudo da evolução de um modelo BIM de construção para a gestão de empreendimento. Foi desenvolvido o estudo de um modelo protótipo que incidiu na utilização de softwares para verificação e aplicação das tecnologias COBie e BIM e também foi sincronizado com a fase FM. Da aplicação dos requisitos COBie e modelação BIM foram extraídas informações geométricas e não geométricas preenchidas nas folhas de trabalho COBie. As principais conclusões do estudo realizado foram que as tecnologias COBie e BIM têm pouca implantação a nível nacional e a sua integração dinamiza os processos, reduzindo custos e aumentando a qualidade da informação fornecida.

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.

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.