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.

Decision support system with incomplete and domain incoherent information management

Many of the most common human functions such as temporal and non-monotonic reasoning have not yet been fully mapped in developed systems, even though some theoretical breakthroughs have already been accomplished. This is mainly due to the inherent computational complexity of the theoretical approaches. In the particular area of fault diagnosis in power systems however, some systems which tried to solve the problem, have been deployed using methodologies such as production rule based expert systems, neural networks, recognition of chronicles, fuzzy expert systems, etc. SPARSE (from the Portuguese acronym, which means expert system for incident analysis and restoration support) was one of the developed systems and, in the sequence of its development, came the need to cope with incomplete and/or incorrect information as well as the traditional problems for power systems fault diagnosis based on SCADA (supervisory control and data acquisition) information retrieval, namely real-time operation, huge amounts of information, etc. This paper presents an architecture for a decision support system, which can solve the presented problems, using a symbiosis of the event calculus and the default reasoning rule based system paradigms, insuring soft real-time operation with incomplete, incorrect or domain incoherent information handling ability. A prototype implementation of this system is already at work in the control centre of the Portuguese Transmission Network.

Use of solvent extraction to remediate soils contaminated with hydrocarbons

The main objective of this research is to exploit the possibility of using an ex situ solvent extraction technique for the remediation of soils contaminated with semi-volatile petroleum hydrocarbons. The composition of the organic phase was chosen in order to form a single phase mixture with an aqueous phase and simultaneously not being disturbed (forming stable emulsions) by the soil particles hauling the contaminants. It should also permit a regeneration of the organic solvent phase. As first, we studied the miscibility domain of the chosen ternary systems constituted by ethyl acetate–acetone–water. This system proved to satisfy the previous requirements allowing for the formation of a single liquid phase mixture within a large spectrum of compositions, and also allowing for an intimate contact with the soil. Contaminants in the diesel range within different functional groups were selected: xylene, naphthalene and hexadecane. The analytical control was done by gas chromatography with FID detector. The kinetics of the extractions proved to be fast, leading to equilibrium after 10 min. The effect of the solid–liquid ratio on the extraction efficiency was studied. Lower S/L ratios (1:8, w/v) proved to be more efficient, reaching recoveries in the order of 95%. The option of extraction in multiple contacts did not improve the recovery in relation to a single contact. The solvent can be regenerated by distillation with a loss around 10%. The contaminants are not evaporated and they remain in the non-volatile phase. The global results show that the ex situ solvent extraction is technically a feasible option for the remediation of semi-volatile aromatic, polyaromatic and linear hydrocarbons.

Short- and medium-term effects of manual therapy on cervical active range of motion and pressure pain sensitivity in latent myofascial pain of the upper trapezius muscle: a randomized controlled trial

Objective: The purpose of this study was to investigate effects of different manual techniques on cervical ranges of 17 motion and pressure pain sensitivity in subjects with latent trigger point of the upper trapezius muscle. 18 Methods: One hundred seventeen volunteers, with a unilateral latent trigger point on upper trapezius due to computer 19 work, were randomly divided into 5 groups: ischemic compression (IC) group (n = 24); passive stretching group (n = 20 23); muscle energy technique group (n = 23); and 2 control groups, wait-and-see group (n = 25) and placebo group 21 (n = 22). Cervical spine range of movement was measured using a cervical range of motion instrument as well as 22 pressure pain sensitivity by means of an algometer and a visual analog scale. Outcomes were assessed pretreatment, 23 immediately, and 24 hours after the intervention and 1 week later by a blind researcher. A 4 × 5 mixed repeated- 24 measures analysis of variance was used to examine the effects of the intervention and Cohen d coefficient was used. 25 Results: A group-by-time interaction was detected in all variables (P b .01), except contralateral rotation. The 26 immediate effect sizes of the contralateral flexion, ipsilateral rotation, and pressure pain threshold were large for 3 27 experimental groups. Nevertheless, after 24 hours and 1 week, only IC group maintained the effect size. 28 Conclusions: Manual techniques on upper trapezius with latent trigger point seemed to improve the cervical range of 29 motion and the pressure pain sensitivity. These effects persist after 1 week in the IC group. (J Manipulative Physiol 301 Ther 2013;xx:1-10)

The influence of inter-domain mobility on message stream response time in wired/wireless PROFIBUS-based networks

In previous works we have proposed a hybrid wired/wireless PROFIBUS solution where the interconnection between the heterogeneous media was accomplished through bridge-like devices with wireless stations being able to move between different wireless cells. Additionally, we had also proposed a worst-case timing analysis assuming that stations were stationary. In this paper we advance these previous works by proposing a worst-case timing analysis for the system’s message streams considering the effect of inter-cell mobility.

Enabling inter-domain transactions in bridge-based hybrid wired/wireless PROFIBUS networks

The marriage of emerging information technologies with control technologies is a major driving force that, in the context of the factory-floor, is creating an enormous eagerness for extending the capabilities of currently available fieldbus networks to cover functionalities not considered up to a recent past. Providing wireless capabilities to such type of communication networks is a big share of that effort. The RFieldbus European project is just one example, where PROFIBUS was provided with suitable extensions for implementing hybrid wired/wireless communication systems. In RFieldbus, interoperability between wired and wireless components is achieved by the use specific intermediate networking systems operating as repeaters, thus creating a single logical ring (SLR) network. The main advantage of the SLR approach is that the effort for protocol extensions is not significant. However, a multiple logical ring (MLR) approach provides traffic and error isolation between different network segments. This concept was introduced in, where an approach for a bridge-based architecture was briefly outlined. This paper will focus on the details of the inter-Domain Protocol (IDP), which is responsible for handling transactions between different network domains (wired or wireless) running the PROFIBUS protocol.

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.

Efficient computation of min and max sensor values in multihop networks

Consider a wireless sensor network (WSN) where a broadcast from a sensor node does not reach all sensor nodes in the network; such networks are often called multihop networks. Sensor nodes take individual sensor readings, however, in many cases, it is relevant to compute aggregated quantities of these readings. In fact, the minimum and maximum of all sensor readings at an instant are often interesting because they indicate abnormal behavior, for example if the maximum temperature is very high then it may be that a fire has broken out. In this context, we propose an algorithm for computing the min or max of sensor readings in a multihop network. This algorithm has the particularly interesting property of having a time complexity that does not depend on the number of sensor nodes; only the network diameter and the range of the value domain of sensor readings matter.

Improving the reliability of WiDom in a single broadcast domain

WiDom is a previously proposed prioritized medium access control protocol for wireless channels. We present a modification to this protocol in order to improve its reliability. This modification has similarities with cooperative relaying schemes, but, in our protocol, all nodes can relay a carrier wave. The preliminary evaluation shows that, under transmission errors, a significant reduction on the number of failed tournaments can be achieved.

Exploiting a prioritized MAC protocol to efficiently compute min and max in multihop networks

Consider a wireless sensor network (WSN) where a broadcast from a sensor node does not reach all sensor nodes in the network; such networks are often called multihop networks. Sensor nodes take sensor readings but individual sensor readings are not very important. It is important however to compute aggregated quantities of these sensor readings. The minimum and maximum of all sensor readings at an instant are often interesting because they indicate abnormal behavior, for example if the maximum temperature is very high then it may be that a fire has broken out. We propose an algorithm for computing the min or max of sensor reading in a multihop network. This algorithm has the particularly interesting property of having a time complexity that does not depend on the number of sensor nodes; only the network diameter and the range of the value domain of sensor readings matter.

Analysis of the domain of applicability of an algorithm for a resources system selection problem for Distributed/Agile/Virtual Enterprises integration

The process of resources systems selection takes an important part in Distributed/Agile/Virtual Enterprises (D/A/V Es) integration. However, the resources systems selection is still a difficult matter to solve in a D/A/VE, as it is pointed out in this paper. Globally, we can say that the selection problem has been equated from different aspects, originating different kinds of models/algorithms to solve it. In order to assist the development of a web prototype tool (broker tool), intelligent and flexible, that integrates all the selection model activities and tools, and with the capacity to adequate to each D/A/V E project or instance (this is the major goal of our final project), we intend in this paper to show: a formulation of a kind of resources selection problem and the limitations of the algorithms proposed to solve it. We formulate a particular case of the problem as an integer programming, which is solved using simplex and branch and bound algorithms, and identify their performance limitations (in terms of processing time) based on simulation results. These limitations depend on the number of processing tasks and on the number of pre-selected resources per processing tasks, defining the domain of applicability of the algorithms for the problem studied. The limitations detected open the necessity of the application of other kind of algorithms (approximate solution algorithms) outside the domain of applicability founded for the algorithms simulated. However, for a broker tool it is very important the knowledge of algorithms limitations, in order to, based on problem features, develop and select the most suitable algorithm that guarantees a good performance.

Time domain design of fractional differintegrators using least-squares

In this paper we propose the use of the least-squares based methods for obtaining digital rational approximations (IIR filters) to fractional-order integrators and differentiators of type sα, α∈R. Adoption of the Padé, Prony and Shanks techniques is suggested. These techniques are usually applied in the signal modeling of deterministic signals. These methods yield suboptimal solutions to the problem which only requires finding the solution of a set of linear equations. The results reveal that the least-squares approach gives similar or superior approximations in comparison with other widely used methods. Their effectiveness is illustrated, both in the time and frequency domains, as well in the fractional differintegration of some standard time domain functions.

Enantiomeric fraction evaluation of pharmaceuticals in environmentalmatrices by liquid chromatography-tandem mass spectrometry

The interest for environmental fate assessment of chiral pharmaceuticals is increasing and enantioselective analytical methods are mandatory. This study presents an enantioselective analytical method for the quantification of seven pairs of enantiomers of pharmaceuticals and a pair of a metabolite. The selected chiral pharmaceuticals belong to three different therapeutic classes, namely selective serotonin reuptake inhibitors (venlafaxine, fluoxetine and its metabolite norfluoxetine), beta-blockers (alprenolol, bisoprolol, metoprolol, propranolol) and a beta2-adrenergic agonist (salbutamol). The analytical method was based on solid phase extraction followed by liquid chromatography tandem mass spectrometry with a triple quadrupole analyser. Briefly, Oasis® MCX cartridges were used to preconcentrate 250 mL of water samples and the reconstituted extracts were analysed with a Chirobiotic™ V under reversed mode. The effluent of a laboratory-scale aerobic granular sludge sequencing batch reactor (AGS-SBR) was used to validate the method. Linearity (r2 > 0.99), selectivity and sensitivity were achieved in the range of 20–400 ng L−1 for all enantiomers, except for norfluoxetine enantiomers which range covered 30–400 ng L−1. The method detection limits were between 0.65 and 11.5 ng L−1 and the method quantification limits were between 1.98 and 19.7 ng L−1. The identity of all enantiomers was confirmed using two MS/MS transitions and its ion ratios, according to European Commission Decision 2002/657/EC. This method was successfully applied to evaluate effluents of wastewater treatment plants (WWTP) in Portugal. Venlafaxine and fluoxetine were quantified as non-racemic mixtures (enantiomeric fraction ≠ 0.5). The enantioselective validated method was able to monitor chiral pharmaceuticals in WWTP effluents and has potential to assess the enantioselective biodegradation in bioreactors. Further application in environmental matrices as surface and estuarine waters can be exploited.

Electrochemical immunosensor for the analysis of the breast cancer biomarker HER2 ECD

Human epidermal growth factor receptor 2 (HER2) is a breast cancer biomarker that plays a major role in promoting breast cancer cell proliferation and malignant growth. The extracellular domain (ECD) of HER2 can be shed into the blood stream and its concentration is measurable in the serum fraction of blood. In this work an electrochemical immunosensor for the analysis of HER2 ECD in human serum samples was developed. To achieve this goal a screen-printed carbon electrode, modified with gold nanoparticles, was used as transducer surface. A sandwich immunoassay, using two monoclonal antibodies, was employed and the detection of the antibody–antigen interaction was performed through the analysis of an enzymatic reaction product by linear sweep voltammetry. Using the optimized experimental conditions the calibration curve (ip vs. log[HER2 ECD]) was established between 15 and 100 ng/mL and a limit of detection (LOD) of 4.4 ng/mL was achieved. These results indicate that the developed immunosensor could be a promising tool in breast cancer diagnostics, patient follow-up and monitoring of metastatic breast cancer since it allows quantification in a useful concentration range and has an LOD below the established cut-off value (15 ng/mL).

Analysis of Forest Fires by means of Pseudo Phase Plane and Multidimensional Scaling Methods

Forest fires dynamics is often characterized by the absence of a characteristic length-scale, long range correlations in space and time, and long memory, which are features also associated with fractional order systems. In this paper a public domain forest fires catalogue, containing information of events for Portugal, covering the period from 1980 up to 2012, is tackled. The events are modelled as time series of Dirac impulses with amplitude proportional to the burnt area. The time series are viewed as the system output and are interpreted as a manifestation of the system dynamics. In the first phase we use the pseudo phase plane (PPP) technique to describe forest fires dynamics. In the second phase we use multidimensional scaling (MDS) visualization tools. The PPP allows the representation of forest fires dynamics in two-dimensional space, by taking time series representative of the phenomena. The MDS approach generates maps where objects that are perceived to be similar to each other are placed on the map forming clusters. The results are analysed in order to extract relationships among the data and to better understand forest fires behaviour.