Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

This paper applies the vector AR-DCC-FIAPARCH model to eight national stock market indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis.

Progmosis:evaluating risky individual behavior during epidemics using mobile network data

The possibility to analyze, quantify and forecast epidemic outbreaks is fundamental when devising effective disease containment strategies. Policy makers are faced with the intricate task of drafting realistically implementable policies that strike a balance between risk management and cost. Two major techniques policy makers have at their disposal are: epidemic modeling and contact tracing. Models are used to forecast the evolution of the epidemic both globally and regionally, while contact tracing is used to reconstruct the chain of people who have been potentially infected, so that they can be tested, isolated and treated immediately. However, both techniques might provide limited information, especially during an already advanced crisis when the need for action is urgent. In this paper we propose an alternative approach that goes beyond epidemic modeling and contact tracing, and leverages behavioral data generated by mobile carrier networks to evaluate contagion risk on a per-user basis. The individual risk represents the loss incurred by not isolating or treating a specific person, both in terms of how likely it is for this person to spread the disease as well as how many secondary infections it will cause. To this aim, we develop a model, named Progmosis, which quantifies this risk based on movement and regional aggregated statistics about infection rates. We develop and release an open-source tool that calculates this risk based on cellular network events. We simulate a realistic epidemic scenarios, based on an Ebola virus outbreak; we find that gradually restricting the mobility of a subset of individuals reduces the number of infected people after 30 days by 24%.

Debt Restructuring in the Euro Area: a Necessary but Manageable Evil?

There are two possible responses to the Greek debt crisis: ‘Plan A’, continued official lending, for as long as needed, with possible voluntary private sector involvement, and ‘Plan B’, coercive preemptive or post-default restructuring with significant face value reduction in privately-held debt. Both options have risks, but it is necessary to move to Plan B sooner or later. The impact on Greece could be mitigated by foreign bank ownership and proper liquidity support measures. The direct spillover impact on the rest of the euro area seems small. But there is the risk of contagion, which is a serious concern. There is a cautious case for delaying somewhat Plan B in order to prepare for it.

Research on the influence of behavioral forces that motivate trader behavior and sentiment: A prospect theory exegesis

This study focuses on empirical investigations and seeks implications by utilizing three different methodologies to test various aspects of trader behavior. The first methodology utilizes Prospect Theory to determine trader behavior during periods of extreme wealth contracting periods. Secondly, a threshold model to examine the sentiment variable is formulated and thirdly a study is made of the contagion effect and trader behavior. ^ The connection between consumers' sense of financial well-being or sentiment and stock market performance has been studied at length. However, without data on actual versus experimental performance, implications based on this relationship are meaningless. The empirical agenda included examining a proprietary file of daily trader activities over a five-year period. Overall, during periods of extreme wealth altering conditions, traders "satisfice" rather than choose the "best" alternative. A trader's degree of loss aversion depends on his/her prior investment performance. A model that explains the behavior of traders during periods of turmoil is developed. Prospect Theory and the data file influenced the design of the model. ^ Additional research included testing a model that permitted the data to signal the crisis through a threshold model. The third empirical study sought to investigate the existence of contagion caused by declining global wealth effects using evidence from the mining industry in Canada. Contagion, where a financial crisis begins locally and subsequently spreads elsewhere, has been studied in terms of correlations among similar regions. The results provide support for Prospect Theory in two out of the three empirical studies. ^ The dissertation emphasizes the need for specifying precise, testable models of investors' expectations by providing tools to identify paradoxical behavior patterns. True enhancements in this field must include empirical research utilizing reliable data sources to mitigate data mining problems and allow researchers to distinguish between expectations-based and risk-based explanations of behavior. Through this type of research, it may be possible to systematically exploit "irrational" market behavior. ^

Research on the influence of behavioral forces that motivate trader behavior and sentiment- a prospect theory exegesis

This study focuses on empirical investigations and seeks implications by utilizing three different methodologies to test various aspects of trader behavior. The first methodology utilizes Prospect Theory to determine trader behavior during periods of extreme wealth contracting periods. Secondly, a threshold model to examine the sentiment variable is formulated and thirdly a study is made of the contagion effect and trader behavior. The connection between consumers' sense of financial well-being or sentiment and stock market performance has been studied at length. However, without data on actual versus experimental performance, implications based on this relationship are meaningless. The empirical agenda included examining a proprietary file of daily trader activities over a five-year period. Overall, during periods of extreme wealth altering conditions, traders "satisfice" rather than choose the "best" alternative. A trader's degree of loss aversion depends on his/her prior investment performance. A model that explains the behavior of traders during periods of turmoil is developed. Prospect Theory and the data file influenced the design of the model. Additional research included testing a model that permitted the data to signal the crisis through a threshold model. The third empirical study sought to investigate the existence of contagion caused by declining global wealth effects using evidence from the mining industry in Canada. Contagion, where a financial crisis begins locally and subsequently spreads elsewhere, has been studied in terms of correlations among similar regions. The results provide support for Prospect Theory in two out of the three empirical studies. The dissertation emphasizes the need for specifying precise, testable models of investors' expectations by providing tools to identify paradoxical behavior patterns. True enhancements in this field must include empirical research utilizing reliable data sources to mitigate data mining problems and allow researchers to distinguish between expectations-based and risk-based explanations of behavior. Through this type of research, it may be possible to systematically exploit "irrational" market behavior.

Les caractères musicaux au sein d'une démarche artistique dramatique : exploration des indices acoustiques jouant un rôle dans l'évocation des états affectifs en musique

Cette thèse de doctorat en composition comprend deux projets de nature différente et complémentaire : (1) un projet de recherche théorique sur la communication des caractères musicaux; (2) un projet artistique s'articulant autour de la composition de trois pièces : L'homme à deux têtes - opéra de chambre, Un instant dans l'esprit de Lovecraft - pour clarinette solo, orchestre à cordes et percussions, et Balade ornithologique - pour orchestre à vents. La conception de la musique comme un moyen de communication est à l'origine de cette recherche théorique qui est motivée par un désir de compréhension des stratégies d'expressions des émotions en musique, à partir du point de vue du compositeur. Cette thèse aborde les modèles de communication, le concept de personnage virtuel et la théorie de la contagion des humeurs. Par la suite, nous détaillerons les indices acoustiques menant à la perception des caractères musicaux. Toutes ces notions sont illustrées et explorées par la composition de miniature ayant un caractère bien ciblé. Finalement, nous proposons un système d'analyse musical des caractères et des émotions qui est appliqué à l'analyse de sections des pièces composées au cours de ce projet de doctorat. Ce dernier chapitre met en lumière les stratégies utilisées pour créer un discours dramatique tout en exposant l'évocation de différents caractères musicaux.

Les coalitions politiques et l'orientation du changement économique et politique aux États-Unis : la Grande Dépression et la Grande Récession comparées

Ce mémoire s’intéresse au concept de crise, économique et politique, comme source de changement idéologique et politique. Au travers de l’étude de l’austérité économique, il sera possible d’identifier des différences majeures entre deux épisodes de troubles économiques importants, la Grande Dépression et la Grande Récession. Alors que la Grande Dépression est caractérisée par une double crise, économique et politique, la Grande Récession, elle, demeure un choc essentiellement économique. L’absence de contagion dans le système politique explique la ténacité d’une idée comme l’austérité, de retour depuis la révolution néolibérale des années 80. L’austérité économique s’est adaptée et s’aligne maintenant aux intérêts d’une frange importante de la coalition démocrate. La persistance de l’allure des coalitions politiques depuis le dernier grand réalignement témoigne de l’absence de transformation majeure du mode d’action étatique, ce qui constitue une différence importante entre les deux crises.

Fearonomics and the Role of Nigeria's Private Sector in the Nigerian Ebola Response

Background: Outbreaks of infectious diseases such as Ebola have dramatic economic impacts on affected nations due to significant direct costs and indirect costs, as well as increased expenditure by the government to meet the health and security crisis. Despite its dense population, Nigeria was able to contain the outbreak swiftly and was declared Ebola free on 13th October 2014. Although Nigeria’s Ebola containment success was multifaceted, the private sector played a key role in Nigeria’s fight against Ebola. An epidemic of a disease like Ebola, not only consumes health resources but also detrimentally disrupts trade and travel to impact both public and private sector resulting in the ‘fearonomic’ effect of the contagion. In this thesis, I have defined ‘fearonomics’ or the ‘fearonomic effects’ of a disease as the intangible and intangible economic effects of both informed and misinformed aversion behavior exhibited by individuals, organizations, or countries during an outbreak. During an infectious disease outbreak, there is a significant potential for public-private sector collaborations that can help offset some of the government’s cost of controlling the epidemic.

Objective: The main objective of this study is to understand the ‘fearonomics’ of Ebola in Nigeria and to evaluate the role of the key private sector stakeholders in Nigeria’s Ebola response.

Methods: This retrospective qualitative study was conducted in Nigeria and utilizes grounded theory to look across different economic sectors in Nigeria to understand the impact of Ebola on Nigeria’s private sector and how it dealt with the various challenges posed by the disease and its ‘fearonomic effects'.

Results: Due to swift containment of Ebola in Nigeria, the economic impact of the disease was limited especially in comparison to the other Ebola-infected countries such as Liberia, Sierra Leone, and Guinea. However, the 2014 Ebola outbreak had more than a just direct impact on the country’s economy and despite the swift containment, no economic sector was immune to the disease’s fearonomic impact. The potential scale of the fearonomic impact of a disease like Ebola was one of the key motivators for the private sector engagement in the Ebola response.

The private sector in Nigeria played an essential role in facilitating the country’s response to Ebola. The private sector not only provided in-cash donations but significant in-kind support to both the Federal and State governments during the outbreak. Swift establishment of an Ebola Emergency Operation Centre (EEOC) was essential to the country’s response and was greatly facilitated by the private sector, showcasing the crucial role of private sector in the initial phase of an outbreak. The private sector contributed to Nigeria’s fight against Ebola not only by donating material assets but by continuing operations and partaking in knowledge sharing and advocacy. Some sector such as the private health sector, telecom sector, financial sector, oil and gas sector played a unique role in orchestrating the Nigerian Ebola response and were among the first movers during the outbreak.

This paper utilizes the lessons from Nigeria’s containment of Ebola to highlight the potential of public-private partnerships in preparedness, response, and recovery during an outbreak.

Optimal Capital Requirements in Financial Networks with Fire Sales

I explore and analyze a problem of finding the socially optimal capital requirements for financial institutions considering two distinct channels of contagion: direct exposures among the institutions, as represented by a network and fire sales externalities, which reflect the negative price impact of massive liquidation of assets.These two channels amplify shocks from individual financial institutions to the financial system as a whole and thus increase the risk of joint defaults amongst the interconnected financial institutions; this is often referred to as systemic risk. In the model, there is a trade-off between reducing systemic risk and raising the capital requirements of the financial institutions. The policymaker considers this trade-off and determines the optimal capital requirements for individual financial institutions. I provide a method for finding and analyzing the optimal capital requirements that can be applied to arbitrary network structures and arbitrary distributions of investment returns.

In particular, I first consider a network model consisting only of direct exposures and show that the optimal capital requirements can be found by solving a stochastic linear programming problem. I then extend the analysis to financial networks with default costs and show the optimal capital requirements can be found by solving a stochastic mixed integer programming problem. The computational complexity of this problem poses a challenge, and I develop an iterative algorithm that can be efficiently executed. I show that the iterative algorithm leads to solutions that are nearly optimal by comparing it with lower bounds based on a dual approach. I also show that the iterative algorithm converges to the optimal solution.

Finally, I incorporate fire sales externalities into the model. In particular, I am able to extend the analysis of systemic risk and the optimal capital requirements with a single illiquid asset to a model with multiple illiquid assets. The model with multiple illiquid assets incorporates liquidation rules used by the banks. I provide an optimization formulation whose solution provides the equilibrium payments for a given liquidation rule.

I further show that the socially optimal capital problem using the ``socially optimal liquidation" and prioritized liquidation rules can be formulated as a convex and convex mixed integer problem, respectively. Finally, I illustrate the results of the methodology on numerical examples and

discuss some implications for capital regulation policy and stress testing.

Inteligência Emocional e Desempenho Académico em Estudantes do Ensino Superior

A presente investigação examina o papel da inteligêncial emocional (IE) no desempenho académico, numa amostra de 111 estudantes em frequência do ensino universitário português. No presente trabalho faz-se uma revisão bibliográfica do tema da IE e dos factores contributivos para o desempenho académico, bem como uma breve visita a outros trabalhos desenvolvidos nesta área de investigação. Para medição da IE assumiu-se o modelo misto, tendo-se avaliado as seguintes seis dimensões: 1) auto-encorajamento (uso das emoções); 2) compreensão das emoções próprias; 3) autocontrolo perante as críticas; 4)compreensão das emoções dos outros; 5) empatia e contágio emocional; 6) autocontrolo emocional (regulação das emoções). O desempenho académico foi calculado a partir das médias das classificações obtidas pelos estudantes no final do primeiro semestre do ano lectivo 2009/2010. Os resultados evidenciam que os alunos com melhores desempenhos académicos denotam níveis superiores de inteligência emocional, se bem que não foram encontradas associações significativas entre a IE e o desempenho académico, sugerindo a necessidade de mais estudos com vista ao aprofundamento desta jovem e controversa área de pesquisa. / The research investigates the role of emotional intelligence (EI)in academic achivement in a sample of 111 students that attend Portuguese universities. In this work we review the issue of EI and the factors that contibute to academic achievement, at the same time making a brief visit to other works done on this area. In order to measure EI, the mixed model was used, evaluating through the following six dimensions: 1) self-encouragement (use of emotions); 2) understanding of self emotions; 3) self-control in response to criticism; 4) understanding of emotions in others; 5) empathy and emotional contagion; 6) emotional self-control (regulation of emotions). Academic achievement was evaluated by the average of the grades obtained by the students at the end of the first semester of the academic year 2009/2010. The results show that students with better academic outcomes demonstrate higher emotional intelligence, though there were no significative associations between EI and academic achievement, suggesting the need for further studies in order to deepen this young and controversial area of research.

O uso de filme como recurso pedagógico no estudo das epidemias: possibilidades na aprendizagem significativa

Acompanha: Epidemias na escola? Só em filmes: possibilidades de contaminação na aprendizagem significativa

Análise do contágio nos principais índices bolsistas europeu e norte-americano

Mestrado em Controlo de Gestão e dos Negócios

Interface cena e tecnologia : composições cênicas mediadas

Based on the presupposition that the arts in the West always counted on resources, supports, and devices pertaining to its time context, an reflection is intended regarding the scenic compositions mediated by digital technologies do. Such technologies are inserted in the daily routine, also composing artistic experiments, thus playing a dialogical role with the art/technology intersection. Therefore, the proposal is to investigate what relationships are established in the contemporary theatrical scene from the contagion by digital technologies, aiming at establishing this parallel through a dialogue with the authors discussing the subject, and also based on the group practices having technological resources as a determinant factor in their plays. Furthermore, a reflection should be made on the scene that incorporates or is carried out in intermediatic events, analyzing how digital technologies (re)configure compositional processes of the plays by GAG Phila7, in the city of São Paulo/SP. For such, the dissertation is organized in three sections comprising four moments, to wit: brief overview of the field, contextualization, poetic analysis and synthesis. Qualitative methods are used as the methodological proposal: semi-structure interview, note and document taking (program, website, playing book, disclosure material for advertising text, photographs, and videos). Within the universe of qualitative research, it works with the epistemological perspective of the Gadamer philosophical hermeneutics. The possibilities allowed by the double virtual (Internet/web) generated a type of theater with another material basis and new forms of organization and structure, being possible to perceive that such technological advances and the arts are mutually contaminated, generating a dislocation in the logics of theatrical composition, movement beginning with the artistic vanguards, gradually intensified, thus offering new possibilities of constructions and hybridization of the of the most different possible types. Experiment ―Profanações_superfície de eventos de construção coletiva‖, idealized by Phila7 is inserted in this perspective. Object of the discussion of such research, the experiment works with possible poetics arising from the intersection with the digital technologies, aiming at identifying and problematizing the challenges from the technological evolution and expansion in a scenic context

Sobre o contágio nos mercados bolsistas internacionais: evidência de nove países

Mestrado em Contabilidade e Análise Financeira

Interface cena e tecnologia : composições cênicas mediadas

Based on the presupposition that the arts in the West always counted on resources, supports, and devices pertaining to its time context, an reflection is intended regarding the scenic compositions mediated by digital technologies do. Such technologies are inserted in the daily routine, also composing artistic experiments, thus playing a dialogical role with the art/technology intersection. Therefore, the proposal is to investigate what relationships are established in the contemporary theatrical scene from the contagion by digital technologies, aiming at establishing this parallel through a dialogue with the authors discussing the subject, and also based on the group practices having technological resources as a determinant factor in their plays. Furthermore, a reflection should be made on the scene that incorporates or is carried out in intermediatic events, analyzing how digital technologies (re)configure compositional processes of the plays by GAG Phila7, in the city of São Paulo/SP. For such, the dissertation is organized in three sections comprising four moments, to wit: brief overview of the field, contextualization, poetic analysis and synthesis. Qualitative methods are used as the methodological proposal: semi-structure interview, note and document taking (program, website, playing book, disclosure material for advertising text, photographs, and videos). Within the universe of qualitative research, it works with the epistemological perspective of the Gadamer philosophical hermeneutics. The possibilities allowed by the double virtual (Internet/web) generated a type of theater with another material basis and new forms of organization and structure, being possible to perceive that such technological advances and the arts are mutually contaminated, generating a dislocation in the logics of theatrical composition, movement beginning with the artistic vanguards, gradually intensified, thus offering new possibilities of constructions and hybridization of the of the most different possible types. Experiment ―Profanações_superfície de eventos de construção coletiva‖, idealized by Phila7 is inserted in this perspective. Object of the discussion of such research, the experiment works with possible poetics arising from the intersection with the digital technologies, aiming at identifying and problematizing the challenges from the technological evolution and expansion in a scenic context