Grado de predicción del valor de las acciones ante nuevas emisiones en el sector de extracción de petróleo crudo y gas natural en Colombia, mediante modelos de caos y análisis recurrente

El presente trabajo se enfoca en el análisis de las acciones de Ecopetrol, empresa representativa del mercado de Extracción de Petróleo y Gas natural en Colombia (SP&G), durante el periodo, del 22 de mayo de 2012 al 30 de agosto de 2013. Durante este espacio de tiempo la acción sufrió una serie de variaciones en su precio las cuales se relacionaban a la nueva emisión de acciones que realizo la Compañía. Debido a este cambio en el comportamiento del activo se generaron una serie de interrogantes sobre, (i) la reacción del mercado ante diferentes sucesos ocurridos dentro de las firmas y en su entorno (ii) la capacidad de los modelos financieros de predecir y entender las posibles reacciones observadas de los activos (entendidos como deuda). Durante el desarrollo del presente trabajo se estudiará la pertinencia del mismo, en línea con los objetivos y desarrollos de la Escuela de Administración de la Universidad del Rosario. Puntualmente en temas de Perdurabilidad direccionados a la línea de Gerencia. Donde el entendimiento de la deuda como parte del funcionamiento actual y como variable determinante para el comportamiento futuro de las organizaciones tiene especial importancia. Una vez se clarifica la relación entre el presente trabajo y la Universidad, se desarrollan diferentes conceptos y teorías financieras que han permitido conocer y estudiar de manera más específica el mercado, con el objetivo de reducir los riesgos de las inversiones realizadas. Éste análisis se desarrolla en dos partes: (i) modelos de tiempo discreto y (ii) modelos de tiempo continúo. Una vez se tiene mayor claridad sobre los modelos estudiados hasta el momento se realiza el respectivo análisis de los datos mediante modelos de caos y análisis recurrente los cuales nos permiten entender que las acciones se comportan de manera caótica pero que establecen ciertas relaciones entre los precios actuales y los históricos, desarrollando comportamientos definidos entre los precios, las cantidades, el entorno macroeconómico y la organización. De otra parte, se realiza una descripción del mercado de petróleo en Colombia y se estudia a Ecopetrol como empresa y eje principal del mercado descrito en el país. La compañía Ecopetrol es representativa debido a que es uno de los mayores aportantes fiscales del país, pues sus ingresos se desprenden de bienes que se encuentran en el subsuelo por lo que la renta petrolera incluye impuestos a la producción transformación y consumo (Ecopetrol, 2003). Por último, se presentan los resultados del trabajo, así como el análisis que da lugar para presentar ciertas recomendaciones a partir de lo observado.

Use of Large Clear-Cuts by Wilson’s Warbler in an Eastern Canadian Boreal Forest

Wilson’s Warbler (Cardellina pusilla; WIWA) has been declining for several decades, possibly because of habitat loss. We compared occupancy of territorial males in two habitat types of Québec’s boreal forest, alder (Alnus spp.) scrubland and recent clear-cuts. Singing males occurred in clusters, their occupancy was similar in both habitats, but increased with the amount of alder or clear-cut within 400 m of point-count stations. A despotic distribution of males between habitats appeared unlikely, because there were no differences in morphology between males captured in clear-cuts vs. alder. Those results contrast with the prevailing view, mostly based on western populations, that WIWA are wetland or riparian specialists, and provide the first evidence for a preference for large tracts of habitat in this species. Clear-cuts in the boreal forest may benefit WIWA by supplying alternative nesting habitat. However, the role of clear-cuts as source or sink habitats needs to be addressed with data on reproduction.

A cross-sectional study of reproductive performance of smallholder dairy cows in coastal Tanzania

A retrospective cross-sectional study was conducted on 200 randomly selected smallholder farms from a mixed dairy farming system in Tanga, Tanzania, between January and April 1999. We estimated the frequency and determinants of long calving interval (LCI), retention of fetal membrane (RFM), dystocia, and abortion in smallholder crossbred cattle and explored birth trends. The mean calving interval was 500 days and birth rate was 65 per 100 cow-years. Dystocia was reported to affect 58% of calvings, and 17.2% of animals suffered RFM. Using mixed effect models, the variables associated with LCI, RFM and dystocia were breed, level of exotic blood and condition score. Zebu breeding was associated with LCI (odds ratio (OR) = 2.3, p = 0.041) and Friesian breeding with lower odds for RF (OR = 0.26, p = 0.020). Animals with higher levels of exotic blood had lower odds for evidence of dystocia (OR = 0.45, p = 0.021). Evidence of dystocia was significantly associated with poor condition score (beta = -1.10, p = 0.001). Our observations suggest that LCIs are common in smallholder dairy farms in this region and a likely source of economic loss. Dystocia, RFM, poor condition score and mineral deficiency were common problems and were possibly linked to LCI.

Application of constrained predictive control on a 3D crane system

This paper describes the SIMULINK implementation of a constrained predictive control algorithm based on quadratic programming and linear state space models, and its application to a laboratory-scale 3D crane system. The algorithm is compatible with Real Time. Windows Target and, in the case of the crane system, it can be executed with a sampling period of 0.01 s and a prediction horizon of up to 300 samples, using a linear state space model with 3 inputs, 5 outputs and 13 states.

Making the least active pay: a simulation of rewards and penalties under Demand Side Participation programs

The orthodox approach for incentivising Demand Side Participation (DSP) programs is that utility losses from capital, installation and planning costs should be recovered under financial incentive mechanisms which aim to ensure that utilities have the right incentives to implement DSP activities. The recent national smart metering roll-out in the UK implies that this approach needs to be reassessed since utilities will recover the capital costs associated with DSP technology through bills. This paper introduces a reward and penalty mechanism focusing on residential users. DSP planning costs are recovered through payments from those consumers who do not react to peak signals. Those consumers who do react are rewarded by paying lower bills. Because real-time incentives to residential consumers tend to fail due to the negligible amounts associated with net gains (and losses) or individual users, in the proposed mechanism the regulator determines benchmarks which are matched against responses to signals and caps the level of rewards/penalties to avoid market distortions. The paper presents an overview of existing financial incentive mechanisms for DSP; introduces the reward/penalty mechanism aimed at fostering DSP under the hypothesis of smart metering roll-out; considers the costs faced by utilities for DSP programs; assesses linear rate effects and value changes; introduces compensatory weights for those consumers who have physical or financial impediments; and shows findings based on simulation runs on three discrete levels of elasticity.

An evaluation of the UK Food Standards Agency's salt campaign

Excessive salt intake is linked to cardiovascular disease and several other health problems around the world. The UK Food Standards Agency initiated a campaign at the end of 2004 to reduce salt intake in the population. There is disagreement over whether the campaign was effective in curbing salt intake or not. We provide fresh evidence on the impact of the campaign, by using data on spot urinary sodium readings and socio-demographic variables from the Health Survey for England over 2003–2007 and combining it with food price information from the Expenditure and Food Survey. Aggregating the data into a pseudo-panel, we estimate fixed effects models to examine the trend in salt intake over the period and to deduce the heterogeneous effects of the policy on the intake of socio-demographic groups. Our results are consistent with a previous hypothesis that the campaign reduced salt intakes by approximately 10%. The impact is shown to be stronger among women than among men. Older cohorts of men show a larger response to the salt campaign compared to younger cohorts, while among women, younger cohorts respond more strongly than older cohorts.

Property company performance and real interest rates: a regime-switching approach

Linear models of property market performance may be misspecified if there exist distinct states where the market drivers behave in different ways. This paper examines the applicability of non-linear regime-based models. A Self Exciting Threshold Autoregressive (SETAR) model is applied to property company share data, using the real rate of interest to define regimes. Distinct regimes appear exhibiting markedly different market behaviour. The model both casts doubt on the specification of conventional linear models and offers the possibility of developing effective trading rules for real estate equities.

Multivariate analysis of the dielectric response of materials modeled using networks of resistors and capacitors

We discuss the modeling of dielectric responses of electromagnetically excited networks which are composed of a mixture of capacitors and resistors. Such networks can be employed as lumped-parameter circuits to model the response of composite materials containing conductive and insulating grains. The dynamics of the excited network systems are studied using a state space model derived from a randomized incidence matrix. Time and frequency domain responses from synthetic data sets generated from state space models are analyzed for the purpose of estimating the fraction of capacitors in the network. Good results were obtained by using either the time-domain response to a pulse excitation or impedance data at selected frequencies. A chemometric framework based on a Successive Projections Algorithm (SPA) enables the construction of multiple linear regression (MLR) models which can efficiently determine the ratio of conductive to insulating components in composite material samples. The proposed method avoids restrictions commonly associated with Archie’s law, the application of percolation theory or Kohlrausch-Williams-Watts models and is applicable to experimental results generated by either time domain transient spectrometers or continuous-wave instruments. Furthermore, it is quite generic and applicable to tomography, acoustics as well as other spectroscopies such as nuclear magnetic resonance, electron paramagnetic resonance and, therefore, should be of general interest across the dielectrics community.

The prevalence and nature of prescribing and monitoring errors in English general practice – a retrospective case note review

Objective To determine the prevalence and nature of prescribing and monitoring errors in general practices in England. Design Retrospective case note review of unique medication items prescribed over a 12 month period to a 2% random sample of patients. Mixed effects logistic regression was used to analyse the data. Setting Fifteen general practices across three primary care trusts in England. Data sources Examination of 6048 unique prescription items prescribed over the previous 12 months for 1777 patients. Main outcome measures Prevalence of prescribing and monitoring errors, and severity of errors, using validated definitions. Results Prescribing and/or monitoring errors were detected in 4.9% (296/6048) of all prescription items (95% confidence interval 4.4 - 5.5%). The vast majority of errors were of mild to moderate severity, with 0.2% (11/6048) of items having a severe error. After adjusting for covariates, patient-related factors associated with an increased risk of prescribing and/or monitoring errors were: age less than 15 (Odds Ratio (OR) 1.87, 1.19 to 2.94, p=0.006) or greater than 64 years (OR 1.68, 1.04 to 2.73, p=0.035), and higher numbers of unique medication items prescribed (OR 1.16, 1.12 to 1.19, p<0.001). Conclusion Prescribing and monitoring errors are common in English general practice, although severe errors are unusual. Many factors increase the risk of error. Having identified the most common and important errors, and the factors associated with these, strategies to prevent future errors should be developed based on the study findings.

On SETAR non-linearity and forecasting

We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is used as the data-generating process in an extensive set of Monte Carlo simulations, and we consider the discriminatory power of recently developed methods of forecast evaluation for different degrees of non-linearity. We find that the interval and density evaluation methods are unlikely to show the linear model to be deficient on samples of the size typical for macroeconomic data

Administrative costs of regulation and foreign direct investment: evidence from Standard Cost Model implementation in non-OECD countries

In recent years both developed and developing countries have experienced an increasing number of government initiatives dedicated to reducing the administrative costs (AC) imposed on businesses by regulation. We use a bi-linear fixed-effects model to analyze the extent to which government initiatives to reduce AC through the Standard Cost Model (SCM) attract Foreign Direct Investment (FDI) among 32 developing countries. Controlling for standard determinants of the SCM, we find that the SCM in most cases leads to higher FDI and that the benefits are more significant where the SCM has been implemented for a longer period.

Can portmanteau nonlinearity tests serve as general mis-specification tests?

A number of recent papers have employed the BDS test as a general test for mis-specification for linear and nonlinear models. We show that for a particular class of conditionally heteroscedastic models, the BDS test is unable to detect a common mis-specification. Our results also demonstrate that specific rather than portmanteau diagnostics are required to detect neglected asymmetry in volatility. However for both classes of tests reasonable power is only obtained using very large sample sizes.

Privatisation and cross-border electricity trade: from internal market to European Supergrid?

he perspective European Supergrid would consist of an integrated power system network, where electricity demands from one country could be met by generation from another country. This paper makes use of a bi-linear fixed-effects model to analyse the determinants for trading electricity across borders among 34 countries connected by the European Supergrid. The key question that this paper aims to address is the extent to which the privatisation of European electricity markets has brought about higher cross-border trade of electricity. The analysis makes use of distance, price ratios, gate closure times, size of peaks and aggregate demand as standard determinants. Controlling for other standard determinants, it is concluded that privatisation in most cases led to higher power exchange and that the benefits are more significant where privatisation measures have been in place for a longer period.

Associations between FTO genotype and total energy and macronutrients intake: a systematic review and meta-analysis

Risk variants of the fat-mass and obesity-associated (FTO) gene have been associated with increased obesity. However, the evidence for associations between FTO genotype and macronutrients intake has not been reviewed systematically. Our aim was to evaluate potential associations between FTO genotype and intakes of total energy, fat, carbohydrate and protein. We undertook a systematic literature search in Medline, Scopus, EMBASE and Cochrane of associations between macronutrients intake and FTO genotype in adults. Beta coefficients and confidence intervals were used for per-allele comparisons. Random-effects models assessed the pooled effect sizes. We identified 56 eligible studies reporting on 213 173 adults. For each copy of the FTO risk allele, individuals reported 6.46 kcal/day (95% CI: 10.76, 2.16) lower total energy intake (P=0.003). Total fat (P=0.028) and protein (P=0.006), but not carbohydrate intakes, were higher in those carrying the FTO risk allele. After adjustment for body weight, total energy intakes remained significantly lower in individuals with the FTO risk genotype (P=0.028). The FTO risk allele is associated with a lower reported total energy intake and with altered patterns of macronutrients intake. Although significant, these differences are small and further research is needed to determine whether the associations are independent of dietary misreporting.

Traditional medicine use by cancer patients in Thailand

Ethnobotanical relevance Cancer patients commonly use traditional medicines (TM) and in Thailand these are popular for both self-medication and as prescribed by TM practitioners, and are rarely monitored. A study was conducted at Wat Khampramong, a Thai Buddhist temple herbal medicine hospice, to document some of these practices as well as the hospice regime. Materials and methods Cancer patients (n=286) were surveyed shortly after admission as to which TMs they had previously taken and perceptions of effects experienced. They were also asked to describe their current symptoms. Treatment at the hospice is built upon an 11-herb anti-cancer formula, yod-ya-mareng, prescribed for all patients, and ideally, its effects would have been evaluated. However other herbal medicines and holistic practices are integral to the regime, so instead we attempted to assess the value of the patients׳ stay at the hospice by measuring any change in symptom burden, as they perceived it. Surviving patients (n=270) were therefore asked to describe their symptoms again just before leaving. Results 42% of patients (120/286; 95% CI 36.4%, 47.8%) had used herbal medicines before their arrival, with 31.7% (38/120; 95% CI 24%, 40.4%) using several at once. Mixed effects were reported for these products. After taking the herbal regime at Khampramong, 77% (208/270 95% CI; 71.7%, 81.7%) reported benefit, and a comparison of the incidence of the most common (pain, dyspepsia, abdominal or visceral pain, insomnia, fatigue) showed statistical significance (χ2 57.1, df 7, p<0.001). Conclusions A wide range of TMs is taken by cancer patients in Thailand and considered to provide more benefit than harm, and this perception extends to the temple regime. Patients reported a significant reduction in symptoms after staying at Khampramong, indicating an improvement in quality of life, the aim of hospices everywhere. Based on this evidence, it is not possible to justify the use of TM for cancer in general, but this study suggests that further research is warranted. The uncontrolled use of TMs, many of which are uncharacterised, raises concerns, and this work also highlights the fact that validated, robust methods of assessing holistic medical regimes are urgently needed.