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.

Efficient computation of min and max sensor values in multihop networks

Consider a wireless sensor network (WSN) where a broadcast from a sensor node does not reach all sensor nodes in the network; such networks are often called multihop networks. Sensor nodes take individual sensor readings, however, in many cases, it is relevant to compute aggregated quantities of these readings. In fact, the minimum and maximum of all sensor readings at an instant are often interesting because they indicate abnormal behavior, for example if the maximum temperature is very high then it may be that a fire has broken out. In this context, we propose an algorithm for computing the min or max of sensor readings in a multihop network. This algorithm has the particularly interesting property of having a time complexity that does not depend on the number of sensor nodes; only the network diameter and the range of the value domain of sensor readings matter.

Kinetic behavior of Desulfovibrio gigas aldehyde oxidoreductase encapsulated in reverse micelles

Biochemical and Biophysical Research Communications 308 (2003) 73–78

Exploiting a prioritized MAC protocol to efficiently compute min and max in multihop networks

Consider a wireless sensor network (WSN) where a broadcast from a sensor node does not reach all sensor nodes in the network; such networks are often called multihop networks. Sensor nodes take sensor readings but individual sensor readings are not very important. It is important however to compute aggregated quantities of these sensor readings. The minimum and maximum of all sensor readings at an instant are often interesting because they indicate abnormal behavior, for example if the maximum temperature is very high then it may be that a fire has broken out. We propose an algorithm for computing the min or max of sensor reading in a multihop network. This algorithm has the particularly interesting property of having a time complexity that does not depend on the number of sensor nodes; only the network diameter and the range of the value domain of sensor readings matter.

Competitive dynamics for behavior coordination in a joint transportation task

We address the problem of coordinating two non-holonomic mobile robots that move in formation while transporting a long payload. A competitive dynamics is introduced that gradually controls the activation and deactivation of individual behaviors. This process introduces (asymmetrical) hysteresis during behavioral switching. As a result behavioral oscillations, due to noisy information, are eliminated. Results in indoor environments show that if parameter values are chosen within reasonable ranges then, in spite of noise in the robots communi- cation and sensors, the overall robotic system works quite well even in cluttered environments. The robots overt behavior is stable and smooth.

Catalytic behavior of alkali-treated Pt/HMOR n-hexane hydroisomerization

Bifunctional Pt-HMOR catalysts were prepared by incipient wetness impregnation of various desilicated MOR obtained by alkaline treatment using NaOH concentrations ranging from 0.1 to 0.5 M. The zeolite structural changes upon modification were investigated by several techniques including powder X-ray diffraction,Al-27 and Si-29 MAS-NMR spectroscopy, N-2 adsorption, pyridine adsorption followed by infrared spectroscopy and the catalytic model reaction of m-xylene transformation. For low alkaline concentration the zeolite acidity is preserved, along with a slight increase of the volume correspondent to the larger micropores due to the removal of extra-framework debris already existent at the parent zeolite. At higher NaOH concentrations there is a significant loss of crystalinity and acidity as well as the formation of mesoporosity. The characterization of the metal function shows similar patterns for Pt-HMOR and Pt-M/0.1 samples, with Pt particles located mainly inside the inner porosity. In contrast, large Pt particles become visible at the intercrystalline mesoporosity of MOR crystals developed during the desilication treatments at severe alkaline conditions. The catalytic results obtained for n-hexane hydroisomerization showed an improved selectivity for dibranched over monobranched isomers for Pt-M/0.1 sample, likely due to the preservation of the support acidity and the slight enlargement of the micropores. This work is a new example in which the mesoporous development does not improve the catalytic efficiency of the zeolites, whereas mild alkaline desilication might be considered as an effective solution to produce customized catalysts with enhanced performance for a given application. (C) 2014 Elsevier B.V. All rights reserved.

Sedentary behavior in Brazilian children and adolescents: a systematic review

ABSTRACT OBJECTIVE To describe the methodological characteristics of the studies selected and assess variables associated with sedentary behavior in Brazilian children and adolescents. METHODS For this systematic review, we searched four electronic databases: PubMed, Web of Knowledge, LILACS, SciELO. Also, electronic searches were applied in Google Scholar. A supplementary search was conducted in the references lists of the included articles and in non-indexed journals. We included observational studies with children and adolescents aged from three to 19 years developed in Brazil, presenting analyses of associations based on regression methods and published until September 30, 2014. RESULTS Of the 255 potential references retrieved by the searches, 49 met the inclusion criteria and composed the descriptive synthesis. In this set, we identified a great number of cross-sectional studies (n = 43; 88.0%) and high methodological variability on the types of sedentary behavior assessed, measurement tools and cut-off points used. The variables most often associated with sedentary behavior were “high levels of body weight” (in 15 out of 27 studies; 55.0%) and “lower level of physical activity” (in eight out of 16 studies; 50.0%). CONCLUSIONS The findings of this review raise the following demands to the Brazilian agenda of sedentary behavior research geared to children and adolescents: development of longitudinal studies, validation of measuring tools, establishment of risk cut-offs, measurement of sedentary behavior beyond screen time and use of objective measures in addition to questionnaires. In the articles available, the associations between sedentary behavior with “high levels of body weight” and “low levels of physical activity” were observed in different regions of Brazil.

Mechanical behavior and localized failure modes in a porous basalt from the Azores

Basaltic rocks are the main component of the oceanic upper crust, thus of potential interest for water and geothermal resources, storage of CO2 and volcanic edifice stability. In this work, we investigated experimentally the mechanical behavior and the failure modes of a porous basalt, with an initial connected porosity of 18%. Results were acquired under triaxial compression experiments at confining pressure in the range of 25-200 MPa on water saturated samples. In addition, a purely hydrostatic test was also performed to reach the pore collapse critical pressure P*. During hydrostatic loading, our results show that the permeability is highly pressure dependent, which suggests that the permeability is mainly controlled by pre-existing cracks. When the sample is deformed at pressure higher than the pore collapse pressure P*, some very small dilatancy develops due to microcracking, and an increase in permeability is observed. Under triaxial loading, two modes of deformation can be highlighted. At low confining pressure (Pc < 50 MPa), the samples are brittle and shear localization occurs. For confining pressure > 50 MPa, the stress-strain curves are characterized by strain hardening and volumetric compaction. Stress drops are also observed, suggesting that compaction may be localized. The presence of compaction bands is confirmed by our microstructure analysis. In addition, the mechanical data allows us to plot the full yield surface for this porous basalt, which follows an elliptic cap as previously observed in high porosity sandstones and limestones.

Making the cake and eating it as well

Educação Médica 1991; 2(2): p.3-4.

The Deinotherium (Proboscidea, Mammalia): an abnormal tusk from Lisbon, the Miocene record in Portugal and the first appearance datum. Evidence from Lisbon, Portugal

An exceptionally favourable stratigraphic and chronologic context concerning the Miocene series in Lisbon allows us to stress that there are two successive data as far as the Proboscideans' immigration into western Europe is concerned: firstly, that of Gomphotheres, and later that of Deinotheres. The study of a Langhian (in age) tusk has shown that Deinotherinm havaricum was still present then. The time span of this species could be accurately recognized. A discussion on the genus Deinotherium is presented, as well as its occurrence in Portugal and on its ecologic meaning.

Exciting dynamical behavior in a network of two coupled rings of Chen oscillators

We study exotic patterns appearing in a network of coupled Chen oscillators. Namely, we consider a network of two rings coupled through a “buffer” cell, with Z3×Z5 symmetry group. Numerical simulations of the network reveal steady states, rotating waves in one ring and quasiperiodic behavior in the other, and chaotic states in the two rings, to name a few. The different patterns seem to arise through a sequence of Hopf bifurcations, period-doubling, and halving-period bifurcations. The network architecture seems to explain certain observed features, such as equilibria and the rotating waves, whereas the properties of the chaotic oscillator may explain others, such as the quasiperiodic and chaotic states. We use XPPAUT and MATLAB to compute numerically the relevant states.

Building a person home behavior model based on data from smart house sensors 2015

Dissertação para a obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

Phase behavior of shape-changing spheroids

We introduce a simple model for a biaxial nematic liquid crystal. This consists of hard spheroids that can switch shape between prolate (rodlike) and oblate (platelike) subject to an energy penalty Δε. The spheroids are approximated as hard Gaussian overlap particles and are treated at the level of Onsager's second-virial description. We use both bifurcation analysis and a numerical minimization of the free energy to show that, for additive particle shapes, (i) there is no stable biaxial phase even for Δε=0 (although there is a metastable biaxial phase in the same density range as the stable uniaxial phase) and (ii) the isotropic-to-nematic transition is into either one of two degenerate uniaxial phases, rod rich or plate rich. We confirm that even a small amount of shape nonadditivity may stabilize the biaxial nematic phase.

Trypanosoma cruzi strains: behavior after passage into authoctonous or foreign species of triatomine (biological and biochemical patterns)

The behavior of T. cruzi strains from S. Felipe - BA (19 SF, 21 SF and 22 SF) classified as Type II Zymodeme 2, was investigated after passage through the authoctonous (P. megistus) and foreign vectors (T. infestans and R. prolixus). For each strain Swiss mice were infected: I - with blood forms (control); II - with metacyclic forms (MF) from P. megistus; III - with MF from T. infestans; IV - with MF from R. prolixus. Inocula: MF from the three species of triatomine, 60 to 120 days after feeding in infected mice, adjusted to 10 4. Biological behavior in mice (parasitemia, morphology, mortality, virulence and pathogenicity) after passage through triatomine was compared with data from the same strain in control mice. Isoenzymic electrophoresis (ASAT, ALAT, PGM, GPI) were also performed after culture into Warren medium. The three strains maintained the isoenzyme profiles (zymodeme 2), in the control groups and after passages through different species of triatomine. Biological characterization disclosed Type II strains patterns for all groups. An increased virulence was observed with the 22 SF strain isolated from P. megistus and T. infestans and higher levels of parasitemia and predominance of slender forms in mice inoculated with the 19 SF and 21 SF from these same species. Results indicate that the passage through the two species T. infestans and P. megistus had a positive influence on the virulence of the regional strains of S. Felipe, regardless of being autocthonous (P. megistus) or foreign to the area (T. infestans).

Evolutive behavior towards cardiomyopathy of treated (nifurtimox or benznidazole) and untreated chronic chagasic patients

The aim of this work was to compare the evolution of chronic chagasic untreated patients (UTPs) with that of benznidazole or nifurtimox-treated patients (TPs). A longitudinal study from a low endemic area (Santa Fe city, Argentina) was performed during an average period of 14 years. Serological and parasitological analyses with clinical exams, ECG and X-chest ray were carried out. At the onset, 19/198 infected patients showed chagasic cardiomyopathy (CrChM) while 179 were asymptomatic. In this latter group the frequency of CrChM during the follow-up was lower in TPs compared with UTPs (3.2% vs 7%). Within the CrChM group, 2/5 TPs showed aggravated myopathy whereas this happened in 9/14 UTPs. Comparing the clinical evolution of all patients, 5.9% of TPs and 13% of UTPs had unfavourable evolution, but the difference is not statistically relevant. Serological titers were assessed by IIF. Titers equal to or lower than 1/64 were obtained in 86% of the TPs, but only in 38% of UTPs. The differences were statistically significant (geometric mean: 49.36 vs. 98.2). Antiparasitic assessment of the drugs (xenodiagnosis) proved to be effective. The low sensitivity in chronic chagasic patients must be born in mind. Despite treated patients showed a better clinical evolution and lower antibody levels than untreated ones, it is necessary to carry on doing research in order to improve therapeutic guidelines, according to the risk/benefit equation and based on scientific and ethical principles.