Machine learning Gaussian short rate

Dissertação para obtenção do Grau de Doutor em Estatística e Gestão do Risco

Rebalancing frequency and the welfare cost of inflation

Cash-in-advance models usually require agents to reallocate money and bonds in fixed periods, every month or quarter, for example. I show that fixed periods underestimate the welfare cost of inflation. I use a model in which agents choose how often they exchange bonds for money. In the benchmark specification, the welfare cost of ten percent instead of zero inflation increases from 0.1 percent of income with fixed periods to one percent with optimal periods. The results are robust to different preferences, to different compositions of income in bonds or money, and to the introduction of capital and labor.

Archaeometallurgical study of the Proto-historic collection of Moinhos de Golas (North Portugal): a forecast for technological changes?

This work presents the archaeometallurgical study of a group of metallic artefacts found in Moinhos de Golas site, Vila Real (North of Portugal), that can generically be attributed to Proto-history (1st millennium BC, Late Bronze Age and Iron Age). The collection is composed by 35 objects: weapons, ornaments and tools, and others of difficult classification, as rings, bars and one small thin bent sheet. Some of the objects can typologically be attributed to Late Bronze Age, others are of more difficult specific attribution. The archaeometallurgical study involved x-ray digital radiography, elemental analysis by micro-energy dispersive X-ray fluorescence spectrometry and scanning electron microscopy with energy dispersive spectroscopy, microstructural observations by optical microscopy and scanning electron microscopy. The radiographic images revealed structural heterogeneities frequently related with the degradation of some artefacts and the elemental analysis showed that the majority of the artefacts was produced in a binary bronze alloy (Cu-Sn) (73%), being others produced in copper (15%) and three artefacts in brass (Cu-Zn(-Sn-Pb)). Among each type of alloy there’s certain variability in the composition and in the type of inclusions. The microstructural observations revealed that the majority of the artefacts suffered cycles of thermo-mechanical processing after casting. The diversity of metals/alloys identified was a discovery of great interest, specifically due to the presence of brasses. Their presence can be interpreted as importations related to the circulation of exogenous products during the Proto-history and/or to the deposition of materials during different moments at the site, from the transition of Late Bronze Age/Early Iron Age (Orientalizing period) onwards, as during the Roman period.

Rebalancing frequency and the welfare cost of inflation

Cash-in-advance models usually require agents to reallocate money and bonds in fixed periods. Every month or quarter, for example. I show that fixed periods underestimate the welfare cost of inflation. I use a model in which agents choose how often they exchange bonds for money. In the benchmark specification, the welfare cost of 10 percent instead of 0 inflation increases from 0.1 percent of income with fixed periods to 1 percent with optimal periods. The results are robust to different references, to different compositions of income in bonds or money, and to the introduction of capital and labor.

Macroeconomic effects of monetary policy in the Eurozone

To study the macroeconomic effects of unconventional monetary policy across the different countries of the eurozone, I develop an identification scheme to disentangle conventional from non-conventional policy shocks, using futures contracts on overnight interest rates and the size of the European Central Bank balance sheet. Setting these shocks as endogenous variables in a structural vector autoregressive (SVAR) model, along with the CPI and the employment rate, estimated impulse response functions of policy to macroeconomic variables are studied. I find that unconventional policy shocks generated mixed effects in inflation but had a positive impact on employment, with the exception of Portugal, Spain, Greece and Italy where the employment response is close to zero or negative. The heterogeneity that characterizes the responses shows that the monetary policy measures taken in recent years were not sufficient to stabilize the economies of the eurozone countries under more severe economic conditions.

Structured products in the current low interest rate environment

Directed Research Internship

High visceral leishmaniasis mortality rate in Barra Mansa, a new area of visceral leishmaniasis transmission in the State of Rio de Janeiro, Brazil

Introduction Nine cases of visceral leishmaniasis occurred recently in Barra Mansa, State of Rio de Janeiro, with a high mortality rate. Methods We reviewed the medical records of the patients. Results Eight were male; 7 were adults. Patients who died progressed to death quickly and presented with aggravating factors: systemic steroid therapy before diagnosis, bleeding, severe liver involvement, infection, and/or refusal to receive transfusion. Conclusions We warn clinicians to be aware of the emergence of visceral leishmaniasis in new areas and to keep in mind the possibility of atypical clinical pictures and aggravating factors, so timely diagnosis can be made and prompt and adequate treatment can be initiated.

Deflation and monetary policy: A look into Japan and the Euro Area

With more than two decades of weak economic performance since the bubble burst in the ‘90s, the Japanese deflationary scenario has become the economic fate every developed economy fears to become. As the euro area continues to experience sustained low inflation, studying the Japanese monetary policy may shed light on how to prevent persistent deflation. Using an SVAR methodology to understand the monetary transmission mechanism, we find some evidence that the euro area may possess characteristics that would eventually lead to a deflationary scenario. The extent of whether it would suffer the same Japanese fate would depend on how macroeconomic policies are timely coordinated as a response to its liquidity problem and increasing public debt across member states.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Avaliação do desempenho de fundos de investimento de obrigações: evidência para o mercado Brasileiro

Dissertação de mestrado em Finanças

Growth rate of a terra firme rain forest in Brazilian Amazonia over an eight-year period in response to logging

This paper deals with growth rates of trees > 5cm dbh over an eight-year period from 257 species at the Tapajós National Forest. The discussion is centred on the behaviour of the forest after logging. Permanent sample plots were established in 1981 and measured at the first time. The area was logged in 1982. Measurements after logging occurred in 1983, 1987 and 1989. Considering all species together, diameter increment was similar for both intensities of logging until five years after logging. Light-demanding species showed significantly higher growth rates than shade-tolerant species in the logged forest, with greater increment in the heavier treatment intensity. Commercial species also had higher growth rates in the heavier logged area, although those were significantly different only in the period from one to five years after logging. In the undisturbed forest, growth rates increased with increasing dbh size. At species level, growth rate varied between and within treatments, as well as between trees within species, depending mainly on degree of canopy opening. The logging favoured the growth of commercial species, chiefly the light-demanders. Therefore, if the same growth conditions continue being given, for example by silvicultural treatments, to those species of commercial interest, the forest would reach a stock available for harvesting around year 30 after logging. However, the high variation in increment rates indicates that an eight-year period is not sufficient to allow predictions on cutting cycles or polycyclic management systems for the study forest.

High strain rate constitutive modeling forhistorical structures subjected to blast loading

Doctoral Thesis Civil Engineering

Sistema de predição de avarias em máquinas de unidades fabris globalmente dispersas

Tese de Doutoramento Ramo Engenharia Industrial e de Sistemas

Empathy and heart rate variability: a need and a mechanism of emotion regulation

Dissertação de mestrado integrado em Psicologia

End-of-day dryness, corneal sensitivity and blink rate in contact lens wearers

Purpose: To study the relationship among the variables intensity ofthe end-of-day (EOD) dryness, corneal sensitivity and blink rate in soft contact lens (CL) wearers. Methods: Thirty-eight soft CL wearers (25 women and 13 men; mean age 27.1 ± 7.2 years) were enrolled. EOD dryness was assessed using a scale of 0–5 (0, none to 5, very intense). Mechanical and thermal (heat and cold) sensitivity were measured using a Belmonte’s gas esthesiometer. The blink rate was recorded using a video camera while subjects were wearing a hydrogel CL and watching a film for 90 min in a controlled environmental chamber. Results: A significant inverse correlation was found between EOD dryness and mechanical sensitivity (r: −0.39; p = 0.02); however, there were no significant correlations between EOD dryness and thermal sensitivity. A significant (r: 0.56; p < 0.001) correlation also was observed between EOD dryness and blink rate, but no correlations were found between blink rate and mechanical or thermal sensitivity. Conclusions: CL wearers with higher corneal sensitivity to mechanical stimulation reported more EOD dryness with habitual CL wear. Moreover, subjects reporting more EOD dryness had an increased blink rates during wear of a standard CL type. The increased blink rate could act to improve the ocular surface environment and relieve symptoms