A Monthly Volatility Index for the US Economy

We estimate the monthly volatility of the US economy from 1968 to 2006 by extending the coincidentindex model of Stock and Watson (1991). Our volatility index, which we call VOLINX, hasfour applications. First, it sheds light on the Great Moderation. VOLINX captures the decrease in thevolatility in the mid-80s as well as the different episodes of stress over the sample period. In the 70sand early 80s the stagflation and the two oil crises marked the pace of the volatility whereas 09/11 is themost relevant shock after the moderation. Second, it helps to understand the economic indicators thatcause volatility. While the main determinant of the coincident index is industrial production, VOLINXis mainly affected by employment and income. Third, it adapts the confidence bands of the forecasts.In and out-of-sample evaluations show that the confidence bands may differ up to 50% with respect to amodel with constant variance. Last, the methodology we use permits us to estimate monthly GDP, whichhas conditional volatility that is partly explained by VOLINX. These applications can be used by policymakers for monitoring and surveillance of the stress of the economy.

Transfer function-noise modeling and spatial interpolation to evaluate the risk of extreme (shallow) water-table levels in the Brazilian Cerrados

Water regimes in the Brazilian Cerrados are sensitive to climatological disturbances and human intervention. The risk that critical water-table levels are exceeded over long periods of time can be estimated by applying stochastic methods in modeling the dynamic relationship between water levels and driving forces such as precipitation and evapotranspiration. In this study, a transfer function-noise model, the so called PIRFICT-model, is applied to estimate the dynamic relationship between water-table depth and precipitation surplus/deficit in a watershed with a groundwater monitoring scheme in the Brazilian Cerrados. Critical limits were defined for a period in the Cerrados agricultural calendar, the end of the rainy season, when extremely shallow levels (< 0.5-m depth) can pose a risk to plant health and machinery before harvesting. By simulating time-series models, the risk of exceeding critical thresholds during a continuous period of time (e.g. 10 days) is described by probability levels. These simulated probabilities were interpolated spatially using universal kriging, incorporating information related to the drainage basin from a digital elevation model. The resulting map reduced model uncertainty. Three areas were defined as presenting potential risk at the end of the rainy season. These areas deserve attention with respect to water-management and land-use planning.

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

As condições de ambiente térmico e aéreo, no interior de instalações para animais, alteram-se durante o dia, devido à influência do ambiente externo. Para que análises estatísticas e geoestatísticas sejam representativas, uma grande quantidade de pontos distribuídos espacialmente na área da instalação deve ser monitorada. Este trabalho propõe que a variação no tempo das variáveis ambientais de interesse para a produção animal, monitoradas no interior de instalações para animais, pode ser modelada com precisão a partir de registros discretos no tempo. O objetivo deste trabalho foi desenvolver um método numérico para corrigir as variações temporais dessas variáveis ambientais, transformando os dados para que tais observações independam do tempo gasto durante a aferição. O método proposto aproximou os valores registrados com retardos de tempo aos esperados no exato momento de interesse, caso os dados fossem medidos simultaneamente neste momento em todos os pontos distribuídos espacialmente. O modelo de correção numérica para variáveis ambientais foi validado para o parâmetro ambiental temperatura do ar, sendo que os valores corrigidos pelo método não diferiram pelo teste Tukey, a 5% de probabilidade dos valores reais registrados por meio de dataloggers.

Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate

We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited.

Sintonia automática de controladores PID: uma abordagem neuro - genética

Dissertação de dout. em Electrónica e Computação, Faculdade de Ciências e Tecnologia, Univ. do Algarve, 2004

On the duration of negative surplus

Doutoramento em Matemática

A multi-model approach to evaluate the role of environmental variability and fishing pressure in sardine fisheries

Understanding the fluctuations in population abundance is a central question in fisheries. Sardine fisheries is of great importance to Portugal and is data-rich and of primary concern to fisheries managers. In Portugal, sub-stocks of Sardina pilchardus (sardine) are found in different regions: the Northwest (IXaCN), Southwest (IXaCS) and the South coast (IXaS-Algarve). Each of these sardine sub-stocks is affected differently by a unique set of climate and ocean conditions, mainly during larval development and recruitment, which will consequently affect sardine fisheries in the short term. Taking this hypothesis into consideration we examined the effects of hydrographic (river discharge), sea surface temperature, wind driven phenomena, upwelling, climatic (North Atlantic Oscillation) and fisheries variables (fishing effort) on S. pilchardus catch rates (landings per unit effort, LPUE, as a proxy for sardine biomass). A 20-year time series (1989-2009) was used, for the different subdivisions of the Portuguese coast (sardine sub-stocks). For the purpose of this analysis a multi-model approach was used, applying different time series models for data fitting (Dynamic Factor Analysis, Generalised Least Squares), forecasting (Autoregressive Integrated Moving Average), as well as Surplus Production stock assessment models. The different models were evaluated, compared and the most important variables explaining changes in LPUE were identified. The type of relationship between catch rates of sardine and environmental variables varied across regional scales due to region-specific recruitment responses. Seasonality plays an important role in sardine variability within the three study regions. In IXaCN autumn (season with minimum spawning activity, larvae and egg concentrations) SST, northerly wind and wind magnitude were negatively related with LPUE. In IXaCS none of the explanatory variables tested was clearly related with LPUE. In IXaS-Algarve (South Portugal) both spring (period when large abundances of larvae are found) northerly wind and wind magnitude were negatively related with LPUE, revealing that environmental effects match with the regional peak in spawning time. Overall, results suggest that management of small, short-lived pelagic species, such as sardine quotas/sustainable yields, should be adapted to a regional scale because of regional environmental variability.

Preventing worker’s musculoskeletal disorders with wearable inertial sensors: ergonomics and modelling of physical human-robot interactions

The most widespread work-related diseases are musculoskeletal disorders (MSD) caused by awkward postures and excessive effort to upper limb muscles during work operations. The use of wearable IMU sensors could monitor the workers constantly to prevent hazardous actions, thus diminishing work injuries. In this thesis, procedures are developed and tested for ergonomic analyses in a working environment, based on a commercial motion capture system (MoCap) made of 17 Inertial Measurement Units (IMUs). An IMU is usually made of a tri-axial gyroscope, a tri-axial accelerometer, and a tri-axial magnetometer that, through sensor fusion algorithms, estimates its attitude. Effective strategies for preventing MSD rely on various aspects: firstly, the accuracy of the IMU, depending on the chosen sensor and its calibration; secondly, the correct identification of the pose of each sensor on the worker’s body; thirdly, the chosen multibody model, which must consider both the accuracy and the computational burden, to provide results in real-time; finally, the model scaling law, which defines the possibility of a fast and accurate personalization of the multibody model geometry. Moreover, the MSD can be diminished using collaborative robots (cobots) as assisted devices for complex or heavy operations to relieve the worker's effort during repetitive tasks. All these aspects are considered to test and show the efficiency and usability of inertial MoCap systems for assessing ergonomics evaluation in real-time and implementing safety control strategies in collaborative robotics. Validation is performed with several experimental tests, both to test the proposed procedures and to compare the results of real-time multibody models developed in this thesis with the results from commercial software. As an additional result, the positive effects of using cobots as assisted devices for reducing human effort in repetitive industrial tasks are also shown, to demonstrate the potential of wearable electronics in on-field ergonomics analyses for industrial applications.

Urban air mobility: modelling the future transport system

The advances in the aviation field, particularly the development of electric flying vehicles, as UAV and eVTOL, paved the way for setting Urban Air Mobility (UAM) services. UAM would provide services for passengers, goods and emergencies and could offer faster trips than ground ones. It is expected that early UAM operations will be performed at Very Low-Level airspace as 0-500 m Above Ground Level. The purpose of this research is to both explore the main features of UAM and test an aerial network model, which could be integrated in a multimodal transport system where ground and aerial mobility services are provided. Analyses on UAM transport system involved two sub-systems: the transport demand sub-system, i.e., the mobility requirements, and the transport supply sub-system, i.e., the service and facilities enabling mobility. At first, the UAM demand levels and features for an Airport Shuttle service have been explored through a suitable survey, by combining Revealed and Stated Preference methodologies, and by calibrating some discrete mode choice models. Then, the focus has been on the transport supply model for UAM services, by focusing on both the ground access points (vertiports) and the aerial network model. A suitable three-dimensional urban aerial network (3D-UAN) model that could support fast aerial connections between O/D pairs has been proposed. Some tests have been implemented to verify the feasibility of the proposed model. Some flying vehicles supporting an Airport Shuttle service have been simulated on the aerial network, which has been specified in terms of both topological features and link transport costs. The preliminary results have showed that the proposed 3D-UAN model could be suitable for supporting UAM services. As for transport engineering, the UAM system framework proposed in this thesis paves the way for further research on air-ground multimodality in urban areas.

Discrete Models of Time-Fractional Diffusion in a Potential Well

Mathematics Subject Classification: 26A33, 45K05, 60J60, 60G50, 65N06, 80-99.

Probabilistic maximal covering location-allocation models with constrained waiting time or queue length for congested systems

When dealing with the design of service networks, such as healthand EMS services, banking or distributed ticket selling services, thelocation of service centers has a strong influence on the congestion ateach of them, and consequently, on the quality of service. In this paper,several models are presented to consider service congestion. The firstmodel addresses the issue of the location of the least number of single--servercenters such that all the population is served within a standard distance,and nobody stands in line for a time longer than a given time--limit, or withmore than a predetermined number of other clients. We then formulateseveral maximal coverage models, with one or more servers per service center.A new heuristic is developed to solve the models and tested in a 30--nodesnetwork.

Naturally light invisible axion in models with large local discrete symmetries

We show that by introducing appropriate local Z(N)(Ngreater than or equal to13) symmetries in electroweak models it is possible to implement an automatic Peccei-Quinn symmetry, at the same time keeping the axion protected against gravitational effects. Although we consider here only an extension of the standard model and a particular 3-3-1 model, the strategy can be used in any kind of electroweak model. An interesting feature of this 3-3-1 model is that if we add (i) right-handed neutrinos, (ii) the conservation of the total lepton number, and (iii) a Z(2) symmetry, the Z(13) and the chiral Peccei-Quinn U(1)P-Q symmetries are both accidental symmetries in the sense that they are not imposed on the Lagrangian but are just a consequence of the particle content of the model, its gauge invariance, renormalizability, and Lorentz invariance. In addition, this model has no domain wall problem.

Representation of transmission lines: comparison of models and parameters distributed discrete parameters

A transmission line is characterized by the fact that its parameters are distributed along its length. This fact makes the voltages and currents along the line to behave like waves and these are described by differential equations. In general, the differential equations mentioned are difficult to solve in the time domain, due to the convolution integral, but in the frequency domain these equations become simpler and their solutions are known. The transmission line can be represented by a cascade of π circuits. This model has the advantage of being developed directly in the time domain, but there is a need to apply numerical integration methods. In this work a comparison of the model that considers the fact that the parameters are distributed (Universal Line Model) and the fact that the parameters considered concentrated along the line (π circuit model) using the trapezoidal integration method, and Simpson's rule Runge-Kutta in a single-phase transmission line length of 100 km subjected to an operation power. © 2003-2012 IEEE.

Discrete element methods for asphalt concrete : development and application of user-defined microstructural models and a viscoelastic micromechanical model

As an important Civil Engineering material, asphalt concrete (AC) is commonly used to build road surfaces, airports, and parking lots. With traditional laboratory tests and theoretical equations, it is a challenge to fully understand such a random composite material. Based on the discrete element method (DEM), this research seeks to develop and implement computer models as research approaches for improving understandings of AC microstructure-based mechanics. In this research, three categories of approaches were developed or employed to simulate microstructures of AC materials, namely the randomly-generated models, the idealized models, and image-based models. The image-based models were recommended for accurately predicting AC performance, while the other models were recommended as research tools to obtain deep insight into the AC microstructure-based mechanics. A viscoelastic micromechanical model was developed to capture viscoelastic interactions within the AC microstructure. Four types of constitutive models were built to address the four categories of interactions within an AC specimen. Each of the constitutive models consists of three parts which represent three different interaction behaviors: a stiffness model (force-displace relation), a bonding model (shear and tensile strengths), and a slip model (frictional property). Three techniques were developed to reduce the computational time for AC viscoelastic simulations. It was found that the computational time was significantly reduced to days or hours from years or months for typical three-dimensional models. Dynamic modulus and creep stiffness tests were simulated and methodologies were developed to determine the viscoelastic parameters. It was found that the DE models could successfully predict dynamic modulus, phase angles, and creep stiffness in a wide range of frequencies, temperatures, and time spans. Mineral aggregate morphology characteristics (sphericity, orientation, and angularity) were studied to investigate their impacts on AC creep stiffness. It was found that aggregate characteristics significantly impact creep stiffness. Pavement responses and pavement-vehicle interactions were investigated by simulating pavement sections under a rolling wheel. It was found that wheel acceleration, steadily moving, and deceleration significantly impact contact forces. Additionally, summary and recommendations were provided in the last chapter and part of computer programming codes wree provided in the appendixes.

Incorporating Latent Variables into Discrete Choice Models - A Simultaneous Estimation Approach Using SEM Software

Integrated choice and latent variable (ICLV) models represent a promising new class of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, applications of ICLV models in marketing remain rare. We extend previous ICLV applications by first estimating a multinomial choice model and, second, by estimating hierarchical relations between latent variables. An empirical study on travel mode choice clearly demonstrates the value of ICLV models to enhance the understanding of choice processes. In addition to the usually studied directly observable variables such as travel time, we show how abstract motivations such as power and hedonism as well as attitudes such as a desire for flexibility impact on travel mode choice. Furthermore, we show that it is possible to estimate such a complex ICLV model with the widely available structural equation modeling package Mplus. This finding is likely to encourage more widespread application of this appealing model class in the marketing field.