Lipid content of frozen fish: comparison of different extraction methods and variability during freezing storage

In this work, a microwave-assisted extraction (MAE) methodology was compared with several conventional extraction methods (Soxhlet, Bligh & Dyer, modified Bligh & Dyer, Folch, modified Folch, Hara & Radin, Roese-Gottlieb) for quantification of total lipid content of three fish species: horse mackerel (Trachurus trachurus), chub mackerel (Scomber japonicus), and sardine (Sardina pilchardus). The influence of species, extraction method and frozen storage time (varying from fresh to 9 months of freezing) on total lipid content was analysed in detail. The efficiencies of methods MAE, Bligh & Dyer, Folch, modified Folch and Hara & Radin were the highest and although they were not statistically different, differences existed in terms of variability, with MAE showing the highest repeatability (CV = 0.034). Roese-Gottlieb, Soxhlet, and modified Bligh & Dyer methods were very poor in terms of efficiency as well as repeatability (CV between 0.13 and 0.18).

Analysis of stock market indices through multidimensional scaling

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

Development of a meso-microscale coupling procedure for site assessment in complex terrain

A procedure for coupling mesoscale and CFD codes is presented, enabling the inclusion of realistic stratification flow regimes and boundary conditions in CFD simulations of relevance to site and resource assessment studies in complex terrain. Two distinct techniques are derived: (i) in the first one, boundary conditions are extracted from mesoscale results to produce time-varying CFD solutions; (ii) in the second case, a statistical treatment of mesoscale data leads to steady-state flow boundary conditions believed to be more representative than the idealised profiles which are current industry practice. Results are compared with measured data and traditional CFD approaches.

Nonlinear dynamics of the patient’s response to drug effect during general anesthesia

In today’s healthcare paradigm, optimal sedation during anesthesia plays an important role both in patient welfare and in the socio-economic context. For the closed-loop control of general anesthesia, two drugs have proven to have stable, rapid onset times: propofol and remifentanil. These drugs are related to their effect in the bispectral index, a measure of EEG signal. In this paper wavelet time–frequency analysis is used to extract useful information from the clinical signals, since they are time-varying and mark important changes in patient’s response to drug dose. Model based predictive control algorithms are employed to regulate the depth of sedation by manipulating these two drugs. The results of identification from real data and the simulation of the closed loop control performance suggest that the proposed approach can bring an improvement of 9% in overall robustness and may be suitable for clinical practice.

Critical Velocity obtained using Simplified Models of the Railway Track: Viability and Applicability

Increased demands on the capacity of the railway network gave rise to new issues related to the dynamic response of railway tracks subjected to moving vehicles. Thus, it becomes important to evaluate the applicability of traditionally used simplified models which have a closed form solution. Regarding simplified models, transversal vibrations of a beam on a visco-elastic foundation subjected to a moving load are considered. Governing equations are obtained by Hamilton’s principle. Shear distortion, rotary inertia and effect of axial force are accounted for. The load is introduced as a time varying force moving at a constant velocity. Transversal vibrations induced by the load are solved by the normal-mode analysis. Reflected waves at the extremities of the full beam are avoided by introduction of semi-infinite elements. Firstly, the critical velocity obtained from this model is compared with results of an undamped Euler- Bernoulli formulation with zero axial force. Secondly, a finite element model in ABAQUS is examined. The new contribution lies in the introduction of semi- infinite elements and in the first step to a systematic comparison, which have not been published so fa

Nonlinear dynamics of the patient’s response to drug effect during general anesthesia

In today’s healthcare paradigm, optimal sedation during anesthesia plays an important role both in patient welfare and in the socio-economic context. For the closed-loop control of general anesthesia, two drugs have proven to have stable, rapid onset times: propofol and remifentanil. These drugs are related to their effect in the bispectral index, a measure of EEG signal. In this paper wavelet time–frequency analysis is used to extract useful information from the clinical signals, since they are time-varying and mark important changes in patient’s response to drug dose. Model based predictive control algorithms are employed to regulate the depth of sedation by manipulating these two drugs. The results of identification from real data and the simulation of the closed loop control performance suggest that the proposed approach can bring an improvement of 9% in overall robustness and may be suitable for clinical practice.

Multidimensional Scaling Analysis of Stock Market Indexes

This paper applies multidimensional scaling techniques and Fourier transform for visualizing possible time-varying correlations between 25 stock market values. The method is useful for observing clusters of stock markets with similar behavior.

Simulação de Robôs Quadrúpedes Utilizando o SimMechanics

Desde sempre o Homem procurou automatizar tarefas repetitivas. Tanto na indústria como no sector doméstico ou de comércio estão constantemente a surgir novos equipamentos procurando aumentar o nível de automação de diversas tarefas. A necessidade de empresas criadoras de produtos inovadores se manterem concorrenciais obrigou à adopção de métodos de projecto e planeamento mais estruturados e eficientes que eliminem os desperdícios tanto de material como de tempo. Diversas construções em termos orçamentais e o aumento da procura de produtos de alta qualidade a baixo custo deu origem a um novo tipo de programas, os programas de simulação virtual. Tal como na indústria, também na investigação nas Instituições de Ensino Superior se procuram adoptar os métodos de trabalho mais eficientes possíveis. Uma parte dos programas de simulação robótica utilizados hoje em dia na investigação no Instituto Superior de Engenharia do Porto estão concebidos em linguagem C. Embora esta linguagem seja extremamente capaz, existem métodos mais adequados de simulação que aceleram o processo de modelação permitindo a visualização do movimento e simulação de diversas situações potencialmente criticas sem existir a necessidade de construção de um protótipo funcional do robô. Durante o último ano, este projecto permitiu construir um modelo de um robô quadrúpede num programa de simulação virtual chamado Simmechanics™. Embora haja já algum trabalho desenvolvido nesta área, constatou-se que a informação existente possuía algumas lacunas. Com o trabalho desenvolvido preparou-se esta dissertação que pretende clarificar algumas questões que surgem na modelação de um robô. Neste documento explica-se como modelar um robô de corpo flexível, modelar as pernas e as respectivas juntas da anca e do joelho assim como também se apresenta a modelação de um contacto com o solo recorrendo a um modelo descrito na literatura. Este documento foi escrito a pensar no leitor, procurando-se explicar de forma simples mas concisa os diversos passos necessários para construir um modelo virtual de um robô. O autor espera, desta forma, ajudar futuros colegas que pretendam trabalhar com o Simmechanics™ a mais facilmente se integrarem com o programa aumentando desta forma o declive da curva de aprendizagem e permitindo um maior aproveitamento desta ferramenta.

Modelling and Forecasting Mortality Patterns

Thesis submitted in partial fulfillment of the requirements for the Degree of Doctor of Statistics and Information Management

Flexible multivariate GARCH modeling with an application to international stock markets

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Forearm surface EMG signals recognition and muscoloskeletal system dynamics identification using intelligent computational methods

Biosignals processing, Biological Nonlinear and time-varying systems identification, Electomyograph signals recognition, Pattern classification, Fuzzy logic and neural networks methods

Search and bargaining in large markets with homogeneous traders

We study pair-wise decentralized trade in dynamic markets with homogeneous, non-atomic, buyers and sellers that wish to exchange one unit. Pairs of traders are randomly matched and bargaining a price under rules that offer the freedom to quit the match at any time. Market equilbria, prices and trades over time, are characterized. The asymptotic behavior of prices and trades as frictions (search costs and impatience) vanish, and the conditions for (non) convergence to walrasian prices are explored. As a side product of independent interest, we present a self-contained theory of non-cooperative bargaining with two-sided, time-varying, outside options.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.