The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. A mechanism analysis based on the calibrated model provides further insights into the explanatory power of heterogeneous agent models.

The effectiveness of peer mentoring in promoting a positive transition to higher education for first-year undergraduate students: a mixed methods systematic review protocol

Background: The global transfer of nursing and midwifery education to higher education institutes has led to student nurses and midwives experiencing challenges previously faced by traditional third-level students, including isolation, loneliness, financial difficulties and academic pressure. These challenges can contribute to increased stress and anxiety levels which may be detrimental to the successful transition to higher education, thus leading to an increase in attrition rates. Peer mentoring as an intervention has been suggested to be effective in supporting students in the transition to third-level education through enhancing a sense of belongingness and improving student satisfaction, engagement and retention rates. This proposed systematic review aims to determine the effectiveness of peer mentoring in enhancing levels of student engagement, sense of belonging and overall satisfaction of first-year undergraduate students following transition into higher education.
Methods: MEDLINE, Web of Knowledge, ProQuest, Embase, CINAHL, ERIC, PsycINFO and CENTRAL databases will be searched for qualitative, quantitative and mixed methods studies on the implementation of peer assessment strategies in higher education institutes (HEIs) or universities for full-time, first-year adult students (>17 years). Included studies will be limited to the English language. The quality of included studies will be assessed using a validated Mixed Methods Appraisal Tool (MMAT). The findings will be presented as a narrative synthesis or meta-analysis as appropriate following sequential explanatory synthesis.
Discussion: The review will provide clear, non-biased evidence-based guidance to all third-level educators on the effectiveness of peer-mentoring programmes for first-year undergraduates. The review is necessary to help establish which type of peer mentoring is most effective. The evidence from qualitative and quantitative studies drawn from the international literature will be utilised to illustrate the best way to implement and evaluate peer mentoring as an effective intervention and will be useful in guiding future research and practice in this area. These findings may be applied internationally across all disciplines.

Analysis of multirate behavior in electronic systems

Esta tese insere-se na área da simulação de circuitos de RF e microondas, e visa o estudo de ferramentas computacionais inovadoras que consigam simular, de forma eficiente, circuitos não lineares e muito heterogéneos, contendo uma estrutura combinada de blocos analógicos de RF e de banda base e blocos digitais, a operar em múltiplas escalas de tempo. Os métodos numéricos propostos nesta tese baseiam-se em estratégias multi-dimensionais, as quais usam múltiplas variáveis temporais definidas em domínios de tempo deformados e não deformados, para lidar, de forma eficaz, com as disparidades existentes entre as diversas escalas de tempo. De modo a poder tirar proveito dos diferentes ritmos de evolução temporal existentes entre correntes e tensões com variação muito rápida (variáveis de estado activas) e correntes e tensões com variação lenta (variáveis de estado latentes), são utilizadas algumas técnicas numéricas avançadas para operar dentro dos espaços multi-dimensionais, como, por exemplo, os algoritmos multi-ritmo de Runge-Kutta, ou o método das linhas. São também apresentadas algumas estratégias de partição dos circuitos, as quais permitem dividir um circuito em sub-circuitos de uma forma completamente automática, em função dos ritmos de evolução das suas variáveis de estado. Para problemas acentuadamente não lineares, são propostos vários métodos inovadores de simulação a operar estritamente no domínio do tempo. Para problemas com não linearidades moderadas é proposto um novo método híbrido frequência-tempo, baseado numa combinação entre a integração passo a passo unidimensional e o método seguidor de envolvente com balanço harmónico. O desempenho dos métodos é testado na simulação de alguns exemplos ilustrativos, com resultados bastante promissores. Uma análise comparativa entre os métodos agora propostos e os métodos actualmente existentes para simulação RF, revela ganhos consideráveis em termos de rapidez de computação.

Nonlinear behavioral modeling of mixed signal RF-digital I/O devices

Esta tese investiga a caracterização (e modelação) de dispositivos que realizam o interface entre os domínios digital e analógico, tal como os buffers de saída dos circuitos integrados (CI). Os terminais sem fios da atualidade estão a ser desenvolvidos tendo em vista o conceito de rádio-definido-por-software introduzido por Mitola. Idealmente esta arquitetura tira partido de poderosos processadores e estende a operação dos blocos digitais o mais próximo possível da antena. Neste sentido, não é de estranhar que haja uma crescente preocupação, no seio da comunidade científica, relativamente à caracterização dos blocos que fazem o interface entre os domínios analógico e digital, sendo os conversores digital-analógico e analógico-digital dois bons exemplos destes circuitos. Dentro dos circuitos digitais de alta velocidade, tais como as memórias Flash, um papel semelhante é desempenhado pelos buffers de saída. Estes realizam o interface entre o domínio digital (núcleo lógico) e o domínio analógico (encapsulamento dos CI e parasitas associados às linhas de transmissão), determinando a integridade do sinal transmitido. Por forma a acelerar a análise de integridade do sinal, aquando do projeto de um CI, é fundamental ter modelos que são simultaneamente eficientes (em termos computacionais) e precisos. Tipicamente a extração/validação dos modelos para buffers de saída é feita usando dados obtidos da simulação de um modelo detalhado (ao nível do transístor) ou a partir de resultados experimentais. A última abordagem não envolve problemas de propriedade intelectual; contudo é raramente mencionada na literatura referente à caracterização de buffers de saída. Neste sentido, esta tese de Doutoramento foca-se no desenvolvimento de uma nova configuração de medição para a caracterização e modelação de buffers de saída de alta velocidade, com a natural extensão aos dispositivos amplificadores comutados RF-CMOS. Tendo por base um procedimento experimental bem definido, um modelo estado-da-arte é extraído e validado. A configuração de medição desenvolvida aborda não apenas a integridade dos sinais de saída mas também do barramento de alimentação. Por forma a determinar a sensibilidade das quantias estimadas (tensão e corrente) aos erros presentes nas diversas variáveis associadas ao procedimento experimental, uma análise de incerteza é também apresentada.

Behavioral modeling optimization and enhancement for high-speed analog mixed-signal I/O interfaces

A integridade do sinal em sistemas digitais interligados de alta velocidade, e avaliada através da simulação de modelos físicos (de nível de transístor) é custosa de ponto vista computacional (por exemplo, em tempo de execução de CPU e armazenamento de memória), e exige a disponibilização de detalhes físicos da estrutura interna do dispositivo. Esse cenário aumenta o interesse pela alternativa de modelação comportamental que descreve as características de operação do equipamento a partir da observação dos sinais eléctrico de entrada/saída (E/S). Os interfaces de E/S em chips de memória, que mais contribuem em carga computacional, desempenham funções complexas e incluem, por isso, um elevado número de pinos. Particularmente, os buffers de saída são obrigados a distorcer os sinais devido à sua dinâmica e não linearidade. Portanto, constituem o ponto crítico nos de circuitos integrados (CI) para a garantia da transmissão confiável em comunicações digitais de alta velocidade. Neste trabalho de doutoramento, os efeitos dinâmicos não-lineares anteriormente negligenciados do buffer de saída são estudados e modulados de forma eficiente para reduzir a complexidade da modelação do tipo caixa-negra paramétrica, melhorando assim o modelo standard IBIS. Isto é conseguido seguindo a abordagem semi-física que combina as características de formulação do modelo caixa-negra, a análise dos sinais eléctricos observados na E/S e propriedades na estrutura física do buffer em condições de operação práticas. Esta abordagem leva a um processo de construção do modelo comportamental fisicamente inspirado que supera os problemas das abordagens anteriores, optimizando os recursos utilizados em diferentes etapas de geração do modelo (ou seja, caracterização, formulação, extracção e implementação) para simular o comportamento dinâmico não-linear do buffer. Em consequência, contributo mais significativo desta tese é o desenvolvimento de um novo modelo comportamental analógico de duas portas adequado à simulação em overclocking que reveste de um particular interesse nas mais recentes usos de interfaces de E/S para memória de elevadas taxas de transmissão. A eficácia e a precisão dos modelos comportamentais desenvolvidos e implementados são qualitativa e quantitativamente avaliados comparando os resultados numéricos de extracção das suas funções e de simulação transitória com o correspondente modelo de referência do estado-da-arte, IBIS.

Integer-valued APARCH processes in the analysis of time series of counts

The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.

Understanding the Patient Experience Through the Power of Film: a Mixed Method Qualitative Research Project

Film is a highly attractive teaching instrument for the study of different terminal diseases, exploring bioethics (Beauchamp and Childress, 2009) and is a preferred medium over traditional lectures (Edmunds, 2013) to provide realistic examples for adult learners. It can tap into ethical issues; facilitate decision-making; and examine underlying issues such as euthanasia; assisted suicide; and professional responsibility. Contrast this with standard means of teaching, such as scenarios- although a useful pedagogic tool, these are limited because students must imagine the clinical scenario. Film can fill that imaginative gap (Volandes, 2007). It can be utilised as an active teaching strategy for a variety of topics in nursing (Edmunds, 2013) providing a unique way to promote active learning in nursing education (Herrman, 2006). The objectives of the study, aim to help pre registration student nurses from each year of study to engage with their role as health care professionals; provide open discussion and debate on how they view the personal experience of illness/disease/disability/death and to reflect on their role and provision of patient care. It is delivered in 3 tiers to provide a range of data for thematic analysis; 1) Film screening followed by a ‘5 minute reaction’ discussion and post screening questionnaire; 2) Pre screening guided activities for reflection and discussion; 3) Focus groups. This project meets identified aims from the UK Professional Standards Framework (UKPSF) by fostering creative and innovative approaches to teaching and learning; facilitating and supporting the design and delivery of continuing education development programmes and activities; and demonstrates professionalism that staff and institutions bring to teaching. Preliminary feedback and themes will be presented.

Gender comparisons in non-acute cardiac symptom recognition and subsequent help-seeking decisions: a mixed methods study protocol

Introduction: Coronary heart disease (CHD) is one of the leading causes of death in both men and women worldwide. Despite the common misconception that CHD is a ‘man's disease’, it is now well accepted that women endure worse clinical outcomes than men following CHD-related events. A number of studies have explored whether or not gender differences exist in patients presenting with CHD, and specifically whether women delay seeking help for cardiac conditions. UK and overseas studies on help-seeking for emergency cardiac events are contradictory, yet suggest that women often delay help-seeking. In addition, no studies have looked at presumed cardiac symptoms outside an emergency situation. Given the lack of understanding in this area, an explorative qualitative study on the gender differences in help-seeking for a non-emergency cardiac events is needed. Methods and analysis: A purposive sample of 20–30 participants of different ethnic backgrounds and ages attending a rapid access chest pain clinic will be recruited to achieve saturation. Semistructured interviews focusing on help-seeking decision-making for apparent cardiac symptoms will be undertaken. Interview data will be analysed thematically using qualitative software (NVivo) to understand any similarities and differences between the way men and women construct help-seeking. Findings will also be used to inform the preliminary development of a cardiac help-seeking intentions questionnaire. Ethics and dissemination: Ethical approvals were sought and granted. Namely, the University of Westminster (sponsor) and St Georges NHS Trust REC, and the Trust Research and Development Office granted approval to host the study on the Queen Mary's Roehampton site. The study is low risk, with interviews being conducted on hospital premises during working hours. Investigators will disseminate findings via presentations and publications. Participants will receive a written summary of the key findings.

Monetary policy, exchange rates and stock prices in the Middle East region

A structural vector autoregressive model is employed to investigate the impact of monetary policy and real exchange rate shocks on the stock market performance of Kuwait, Oman, Saudi Arabia, Egypt and Jordan. In order to identify the structural shocks both short run and long run restrictions are applied. Unlike previous literature the contemporaneous interdependence between the financial variables are left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflect the different monetary policy frameworks and stock market characteristics of these countries. Mainly, monetary policy and the real exchange rate shocks have a significant short run impact on the stock prices of the countries that apply a relatively more independent monetary policy and flexible exchange rates.

Using a whole person approach to support people with cancer: a longitudinal, mixed methods service evaluation

Introduction: Improved models of care are needed to meet all the support needs of people with cancer, which encompass psychological, emotional, physical, spiritual, sexual, occupational, social and existential needs. The aim of this paper is to (1) evaluate short and long-term impacts of using a whole person approach to support people with cancer on the Living Well with the Impact of Cancer Course (LWC); (2) use these data to inform strategic decisions about future service provision at Penny Brohn UK. Methods: Longitudinal mixed-methods service evaluation (n=135). Data collected included health related quality of life (HRQoL) (FACIT-SpEx); Concerns (types and severity - MYCaW); lifestyle behaviour (bespoke questionnaire) and participants’ experiences over 12 months post course. Results: Statistically and clinically significant improvements from baseline - 12 months in severity of MYCaW Concerns (n=64; p<0.000) and mean total HRQoL (n=66; p<0.000). The majority of MYCaW concerns were ‘psychological and emotional’ and about participants’ wellbeing. Spiritual, emotional and functional wellbeing contributed most to HRQoL improvements at 12 months. Barriers to maintaining healthy lifestyle changes included lack of support from family and friends, time constraints, and returning to work. 3-6 months post-course was identified as the time when more support was most likely to be needed. Conclusions: Using a whole person approach for the LWC enabled the needs of participants to be met, and statistically and clinically significant improvements in HRQoL and MYCaW Concerns were reported. Qualitative data analysis explored how experiencing whole person support enabled participants to make and sustain healthy lifestyle changes associated with improved survivorship. Barriers experienced to making health behaviour change were also identified. These data then informed wider and more person-centred clinical provision to increase the maintenance of positive long-term behaviour changes. Comparison of whole person approaches to cancer treatment and support and standard care are now urgently needed.

Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

An embedded 1149.4 extension to support mixed-signal debugging

Debugging electronic circuits is traditionally done with bench equipment directly connected to the circuit under debug. In the digital domain, the difficulties associated with the direct physical access to circuit nodes led to the inclusion of resources providing support to that activity, first at the printed circuit level, and then at the integrated circuit level. The experience acquired with those solutions led to the emergence of dedicated infrastructures for debugging cores at the system-on-chip level. However, all these developments had a small impact in the analog and mixed-signal domain, where debugging still depends, to a large extent, on direct physical access to circuit nodes. As a consequence, when analog and mixed-signal circuits are integrated as cores inside a system-on-chip, the difficulties associated with debugging increase, which cause the time-to-market and the prototype verification costs to also increase. The present work considers the IEEE1149.4 infrastructure as a means to support the debugging of mixed-signal circuits, namely to access the circuit nodes and also an embedded debug mechanism named mixed-signal condition detector, necessary for watch-/breakpoints and real-time analysis operations. One of the main advantages associated with the proposed solution is the seamless migration to the system-on-chip level, as the access is done through electronic means, thus easing debugging operations at different hierarchical levels.

Dynamics of the Dow Jones and the NASDAQ stock indexes

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.

Food waste valorization through the production of polyhydroxyalkanoates by mixed microbial cultures

Dissertação para obtenção do Grau de Mestre em Engenharia Química e Bioquímica