Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

A Psychological Exploration of Long-Term LSD Users

All research involving the psychoactive compound lysergic acid diethylamide (LSD) was terminated globally following its prohibition more than 50 years ago, though illicit use remained fairly stable. A considerable resurgence of research interest in LSD has received considerable attention in various publications and professional fora. One of the main applications considered is LSD-assisted psychotherapy to address a number of difficulties like end-of-life anxiety, addiction/alcoholism, post-traumatic stress, and depression. However, due to the highly contradictory nature of early research findings and division in the literature, one is left uncertain as to whether psychology as a profession is currently equipped to critically evaluate these advances, let alone embrace them. The purpose of the present study was to contribute to current psychological knowledge on long-term LSD use. A group of long-term LSD users who claimed beneficial use were the focus here. A mixed methods design was employed. 110 users completed an online survey assessing for demographics, patterns of use, and specific personality traits through three psychometric measures, Big Five Inventory (BFI), General Self Efficacy scale (GSE) and Satisfaction With Life Scale (SWLS). Eight individual interviews were also conducted and analysed by Thematic Analysis (TA). Gaining different perspectives on reality and increasing self- awareness appeared to be essential elements of the belief system that these non-problematic long-term LSD users adopted in order to make sense of their LSD use. Qualitative findings also suggested the existence of a common set of life values, rules and the adoption of a hierarchical system between LSD users. Novices appeared to be tutored and guided by elders whose presence and input was valued and who were listened to and respected. A role for ‘wiser/elder’ users as those imparting valuable knowledge to novices was therefore also suggested. The underlying aim may possibly be an attempt to minimise risks and maximise potential benefits of LSD use. A prospective role for LSD as a deterrent of substance misuse, a ‘gateway drug to no drugs’ was also hinted and remains in need of iv further investigation. Claims regarding beneficial LSD use and ‘change’ through LSD use were confirmed by the participant sample. No noteworthy differences between psychometric scores of the LSD-using group and those of the general population (as suggested by normative data comparisons) were found, possibly due to methodological limitations, especially considering the highly subjective nature of the LSD experience and its effects. The determining role of extra-pharmacological variables or ‘set and setting’ in the outcome of LSD use suggested in earlier literature was re-validated. Knowledge on their specific components was enriched, and a potentially significant value for adopting a flexible, adaptable and solution-focused mind-set in order to better manage the effects of LSD was highlighted. Due to the highly selected nature of the participant sample, present findings should serve as suggestions for further research in order to clarify the aforementioned issues and to make explicit the mechanisms by which they operate. The complex nature of LSD, its use and its effects have been re-confirmed here. It is imperative that the current knowledge base on the substance is enriched before LSD is introduced in a clinical psychology professional context.

Sediment dynamics and tidal inlet relocation in mixed-energy settings: the case of Ancão inlet (Algarve - Portugal)

Tese de dout., Ciências do Mar, Faculdade de Ciências do Mar e do Ambiente, Univ. do Algarve, 2003

Macrofauna spatial differences within clam dredge-tracks and their implications for short-term fishing effect studies

In situ observations of clam dredging showed that the effects of the dredge on the benthic macrofauna may not be constant during a tow. A sand buffer forms in front of the gear approximately 10m after the beginning of a tow, and this pushes the sediment partially aside.In this study, we analyse differences in abundance, the number of taxa present, diversity, and evenness within sections of dredge-tracks in a disturbed, fished area and a non-fished area along the southern coast of Portugal. These areas were sampled by divers before and after dredge-fishing activity. At each site, three dredge-tracks were produced. These tracks were divided in three longitudinal sections 1start, middle and end) and two transverse sections 1track and edge). Six quadrats were used to sample macrofauna in each section of every track and edge. Our results show differences exist in macro- faunal distribution and abundance across sections of a dredge-track. These differences should be considered in any assessment of the short-term ecological impact of dredges on benthic macrofauna

Inappropriate medication use in long-term care facility residents with advanced Alzheimer’s disease and other dementias

Les personnes atteintes de démence sévère, résidant dans un centre d’hébergement et de soins de longue durée (CHSLD) et approchant la fin de leur vie, ne reçoivent pas systématiquement des soins palliatifs, malgré que ce niveau de soins soit le plus approprié. La plupart de ces personnes reçoivent également un grand nombre de médicaments dont les effets indésirables peuvent contribuer à des souffrances évitables. Une approche axée sur les soins palliatifs serait possiblement associée à une réduction de la charge médicamenteuse et, du même coup, à une prescription plus appropriée. Les objectifs de ce projet de recherche étaient de décrire l’usage des médicaments chez les résidents atteints de démence sévère en CHSLD, de comparer leur usage de médicaments à des critères de pertinence et d’évaluer si la mise en œuvre d’une approche axée sur les soins palliatifs était associée aux médicaments prescrits. Cette étude décrit l’usage des médicaments chez 215 sujets atteints de démence sévère et en fin de vie qui ont participé à une étude d’intervention quasi expérimentale menée dans quatre CHSLD du Québec sur la mise en œuvre d’une approche axée sur les soins palliatifs. L’utilisation des médicaments a été comparée à trois listes de critères pertinents publiés, soit ceux de Holmes, Rancourt et Kröger, en utilisant des statistiques descriptives. Les analyses sur l’usage de 412 médicaments différents chez 120 sujets du groupe expérimental et 95 sujets du groupe témoin ont montré que cette approche axée sur les soins palliatifs n’est pas associée à une prescription plus appropriée des médicaments chez ces personnes particulièrement vulnérables.

Contribuição da ecografia cerebral transfontanelar para a avaliação do crescimento cerebral do recém-nascido pré-termo

Tese de doutoramento, Medicina (Pediatria), Universidade de Lisboa, Faculdade de Medicina, 2013

Pollen Allergy in Cordoba City: Frequency of Sensitization and Relation with Antihistamine Sales

The occurrence of symptoms in pollen allergy patients in urban areas may be affected by local environmental factors such as sources of pollution, natural and ornamental vegetation, local architecture impeding dispersion, etc. The aim of this study was to analyse the frequency of sensitization in pollen allergy patients and the relationship with antihistamine sales. For this study, a large number of clinical records, together with pharmaceutical and pollen data, were collected between 1999 and 2001 in the city of Córdoba, in the south of the Iberian Peninsula. Differences were observed in the symptoms suffered by pollen allergy patients in different areas of the city due to varying local emission of both biological and non-biological particles. Temporal distribution of symptoms over the three study years was influenced by meteorological factors, especially rainfall patterns; higher water supply to plants was associated with increased airborne pollen concentrations. Air pollution might be one of the main factors affecting the distribution of pollen allergy patients within the city. Recent years have seen a worsening of symptoms and increased sensitization to urban species such as plane-trees.

Sexual dimorphism in relation to adipose tissue and intrahepatocellular lipid deposition in early infancy

Sexual dimorphism in adiposity is well described in adults, but the age at which differences first manifest is uncertain. Using a prospective cohort, we describe longitudinal changes in directly measured adiposity and intrahepatocellular lipid (IHCL) in relation to sex in healthy term infants. At median ages of 13 and 63 days, infants underwent quantification of adipose tissue depots by whole-body magnetic resonance imaging and measurement of IHCL by in vivo proton magnetic resonance spectroscopy. Longitudinal data were obtained from 70 infants (40 boys and 30 girls). In the neonatal period girls are more adipose in relation to body size than boys. At follow-up (median age 63 days), girls remained significantly more adipose. The greater relative adiposity that characterises girls is explained by more subcutaneous adipose tissue and this becomes increasingly apparent by follow-up. No significant sex differences were seen in IHCL. Sex-specific differences in infant adipose tissue distribution are in keeping with those described in later life, and suggest that sexual dimorphism in adiposity is established in early infancy.

Real-time energy resources scheduling considering short-term and very short-term wind forecast

This paper proposes an energy resources management methodology based on three distinct time horizons: day-ahead scheduling, hour-ahead scheduling, and real-time scheduling. In each scheduling process it is necessary the update of generation and consumption operation and of the storage and electric vehicles storage status. Besides the new operation condition, it is important more accurate forecast values of wind generation and of consumption using results of in short-term and very short-term methods. A case study considering a distribution network with intensive use of distributed generation and electric vehicles is presented.

Reliability of nasal auscultation and their relation to middle ear condition – a clinical interest to pediatrics respiratory physiotherapy

Background: Acute respiratory infections are usual in children under three years old occurring in upper respiratory tract, having an impact on child and caregiver’s quality of life predisposing to otitis media or bronchiolitis. There are few valid and reliable measures to determine the child’s respiratory condition and to guide the physiotherapy intervention. Aim: To assess the intra and inter rater reliability of nasal auscultation, to analyze the relation between sounds’ classification and middle ear’s pressure and compliance as well as with the Clinical Severity Score. Methods: A cross-sectional observational study was composed by 125 nursery children aged up to three years old. Tympanometry, pulmonary and nasal auscultation and application of Clinical Severity Score were performed to each child. Nasal auscultation sounds’ were recorded and sent to 3 blinded experts, that classified, as “obstructed” and “unobstructed”, with a 48 hours interval, in order to analyze inter and intra rater reliability. Results: Nasal auscultation revealed a substantial inter and intra rater reliability (=0,749 and evaluator A - K= 0,691; evaluator B - K= 0,605 and evaluator C - K= 0,724, respectively). Both ears’ pressure was significantly lower in children with an "unobstructed" nasal sound when compared with an “obstructed” nasal sound (t=-3,599, p<0,001 in left ear; t=-2,258, p=0,026 in right ear). Compliance in both ears was significantly lower in children with an "obstructed" nasal sound when compared with “unobstructed” nasal sound (t=-2,728, p=0,007 in left ear; t=-3,830, p<0,001 in right ear). There was a statistically significant association between sounds’ classification and tympanograms types in both ear’s (=11,437, p=0,003 in left ear; =13,535, p=0,001 in right ear). There was a trend to children with an "unobstructed" nasal sound that had a lower clinical severity score when compared with “obstructed” children. Conclusion: It was observed a good intra and substantial inter reliability for nasal auscultation. Nasal auscultation sounds’ classification was related to middle ears’ pressure and compliance.

Optimização da lista de células vizinhas em redes LTE

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Electrónica e Telecomunicações

Neighbour list optimization for real LTE radio network

With the increasing complexity of current networks, it became evident the need for Self-Organizing Networks (SON), which aims to automate most of the associated radio planning and optimization tasks. Within SON, this paper aims to optimize the Neighbour Cell List (NCL) for Long Term Evolution (LTE) evolved NodeBs (eNBs). An algorithm composed by three decisions were were developed: distance-based, Radio Frequency (RF) measurement-based and Handover (HO) stats-based. The distance-based decision, proposes a new NCL taking account the eNB location and interference tiers, based in the quadrants method. The last two algorithms consider signal strength measurements and HO statistics, respectively; they also define a ranking to each eNB and neighbour relation addition/removal based on user defined constraints. The algorithms were developed and implemented over an already existent radio network optimization professional tool. Several case studies were produced using real data from a Portuguese LTE mobile operator. © 2014 IEEE.

Use of a fluorescence-based approach to assess short-term responses of the alga Pseudokirchneriella subcapitata to metal stress

This work explores the use of fluorescent probes to evaluate the responses of the green alga Pseudokirchneriella subcapitata to the action of three nominal concentrations of Cd(II), Cr(VI), Cu(II) and Zn(II) for a short time (6 h). The toxic effect of the metals on algal cells was monitored using the fluorochromes SYTOX Green (SG, membrane integrity), fluorescein diacetate (FDA, esterase activity) and rhodamine 123 (Rh123, mitochondrial membrane potential). The impact of metals on chlorophyll a (Chl a) autofluorescence was also evaluated. Esterase activity was the most sensitive parameter. At the concentrations studied, all metals induced the loss of esterase activity. SG could be used to effectively detect the loss of membrane integrity in algal cells exposed to 0.32 or 1.3 μmol L−1 Cu(II). Rh123 revealed a decrease in the mitochondrial membrane potential of algal cells exposed to 0.32 and 1.3 μmol L−1 Cu(II), indicating that mitochondrial activity was compromised. Chl a autofluorescence was also affected by the presence of Cr(VI) and Cu(II), suggesting perturbation of photosynthesis. In conclusion, the fluorescence-based approach was useful for detecting the disturbance of specific cellular characteristics. Fluorescent probes are a useful diagnostic tool for the assessment of the impact of toxicants on specific targets of P. subcapitata algal cells.

Influence of abiotic stress factors on VOCs emission from Portuguese rice paddy fields: relation with increased climate change

Dissertação para obtenção do Grau de Mestre em Engenharia do Ambiente Perfil de Gestão de Sistemas Ambientais

Spore differentiation in relation to the infectious cycle of the enteric pathogen Clostridium difficile

Clostridium difficile is a gram positive, spore former, anaerobic bacterium that is able to cause infection and disease, with symptoms ranging from mild diarrhea to pseudomembranous colitis, toxic megacolon, sepsis and death. In the last decade new strains have emerged that caused outbreaks of increased disease severity and higher recurrence, morbidity and mortality rates, and C. difficile is now considered both a main nosocomial pathogen associated with antibiotic therapy as well as a major concern in the community.(...)