Relativistic time effects in financial dynamics

Financial time series have a complex dynamic nature. Many techniques were adopted having in mind standard paradigms of time flow. This paper explores an alternative route involving relativistic effects. It is observed that the measuring perspective influences the results and that we can have different time textures.

Complex dynamics of financial indices

This paper presents a novel method for the analysis of nonlinear financial and economic systems. The modeling approach integrates the classical concepts of state space representation and time series regression. The analytical and numerical scheme leads to a parameter space representation that constitutes a valid alternative to represent the dynamical behavior. The results reveal that business cycles can be clearly revealed, while the noise effects common in financial indices can elegantly be filtered out of the results.

Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

A divulgação sobre instrumentos derivados : evidência empírica do setor da indústria português

Mestrado em Contabilidade

Contratos de futuros sobre taxas de juro : estudo de caso sobre a Euribor a 3 meses

Mestrado em Contabilidade e Análise Financeira

Análise e gestão de risco de vendas a crédito

Mestrado em Contabilidade e Gestão de Instituições Financeiras

Fractional dynamics in financial indexes

The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems.

Chronic use of benzodiazepines among older adults

OBJECTIVE To analyze the perception of and motivation for the chronic use of benzodiazepine among older adults. METHODS A qualitative study was conducted on 22 older adults living in Bambuí, MG, Southeastern Brazil, who were taking benzodiazepines and had the clinical and cognitive ability to respond to interview questions. The collected data were analyzed on the basis of the “signs, meanings, and actions” model. RESULTS The main reasons pointed out for the use of benzodiazepines were “nervousness”, “sleep problems”, and “worry” due to family and financial problems, everyday problems, and existential difficulties. None of the interviewees said that they used benzodiazepines in a dose higher than that recommended or had been warned by health professionals about any risks of their continuous use. Different strategies were used to obtain the prescription for the medication, and any physician would prescribe it, indicating that a bond was established with the drug and not with the health professional or healthcare service. Obtaining and consuming the medication turned into a crucial issue because benzodiazepine assumes the status of an essential food, which leads users to not think but sleep. It causes a feeling of relief from their problems such as awareness of human finitude and fragility, existential difficulties, and family problems. CONCLUSIONS Benzodiazepine assumes the characteristics of polyvalence among older adults, which extrapolate specific clinical indications, and of essentiality to deal with life’s problems in old age. Although it relieves the “nerves”, the chronic use of benzodiazepines buffers suffering and prevents older adults from going through the suffering. This shows important difficulties in the organization and planning of strategies that are necessary for minimizing the chronic use in this population.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Response rate in the Study of Cardiovascular Risks in Adolescents – ERICA

ABSTRACT OBJECTIVE To describe the response rate and characteristics of people who either took part or not in from the Study of Cardiovascular Risks in Adolescents (ERICA) , according to information subsets. METHODS ERICA is a school-based, nation-wide investigation with a representative sample of 12 to 17-year-old adolescents attending public or private schools in municipalities with over 100,000 inhabitants in Brazil. Response rate of eligible subjects were calculated according to macro-regions, sex, age, and type of school (public or private). We also calculated the percentages of replacement schools in comparison with the ones originally selected as per the sample design, according to the types of schools in the macro-regions. The subjects and non-subjects were compared according to sex, age, and average body mass indices (kg/m2). RESULTS We had 102,327 eligible adolescents enrolled in the groups drawn. The highest percentage of complete information was obtained for the subset of the questionnaire (72.9%). Complete information regarding anthropometric measurements and the ones from the questionnaire were obtained for 72.0% of the adolescents, and the combination of these data with the 24-hour dietary recall were obtained for 70.3% of the adolescents. Complete information from the questionnaire plus biochemical blood evaluation data were obtained for 52.5% of the morning session adolescents (selected for blood tests). The response percentage in private schools was higher than the one in public schools for most of the combination of information. The ratio of older and male adolescents non-participants was higher than the ratio among participants. CONCLUSIONS The response rate for non-invasive procedures was high. The response rate for blood collection – an invasive procedure that requires a 12-hour fasting period and the informed consent form from legal guardians – was lower. The response rate observed in public schools was lower than in the private ones, and that may reflect lower school frequency of registered students.

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.

The impact of the 2008 and 2010 financial crises on international stock markets : contagion and long memory

Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3, abordamos o tema da memória longa através do estudo do expoente de Hurst dos mercados acionistas da Bélgica, E.U.A., França, Grécia, Holanda, Japão, Reino Unido e Portugal. Verificamos que as propriedades de memória longa dos mercados foram afetadas pelas crises, especialmente a de 2008 – que aumentou a memória longa dos mercados e tornou-os mais persistentes. Finalmente, usando cópulas mais uma vez, verificamos que as crises provocaram, em geral, um aumento na correlação entre os expoentes de Hurst locais dos mercados foco das crises (E.U.A. e Grécia) e os expoentes de Hurst locais dos outros mercados da amostra, sugerindo que o expoente de Hurst pode ser utilizado para detetar efeitos de contágio financeiro. Em síntese, os resultados desta tese sugerem que comparativamente com períodos de acalmia, os períodos de crises financeiras tendem a provocar ineficiência nos mercados acionistas e a conduzi-los na direção da persistência e do contágio financeiro.

Assessment of direct radiological risk and indirect associated toxic risks originated by Coal-Fired Power Plants

Over the past few decades there has been some discussion concerning the increase of the natural background radiation originated by coal-fired power plants, due to the uranium and thorium content present in combustion ashes. The radioactive decay products of uranium and thorium, such as radium, radon, polonium, bismuth and lead, are also released in addition to a significant amount of 40K. Since the measurement of radioactive elements released by the gaseous emissions of coal power plants is not compulsory, there is a gap of information concerning this situation. Consequently, the prediction of dispersion and mobility of these elements in the environment, after their release, is based on limited data and the radiological impact from the exposure to these radioactive elements is unknown. This paper describes the methodology that is being developed to assess the radiological impact due to the raise in the natural background radiation level originated by the release and dispersion of the emitted radionuclides. The current investigation is part of a research project that is undergoing in the vicinity of Sines coal-fired power plant (south of Portugal) until 2013. Data from preliminary stages are already available and possible of interpretation.

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