Understanding portfolio efficiency with conditioning information

We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.

Duality in mean-variance frontiers with conditioning information

Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the unconditional portfolio frontier in Hansen and Richard (1987) is not dual to the unconditional SDF frontier in Gallant, Hansen and Tauchen (1990). We characterise the dual objects to those frontiers, and relate them to the frontiers generated with managed portfolios, which are commonly used in empirical work. We also study the implications of a safe asset and other special cases.

Microinductive signal conditioning with resonant differential filters: high-sensitivity biodetection applications

Inductive-based devices integrated with Si technology for biodetection applications are characterized, using simple resonant differential filter configurations. This has allowed the corroboration of the viability of the proposed circuits, which are characterized by their very high simplicity, for microinductive signal conditioning in high-sensitivity sensor devices. The simulation of these simple circuits predicts sensitivities of the differential output voltage which can achieve values in the range of 0.1-1 V/nH, depending on the coil parameters. These very high-sensitivity values open the possibility for the experimental detection of extremely small inductance changes in the devices. For real microinductive devices, both series resistance and parasitic capacitive components contribute to the decrease of the differential circuit sensitivity. Nevertheless, measurements performed using micro-coils fabricated with relatively high series resistance and coupling parasitic effects have allowed detection of changes in the range of 2 nH. which are compatible with biodetection applications with estimated detection limits below the picomolarity range.

A Grid Supercomputing Enviroment for High Demand Computational Applications

Despite the huge increase in processor and interprocessor network performace, many computational problems remain unsolved due to lack of some critical resources such as floating point sustained performance, memory bandwidth, etc... Examples of these problems are found in areas of climate research, biology, astrophysics, high energy physics (montecarlo simulations) and artificial intelligence, among others. For some of these problems, computing resources of a single supercomputing facility can be 1 or 2 orders of magnitude apart from the resources needed to solve some them. Supercomputer centers have to face an increasing demand on processing performance, with the direct consequence of an increasing number of processors and systems, resulting in a more difficult administration of HPC resources and the need for more physical space, higher electrical power consumption and improved air conditioning, among other problems. Some of the previous problems can´t be easily solved, so grid computing, intended as a technology enabling the addition and consolidation of computing power, can help in solving large scale supercomputing problems. In this document, we describe how 2 supercomputing facilities in Spain joined their resources to solve a problem of this kind. The objectives of this experience were, among others, to demonstrate that such a cooperation can enable the solution of bigger dimension problems and to measure the efficiency that could be achieved. In this document we show some preliminary results of this experience and to what extend these objectives were achieved.

Sabbatical stay at CREVER, University Rovira i Virgili

A three-year research proposal of international impact and quality was developed between the author and CREVER researchers, taking into account the infrastructure and research lines already being carried out at CREVER. The project is related to the study of new mixtures in thermal activated systems, by the addition of a third component to help the heat transfer processes. The project proposes the use of water and lithium nitrate as absorbents in ternary ammonia mixtures, varying the concentration with the objective of optimising the mixture for solar air conditioning purposes. Also, the research proposal will promote an intensive collaboration in the following years between CREVER and The Centro de Investigación en Energía-UNAM, Mexico.

Estimation of dynamic latent variable models using simulated nonparametric moments

Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Since conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. Monte Carlo results show that the estimator performs well in comparison to other estimators that have been proposed for estimation of general DLV models.

H-Link simulator

Aquest projecte intenta donar solució al problema amb el qual s’ha trobat la empresa Hitachi Air Conditioning Products SA a la hora de fer probes durant el desenvolupament del seu principal producte, el CSNet Web. El simulador que s’ha realitzat en aquest projecte pretén reproduir la topologia d’una xarxa d’unitats d’aire condicionat per a que el CSNet Web les interpreti com si aquestes màquines fossin reals. Per a aconseguir-ho, el simulador reproduirà les comunicacions entre aquestes màquines i el CSNet Web.

Estudi de la successió primària en esculls artificials en un port marítim

Treball de recerca realitzat per una alumna d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit científic del Jovent l'any 2009. La llum i el temps són factors importants en tots els ecosistemes i especialment en ecosistemes aquàtics, ja que constitueixen variables ambientals que condicionen la seva evolució i equilibri. L’objectiu principal del treball de recerca és estudiar el desenvolupament de les successions primàries all llarg del temps en esculls artificials submergits en un ambient marí i observar les conseqüències de la incidència, directa o no, de la llum en aquests esculls pel que fa al desenvolupament de la successions primàries. Els resultats obtinguts demostren satisfactòriament que la incidència de la llum és un factor determinant en la constitució de les successions primàries en ambients marins. Per altra part, els resultats també demostren que el temps és un factor que actua condicionant la diversitat de les formes de vida que colonitzen aquests medis marins, concretament la diversitat s’incrementa amb el temps.

Estudi comparatiu del sòl d'una vinya de Sant Pere de Ribes

Treball de recerca realitzat per una alumna d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit científic del Jovent l'any 2009. Anàlisi comparatiu de diferents propietats del sòl d’una vinya on s’ha observat que els peus presenten un creixement desigual. A partir d'una observació a simple vista de les plantes de la vinya i del sòl sobre el qual es desenvolupen, es proposa la hipòtesi de que el sòl pot ser un factor determinant per aquest creixement desigual. Després de fer una recerca bibliogràfica sobre l’edafologia, les propietats del sòl i els tipus de sòl que es poden trobar als voltants de Sant Pere de Ribes, l’autora ha fet una selecció de propietats físico-químiques que poden estar més relacionades amb el creixement de les plantes. Després de fer el mostreig i seguir els protocols de laboratori s’han analitzat els resultats i s’han redactat les conclusions. Les propietats estudiades han permès determinar els tipus de sòl, uns sòls de textures entre franco-arenoses i areno-franques. S’ha trobat també una correlació entre les diverses propietats estudiades: un sòl de porositat elevada, que presenta valors alts de velocitat d’infiltració i per tant amb baixa capacitat de retenció d’aigua disponible, no sembla el sòl ideal per al desenvolupament de les plantes de vinya. A partir del treball es plantegen noves incògnites sobre les adaptacions dels ceps a aquests tipus de sòl o sobre la qualitat del raïm que s'hi pot desenvolupar.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Automatització integral d'un habitatge

En aquest projecte discutirem i aprovarem la viabilitat d'implementar una automatització integral d'un habitatge utilitzant les tecnologies domòtiques existents a l'actualitat. La idea inicial és substituir tots els elements que integren la construcció (il·luminació, climatització, parts mòbils,...) per dispositius domòtics i implementar un software de visualització sobre aparells mòbils (smartphones, tablets) que ens permeti un control total sobre l'habitacle. S’avaluarà quina és la solució de mercat que millor s’adapta al projecte i s’implementarà integrant-la posteriorment als sistemes de visualització i control.

Plane-to-plane positioning from image-based visual servoing and structured light

In this paper we face the problem of positioning a camera attached to the end-effector of a robotic manipulator so that it gets parallel to a planar object. Such problem has been treated for a long time in visual servoing. Our approach is based on linking to the camera several laser pointers so that its configuration is aimed to produce a suitable set of visual features. The aim of using structured light is not only for easing the image processing and to allow low-textured objects to be treated, but also for producing a control scheme with nice properties like decoupling, stability, well conditioning and good camera trajectory

Intrinsic test of independence in contingency tables

A condition needed for testing nested hypotheses from a Bayesianviewpoint is that the prior for the alternative model concentratesmass around the small, or null, model. For testing independencein contingency tables, the intrinsic priors satisfy this requirement.Further, the degree of concentration of the priors is controlled bya discrete parameter m, the training sample size, which plays animportant role in the resulting answer regardless of the samplesize.In this paper we study robustness of the tests of independencein contingency tables with respect to the intrinsic priors withdifferent degree of concentration around the null, and comparewith other “robust” results by Good and Crook. Consistency ofthe intrinsic Bayesian tests is established.We also discuss conditioning issues and sampling schemes,and argue that conditioning should be on either one margin orthe table total, but not on both margins.Examples using real are simulated data are given

Estudi tècnic sobre les possibilitats d’ instal·lacions de superfícies radiants per calefacció i refrigeració

L’objectiu d’aquest estudi és realitzar el projecte d’una instal·lació per superfícies radiants i la respectiva comparació, tant d’implantació com energètica, amb sistemes de climatització convencionals

Desarrollo de una metodología fluídica para el estudio del confort climático en el habitáculo de un vehículo

El objetivo primordial de este proyecto es establecer y documentar las condiciones deconfort climático y desarrollar un modelo dummy capaz de interpretar la sensación térmica teniendo en cuenta factores internos como; temperatura, velocidad, y dirección del aire.La simulación numérica se realizará con el código Star CCM + de CD- ADAPCO