857 resultados para Environments with time-varying ocean currents
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The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.
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Delay Tolerant Network (DTN) is a communication architecture enabling connectivity in a topology with unregular end-to-end network connection. DTN enables communication in environments with cross-connectivity, large delays and delivery time variations, and a high error rate. DTN can be used in vehicular networks where public transport get involved. This research aims to analyze the role of public transit as a DTN routing infrastructure. The impact of using public transit as a relay router is investigated by referencing the network performance, defined by its delivery ratio, average delay and overhead. The results show that public transit can be used as a backbone for DTN in an urban scenario using existing protocols. This opens insights for future researches on routing algorithm and protocol design.
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Dissertação de mestrado em Ecologia
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n.s. no.43(2003)
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A critical study of three methods for the determination of lactic acid (EDWARDS, MENDEL & GOLDSCHEIDER, MILLER & MUNTZ) is presented and some modifications are proposed. It was shown t hat more accurate results could be obtained with Edward's technic when an Iena glass filter is connected with the absorption tube. Before the dropping of the permanganate solution it is necessary to pass a current of air through the reaction flask to avoid the oxidation of the non-lactic acid substances which interfere with the reaction. The absorption tube must be maintained at 18°C during the destillation and the titration of the bisulphite binding aldehyde at 4°C. When the sample contains more than 5 mg it is useful to work with greater quantities of the bisulphite. More permanganate is consumed when the lactic acid concentration is higher. The sensivity of the method permits the titration of 0.04 mg to 5 mg of lactic acid in the sample. The calculated error of the method gave 0.018 % and the normal values for blood determined in 20 human cases averaged 10.30 mg per 100 ml (Table VI). MENDEL and GOLDSCHEIDER'S method was modified in the following details: Somogyis deproteinization was performed instead metaphosphoric acid as in the original method; to avoid the evaporation of the acetic aldehyde during the heating time with sulfuric acid a special glass stopped tube is proposed (Fig. 2). The reaction with sulfuric acid and veratrol is performed in an ice bath. Blood proteins precipitants were tried and Somogyi's lattest tecnic showed better results (Table V). Colorimetric readings were done in the PULFRICH photometer using filter S 53 and a 10 mm cup. The method is accurate within an error of 0.23 % and samples of 5 to 70 microg. could be easily determined. Normal values for human blood averaged 10.78 mg per 100 ml. More accurate results were obtained with the technic of MILLER & MUNTZ. Slight modifications were introduced: deproteinization with copper sulfate and sodium tungstate; satured p-hydroxydiphenyl solution according to KOENEMANN which is stable for 5 months when stored in the ice-box. Using the PULFRICH step-photometer the error is 0.17% with samples varying from 0.1 to 10 microg. of lactic acid. The filter employed was S 57 with the 5 mm cup. The method was adapted to 0.1 ml of blood. Normal values for human blood gave an average of 10.58 mg per 100 ml.
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We implement a family of efficient proposals to share benefits generated in environments with externalities. These proposals extend the Shapley value to games with externalities and are parametrized through the method by which the externalities are averaged. We construct two slightly different mechanisms: one for environments with negative externalities and the other for positive externalities. We show that the subgame perfect equilibrium outcomes of these mechanisms coincide with the sharing proposals.
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We study how the heterogeneity of agents affects the extent to which changes in financial incentives can pull a group out of a situation of coordination failure. We focus on the connections between cost asymmetries and leadership. Experimental subjects interact in groups of four in a series of weak-link games. The treatment variable is the distribution of high and low effort cost across subjects. We present data for one, two and three low-cost subjects as well as control sessions with symmetric costs. The overall pattern of coordination improvement is common across treatments. Early coordination improvements depend on the distribution of high and low effort costs across subjects, but these differences disappear with time. We find that initial leadership in overcoming coordination failure is not driven by low-cost subjects but by subjects with the most frequent cost. This conformity effect can be due to a kind of group identity or to the cognitive simplicity of acting with identical others.
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The behavioral response of Biomphalaria straminea to light was evaluted in terms of location of the snail in a Y-shaped aquarium in a situation of selection and of the rate (cm/hour) and direction of locomotion under homogeneous 9vertical) or differential (horizontal) lighting upon only one arm of the aquarium. The light source consisted of daylight fluorescent lamps with a spectrum close to that of natural light, with illumination varying from 28 to 350 lux. Analysis of the data showed that all animals, whether in groups or isolated, were attracted to light, although the time needed to approach the light source was 50% shorter for the former than for the latter. The rate of locomotion of B. straminea was 35% higher than observed in B. glabrata and 51% higher than that observed in B. tenagophila studied under similar conditions. The results are discussed in terms of social factors and geographical distribution of the three species.
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Informe de investigación elaborado a partir de una estancia en el Laboratorio de Diseño Computacional en Aeroespacial en el Massachusetts Institute of Technology (MIT), Estados Unidos, entre noviembre de 2006 y agosto de 2007. La aerodinámica es una rama de la dinámica de fluidos referida al estudio de los movimientos de los líquidos o gases, cuya meta principal es predecir las fuerzas aerodinámicas en un avión o cualquier tipo de vehículo, incluyendo los automóviles. Las ecuaciones de Navier-Stokes representan un estado dinámico del equilibrio de las fuerzas que actúan en cualquier región dada del fluido. Son uno de los sistemas de ecuaciones más útiles porque describen la física de una gran cantidad de fenómenos como corrientes del océano, flujos alrededor de una superficie de sustentación, etc. En el contexto de una tesis doctoral, se está estudiando un flujo viscoso e incompresible, solucionando las ecuaciones de Navier- Stokes incompresibles de una manera eficiente. Durante la estancia en el MIT, se ha utilizado un método de Galerkin discontinuo para solucionar las ecuaciones de Navier-Stokes incompresibles usando, o bien un parámetro de penalti para asegurar la continuidad de los flujos entre elementos, o bien un método de Galerkin discontinuo compacto. Ambos métodos han dado buenos resultados y varios ejemplos numéricos se han simulado para validar el buen comportamiento de los métodos desarrollados. También se han estudiado elementos particulares, los elementos de Raviart y Thomas, que se podrían utilizar en una formulación mixta para obtener un algoritmo eficiente para solucionar problemas numéricos complejos.
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Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.
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We consider cooperative environments with externalities (games in partition function form) and provide a recursive definition of dividends for each coalition and any partition of the players it belongs to. We show that with this definition and equal sharing of these dividends the averaged sum of dividends for each player, over all the coalitions that contain the player, coincides with the corresponding average value of the player. We then construct weighted Shapley values by departing from equal division of dividends and finally, for each such value, provide a bidding mechanism implementing it.
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Two Paleogene ocean islands are exposed in the Azuero Peninsula, west Panama, within sequences accreted in the early-Middle Eocene. A multidisciplinary approach involving litho-logic mapping, paleontological age determinations, and petrological study allows reconstruction of the stratigraphy and magmatic evolution of one of these intraplate oceanic volcanoes. From base to top, the volcano's structure comprises submarine basaltic lava flows locally interlayered with hemipelagic sediments, basaltic breccias, shallow-water limestones, and subaerial basaltic lava. Gabbros and basaltic dikes were emplaced along a rift zone of the island. Geochemical trends of basaltic lavas include decreased Mg# {[Mg/(Mg + Fe)] * 100} and, with time, increased incompatible element contents thought to be representative of many poorly documented intraplate volcanoes in the Pacific. Our results show that, in addition to deep drilling, the roots of oceanic islands can be explored through studies of accreted and subaerially exhumed oceanic sequences.
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Research into the biomechanical manifestation of fatigue during exhaustive runs is increasingly popular but additional understanding of the adaptation of the spring-mass behaviour during the course of strenuous, self-paced exercises continues to be a challenge in order to develop optimized training and injury prevention programs. This study investigated continuous changes in running mechanics and spring-mass behaviour during a 5-km run. 12 competitive triathletes performed a 5-km running time trial (mean performance: 17 min 30 s) on a 200 m indoor track. Vertical and anterior-posterior ground reaction forces were measured every 200 m by a 5-m long force platform system, and used to determine spring-mass model characteristics. After a fast start, running velocity progressively decreased (- 11.6%; P<0.001) in the middle part of the race before an end spurt in the final 400-600 m. Stride length (- 7.4%; P<0.001) and frequency (- 4.1%; P=0.001) decreased over the 25 laps, while contact time (+ 8.9%; P<0.001) and total stride duration (+ 4.1%; P<0.001) progressively lengthened. Peak vertical forces (- 2.0%; P<0.01) and leg compression (- 4.3%; P<0.05), but not centre of mass vertical displacement (+ 3.2%; P>0.05), decreased with time. As a result, vertical stiffness decreased (- 6.0%; P<0.001) during the run, whereas leg stiffness changes were not significant (+ 1.3%; P>0.05). Spring-mass behaviour progressively changes during a 5-km time trial towards deteriorated vertical stiffness, which alters impact and force production characteristics.
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Agents have two forecasting models, one consistent with the unique rational expectations equilibrium, another that assumes a time-varying parameter structure. When agents use Bayesian updating to choose between models in a self-referential system, we find that learning dynamics lead to selection of one of the two models. However, there are parameter regions for which the non-rational forecasting model is selected in the long-run. A key structural parameter governing outcomes measures the degree of expectations feedback in Muth's model of price determination.
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This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this interval can either be fixed or estimated from the data. Our model also allows for a time-varying degree of persistence in the transitory component of inflation. The bounds placed on trend inflation mean that standard econometric methods for estimating linear Gaussian state space models cannot be used and we develop a posterior simulation algorithm for estimating the bounded trend inflation model. In an empirical exercise with CPI inflation we find the model to work well, yielding more sensible measures of trend inflation and forecasting better than popular alternatives such as the unobserved components stochastic volatility model.