Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

A one-dimensional prescribed curvature equation modeling the corneal shape.

We prove existence, uniqueness, and stability of solutions of the prescribed curvature problem (u'/root 1 + u'(2))' = au - b/root 1 + u'(2) in [0, 1], u'(0) = u(1) = 0, for any given a > 0 and b > 0. We also develop a linear monotone iterative scheme for approximating the solution. This equation has been proposed as a model of the corneal shape in the recent paper (Okrasinski and Plociniczak in Nonlinear Anal., Real World Appl. 13:1498-1505, 2012), where a simplified version obtained by partial linearization has been investigated.

Scaling law in Saddle-node bifurcations for one-dimensional maps: A complex variable approach

The study of transient dynamical phenomena near bifurcation thresholds has attracted the interest of many researchers due to the relevance of bifurcations in different physical or biological systems. In the context of saddle-node bifurcations, where two or more fixed points collide annihilating each other, it is known that the dynamics can suffer the so-called delayed transition. This phenomenon emerges when the system spends a lot of time before reaching the remaining stable equilibrium, found after the bifurcation, because of the presence of a saddle-remnant in phase space. Some works have analytically tackled this phenomenon, especially in time-continuous dynamical systems, showing that the time delay, tau, scales according to an inverse square-root power law, tau similar to (mu-mu (c) )(-1/2), as the bifurcation parameter mu, is driven further away from its critical value, mu (c) . In this work, we first characterize analytically this scaling law using complex variable techniques for a family of one-dimensional maps, called the normal form for the saddle-node bifurcation. We then apply our general analytic results to a single-species ecological model with harvesting given by a unimodal map, characterizing the delayed transition and the scaling law arising due to the constant of harvesting. For both analyzed systems, we show that the numerical results are in perfect agreement with the analytical solutions we are providing. The procedure presented in this work can be used to characterize the scaling laws of one-dimensional discrete dynamical systems with saddle-node bifurcations.

SketchyDynamics apoio à produção de sistemas baseados em interfaces caligráficas para a simulação da dinâmica de corpos rígidos

Mestrado em Engenharia Informática - Área de Especialização em Sistemas Gráficos e Multimédia

Validation of a new reference values’s database for semiquantification of 123I‐FP‐CIT SPECT scans in one nuclear medicine department

The DatScanTM and its Semiquantification (SQ) can provide advantages in the diagnosis of Parkinsonian Syndromes (PS). To improve the SQ is recommended the creation of adapted database (DB) with reference values for the Nuclear Medicine Departments. Previously to this work was created a adapted database (DBRV) to Nuclear Medicine Department's protocol and population of Infanta Cristina's Hospital located in Badajoz, for patients between the ages of 60 and 75, and reference values of the SQ were calculated. Aim: To evaluate the discrimination capacity of a department's adapted DB reference's values of healthy controls for DatScanTM.

Molluscum contagiosum: serology and electron microscopy findings in twenty one patients

Twenty one cases of molluscum contagiosum virus disease were collected for electron microscopical and serological tests. Molluscum virus was detected in the crust, inside the vacuoles formed in the keratinocytes cells. The patients developed specific antibodies to the virus detected by complement fixation test.

Part I : Comparing derivatization methods for amino acids – one and two-step procedures using gas chromatography – flame ion detector (GC-FID) Part II: Story of an icon from its execution until its conservation

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Conservação e Restauro

Antibody response to heat-inactivated hepatitis B vaccine (CLB-3mg) in hemodialysis patients and occupational risk personnel: a one year follow-up

Immune response against hepatitis B vaccine (CLB 3mg) was evaluated in 59 hemodialysis patients and 20 occupational risk personnel. Seroconversion was induced in 52.5% and 70.0% respectively. Twelve months after the first dose, 37.5% of patients and 60.0% of occupational risk personnel had detectable anti-HBs level. Antibody level was expressed in sample ratio units (SRU). Considering only the responders, in the patients group 38.7% had a low anti-HBs response (2.1-9.9 SRU) 32.3% a medium response (10-99.9 SRU) and 29.0% a high response (>100 SRU) while in occupational risk personnel these values were 14.3%, 64.3% and 21.4% respectively. The authors suggest the use of HBV vaccines with more elevated HBsAg concentration or a reinforced immunization schedule to improve the anti-HBs response not only for patients but also for healthy persons.

Estudo de retardantes de chama, isentes de halogéneos, em espumas de poliuretano monocomponente

Estágio de natureza profissional para obtenção do grau de Mestre em Engenharia Química

Mitochondria are the main source and one of the targets of Pb (lead)-induced oxidative stress in the yeast Saccharomyces cerevisiae

The yeast Saccharomyces cerevisiae is a useful model organism for studying lead (Pb) toxicity. Yeast cells of a laboratory S. cerevisiae strain (WT strain) were incubated with Pb concentrations up to 1,000 μmol/l for 3 h. Cells exposed to Pb lost proliferation capacity without damage to the cell membrane, and they accumulated intracellular superoxide anion (O2 .−) and hydrogen peroxide (H2O2). The involvement of the mitochondrial electron transport chain (ETC) in the generation of reactive oxygen species (ROS) induced by Pb was evaluated. For this purpose, an isogenic derivative ρ0 strain, lacking mitochondrial DNA, was used. The ρ0 strain, without respiratory competence, displayed a lower intracellular ROS accumulation and a higher resistance to Pb compared to the WT strain. The kinetic study of ROS generation in yeast cells exposed to Pb showed that the production of O2 .− precedes the accumulation of H2O2, which is compatible with the leakage of electrons from the mitochondrial ETC. Yeast cells exposed to Pb displayed mutations at the mitochondrial DNA level. This is most likely a consequence of oxidative stress. In conclusion, mitochondria are an important source of Pb-induced ROS and, simultaneously, one of the targets of its toxicity.

Dynamical Stability and Predictability of Football Players: The Study of One Match

The game of football demands new computational approaches to measure individual and collective performance. Understanding the phenomena involved in the game may foster the identification of strengths and weaknesses, not only of each player, but also of the whole team. The development of assertive quantitative methodologies constitutes a key element in sports training. In football, the predictability and stability inherent in the motion of a given player may be seen as one of the most important concepts to fully characterise the variability of the whole team. This paper characterises the predictability and stability levels of players during an official football match. A Fractional Calculus (FC) approach to define a player’s trajectory. By applying FC, one can benefit from newly considered modeling perspectives, such as the fractional coefficient, to estimate a player’s predictability and stability. This paper also formulates the concept of attraction domain, related to the tactical region of each player, inspired by stability theory principles. To compare the variability inherent in the player’s process variables (e.g., distance covered) and to assess his predictability and stability, entropy measures are considered. Experimental results suggest that the most predictable player is the goalkeeper while, conversely, the most unpredictable players are the midfielders. We also conclude that, despite his predictability, the goalkeeper is the most unstable player, while lateral defenders are the most stable during the match.

High prevalence of hepatitis C infection among Brazilian hemodialysis patients in Rio de Janeiro: a one-year follow-up study

Nearly 400 hemodialysis patients treated at 5 different hemodialysis units in Rio de Janeiro were tested for one year for the presence of hepatitis C and B markers. During the same period, samples were also obtained from 35 continuous ambulatory peritoneal dialysis (CAPD) patients and from 242 health care workers. Depending on the hemodialysis unit studied, anti-HCV prevalence rates ranging from 47% to 82% (mean 65%) were detected. CAPD patients showed a lower prevalence of 17%. The prevalence of antibodies against hepatitis C virus (anti-HCV) among health care workers was 2.9%. We observed a hepatitis C attack rate of 11.5% per year in the anti-HCV-negative hemodialysis patient population. An average of 9.4% of the hemodialysis patients were chronic carriers of hepatitis B virus (HBV) (range 1.8% - 20.4%), while 48.9% showed markers of previous HBV infection. The HBV attack rate was 4.5% per year (range 0% - 6%). These results indicate an alarming high prevalence of anti-HCV among hemodialysis patients of this studied region.

Four adult hemoglobin types in one mulatto family

The studied family showed the presence of four different types of hemoglobin. The family member who gave rise to this study (=propositus) presented Hb C and the hybrid Hb CG-phila. The propositus has three children, all of which have Hb AC; none of the family members showed any clinical symptoms. The investigation of the hemoglobin arose from the finding of target red cells in a blood test done during the pre-operatory examination for lower limb varicose vein stripping. The hybrid Hb CG-phila is due to two gene pairs, each of which with individual expression, determining the synthesis and the particular type subunits. The hybrid Hb CG-phila is formed by the combination velocity of the subunits alpha2G-philabeta2; therefore the proportion of the hybrid Hb CG-phila is lower than Hb G-phila and Hb C. The identification and molecular characterization of Hb G-phila showed the position alpha268 Asn->Lys beta2 and Hb C showed alpha2beta26 Glu->Lys.

One-step preparation of optically transparent Ni-Fe oxide film electrocatalyst for oxygen evolution reaction

Optically transparent cocatalyst film materials is very desirable for improved photoelectrochemical (PEC)oxygen evolution reaction (OER) over light harvesting photoelectrodes which require the exciting light to irradiate through the cocatalyst side, i.e., front-side illumination. In view of the reaction overpotential at electrode/electrolyte interface, the OER electrocatalysts have been extensively used as cocatalysts for PEC water oxidation on photoanode. In this work, the feasibility of a one-step fabrication of the transparent thin film catalyst for efficient electrochemical OER is investigated. The Ni-Fe bimetal oxide films, 200 nm in thickness, are used for study. Using a reactive magnetron co-sputtering technique, transparent(> 50% in wavelength range 500-2000 nm) Ni-Fe oxide films with high electrocatalytic activities were successfully prepared at room temperature. Upon optimization, the as-prepared bimetal oxide film with atomic ratio of Fe/Ni = 3:7 demonstrates the lowest overpotential for the OER in aqueous KOH solution, as low as 329 mV at current density of 2 mA cm 2, which is 135 and 108 mV lower than that of as-sputtered FeOx and NiOx thin films, respectively. It appears that this fabrication strategy is very promising to deposit optically transparent cocatalyst films on photoabsorbers for efficient PEC water splitting.