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.

Experimental and modeling studies on reverse electrodialysis for sustainable power generation

A potentially renewable and sustainable source of energy is the chemical energy associated with solvation of salts. Mixing of two aqueous streams with different saline concentrations is spontaneous and releases energy. The global theoretically obtainable power from salinity gradient energy due to World’s rivers discharge into the oceans has been estimated to be within the range of 1.4-2.6 TW. Reverse electrodialysis (RED) is one of the emerging, membrane-based, technologies for harvesting the salinity gradient energy. A common RED stack is composed by alternately-arranged cation- and anion-exchange membranes, stacked between two electrodes. The compartments between the membranes are alternately fed with concentrated (e.g., sea water) and dilute (e.g., river water) saline solutions. Migration of the respective counter-ions through the membranes leads to ionic current between the electrodes, where an appropriate redox pair converts the chemical salinity gradient energy into electrical energy. Given the importance of the need for new sources of energy for power generation, the present study aims at better understanding and solving current challenges, associated with the RED stack design, fluid dynamics, ionic mass transfer and long-term RED stack performance with natural saline solutions as feedwaters. Chronopotentiometry was used to determinate diffusion boundary layer (DBL) thickness from diffusion relaxation data and the flow entrance effects on mass transfer were found to avail a power generation increase in RED stacks. Increasing the linear flow velocity also leads to a decrease of DBL thickness but on the cost of a higher pressure drop. Pressure drop inside RED stacks was successfully simulated by the developed mathematical model, in which contribution of several pressure drops, that until now have not been considered, was included. The effect of each pressure drop on the RED stack performance was identified and rationalized and guidelines for planning and/or optimization of RED stacks were derived. The design of new profiled membranes, with a chevron corrugation structure, was proposed using computational fluid dynamics (CFD) modeling. The performance of the suggested corrugation geometry was compared with the already existing ones, as well as with the use of conductive and non-conductive spacers. According to the estimations, use of chevron structures grants the highest net power density values, at the best compromise between the mass transfer coefficient and the pressure drop values. Finally, long-term experiments with natural waters were performed, during which fouling was experienced. For the first time, 2D fluorescence spectroscopy was used to monitor RED stack performance, with a dedicated focus on following fouling on ion-exchange membrane surfaces. To extract relevant information from fluorescence spectra, parallel factor analysis (PARAFAC) was performed. Moreover, the information obtained was then used to predict net power density, stack electric resistance and pressure drop by multivariate statistical models based on projection to latent structures (PLS) modeling. The use in such models of 2D fluorescence data, containing hidden, but extractable by PARAFAC, information about fouling on membrane surfaces, considerably improved the models fitting to the experimental data.

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

The impact of talent management practices on employee retention: The moderator effect of leader-member exchange and role modeling

Organizations are undergoing serious difficulties to retain talent. Authors argue that Talent Management (TM) practices create beneficial outcomes for individuals and organizations. However, there is no research on the leaders’ role in the functioning of these practices. This study examines how LMX and role modeling influence the impact that TM practices have on employees’ trust in their organizations and retention. The analysis of two questionnaires (Nt1=175; Nt2=107) indicated that TM only reduced turnover intentions, via an increase in trust in the organization, when role modeling was high and not when it was low. Therefore, we can say that leaders are crucial in the TM context, and in sustaining a competitive advantage for organizations.

Modeling and optimization of extracellular polysaccharides production by Enterobacter A47

Polysaccharides are gaining increasing attention as potential environmental friendly and sustainable building blocks in many fields of the (bio)chemical industry. The microbial production of polysaccharides is envisioned as a promising path, since higher biomass growth rates are possible and therefore higher productivities may be achieved compared to vegetable or animal polysaccharides sources. This Ph.D. thesis focuses on the modeling and optimization of a particular microbial polysaccharide, namely the production of extracellular polysaccharides (EPS) by the bacterial strain Enterobacter A47. Enterobacter A47 was found to be a metabolically versatile organism in terms of its adaptability to complex media, notably capable of achieving high growth rates in media containing glycerol byproduct from the biodiesel industry. However, the industrial implementation of this production process is still hampered due to a largely unoptimized process. Kinetic rates from the bioreactor operation are heavily dependent on operational parameters such as temperature, pH, stirring and aeration rate. The increase of culture broth viscosity is a common feature of this culture and has a major impact on the overall performance. This fact complicates the mathematical modeling of the process, limiting the possibility to understand, control and optimize productivity. In order to tackle this difficulty, data-driven mathematical methodologies such as Artificial Neural Networks can be employed to incorporate additional process data to complement the known mathematical description of the fermentation kinetics. In this Ph.D. thesis, we have adopted such an hybrid modeling framework that enabled the incorporation of temperature, pH and viscosity effects on the fermentation kinetics in order to improve the dynamical modeling and optimization of the process. A model-based optimization method was implemented that enabled to design bioreactor optimal control strategies in the sense of EPS productivity maximization. It is also critical to understand EPS synthesis at the level of the bacterial metabolism, since the production of EPS is a tightly regulated process. Methods of pathway analysis provide a means to unravel the fundamental pathways and their controls in bioprocesses. In the present Ph.D. thesis, a novel methodology called Principal Elementary Mode Analysis (PEMA) was developed and implemented that enabled to identify which cellular fluxes are activated under different conditions of temperature and pH. It is shown that differences in these two parameters affect the chemical composition of EPS, hence they are critical for the regulation of the product synthesis. In future studies, the knowledge provided by PEMA could foster the development of metabolically meaningful control strategies that target the EPS sugar content and oder product quality parameters.

Seismic evaluation of environmentally degraded FRP-strengthened masonry walls

Fiber Reinforced Polymers (FRPs) have been extensively used for externally bonded reinforcement of masonry structures during the last years. Available information shows that FRPs can significantly improve the seismic performance of masonry elements without altering their structural mass. However, the durability and long-term performance of the strengthened elements are not clearly known yet. Recent experimental results show that environmental conditions can lead to degradation of the bond between FRP and masonry and FRP delaminations. But the effect of these local degradation mechanisms on the global structural response is not studied yet. This paper is therefore aimed at numerically investigating the effect of environmental degradation on the global performance of strengthened masonry walls. The nonlinear behavior of masonry walls strengthened with FRP composites is initially simulated with the aim of a FE package. The adopted numerical modeling strategy is verified by comparison of numerical and experimental results. The model, once validated, is used for investigating the effect of materials and bond degradation on the global behavior and failure modes of strengthened walls. The effect of strengthening scheme on the long-term performance of strengthened walls is also investigated. The degradation data are taken from experimental tests previously performed by the authors. The numerical results show that the effect of local material degradation on the global response of strengthened walls depends on the strengthening schemes, and severity of the environmental conditions. Moreover, environmental induced degradations and FRP delaminations can lead to change of expected failure modes in the strengthened elements. These observations, that are usually neglected at the design stage, can be critical in the long-term performance of strengthened structures.

Aplicação do Building Information Modeling na gestão de projetos de construção

Dissertação de mestrado em Construção e Reabilitação Sustentáveis

Modeling microbes: New methods for integrated metabolic and regulatory network reconstruction

PhD Thesis in Bioengineering

Innovative methodologies for the enhancement of the flexural strengthening performance of NSM CFRP technique for RC beams

Tese de Doutoramento em Engenharia Civil

A relational algebra approach to ETL modeling

The MAP-i Doctoral Programme in Informatics, of the Universities of Minho, Aveiro and Porto

Fused deposition modeling with polypropylene

This paper addresses the potential of polypropylene (PP) as a candidate for fused deposition modeling (FDM)-based 3D printing technique. The entire filament production chain is evaluated, starting with the PP pellets, filament production by extrusion and test samples printing. This strategy enables a true comparison between parts printed with parts manufactured by compression molding, using the same grade of raw material. Printed samples were mechanically characterized and the influence of filament orientation, layer thickness, infill degree and material was assessed. Regarding the latter, two grades of PP were evaluated: a glass-fiber reinforced and a neat, non-reinforced, one. The results showed the potential of the FDM to compete with conventional techniques, especially for the production of small series of parts/components; also, it was showed that this technique allows the production of parts with adequate mechanical performance and, therefore, does not need to be restricted to the production of mockups and prototypes.

[Editorial] Current challenges in modeling cellular metabolism

The authors would like to thank the financial support from the NovoNordiskFoundation.

Estudo de metais pesados (Co, Cu, Fe, Cr, Ni, Mn, Pb e Zn) na Bacia do Tarumã-Açu Manaus (AM)

Os resíduos gerados em domicílios incluem diversos produtos, como pesticidas, produtos farmacêuticos, detergentes, óleos de cozinha, metais pesados contidos em baterias e outros utensílios. Esses resíduos são lançados continuamente em aterro sanitário ou lixões em cidades como Manaus. O chorume produzido nesses aterros, quando não tratados, contamina recursos hídricos superficiais e subterrâneos. Neste estudo foi feita uma avaliação das conseqüências da liberação do chorume no sistema hídrico da bacia do Tarumã-Açu. Amostras de água e sedimento foram coletadas nos igarapés Matrinxã, Acará, Bolívia, bacia do Tarumã-Açu e dentro do aterro sanitário (Manaus - Amazonas - Brasil) em março 2001. As amostras de água foram filtradas em filtro Milipore (0,45 mm de poro) e, em seguida, tratadas com HNO3 concentrado. As amostras de sedimento foram peneiradas em malha de 0,053 mm e digeridas com HCl:HNO3 (1:3) a 150ºC. As concentrações de alguns metais pesados (Co, Cu, Fe, Cr, Ni, Mn, Pb e Zn) foram determinadas nas amostras de água e sedimento por espectrometria de absorção atômica de chama. Os resultados revelaram que a concentração dos metais pesados é muito acima dos permitidos pela resolução 357/2005 do CONAMA em praticamente todos os locais amostrados, mostrando que o Aterro Sanitário é um dos principais responsáveis pelo impacto ambiental observado nos corpos hídricos estudados. As análises dos componentes principais (PCA) e hierárquica de cluster (HCA), revelam que os pontos de coleta localizados dentro do aterro sanitário apresentam características diferentes dos outros locais amostrados. Além disso, o HCA e PCA mostraram que existe uma similaridade entre os pontos de coleta localizados fora do aterro o que permite afirmar que o chorume do aterro se dissolve por todo corpo hídrico estudado.

Modeling separator membranes physical characteristics for optimized lithium ion battery performance

The effect of varying separator membrane physical parameters such as degree of porosity, tortuosity and thickness, on battery delivered capacity was studied in order to optimize performance of lithium-ion batteries. This was achieved by a theoretical mathematical model relating the Bruggeman coefficient with the degree of porosity and tortuosity. The inclusion of the separator membrane in the simulation model of the battery system does not affect the delivered capacity of the battery. The ionic conductivity of the separator and consequently the delivered capacity values obtained at different discharge rates depends on the value of the Bruggeman coefficient, which is related with the degree of porosity and tortuosity of the membrane. Independently of scan rate, the optimal value of the degree of porosity is above 50% and the separator thickness should range between 1 μm at 32 μm for improved battery performance.

Population Dynamics Modeling of Arapaima gigas

Pirarucu (Arapaima gigas) has been of the most important natural fishing resources of the Amazon region. Due to its economic importance, and the necessity to preserve the species hand, field research concerning the habits and behavior of the pirarucu has been increasing for the last 20 years. The aim of this paper is to present a mathematical model for the pirarucu population dynamics considering the species peculiarities, particularly the male parental care over the offspring. The solution of the dynamical systems indicates three possible equilibrium points for the population. The first corresponds to extinction; the third corresponds to a stable population close to the environmental carrying capacity. The second corresponds to an unstable equilibrium located between extinction and full use of the carrying capacity. It is shown that lack of males’ parental care closes the gap between the point corresponding to the unstable equilibrium and the point of stable non-trivial equilibrium. If guarding failure reaches a critical point the two points coincide and the population tends irreversibly to extinction. If some event tends to destabilize the population equilibrium, as for instance inadequate parental care, the model responds in such a way as to restore the trajectory towards the stable equilibrium point avoiding the route to extinction. The parameters introduced to solve the system of equations are partially derived from limited but reliable field data collected at the Mamirauá Sustainable Development Reserve (MSDR) in the Brazilian Amazonian Region.