Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

Bidding and Optimization Strategies for Wind-PV Systems in Electricity Markets

The variability in non-dispatchable power generation raises important challenges to the integration of renewable energy sources into the electricity power grid. This paper provides the coordinated trading of wind and photovoltaic energy to mitigate risks due to the wind and solar power variability, electricity prices, and financial penalties arising out the generation shortfall and surplus. The problem of wind-photovoltaic coordinated trading is formulated as a linear programming problem. The goal is to obtain the optimal bidding strategy that maximizes the total profit. The wind-photovoltaic coordinated operation is modeled and compared with the uncoordinated operation. A comparison of the models and relevant conclusions are drawn from an illustrative case study of the Iberian day-ahead electricity market.

Bidding and Optimization Strategies for Wind-PV Systems in Electricity Markets Assisted by CPS

The variability in non-dispatchable power generation raises important challenges to the integration of renewable energy sources into the electricity power grid. This paper provides the coordinated trading of wind and photovoltaic energy assisted by a cyber-physical system for supporting management decisions to mitigate risks due to the wind and solar power variability, electricity prices, and financial penalties arising out the generation shortfall and surplus. The problem of wind-photovoltaic coordinated trading is formulated as a stochastic linear programming problem. The goal is to obtain the optimal bidding strategy that maximizes the total profit. The wind-photovoltaic coordinated operation is modelled and compared with the uncoordinated operation. A comparison of the models and relevant conclusions are drawn from an illustrative case study of the Iberian day-ahead electricity market.

Bidding Decision of Wind-Thermal GenCo in Day-Ahead Market

This paper deals with the self-scheduling problem of a price-taker having wind and thermal power production and assisted by a cyber-physical system for supporting management decisions in a day-ahead electric energy market. The self-scheduling is regarded as a stochastic mixed-integer linear programming problem. Uncertainties on electricity price and wind power are considered through a set of scenarios. Thermal units are modelled by start-up and variable costs, furthermore constraints are considered, such as: ramp up/down and minimum up/down time limits. The stochastic mixed-integer linear programming problem allows a decision support for strategies advantaging from an effective wind and thermal mixed bidding. A case study is presented using data from the Iberian electricity market.

Bidding strategy of wind-thermal energy producers

This paper presents a stochastic mixed-integer linear programming approach for solving the self-scheduling problem of a price-taker thermal and wind power producer taking part in a pool-based electricity market. Uncertainty on electricity price and wind power is considered through a set of scenarios. Thermal units are modelled by variable costs, start-up costs and technical operating constraints, such as: forbidden operating zones, ramp up/down limits and minimum up/down time limits. An efficient mixed-integer linear program is presented to develop the offering strategies of the coordinated production of thermal and wind energy generation, having as a goal the maximization of profit. A case study with data from the Iberian Electricity Market is presented and results are discussed to show the effectiveness of the proposed approach.

Optimal Wind Bidding Strategies in Day-Ahead Markets

This paper presents a computer application for wind energy bidding in a day-ahead electricity market to better accommodate the variability of the energy source. The computer application is based in a stochastic linear mathematical programming problem. The goal is to obtain the optimal bidding strategy in order to maximize the revenue. Electricity prices and financial penalties for shortfall or surplus energy deliver are modeled. Finally, conclusions are drawn from an illustrative case study, using data from the day-ahead electricity market of the Iberian Peninsula.

Competitividade e parcelas de mercado: um estudo do modelo Constant Market Share para as exportações do melão brasileiro.

Terceiro maior produtor de frutas frescas do mundo, o Brasil se destaca no mercado agrícola por apresentar um clima tropical favorável à produção de diversas frutas. O melão e a manga são exemplos de frutas frescas que apresentam grandes índices de exportação. Os estados do Ceará e do Rio Grande do Norte são responsáveis pela maior parte da produção do melão brasileiro, já o mercado da União Europeia, é responsável quase que pela totalidade da importação do melão brasileiro. O objetivo desta pesquisa é analisar a competitividade e as parcelas de mercado do melão brasileiro no mercado mundial, no período de 2003 a 2011, tomando como base o modelo Constant Market Share. Os resultados mostram a diferença de direção dos subperíodos analisados. No primeiro subperíodo, têm-se o crescimento da exportação ocasionado pelo crescimento do comércio mundial e pelo fator competitividade, diferente do segundo período em que há uma queda principalmente na competitividade ocasionando o declínio na exportação da fruta produzida no Brasil

Optimal bidding strategies of an electric vehicle aggregator in an electricity market

In recent years Electric Vehicles (EVs) are getting more importance as future transport systems, due to the increase of the concerns relevant to the greenhouse gases emission and the use fossil fuel. The management of the charging and discharging process of EVs could provide new business model for participating in the electricity markets. Moreover, vehicle to grid systems have the potential of increasing utility system flexibility. This thesis develops some models for the optimal integration of the EVs in the electricity market. In particular, the thesis focuses on the optimal bidding strategy of an EV aggregator participating to both the day ahead market and the secondary reserve market. The aggregator profit is maximized taking into account the energy balance equation, as well as the technical constraints of energy settlement, power supply and state of charge of the EVs. The results obtained by using the GAMS (General Algebraic Modelling System) environment are presented and discussed.

Patient data sharing for the improvement of healthcare and medical research: towards a moral duty of patients to share health-related data?

The project answers to the following central research question: ‘How would a moral duty of patients to transfer (health) data for the benefit of health care improvement, research, and public health in the eHealth sector sit within the existing confidentiality, privacy, and data protection legislations?’. The improvement of healthcare services, research, and public health relies on patient data, which is why one might raise the question concerning a potential moral responsibility of patients to transfer data concerning health. Such a responsibility logically would have subsequent consequences for care providers concerning the further transferring of health data with other healthcare providers or researchers and other organisations (who also possibly transfer the data further with others and other organisations). Otherwise, the purpose of the patients’ moral duty, i.e. to improve the care system and research, would be undermined. Albeit the arguments that may exist in favour of a moral responsibility of patients to share health-related data, there are also some moral hurdles that come with such a moral responsibility. Furthermore, the existing European and national confidentiality, privacy and data protection legislations appear to hamper such a possible moral duty, and they may need to be reconsidered to unlock the full use of data for healthcare and research.

Lung Age Is Related To Carotid Structural Alterations In Hypertensive Subjects.

Hypertensive patients exhibit higher cardiovascular risk and reduced lung function compared with the general population. Whether this association stems from the coexistence of two highly prevalent diseases or from direct or indirect links of pathophysiological mechanisms is presently unclear. This study investigated the association between lung function and carotid features in non-smoking hypertensive subjects with supposed normal lung function. Hypertensive patients (n = 67) were cross-sectionally evaluated by clinical, hemodynamic, laboratory, and carotid ultrasound analysis. Forced vital capacity, forced expired volume in 1 second and in 6 seconds, and lung age were estimated by spirometry. Subjects with ventilatory abnormalities according to current guidelines were excluded. Regression analysis adjusted for age and prior smoking history showed that lung age and the percentage of predicted spirometric parameters associated with common carotid intima-media thickness, diameter, and stiffness. Further analyses, adjusted for additional potential confounders, revealed that lung age was the spirometric parameter exhibiting the most significant regression coefficients with carotid features. Conversely, plasma C-reactive protein and matrix-metalloproteinases-2/9 levels did not influence this relationship. The present findings point toward lung age as a potential marker of vascular remodeling and indicate that lung and vascular remodeling might share common pathophysiological mechanisms in hypertensive subjects.

Ghost Cells In Pilomatrixoma, Craniopharyngioma, And Calcifying Cystic Odontogenic Tumor: Histological, Immunohistochemical, And Ultrastructural Study.

Pilomatrixoma, craniopharyngioma, and calcifying cystic odontogenic tumor are the main entities presenting ghost cells as an important histological feature, in spite their quite different clinical presentation; it seems that they share a common pathway in the formation of these cells. The aim of this study is to examine and compare the characteristics of ghost and other cells that form these lesions. Forty-three cases including 21 pilomatrixomas, 14 craniopharyngiomas, and eight calcifying cystic odontogenic tumors were evaluated by immunohistochemistry for cytokeratins, CD138, β-catenin, D2-40, Glut-1, FAS, CD10 and also by scanning electron microscopy. The CKs, CD138, β-catenin, Glut-1, FAS, and CD10 were more often expressed by transitional cells of craniopharyngioma and calcifying cystic odontogenic tumor, compared with pilomatrixoma. Basaloid cells of pilomatrixoma showed strong positivity for CD138 and CD10. Differences on expression pattern were identified in transitional and basal cells, as ghost cells were negative for most antibodies used, except by low expression for cytokeratins. By scanning electron microscopy, the morphology of ghost cells were similar in their fibrillar cytoplasm, but their pattern varied from sheets in pilomatrixoma to small clusters in craniopharyngioma and calcifying cystic odontogenic tumor. Mechanisms involved in formation of ghost cells are unknown, but probably they follow different pathways as protein expression in the basal/transitional cells was not uniform in the three tumors studied.

Comparative Cytogenetics Of Physalaemus albifrons And Physalaemus Cuvieri Species Groups (anura, leptodactylidae).

Recently, Physalaemus albifrons (Spix, 1824) was relocated from the Physalaemus cuvieri group to the same group as Physalaemus biligonigerus (Cope, 1861), Physalaemus marmoratus (Reinhardt & Lütken, 1862) and Physalaemus santafecinus Barrio, 1965. To contribute to the analysis of this proposition, we studied the karyotypes of Physalaemus albifrons, Physalaemus santafecinus and three species of the Physalaemus cuvieri group. The karyotype of Physalaemus santafecinus was found to be very similar to those of Physalaemus biligonigerus and Physalaemus marmoratus, which were previously described. A remarkable characteristic that these three species share is a conspicuous C-band that extends from the pericentromeric region almost to the telomere in the short arm of chromosome 3. This characteristic is not present in the Physalaemus albifrons karyotype and could be a synapomorphy of Physalaemus biligonigerus, Physalaemus marmoratus and Physalaemus santafecinus. The karyotype of Physalaemus santafecinus is also similar to those of Physalaemus marmoratus and Physalaemus biligonigerus owing to the presence of several terminal C-bands and the distal localization of the NOR in a small metacentric chromosome. In contrast, the Physalaemus albifrons karyotype has no terminal C-bands and its NOR is located interstitially in the long arm of submetacentric chromosome 8. The NOR-bearing chromosome of Physalaemus albifrons very closely resembles those found in Physalaemus albonotatus (Steindachner, 1864), Physalaemus cuqui Lobo, 1993 and some populations of Physalaemus cuvieri Fitzinger, 1826. Additionally, the Physalaemus albifrons karyotype has an interstitial C-band in chromosome 5 that has been exclusively observed in species of the Physalaemus cuvieri group. Therefore, we were not able to identify any chromosomal feature that supports the reallocation of Physalaemus albifrons.

Experiences From The Brazilian Atlantic Forest: Ecological Findings And Conservation Initiatives.

The Brazilian Atlantic Forest hosts one of the world's most diverse and threatened tropical forest biota. In many ways, its history of degradation describes the fate experienced by tropical forests around the world. After five centuries of human expansion, most Atlantic Forest landscapes are archipelagos of small forest fragments surrounded by open-habitat matrices. This 'natural laboratory' has contributed to a better understanding of the evolutionary history and ecology of tropical forests and to determining the extent to which this irreplaceable biota is susceptible to major human disturbances. We share some of the major findings with respect to the responses of tropical forests to human disturbances across multiple biological levels and spatial scales and discuss some of the conservation initiatives adopted in the past decade. First, we provide a short description of the Atlantic Forest biota and its historical degradation. Secondly, we offer conceptual models describing major shifts experienced by tree assemblages at local scales and discuss landscape ecological processes that can help to maintain this biota at larger scales. We also examine potential plant responses to climate change. Finally, we propose a research agenda to improve the conservation value of human-modified landscapes and safeguard the biological heritage of tropical forests.

Understanding Red Blood Cell Parameters In The Context Of The Frailty Phenotype: Interpretations Of The Fibra (frailty In Brazilian Seniors) Study.

Frailty and anemia in the elderly appear to share a common pathophysiology associated with chronic inflammatory processes. This study uses an analytical, cross-sectional, population-based methodology to investigate the probable relationships between frailty, red blood cell parameters and inflammatory markers in 255 community-dwelling elders aged 65 years or older. The frailty phenotype was assessed by non-intentional weight loss, fatigue, low grip strength, low energy expenditure and reduced gait speed. Blood sample analyses were performed to determine hemoglobin level, hematocrit and reticulocyte count, as well as the inflammatory variables IL-6, IL-1ra and hsCRP. In the first multivariate analysis (model I), considering only the erythroid parameters, Hb concentration was a significant variable for both general frailty status and weight loss: a 1.0g/dL drop in serum Hb concentration represented a 2.02-fold increase (CI 1.12-3.63) in an individual's chance of being frail. In the second analysis (model II), which also included inflammatory cytokine levels, hsCRP was independently selected as a significant variable. Each additional year of age represented a 1.21-fold increase in the chance of being frail, and each 1-unit increase in serum hsCRP represented a 3.64-fold increase in the chance of having the frailty phenotype. In model II reticulocyte counts were associated with weight loss and reduced metabolic expenditure criteria. Our findings suggest that reduced Hb concentration, reduced RetAbs count and elevated serum hsCRP levels should be considered components of frailty, which in turn is correlated with sarcopenia, as evidenced by weight loss.

Pollination Ecology Of Two Species Of Elleanthus (orchidaceae): Novel Mechanisms And Underlying Adaptations To Hummingbird Pollination.

Relationships among floral biology, floral micromorphology and pollinator behaviour in bird-pollinated orchids are important issues to understand the evolution of the huge flower diversity within Orchidaceae. We aimed to investigate floral mechanisms underlying the interaction with pollinators in two hummingbird-pollinated orchids occurring in the Atlantic forest. We assessed floral biology, nectar traits, nectary and column micromorphologies, breeding systems and pollinators. In both species, nectar is secreted by lip calli through spaces between the medial lamellar surfaces of epidermal cells. Such form of floral nectar secretion has not been previously described. Both species present functional protandry and are self-compatible yet pollinator-dependent. Fruit sets in hand-pollination experiments were more than twice those under natural conditions, evidencing pollen limitation. The absence of fruit set in interspecific crosses suggests the existence of post-pollination barriers between these synchronopatric species. In Elleanthus brasiliensis, fruits resulting from cross-pollination and natural conditions were heavier than those resulting from self-pollination, suggesting advantages to cross-pollination. Hummingbirds pollinated both species, which share at least one pollinator species. Species differences in floral morphologies led to distinct pollination mechanisms. In E. brasiliensis, attachment of pollinaria to the hummingbird bill occurs through a lever apparatus formed by an appendage in the column, another novelty to the knowledge of orchids. In E. crinipes, pollinaria attachment occurs by simple contact with the bill during insertion into the flower tube, which fits tightly around the bill. The novelties described here illustrate the overlooked richness in ecology and morphophysiology in Orchidaceae. This article is protected by copyright. All rights reserved.