Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.

Sistema seguro de votação eletrônica multi-células

Em uso desde a Grécia antiga e atualmente massificado na maioria dos países do mundo, o sistema de votação tradicional baseado em cédulas de papel possui diversos problemas associados à segurança, tais como dificuldades para evitar coerção do eleitor, venda do voto e substituição fraudulenta do eleitor. Além de problemas de usabilidade que acarretam erros de preenchimento da cédula e um processo de apuração lento, que pode durar dias. Ao lado disso, o sistema tradicional não fornece a contraprova do voto, que permite ao eleitor conferir se o seu voto foi corretamente contabilizado na apuração. Inicialmente acreditou-se que a informatização do sistema de votação resolveria todos os problemas do sistema tradicional. Porém, com a sua implantação em alguns países o sistema de votação eletrônica não mostrou-se capaz de fornecer garantias irrefutáveis que não tivesse sido alvo de alterações fraudulentas durante o seu desenvolvimento ou operação. A má reputação do sistema eletrônico está principalmente associada à falta de transparência dos processos que, em sua maioria, não proporcionam a materialização do voto, conferido pelo eleitor para fins de contagem manual, e nem geram evidências (contraprova) da correta contabilização do voto do eleitor. O objetivo deste trabalho é propor uma arquitetura de votação eletrônica que integra, de forma segura, o anonimato e autenticidade do votante, a confidencialidade e integridade do voto/sistema. O sistema aumenta a usabilidade do esquema de votação baseado em "Três Cédulas" de papel, implementando-o computacionalmente. O esquema oferece maior credibilidade ao sistema de votação através da materialização e contraprova do voto, resistência à coerção e ao comércio do voto. Utilizando esquemas de criptografia assimétrica e segurança computacional clássica, associado a um sistema de auditoria eficiente, a proposta garante segurança e transparência nos processos envolvidos. A arquitetura de construção modular distribui a responsabilidade entre suas entidades, agregando-lhe robustez e viabilizando eleições em grande escala. O protótipo do sistema desenvolvido usando serviços web e Election Markup Language mostra a viabilidade da proposta.

Participação popular na produção legislativa : o caso da legislação urbanística no Brasil pós-Constituinte

Na década de 1980 a questão urbana no Brasil ganhou visibilidade a partir de uma gama de ocupações de imóveis ociosos que ocorreram em diversas cidades importantes do país. Às mobilizações pela redemocratização somou-se a luta pela reforma urbana. Com o advento do Processo Constituinte, ganhou importância a intervenção dos movimentos populares na esfera institucional, cuja principal ferramenta foi a apresentação da Emenda Popular da Reforma Urbana, convertida numa espécie de manifesto-programa pelos defensores da causa. Com a Constituição já promulgada, o movimento pela reforma urbana celebrou o fato de, pela primeira vez na História Constitucional brasileira, a questão urbana ter sido contemplada. O Capítulo de Política Urbana necessitou, contudo, de regulamentação para ter efeitos práticos, o que veio a acontecer com a aprovação do Estatuto da Cidade em 2001. Fazer um balanço da luta pela reforma urbana no Brasil e a da influência do movimento popular no delineamento da legislação urbanística desde o Processo Constituinte é o objetivo primeiro deste trabalho. A intenção de fundo é refletir acerca do modelo de democracia brasileira, tendo por pressuposto a ideia de que a participação popular modelou um regime democrático que avança em relação ao clássico modelo da democracia representativa vigente no mundo ocidental.

Bibliografía argentina de peces de agua dulce.

Espanol: En la presente lista bibliográfica fueron recopiladas las referencias sobre los peces continentales de la Argentina, del período comprendido entre mediados del siglo XVIII y fines del año 2005. Incluye las listas bibliográficas publicadas durante los años 1981 a 2004, y las citas no mencionadas en ellas. Se incluyeron el ISSN o ISBN según correspondiera, la abreviatura oficial y el lugar de origen de las publicaciones. En algunos casos, los ISSN, las abreviaturas de los nombres de las publicaciones o su procedencia, mencionados en los catálogos, no coinciden con los de la home page de la publicación. Una bibliografía puede ser muy rica y aún estar incompleta. Requiere de sus lectores algún interés histórico, y aún un interés profundo por su tema. Ante una bibliografía, muchos investigadores preferirían no encontrar algunas referencias, y de hecho, muchas son oportunamente olvidadas. Por no saber como hacerlo, o por menosprecio, estas listas raramente son citadas en los trabajos, aunque sobre algunos temas en particular, sería realmente difícil formarse una idea si las bibliografías no existieran. Aún desde el comienzo es complicado precisar un criterio de inclusiones. Por ejemplo, gran parte de la ictiofauna Argentina se encuentra también en Brasil. ¿Justifica esto incluir informes perdidos sobre artes de pesca en una cuenca distante? ¿Deben los clásicos, que todo el mundo conoce y el que se inicia encontrará sin dificultad, ser incluidos? Aún a un grupo que se dedicara full time a este trabajo, le sería difícil verificar la precisión de las citas antiguas, en las que fechas y autoría cambian según la investigación histórica. En una bibliografía más o menos general, la perfección atenta contra la publicación. Sin embargo, pensamos que es conveniente hacerlas. Una mirada a este volumen, muestra la enorme cantidad de desarrollos en muchos temas, y la regla que uno de nosotros ha mencionado desde hace tiempo: siempre hay más publicado sobre un tema de lo que uno cree. La sospecha de que con sólo mirar lo que está hecho, muchos subsidios podrían utilizarse para algo más útil que algunas evaluaciones repetidas de recursos o biodiversidad, es un poco pesimista y no haremos perder trabajos insistiendo en eso. Cada generación elige sus metas, su propia base epistemológica, sus trabajos preferidos y los que desecha. Aún en trabajos perdidos o de mala calidad, es posible encontrar datos valiosos. Ningún proyecto, por mejor diseñado que esté, podrá mostrar en el presente los organismos que vivían en el pasado en un lugar en el que las condiciones han cambiado, o lo hará en términos de otra disciplina. En los temas aplicados la información del pasado puede ser importantísima. Aún en una disciplina tan conservadora como la nomenclatura, los cambios pueden ser exasperantes; no pueden serlo menos en las que intrínsecamente, como la ecología, es lo que estudian. Para dar una idea más precisa del desarrollo de la ictiología en la Argentina, esta lista podría ir acompañada de una apreciación crítica. Entendemos que una tarea así exige un trabajo diferente, de cierta magnitud y con no pocos elementos históricos. Aunque tiene deficiencias, la ictiología argentina constituye una acumulación de conocimientos de considerable calidad y pertinencia para la historia natural de América del Sur. Dejamos a los lectores que cada uno haga la suya. English: For the present list, references on freshwater fishes of Argentina were compiled from the period between middle XVIII Century and the end of the year 2005. It includes previous lists published during 1981 to 2004, and references not mentioned therein. The ISSN o ISBN numbers were included, as well as the official abbreviations and the place of origin of the periodicals. In some cases, these data as quoted in catalogs, do not agree with those in the home page of the publication. A bibliography may be very rich and anyway never complete. It requires from its readers some historic interest and indeed a deep interest on his (her) subject. Browsing a bibliography, many researchers would prefer not to find some references, and in fact, sometimes they forget some of them. Not imagining how to do it, or because people do not concede importance to them, bibliographic lists are rarely quoted in papers, though some subjects would be rather difficult to understand if list of publications would not exist. Even from the beginning, it is difficult to precise a criterion of inclusions. For example, many Argentine fishes occur also in Brazil. Does this justify the inclusion of grey reports on a distant basin? Should classic works, that everybody knows and are easily found, be included? Is near impossible, even for a group dedicated full time to this work, to verify the precision of old citations, whose dates and authorship change according to authorities and historical research. In a more or less general bibliography, completeness is against publication. Nevertheless, we think that is convenient to prepare these lists. A look at this volume shows the enormous developments in many subjects, and the rule that one of us mentioned long ago: there are always more papers on any subject than one suspects. Looking at what has already been done raises the suspicion that many grants could be used for something more useful than repeated evaluations of biodiversity or resources. This is a bit pessimistic, and we do not want to erase working opportunities. Each generation chooses its targets, its own epistemological base, its preferred papers and those that rejects. Even in lost or bad quality papers, the possibility of finding valuable information exists. No project, whatever the appropriateness of its design, could show at present which organisms lived in the past in a place where environmental conditions have changed, or it will do it in terms of another discipline. In applied subjects, information from the past can be very important. Even in a conservative discipline as nomenclature, changes can be exasperating. They are not lesser in those like ecology, where change itself is studied. To provide a more precise idea of the development of ichthyology in Argentina, this list could be accompanied by a critical appreciation. We understood that such an aim requires a different work, with no few historical elements and of certain magnitude. In spite of some deficiencies, Argentine ichthyology, resulting from collaboration of both local and foreign people, constitutes a bulk of knowledge of considerable quality and pertinence for the natural history of South America. We leave each reader to make his (or her) own evaluation. (Texto en Espanol. PDF tiene cien setenta paginas.)

Analysis of micro-indentation problem of a soft film on a hard substrate

Two stages have been observed in micro-indentation experiment of a soft film on a hard substrate. In the first stage, the hardness of the thin film decreases with increasing depth of indentation when indentation is shallow; and in the second stage, the hardness of the film increases with increasing depth of indentation when the indenter tip approaches the hard substrate. In this paper, the new strain gradient theory is used to analyze the micro-indentation behavior of a soft film on a hard substrate. Meanwhile, the classic plastic theory is also applied to investigating the problem. Comparing two theoretical results with the experiment data, one can find that the strain gradient theory can describe the experiment data at both the shallow and deep indentation depths quite well, while the classic theory can't explain the experiment results.

El serial clásico de la BBC: la adaptación literaria como servicio público

Eguíluz, Federico; Merino, Raquel; Olsen, Vickie; Pajares, Eterio; Santamaría, José Miguel (eds.)

Modelo de canal para caracterizar la señal dispersada por un parque eólico en la banda UHF e influencia sobre la calidad de servicio de DVB-T

288 p. : il.

固体力学进展及应用: 庆贺李敏华院士90华诞文集

《固体力学进展及应用：庆贺李敏华院士90华诞文集》收录了近代固体力学基础理论及其应用领域的重要科技成果和最新进展。作者是在同体力学领域工作多年的资深研究员，他们来自各行各业，有丰富的科研与丁作经验。他们提供的论文在相当程度上反映当前同体力学的发展现状与成就，并能看出发展趋势，对未来研究的课题选择有参考价值。《固体力学进展及应用：庆贺李敏华院士90华诞文集》还收集了李敏华院士的珍贵照片和纪念李敏华院士90华诞的庆贺和回忆文章，具有重要的史料价值。

Virgilio Txerribuztangoerrekan. (I. Bukoliken eta Georgiken euskal itzulpenak)

[ES] Las traducciones de los clásicos antiguos empiezan a asomar en la literatura vasca a principios del siglo XIX: su objeto no es, en modo alguno, hacerlos accesibles a un público que de otro modo no podría leerlos, sino servir de ejercicio primero a los traductores y después a los lectores y, a un tiempo y sobre todo, dignificar la literatura vasca con obras de validez universal que, además, no implican la sumisión a ninguna cultura nacional. El que Virgilio haya sido siempre —con excepción del paréntesis romántico— el clásico por excelencia ha hecho que sus traducciones ocupen un lugar sobresaliente también en la historia de las letras vascas: el anónimo autor del manuscrito Melibeo del fondo Bonaparte, Iturriaga, Miangolarra, Arregi, Ibiñagabeitia y Orixe son los autores de esta porción —sin duda la más importante con mucho— del Fortleben vasco de Virgilio. Las traducciones de las Églogas y Geórgicas se analizan aquí desde la perspectiva que imponen la filología y la historia literaria: por un lado, se establecen las bases para, primero, interpretar correctamente dichas traducciones en su calidad de tales y, segundo, situarlas debidamente en el conjunto de la obras de sus autores y, en general, en la historia de la literatura vasca; por otro lado, se presta especial atención a las peculiaridades —notables— que la pervivencia de Virgilio presenta en el País Vasco.

Consumption and portfolio rules whit stochastic hyperbolic discounting

We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce stochastic hyperbolic preferences as in Harris and Laibson (2013) and find closed-form solutions for Merton's optimal consumption and portfolio selection problem in continuous time. We find that the portfolio rule remains identical to the time-consistent solution with power utility and no borrowing constraints. However,the marginal propensity to consume out of wealth is unambiguously greater than the time-consistent, exponential case and,importantly, it is also more responsive to changes in risk. These results suggest that hyperbolic discounting with sophisticated agents offers promise for contributing to explaining important aspects of asset market data.

Majoritarian Contests with Asymmetric Battlefields: An Experiment

We investigate a version of the classic Colonel Blotto game in which individual battles may have different values. Two players allocate a fixed budget across battlefields and each battlefield is won by the player who allocates the most to that battlefield. The winner of the game is the player who wins the battlefields with highest total value. We focus on the case where there is one large and several small battlefields, such that a player wins if he wins the large and any one small battlefield, or all the small battlefields. We compute the mixed strategy equilibrium for these games and compare this with choices from a laboratory experiment. The equilibrium predicts that the large battlefield receives more than a proportional share of the resources of the players, and that most of the time resources should be spread over more battlefields than are needed to win the game. We find support for the main qualitative features of the equilibrium. In particular, strategies that spread resources widely are played frequently, and the large battlefield receives more than a proportional share in the treatment where the asymmetry between battlefields is stronger.

Sentence comprehension before and after 1970: Topics, debates and techniques

[EN] Language Down the Garden Path traces the lines of research that grew out of Bever's classic paper. Leading scientists review over 40 years of debates on the factors at play in language comprehension, production, and acquisition (the role of prediction, grammar, working memory, prosody, abstractness, syntax and semantics mapping); the current status of universals and narrow syntax; and virtually every topic relevant in psycholinguistics since 1970. Written in an accessible and engaging style, the book will appeal to all those interested in understanding the questions that shaped, and are still shaping, this field and the ways in which linguists, cognitive scientists, psychologists, and neuroscientists are seeking to answer them.

Testing the performance and feasibility of Bluetooth communications in pervasive systems

Smart and mobile environments require seamless connections. However, due to the frequent process of ''discovery'' and disconnection of mobile devices while data interchange is happening, wireless connections are often interrupted. To minimize this drawback, a protocol that enables an easy and fast synchronization is crucial. Bearing this in mind, Bluetooth technology appears to be a suitable solution to carry on such connections due to the discovery and pairing capabilities it provides. Nonetheless, the time and energy spent when several devices are being discovered and used at the same time still needs to be managed properly. It is essential that this process of discovery takes as little time and energy as possible. In addition to this, it is believed that the performance of the communications is not constant when the transmission speeds and throughput increase, but this has not been proved formally. Therefore, the purpose of this project is twofold: Firstly, to design and build a framework-system capable of performing controlled Bluetooth device discovery, pairing and communications. Secondly, to analyze and test the scalability and performance of the \emph{classic} Bluetooth standard under different scenarios and with various sensors and devices using the framework developed. To achieve the first goal, a generic Bluetooth platform will be used to control the test conditions and to form a ubiquitous wireless system connected to an Android Smartphone. For the latter goal, various stress-tests will be carried on to measure the consumption rate of battery life as well as the quality of the communications between the devices involved.

Does training policy help to attract, retain and develop valuable human resources? Analysis from the Mondragon case

This is an electronic version of the accepted paper in the journal:Advances in the Economic Analysis of Participatory and Labor-Managed Firms. Volumen. 12

Compressible flows at small Reynolds numbers

The problem of the slow viscous flow of a gas past a sphere is considered. The fluid cannot be treated incompressible in the limit when the Reynolds number Re, and the Mach number M, tend to zero in such a way that Re ~ o(M^2 ). In this case, the lowest order approximation to the steady Navier-Stokes equations of motion leads to a paradox discovered by Lagerstrom and Chester. This paradox is resolved within the framework of continuum mechanics using the classical slip condition and an iteration scheme that takes into account certain terms in the full Navier-Stokes equations that drop out in the approximation used by the above authors. It is found however that the drag predicted by the theory does not agree with R. A. Millikan's classic experiments on sphere drag.

The whole question of the applicability of the Navier-Stokes theory when the Knudsen number M/Re is not small is examined. A new slip condition is proposed. The idea that the Navier-Stokes equations coupled with this condition may adequately describe small Reynolds number flows when the Knudsen number is not too large is looked at in some detail. First, a general discussion of asymptotic solutions of the equations for all such flows is given. The theory is then applied to several concrete problems of fluid motion. The deductions from this theory appear to interpret and summarize the results of Millikan over a much wider range of Knudsen numbers (almost up to the free molecular or kinetic limit) than hitherto Believed possible by a purely continuum theory. Further experimental tests are suggested and certain interesting applications to the theory of dilute suspensions in gases are noted. Some of the questions raised in the main body of the work are explored further in the appendices.