RMetS special interest group meeting: high resolution data assimilation

Data assimilation (DA) systems are evolving to meet the demands of convection-permitting models in the field of weather forecasting. On 19 April 2013 a special interest group meeting of the Royal Meteorological Society brought together UK researchers looking at different aspects of the data assimilation problem at high resolution, from theory to applications, and researchers creating our future high resolution observational networks. The meeting was chaired by Dr Sarah Dance of the University of Reading and Dr Cristina Charlton-Perez from the MetOffice@Reading. The purpose of the meeting was to help define the current state of high resolution data assimilation in the UK. The workshop assembled three main types of scientists: observational network specialists, operational numerical weather prediction researchers and those developing the fundamental mathematical theory behind data assimilation and the underlying models. These three working areas are intrinsically linked; therefore, a holistic view must be taken when discussing the potential to make advances in high resolution data assimilation.

Asset recombination in international partnerships as a source of improved innovation capabilities in China

Purpose This paper examines how multinational enterprises (MNEs) and local partners, including suppliers, customers, and competitors in China, improve their innovation capabilities through collaboration. We analyse this collaboration as a three-way interaction between the ownership-specific (O) advantages or firm-specific assets (FSAs) of the MNE subsidiary, the FSAs of the local partner, and the location-specific assets of the host location. Design/methodology/approach Our propositions are examined through a survey of 320 firms, supplemented with 30 in-depth case studies, based in mainland China. Findings We find that the recombination of asset-type (Oa) FSAs and transaction-type (Ot) FSAs from both partners leads to new innovation-related ownership advantages, or ‘recombinant advantages’. Ot FSAs, in the form of access to local suppliers, customers or government networks are particularly important for reducing the liability of foreignness for MNEs. Originality/value The study reveals important patterns of reciprocal transfer, sharing, and integration for different asset categories (tacit, codified) and different forms of FSA and explicitly links these to different innovation performance outcomes. The paper reports on these findings, making an empirical contribution in an important context (China-based partnerships). We also contribute to conceptual developments, connecting various kinds of FSA, tacit and codifiable assets and ‘recombinant advantages’. Limited conceptual, methodological, and empirical contributions are made in linking asset integration with (measurable) innovation performance outcomes in international partnerships.

The blended approach to real estate allocations: performance implications of combining an exposure to German Spezialfonds with Global Listed Real Estate Securities

This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

Solving the Vehicle Routing Problem with Genetic ALgorithm and Simulated Annealing

This Thesis Work will concentrate on a very interesting problem, the Vehicle Routing Problem (VRP). In this problem, customers or cities have to be visited and packages have to be transported to each of them, starting from a basis point on the map. The goal is to solve the transportation problem, to be able to deliver the packages-on time for the customers,-enough package for each Customer,-using the available resources- and – of course - to be so effective as it is possible.Although this problem seems to be very easy to solve with a small number of cities or customers, it is not. In this problem the algorithm have to face with several constraints, for example opening hours, package delivery times, truck capacities, etc. This makes this problem a so called Multi Constraint Optimization Problem (MCOP). What’s more, this problem is intractable with current amount of computational power which is available for most of us. As the number of customers grow, the calculations to be done grows exponential fast, because all constraints have to be solved for each customers and it should not be forgotten that the goal is to find a solution, what is best enough, before the time for the calculation is up. This problem is introduced in the first chapter: form its basics, the Traveling Salesman Problem, using some theoretical and mathematical background it is shown, why is it so hard to optimize this problem, and although it is so hard, and there is no best algorithm known for huge number of customers, why is it a worth to deal with it. Just think about a huge transportation company with ten thousands of trucks, millions of customers: how much money could be saved if we would know the optimal path for all our packages.Although there is no best algorithm is known for this kind of optimization problems, we are trying to give an acceptable solution for it in the second and third chapter, where two algorithms are described: the Genetic Algorithm and the Simulated Annealing. Both of them are based on obtaining the processes of nature and material science. These algorithms will hardly ever be able to find the best solution for the problem, but they are able to give a very good solution in special cases within acceptable calculation time.In these chapters (2nd and 3rd) the Genetic Algorithm and Simulated Annealing is described in details, from their basis in the “real world” through their terminology and finally the basic implementation of them. The work will put a stress on the limits of these algorithms, their advantages and disadvantages, and also the comparison of them to each other.Finally, after all of these theories are shown, a simulation will be executed on an artificial environment of the VRP, with both Simulated Annealing and Genetic Algorithm. They will both solve the same problem in the same environment and are going to be compared to each other. The environment and the implementation are also described here, so as the test results obtained.Finally the possible improvements of these algorithms are discussed, and the work will try to answer the “big” question, “Which algorithm is better?”, if this question even exists.

A data driven approach for automating vehicle activated signs

Vehicle activated signs (VAS) display a warning message when drivers exceed a particular threshold. VAS are often installed on local roads to display a warning message depending on the speed of the approaching vehicles. VAS are usually powered by electricity; however, battery and solar powered VAS are also commonplace. This thesis investigated devel-opment of an automatic trigger speed of vehicle activated signs in order to influence driver behaviour, the effect of which has been measured in terms of reduced mean speed and low standard deviation. A comprehen-sive understanding of the effectiveness of the trigger speed of the VAS on driver behaviour was established by systematically collecting data. Specif-ically, data on time of day, speed, length and direction of the vehicle have been collected for the purpose, using Doppler radar installed at the road. A data driven calibration method for the radar used in the experiment has also been developed and evaluated. Results indicate that trigger speed of the VAS had variable effect on driv-ers’ speed at different sites and at different times of the day. It is evident that the optimal trigger speed should be set near the 85th percentile speed, to be able to lower the standard deviation. In the case of battery and solar powered VAS, trigger speeds between the 50th and 85th per-centile offered the best compromise between safety and power consump-tion. Results also indicate that different classes of vehicles report differ-ences in mean speed and standard deviation; on a highway, the mean speed of cars differs slightly from the mean speed of trucks, whereas a significant difference was observed between the classes of vehicles on lo-cal roads. A differential trigger speed was therefore investigated for the sake of completion. A data driven approach using Random forest was found to be appropriate in predicting trigger speeds respective to types of vehicles and traffic conditions. The fact that the predicted trigger speed was found to be consistently around the 85th percentile speed justifies the choice of the automatic model.

Tests of conditional asset pricing models in the brazilian stock market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from individual securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be important for the appropriate pricing of the portfolios.

O impacto da utilização da estrutura de listagem em BDR na precificação dos ativos após o evento Agrenco : uma análise em série temporal com quebra estrutural

Este trabalho tem por objetivo verificar o impacto que más práticas na gestão da Agrenco, empresa listada na bolsa de valores brasileira sob a forma de BDRs (Brazilian Depositary Receipts), trouxe para a precificação dos demais ativos listados sob a mesma estrutura. Estudos anteriores, como os de Saudagaran (1988) e Pagano (2001), focaram em temas referentes aos motivos que influenciaram as companhias a listarem suas ações em diferentes bolsas. Entender as conseqüências do evento Agrenco é importante para todos os participantes do mercado financeiro. O estudo contemplou uma amostra das principais empresas listadas sobre a forma de BDRs desde a data de seus IPOs até 26/08/2008. Primeiramente efetuou-se uma análise do comportamento gráfico dos preços dos ativos das BDRs listadas. Posteriormente elaborou-se três regressões múltiplas utilizando-se um modelo de série temporal (modelo AR – auto-regressivo), com análise de quebra estrutural e uso de variável Dummy. A primeira regressão relaciona a variável Agrenco com índices de BDRs constituídos especificamente para este estudo, a segunda inclui uma variável Dummy de intercepto e a terceira combina a variável Dummy de intercepto com uma variável Dummy de inclinação. As regressões têm o objetivo de se averiguar se o evento da Agrenco afetou sistematicamente os preços das ações listadas sob a mesma forma. A maior contribuição do estudo foi verificar que a má prática de gestão na Agrenco, listada sob a forma de BDR, contaminou o retorno de outras empresas que se utilizaram do mesmo veículo como fonte de captação de recursos. Os resultados apontaram, pela análise gráfica, que não houve um descolamento da valorização da maior parte das ações uma semana depois do anúncio dos problemas financeiros da Agrenco em relação a carteira téorica de mercado (IBOVESPA). Entretanto, os resultados dos testes econométricos apontaram que houve impacto do evento Agrenco sobre os retornos das ações listadas sob a forma de BDR.

The Market for borrowing securities in Brazil

We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).

Asset pricing when risk sharing is limited by default: a theoretical framework

We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy constraints are such as to prevent default -at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, alld compare it with the one for economies without participation constraints : interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds.

Art in the inclusion of children with special needs in dentistry

A proposta deste estudo é relatar a utilização da arte e seus segmentos, como recurso para inclusão da criança portadora de necessidades especiais ao ambiente odontológico. Foi utilizado como método a aplicação da arte em atividades de socioterapia e oficinas, divididas em módulos: sessão de socialização, oficinas de arte e atividades complementares, visando à elaboração de uma anamnese cultural por meio de questionários e a obtenção das preferências artísticas dos 313 participantes, previamente às suas assistências odontológicas no CAOE (Centro de Assistência Odontológica a Portadores de Necessidades Especiais) FOA/Unesp. de acordo com os questionários respondidos, a música e a pintura, segundo a preferência dos participantes, são os segmentos artísticos que mais auxiliam nas atividades de inclusão e adaptação. Concluímos que a utilização da arte na adaptação e inclusão ambiental do paciente, previamente à assistência odontológica, é favorável e eficaz.

Influence of the type of vehicle and limit of obturation on apical and periapical tissue response in dogs' teeth after root canal filling with mineral trioxide aggregate

The purpose of this study was to investigate the influence of the type of vehicle (distilled water or propyleneglycol) on the response of apical tissues of dogs' teeth after root canal filling with mineral trioxide aggregate (MTA) at two different limits. Forty roots of incisors and premolars of two adult dogs were used. After pulpectomy, the root canals were prepared biomechanically, and the roots had the apical cemental barrier penetrated with a #15 K-file and widened to a #25 K-file. The root canals were assigned to four groups according to the vehicle used for MTA (ProRoot-MTA; Tulsa Dental, Tulsa, OK) preparation and the limit of root canal filling: group 1, filling with MTA/distilled water to the limit of the cemental canal; group 2, overfilling with MTA/distilled water, group 3, filling with MTA/propyleneglycol to the limit of the cemental canal; and group 4, overfilling with MTAlpropyleneglycol. The animals were killed by anesthetic overdose 90 days after endodontic treatment and the anatomic pieces were prepared for histomorphological analysis. The sections were stained with hematoxylin and eosin and Brown and Brenn techniques. The results showed that MTA pastes prepared with either distilled water or propyleneglycol as vehicles had similar biological behavior (p > 0.05); root fillings placed at the cemental canal limit showed better results than the overfillings (p = 0.01), and MTA/propyleneglycol paste was more easily placed into the root canals than MTA/distilled water paste.

Families of special Weierstrass points

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Vehicle influence on calcium hydroxide pastes diffusion in human and bovine teeth

The purpose of this study was to compare the pH and calcium ion liberation after use of calcium hydroxide pastes with different paste vehicles in human or bovine teeth. Ninety-two single-rooted human and bovine roots were used. The roots were instrumented and an external cavity preparation was performed. The roots were divided in to human and bovine groups. Each group was subdivided into four subgroups (SB) according to the vehicle:SB1, detergent; SB2, saline; SB3, polyethylenoglycol + camphorated paramonochlorophenol (Calen PMCC) and SB4, polyethylenoglycol + furacyn paramonochlorophenol (FPMC). Specimens were immersed into saline solution at 37 degrees C and after 7 and 14 days pH and calcium ion measurements were made. The results were analyzed by ANOVA and Tukey tests (P < 0.05). There was no statistical difference between bovine and human teeth in the pH analysis (P < 0.05), but bovine teeth provided larger calcium ion liberation than human teeth. Calen PMCC was statistically more effective for pH increase and calcium ion liberation in all analyses, followed by FPMC and saline. Detergent showed the lowest pH alterations and calcium ion liberation. The period of 14 days showed more calcium ionic liberation than the 7-day period.

Reappraisal of immunohistochemical profiling of special histological types of breast carcinomas: a study of 121 cases of eight different subtypes

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Nasal administration of liquid crystal precursor mucoadhesive vehicle as an alternative antiretroviral therapy

The purpose of this study was to develop a mucoadhesive stimuli-sensitive drug delivery system for nasal administration of zidovudine (AZT). The system was prepared by formulating a low viscosity precursor of a liquid crystal phase, taking advantage of its lyotropic phase behavior. Flow rheology measurements showed that the formulation composed of PPG-5-CETETH-20, oleic acid and water (55, 30, 15% w/w), denominated P, has Newtonian flow behavior. Polarized light microscopy (PLM) revealed that formulation P is isotropic, whereas its 1:1 (w/w) dilution with artificial nasal mucus (ANM) changed the system to an anisotropic lamellar phase (PD). Oscillatory frequency sweep analysis showed that PD has a high storage modulus (G′) at nasal temperatures. Measurement of the mucoadhesive force against excised porcine nasal mucosa or a mucin disk proved that the transition to the lamellar phase tripled the work of mucoadhesion. Ex vivo permeation studies across porcine nasal mucosa exhibited an 18-fold rise in the permeability of AZT from the formulation. The Weibull mathematical model suggested that the AZT is released by Fickian diffusion mechanisms. Hence, the physicochemical characterization, combined with ex vivo studies, revealed that the PPG-5-CETETH-20, oleic acid, and water formulation could form a mucoadhesive matrix in contact with nasal mucus that promoted nasal absorption of the AZT. For an in vivo assessment, the plasma concentrations of AZT in rats were determined by HPLC method following intravenous and intranasal administration of AZT-loaded P formulation (PA) and AZT solution, respectively, at a dose of 8 mg/kg. The intranasal administration of PA resulted in a fast absorption process (Tmax = 6.7 min). Therefore, a liquid crystal precursor formulation administered by the nasal route might represent a promising novel tool for the systemic delivery of AZT and other antiretroviral drugs. In the present study, the uptake of AZT absorption in the nasal mucosa was demonstrated, providing new foundations for clinical trials in patients with AIDS. © 2012 Elsevier B.V. All rights reserved.